UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-22027
FundVantage Trust
(Exact name of registrant as specified in charter)
301 Bellevue Parkway
Wilmington, DE 19809
(Address of principal executive offices) (Zip code)
Joel L. Weiss
JW Fund Management LLC
100 Springdale Rd., Suite A3-416
Cherry Hill, NJ 08003
(Name and address of agent for service)
Registrant’s telephone number, including area code: 856-528-3500
Date of fiscal year end: September 30
Date of reporting period: September 30, 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
Annual Investment Adviser’s Report
September 30, 2018
(Unaudited)
Dear Shareholders,
Thank you for reviewing our annual report.
The report covers the period of 12 months, starting from October 1, 2017 until September 30, 2018. Within the report, we state the Fund’s performance, including a discussion on which holdings did well and which did not.
• | The Fund has returned +24.69%. |
• | Our benchmark, the MSCI USA Index has returned +17.22% in the same period. |
• | Fund Net Assets have grown to over $42 million (from $15 million at beginning of the period). |
As of September 30, 2018, the Fund is invested in 65 U.S. equities. In terms of contributions, the top sectors (based on Fact Set industry classification, which may differ from the “Portfolio Holding Summary Table”) were Technology Services and Commercial Services. The Fund’s largest sector allocations are in the Technology Services sector (23.9% portfolio allocation), the Health Services sector (15.1% portfolio allocation), the Commercial Services sector (11.3% portfolio allocation) and the Health Technology sector (10.6% portfolio allocation). Stocks in these four sectors represent 60.9% of the Fund’s holdings.
As US equity markets were strong during the period, the Fund has tended to be fully invested into equity. Going forward, when US equity markets weaken, the Fund’s quantitative framework may withdraw from equity holdings and increase its cash holdings.
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted. Performance data current to the most recent month end may be obtained by calling (844) 567-2134.
ARABESQUE SYSTEMATIC USA FUND
Annual Investment Adviser’s Report (Concluded)
September 30, 2018
(Unaudited)
Thank you for your investment in the Fund. We value your ongoing confidence in us, and we look forward to serving your investment needs in the future.
Sincerely,
Dr Hans-Robert Arndt
Co-CIO, Head of Quantitative Research
This letter is intended to assist shareholders in understanding how the Fund performed during the year ended September 30, 2018 and reflects the views of the investment adviser at the time of this writing. Of course, these views may change and do not guarantee the future performance of the Fund or the markets.
The above commentary is for informational purposes only and does not represent an offer, recommendation or solicitation to buy, hold or sell any security. The specific securities identified and described do not represent all of the securities purchased or sold and you should not assume that investments in the securities identified and disclosed will be profitable.
Portfolio composition is subject to change. The current and future portfolio holdings of the Fund are subject to investment risks.
Equity Risk: Stock markets are volatile. The price of equity securities, including preferred stock and depository receipts, fluctuates based on changes in a company’s financial condition and overall market and economic conditions.
2
ARABESQUE SYSTEMATIC USA FUND
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $50,000 (investment minimum) Investment in
Arabesque Systematic USA Fund’s Institutional Class vs. MSCI USA Index (Net Returns)
Average Annual Total Returns for the Period Ended September 30, 2018 | ||||||||||
1 Year | Since Inception** | |||||||||
Institutional Class | 24.69 | % | 21.33% | |||||||
MSCI USA Index (Net Returns) | 17.22 | % | 16.65%** |
* | The Arabesque Systematic USA Fund (the “Fund”) Institutional Class shares commenced operations on May 3, 2017. |
** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (844) 567-2134. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s “Total Annual Fund Operating Expenses” and “Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement”, are 3.25% and 0.95%, respectively, of the Fund’s average daily net assets for Institutional Class shares. These ratios are stated in the current prospectus dated August 24, 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 shares (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
3
ARABESQUE SYSTEMATIC USA FUND
Annual Report
Performance Data (Concluded)
September 30, 2018
(Unaudited)
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 amount. Total returns would be lower had such fees and/or expenses not been waived or reimbursed.
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.
Mutual fund investing involves risks, including possible loss of principal.
4
ARABESQUE SYSTEMATIC USA FUND
Fund Expense Disclosure
September 30, 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 April 1, 2018 through September 30, 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.
5
ARABESQUE SYSTEMATIC USA FUND
Fund Expense Disclosure (Concluded)
September 30, 2018
(Unaudited)
Arabesque Systematic USA Fund | |||||||||||||||
Beginning Account Value April 1, 2018 | Ending Account Value September 30, 2018 | Expenses Paid During Period* | |||||||||||||
Institutional Class | |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,154.70 | $ | 5.13 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.31 | 4.81 |
* | Expenses are equal to an annualized expense ratio for the six-month period ended September 30, 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 (183), 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 15.47% for Institutional Class shares. |
6
ARABESQUE SYSTEMATIC USA FUND
Portfolio Holdings Summary Table
September 30, 2018
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net | ||||||||||
Assets | Value | |||||||||
COMMON STOCKS: | ||||||||||
Consumer, Non-Cyclical | 34.3 | % | $ | 14,633,282 | ||||||
Technology | 21.6 | 9,230,408 | ||||||||
Consumer, Cyclical | 15.3 | 6,505,328 | ||||||||
Industrial | 9.9 | 4,233,649 | ||||||||
Financial | 4.9 | 2,089,876 | ||||||||
Energy | 3.8 | 1,619,922 | ||||||||
Communications | 3.2 | 1,347,594 | ||||||||
Materials | 1.9 | 820,800 | ||||||||
Utilities | 1.2 | 502,800 | ||||||||
Other Assets In Excess of Liabilities | 3.9 | 1,669,684 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 42,653,343 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
7
ARABESQUE SYSTEMATIC USA FUND
Portfolio of Investments
September 30, 2018
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — 96.1% |
| |||||||
Communications — 3.2% | ||||||||
CDW Corp./De | 9,200 | $ | 818,064 | |||||
Imperva, Inc.* | 11,400 | 529,530 | ||||||
|
| |||||||
1,347,594 | ||||||||
|
| |||||||
Consumer, Cyclical — 15.3% |
| |||||||
Copart, Inc.* | 11,700 | 602,901 | ||||||
Darden Restaurants, Inc. | 7,500 | 833,925 | ||||||
Deckers Outdoor Corp.* | 5,200 | 616,616 | ||||||
Five Below, Inc.* | 6,500 | 845,390 | ||||||
Home Depot, Inc. (The) | 2,360 | 488,874 | ||||||
McDonald’s Corp. | 2,400 | 401,496 | ||||||
O’Reilly Automotive, Inc.* | 2,380 | 826,622 | ||||||
PVH Corp. | 3,200 | 462,080 | ||||||
Ross Stores, Inc. | 5,700 | 564,870 | ||||||
TJX Cos, Inc. (The) | 7,700 | 862,554 | ||||||
|
| |||||||
6,505,328 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 34.3% |
| |||||||
Abbott Laboratories | 7,400 | 542,864 | ||||||
Align Technology, Inc.* | 2,100 | 821,562 | ||||||
Amedisys, Inc.* | 6,700 | 837,232 | ||||||
Baxter International, Inc. | 9,200 | 709,228 | ||||||
Bright Horizons Family Solutions, Inc.* | 5,100 | 600,984 | ||||||
Calavo Growers, Inc. | 2,000 | 193,200 | ||||||
Chemed Corp. | 2,400 | 766,992 | ||||||
Cintas Corp. | 350 | 69,233 | ||||||
Edwards Lifesciences Corp.* | 3,700 | 644,170 | ||||||
Eli Lilly & Co. | 7,800 | 837,018 | ||||||
Encompass Health Corp. | 9,900 | 771,705 | ||||||
Estee Lauder Cos, Inc. (The), Class A | 4,400 | 639,408 | ||||||
FleetCor Technologies, Inc.* | 3,250 | 740,480 |
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer, Non-cyclical — (Continued) |
| |||||||
Humana, Inc. | 2,350 | $ | 795,522 | |||||
IDEXX Laboratories, Inc.* | 3,000 | 748,980 | ||||||
Insperity, Inc. | 6,400 | 754,880 | ||||||
IQVIA Holdings, Inc.* | 6,100 | 791,414 | ||||||
PayPal Holdings, Inc.* | 8,000 | 702,720 | ||||||
Quest Diagnostics, Inc. | 1,700 | 183,447 | ||||||
Total System Services, Inc. | 8,200 | 809,668 | ||||||
UnitedHealth Group, Inc. | 2,950 | 784,818 | ||||||
WellCare Health Plans, Inc.* | 2,770 | 887,757 | ||||||
|
| |||||||
14,633,282 | ||||||||
|
| |||||||
Energy — 3.8% | ||||||||
Chevron Corp. | 1,650 | 201,762 | ||||||
ConocoPhillips | 9,600 | 743,040 | ||||||
Marathon Oil Corp. | 29,000 | 675,120 | ||||||
|
| |||||||
1,619,922 | ||||||||
|
| |||||||
Financial — 4.9% | ||||||||
Mastercard, Inc., Class A | 3,000 | 667,830 | ||||||
Progressive Corp. (The) | 5,500 | 390,720 | ||||||
Visa, Inc., Class A | 4,900 | 735,441 | ||||||
Zions Bancorp. NA | 5,900 | 295,885 | ||||||
|
| |||||||
2,089,876 | ||||||||
|
| |||||||
Industrial — 9.9% | ||||||||
Alarm.com Holdings, Inc.* | 10,900 | 625,660 | ||||||
Exponent, Inc. | 6,000 | 321,600 | ||||||
IDEX Corp. | 5,400 | 813,564 | ||||||
Landstar System, Inc. | 6,700 | 817,400 | ||||||
Masco Corp. | 5,400 | 197,640 | ||||||
Nordson Corp. | 1,900 | 263,910 | ||||||
Old Dominion Freight Line, Inc. | 5,050 | 814,363 |
The accompanying notes are an integral part of the financial statements.
8
ARABESQUE SYSTEMATIC USA FUND
Portfolio of Investments (Continued)
September 30, 2018
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Industrial — (Continued) | ||||||||
Waste Management, Inc. | 4,200 | $ | 379,512 | |||||
|
| |||||||
4,233,649 | ||||||||
|
| |||||||
Materials — 1.9% | ||||||||
Celanese Corp. | 7,200 | 820,800 | ||||||
|
| |||||||
Technology — 21.6% | ||||||||
Adobe, Inc.* | 3,000 | 809,850 | ||||||
Fortinet, Inc.* | 10,500 | 968,835 | ||||||
HubSpot, Inc.* | 5,600 | 845,320 | ||||||
Intuit, Inc. | 3,250 | 739,050 | ||||||
Microchip Technology, Inc. | 4,100 | 323,531 | ||||||
Microsoft Corp. | 4,600 | 526,102 | ||||||
MSCI, Inc. | 3,300 | 585,453 | ||||||
NVIDIA Corp. | 2,500 | 702,550 | ||||||
Pure Storage, Inc., Class A* | 22,000 | 570,900 | ||||||
salesforce.com, Inc.* | 5,300 | 842,859 | ||||||
ServiceNow, Inc.* | 3,700 | 723,831 | ||||||
Silicon Laboratories, Inc.* | 4,000 | 367,200 | ||||||
Ultimate Software Group, Inc. (The)* | 1,200 | 386,628 | ||||||
Veeva Systems, Inc., Class A* | 7,700 | 838,299 | ||||||
|
| |||||||
9,230,408 | ||||||||
|
| |||||||
Utilities — 1.2% | ||||||||
NextEra Energy, Inc. | 3,000 | 502,800 | ||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 40,983,659 | ||||||
|
|
Value | ||||||||
TOTAL INVESTMENTS - 96.1% |
| $ | 40,983,659 | |||||
OTHER ASSETS IN |
| 1,669,684 | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 42,653,343 | ||||||
|
|
* | Non-income producing. |
The accompanying notes are an integral part of the financial statements.
9
ARABESQUE SYSTEMATIC USA FUND
Statement of Assets and Liabilities
September 30, 2018
Assets | ||||
Investments, at value (Cost $35,262,900) | $ | 40,983,659 | ||
Cash | 1,275,867 | |||
Receivable for investments sold | 549,880 | |||
Receivable for capital shares sold | 578,244 | |||
Dividends receivable | 8,559 | |||
Receivable from Investment Adviser | 2,352 | |||
Prepaid expenses and other assets | 28,707 | |||
|
| |||
Total assets | 43,427,268 | |||
|
| |||
Liabilities | ||||
Payable for investments purchased | 672,869 | |||
Payable for capital shares redeemed | 57,358 | |||
Payable for audit fees | 17,142 | |||
Payable for administration and accounting fees | 12,558 | |||
Payable for printing fees | 5,000 | |||
Payable for transfer agent fees | 4,845 | |||
Payable for custodian fees | 1,924 | |||
Accrued expenses | 2,229 | |||
|
| |||
Total liabilities | 773,925 | |||
|
| |||
Net Assets | $ | 42,653,343 | ||
|
| |||
Net Assets Consisted of: | ||||
Capital stock, $0.01 par value | $ | 32,452 | ||
Paid-in capital | 35,932,739 | |||
Accumulated net realized gain from investments | 967,393 | |||
Net unrealized appreciation on investments | 5,720,759 | |||
|
| |||
Net Assets | $ | 42,653,343 | ||
|
| |||
Institutional Class: | ||||
Shares outstanding | 3,245,238 | |||
|
| |||
Net asset value, offering and redemption price per share ($42,653,343 / 3,245,238 shares) | $ | 13.14 | ||
|
|
The accompanying notes are an integral part of the financial statements.
10
ARABESQUE SYSTEMATIC USA FUND
Statement of Operations
For the Year Ended September 30, 2018
Investment Income | ||||
Dividends | $ | 202,154 | ||
|
| |||
Total investment income | 202,154 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 203,793 | |||
Administration and accounting fees (Note 2) | 67,763 | |||
Trustees’ and officers’ fees (Note 2) | 34,713 | |||
Legal fees | 29,886 | |||
Transfer agent fees (Note 2) | 29,397 | |||
Custodian fees (Note 2) | 22,815 | |||
Registration and filing fees | 22,730 | |||
Audit fees | 19,696 | |||
Printing and shareholder reporting fees | 16,209 | |||
Offering expenses | 12,834 | |||
Other expenses | 9,203 | |||
|
| |||
Total expenses before waivers and reimbursements | 469,039 | |||
|
| |||
Less: waivers and reimbursements (Note 2) | (211,651 | ) | ||
|
| |||
Net expenses after waivers and reimbursements | 257,388 | |||
|
| |||
Net investment loss | (55,234 | ) | ||
|
| |||
Net realized and unrealized gain/(loss) from investments | ||||
Net realized gain from investments | 1,305,701 | |||
Net change in unrealized appreciation/(depreciation) on investments | 4,819,859 | |||
|
| |||
Net realized and unrealized gain on investments | 6,125,560 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 6,070,326 | ||
|
|
The accompanying notes are an integral part of the financial statements.
11
ARABESQUE SYSTEMATIC USA FUND
Statements of Changes in Net Assets
For the | For the | |||||||||
Year Ended | Period Ended | |||||||||
September 30, 2018 | September 30, 2017* | |||||||||
Increase/(Decrease) in Net Assets from Operations: | ||||||||||
Net investment loss | $ | (55,234 | ) | $ | (7,557 | ) | ||||
Net realized gain/(loss) from investments | 1,305,701 | (286,815 | ) | |||||||
Net change in unrealized appreciation/(depreciation) on investments | 4,819,859 | 900,900 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 6,070,326 | 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) | 21,472,882 | 14,507,007 | ||||||||
|
|
|
| |||||||
Total increase in net assets | 27,539,808 | 15,113,535 | ||||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 15,113,535 | — | ||||||||
|
|
|
| |||||||
End of period | $ | 42,653,343 | $ | 15,113,535 | ||||||
|
|
|
| |||||||
Accumulated net investment income, end of period | $ | — | $ | 1,599 | ||||||
|
|
|
|
* | The Arabesque Systematic USA Fund commenced operations on May 3, 2017. |
The accompanying notes are an integral part of the financial statements.
12
ARABESQUE SYSTEMATIC USA FUND
Financial Highlights
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class | ||||||||||
For the | For the Period | |||||||||
Year Ended | May 3, 2017* to | |||||||||
September 30, 2018 | September 30, 2017 | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of period | $ | 10.54 | $ | 10.00 | ||||||
|
|
|
| |||||||
Net investment loss(1) | (0.02 | ) | (0.01 | ) | ||||||
Net realized and unrealized gain on investments | 2.62 | 0.55 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 2.60 | 0.54 | ||||||||
|
|
|
| |||||||
Dividends and distributions to shareholders from: | ||||||||||
Net investment income | — | (2) | — | |||||||
|
|
|
| |||||||
Net asset value, end of period | $ | 13.14 | $ | 10.54 | ||||||
|
|
|
| |||||||
Total investment return(3) | 24.69 | % | 5.40 | % | ||||||
Ratios/Supplemental Data | ||||||||||
Net assets, end of period (in thousands) | $ | 42,653 | $ | 15,114 | ||||||
Ratio of expenses to average net assets | 0.95 | % | 0.95 | %(4) | ||||||
Ratio of expenses to average net assets without waivers and expense | 1.73 | % | 3.25 | %(4) | ||||||
Ratio of net investment loss to average net assets | (0.20 | )% | (0.16 | )%(4) | ||||||
Portfolio turnover rate | 190.23 | % | 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.
13
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements
September 30, 2018
1. Organization and Significant Accounting Policies
The Arabesque Systematic USA Fund (the “Fund”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), which commenced investment operations on May 3, 2017. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers two separate classes of shares, Investor Class and Institutional Class shares. As of September 30, 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
14
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements
September 30, 2018
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 September 30, 2018, in valuing the Fund’s investments carried at fair value:
Level 2 | ||||||||||||||||
Other | Level 3 | |||||||||||||||
Level 1 | Significant | Significant | ||||||||||||||
Total Value at | Quoted | Observable | Unobservable | |||||||||||||
09/30/18 | Price | Inputs | Inputs | |||||||||||||
Common Stocks* | $ | 40,983,659 | $ | 40,983,659 | $ | — | $ | — | ||||||||
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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
15
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements
September 30, 2018
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. 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 Level 3 are disclosed when the Fund had an amount of transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the year ended September 30, 2018, there were no transfers between Levels.
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, were amortized over twelve-months from inception of the Fund. As of September 30, 2018, offering costs have been fully amortized.
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 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.
16
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements
September 30, 2018
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (the “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 — Effective November 5, 2018, the SEC amended existing rules intended to modernize reporting and disclosure of information. These amendments relate to Regulation S-X which sets forth the form and content of financial statements. Management is evaluating the implications of adopting these amendments and their impact on the financial statements and accompanying notes.
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 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. 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 September 30, 2018, the amount of potential recovery was as follows:
Expiration | ||||
September 30, 2020 | September 30, 2021 | Total | ||
$70,327 | $146,253 | $216,580 |
As of September 30, 2018, the Adviser earned advisory fees of $203,793 and waived fees and reimbursed expenses of $146,253.
17
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements
September 30, 2018
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 year ended September 30, 2018, BNY Mellon accrued administration and accounting fees totaling $67,763 and waived fees totaling $41,998. For the year ended September 30, 2018, BNY Mellon accrued custodian fees totaling $22,815 and waived fees totaling $9,000.
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 year ended September 30, 2018, BNY Mellon accrued transfer agent fees totaling $29,397 and waived fees totaling $14,400.
BNY Mellon and the Transfer Agent have the ability to recover such amounts previously waived, if the Fund terminates its agreements with BNY Mellon and the Transfer Agent within three years of commencing operations. As of September 30, 2018, the amount of potential recovery was $101,730. The ability to recover such amounts previously waived expires on May 3, 2020.
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 for the year ended September 30, 2018 was $6,397. 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 to the Trust. Duff & Phelps, LLC (“D&P”) provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and D&P are compensated for their services provided to the Trust.
3. Investment in Securities
For the year ended September 30, 2018, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
18
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements
September 30, 2018
Purchases | Sales | |||||||
Investment Securities | $ | 69,915,059 | $ | 49,784,202 |
4. Capital Share Transactions
For the year ended September 30, 2018 and for the period May 3, 2017 (commencement of operations) to September 30, 2017, transactions in capital shares of the Fund (authorized shares unlimited) were as follows:
For the Year Ended | For the Period Ended | |||||||||||||||
September 30, 2018 | September 30, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Institutional Class | ||||||||||||||||
Sales | 2,175,693 | $ | 25,830,085 | 1,462,795 | $ | 14,798,773 | ||||||||||
Reinvestments | 261 | 2,891 | — | — | ||||||||||||
Redemption Fees* | — | 642 | — | — | ||||||||||||
Redemptions | (365,221 | ) | (4,360,736 | ) | (28,290 | ) | (291,766 | ) | ||||||||
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Net increase | 1,810,733 | $ | 21,472,882 | 1,434,505 | $ | 14,507,007 | ||||||||||
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* | There is a 1.00% redemption fee that may be charged on shares redeemed which have been held for 30 days or less. The redemption fee is retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. |
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as tax benefit or expense in the current year. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
Distributions are determined in accordance with federal income tax regulations, which may differ in amount or character from net investment income and realized gains for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the components of net assets based on the tax treatment; temporary differences do not require reclassifications. For the year ended September 30, 2018, these adjustments
19
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements
September 30, 2018
were to increase undistributed net investment income/(loss) by $57,035, decrease accumulated net realized gain by $51,493 and to decrease paid-in capital by $5,542. These permanent differences were primarily attributable to netting of ordinary losses against short-term capital gains, a redesignation of dividends paid and disallowed expenses. Fund utilized prior year capital loss carryforwards of $286,815.
For the year ended September 30, 2018, the tax character of distributions paid by the Fund was $3,400 of ordinary income dividends. For the period May 3, 2017 (commencement of operations) to September 30, 2017, the Fund had no distributions from ordinary income or long-term capital gains. Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
As of September 30, 2018, the components of distributable earnings on a tax basis were as follows:
Capital Loss | Undistributed | Undistributed | Unrealized | Qualified | ||||
Carryforward | Ordinary Income | Long-Term Gain | Appreciation | Late-Year Losses | ||||
$— | $748,562 | $218,831 | $5,720,759 | $— |
As of September 30, 2018, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
| Federal tax cost | $ | 35,262,900 | |||
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Gross unrealized appreciation | $ | 5,977,847 | ||||
Gross unrealized depreciation | (257,088 | ) | ||||
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Net unrealized appreciation | $ | 5,720,759 | ||||
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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 year ended September 30, 2018, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2018. As of September 30, 2018, 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, 2018 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of September 30, 2018, the Fund had no capital loss carryforwards.
20
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements (Concluded)
September 30, 2018
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were available to be issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
21
ARABESQUE SYSTEMATIC USA FUND
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of FundVantage Trust and
Shareholders of Arabesque Systematic USA Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Arabesque Systematic USA Fund (the “Fund”) (one of the series constituting FundVantage Trust (the “Trust”)), including the portfolio of investments, as of September 30, 2018, and the related statement of operations for the year then ended, the statements of changes in net assets and the financial highlights for the year then ended and the period May 3, 2017 (commencement of operations) to September 30, 2017 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the series constituting FundVantage Trust) at September 30, 2018, the results of its operations for the year then ended and the changes in its net assets and its financial highlights for the year then ended and the period May 3, 2017 (commencement of operations) to September 30, 2017, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2018, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Arabesque investment companies since 2017.
Philadelphia, Pennsylvania
November 28, 2018
22
ARABESQUE SYSTEMATIC USA FUND
Shareholder Tax Information
(Unaudited)
The Fund is required by Subchapter M of the Internal Revenue Code to advise its shareholders of the U.S. federal tax status of distributions received by the Fund’s shareholders in respect of such fiscal year. During the fiscal year ended September 30, 2018, the Fund paid $3,400 of ordinary income dividends to its shareholders. Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
The Fund designates 59.62% of the ordinary income distribution as qualified dividend income pursuant to the Jobs and Growth Tax Relief Reconciliation Act of 2003.
The percentage of ordinary income dividends qualifying for the corporate dividends received deduction is 60.27%.
The Fund designates 100.00% of ordinary income distributions as qualified short-term gain pursuant to the American Jobs Creation Act of 2004.
All designations are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations thereunder.
Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2018. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2019.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Fund, if any.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Fund.
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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. Form N-Q is being rescinded. Once Form N-Q is rescinded, disclosure of the Fund’s complete holdings will be required to be made on Form N-PORT, with every third month made available to the public by the Commission 60 days after the end of the Fund’s fiscal quarter.
24
ARABESQUE SYSTEMATIC USA FUND
Privacy Notice
(Unaudited)
The privacy of your personal financial information is extremely important to us. When you open an account with us, we collect a significant amount of information from you in order to properly invest and administer your account. We take very seriously the obligation to keep that information private and confidential, and we want you to know how we protect that important information.
We collect nonpublic personal information about you from applications or other forms you complete and from your transactions with us or our affiliates. We do not disclose information about you, or our former clients, to our affiliates or to service providers or other third parties, except as permitted by law. We share only the information required to properly administer your accounts, which enables us to send transaction confirmations, monthly or quarterly statements, financials and tax forms. Even within FundVantage Trust and its affiliated entities, a limited number of people who actually service accounts will have access to your personal financial information. Further, we do not share information about our current or former clients with any outside marketing groups or sales entities.
To ensure the highest degree of security and confidentiality, FundVantage Trust and its affiliates maintain various physical, electronic and procedural safeguards to protect your personal information. We also apply special measures for authentication of information you request or submit to us on our web site.
If you have questions or comments about our privacy practices, please call us at (844) 567-2134.
25
ARABESQUE SYSTEMATIC USA FUND
Fund Management
(Unaudited)
FundVantage Trust (the “Trust”) is governed by a Board of Trustees (the “Trustees”). The primary responsibility of the Trustees is to represent the interest of the Trust’s shareholders and to provide oversight management of the Trust.
The following tables present certain information regarding the Board of Trustees and officers of the Trust. None of the Trustees are an “interested person” of the Trust, the Adviser, another investment adviser of a series of the Trust, or Foreside Funds Distributors LLC, the principal underwriter of the Trust (“Underwriter”), within the meaning of the 1940 Act and each Trustee is referred to as an “Independent Trustee” and is listed under such heading below. Employees of certain service providers to the Trust serve as officers of the Trust; such persons are not compensated by the Fund. The address of each Trustee and Officer as it relates to the Trust’s business is 301 Bellevue Parkway, 2nd Floor, Wilmington, DE 19809.
The Statement of Additional Information for the Fund contains additional information about the Trustees and is available, without charge, upon request by calling (844) 567-2134.
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Trust Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
INDEPENDENT TRUSTEES | ||||||||||
ROBERT J. CHRISTIAN Date of Birth: 2/49 | Trustee and Chairman of the Board | Shall serve until death, resignation or removal. Trustee and Chairman since 2007. | Retired since February 2006; Executive Vice President of Wilmington Trust Company from February 1996 to February 2006; President of Rodney Square Management Corporation (“RSMC”) (investment advisory firm) from 1996 to 2005; Vice President of RSMC from 2005 to 2006. | 41 | Optimum Fund Trust (registered investment company with 6 portfolios). | |||||
IQBAL MANSUR Date of Birth: 6/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2007. | University Professor, Widener University. | 41 | None. |
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ARABESQUE SYSTEMATIC USA FUND
Fund Management (Continued)
(Unaudited)
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Trust Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
NICHOLAS M. MARSINI, JR. Date of Birth: 8/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2016. | Retired since March 2016. President of PNC Bank Delaware from June 2011 to March 2016; Executive Vice President of Finance of BNY Mellon from July 2010 to January 2011; Executive Vice President and Chief Financial Officer of PNC Global Investment Servicing from September 1997 to July 2010. | 41 | Brinker Capital Destinations Trust (registered investment company with 10 portfolios). | |||||
STEPHEN M. WYNNE Date of Birth: 1/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2009. | Retired since December 2010; Chief Executive Officer of US Funds Services, BNY Mellon Asset Servicing from July 2010 to December 2010; Chief Executive Officer of PNC Global Investment Servicing from March 2008 to July 2010; President, PNC Global Investment Servicing from 2003 to 2008. | 41 | Copeland Trust (registered investment company with 2 portfolios). | |||||
NANCY B. WOLCOTT Date of Birth: 11/54 | Trustee | Shall serve until death, resignation or removal. Trustee since 2011. | Retired since May 2014; EVP, Head of GFI Client Service Delivery, BNY Mellon from January 2012 to May 2014; EVP, Head of US Funds Services, BNY Mellon from July 2010 to January 2012; President of PNC Global Investment Servicing from 2008 to July 2010; Chief Operating Officer of PNC Global Investment Servicing from 2007 to 2008; Executive Vice President of PFPC Worldwide Inc. from 2006 to 2007. | 41 | Lincoln Variable Insurance Products Trust (registered investment company with 92 portfolios). |
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ARABESQUE SYSTEMATIC USA FUND
Fund Management (Concluded)
(Unaudited)
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | |||
EXECUTIVE OFFICERS | ||||||
JOEL L. WEISS Date of Birth: 1/63 | President and Chief Executive Officer | Shall serve until death, resignation or removal. Officer since 2007. | President of JW Fund Management LLC since June 2016; Vice President and Managing Director of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from 1993 to June 2016. | |||
T. RICHARD KEYES Date of Birth: 1/57 | Treasurer and Chief Financial Officer | Shall serve until death, resignation or removal. Officer since 2016. | President of TRK Fund Consulting LLC since July 2016; Head of Tax — U.S. Fund Services of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from February 2006 to July 2016. | |||
VINCENZO A. SCARDUZIO Date of Birth: 4/72 | Secretary | Shall serve until death, resignation or removal. Officer since 2012. | Director and Vice President Regulatory Administration of The Bank of New York Mellon and predecessor firms since 2001. | |||
DAVID C. LEBISKY Date of Birth: 5/72 | Chief Compliance Officer and Anti-Money Laundering Officer | Shall serve until death, resignation or removal. Officer since 2015. | President of Lebisky Compliance Consulting LLC since October 2015; Consultant, Duff & Phelps, LLC since 2016; Senior Consultant, Freeh Group International Solutions, LLC (a global risk management firm) from 2015 to 2018; Scotia Institutional Investments US, LP, Director of Regulatory Administration from 2010 to 2014. |
28
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
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103-7096
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
ARABESQUE
SYSTEMATIC USA
FUND
of
FundVantage Trust
Institutional Class
ANNUAL
REPORT
September 30, 2018
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-0918
GOTHAM FUNDS
of
FundVantage Trust
Gotham Absolute Return Fund
Gotham Enhanced Return Fund
Gotham Neutral Fund
ANNUAL REPORT
September 30, 2018
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
Annual Investment Adviser’s Report
September 30, 2018
(Unaudited)
Gotham Absolute Return Fund (GARIX)
Gotham Enhanced Return Fund (GENIX)
Gotham Neutral Fund (GONIX)
Dear Shareholder,
Gotham offers value-focused mutual funds with varying market cap universes and gross and net exposures that share the same investment philosophy, process and research. Gotham offers actively managed strategies (long/short and long-only) as well as strategies that combine an index component and an actively managed long/short overlay. Gotham’s all-cap funds select long and short stock portfolios from a diverse capitalization universe of U.S. stocks. Our large-cap funds select stocks primarily from the S&P 500. This letter describes Gotham’s strategies generally and provides performance insights on our three all-cap funds, GARIX, GENIX and GONIX.
Our investment process begins with a research effort that seeks to value all of the companies in a fund’s respective investment universe. Our philosophy is simple. Although stock prices react to emotion over the short term, over the long term the market is very good at finding the fair value of stocks. Therefore, we believe that if we are good at valuing businesses (a share of stock represents a percentage ownership stake in a business), the market will agree with us...eventually.
For an individual stock, we believe the waiting period for the market to get it “right” is no more than 2 or 3 years in the vast majority of cases. For a group of stocks, we believe the average waiting period can often be much shorter. In other words, for us, there is a “true north” when it comes to the stock market. If we do a good job of analyzing and valuing companies, we believe the market will agree with us — even if it takes some time. This is crucial. No investment strategy, regardless of how good or logical, works all the time.
The important thing for us is to stick to our strategy even if it is not working over shorter time periods. We have well over 50 years of combined investment experience valuing and investing in publicly traded businesses. We know how to value businesses by using various measures of absolute and relative value. So, that’s how we invest. We buy companies that are at the biggest discount to our assessment of value and sell short those companies that are most expensive relative to our assessment of value. We do not plan to change this strategy or adopt other methodologies when short term stock prices do not reflect the values that we see.
Together with our investment team (led by Director of Research, Adam Barth), we follow a systematic process of researching and valuing companies, investing in our long and short portfolios and adjusting positions daily to take advantage of changing stock prices and fundamental information. The funds are highly diversified and invest in hundreds of positions. Our positions are not equally weighted. The funds invest in the cheapest companies and short (where applicable) the most expensive based on our assessment of value and subject to our risk constraints.
We manage our risks by requiring substantial portfolio diversification, setting maximum limits for sector concentration and by maintaining overall gross and net exposures within carefully defined ranges.
Market Observations and Performance Commentary
Market action this fiscal year continued to follow a trend we have seen for most of this bull market where stocks that are typically defined as “growth” have far outperformed traditional “value” stocks. For the 12 months ending September 30, 2018, the Russell 1000 Pure Growth Index (not market cap weighted) returned 39.9%. For the same period, the Russell 1000 Pure Value Index returned only 4.9%, almost 35% less for the 12 month period.
Although Russell or Morningstar would generally put us in the “Blend” category, which is some combination of value and growth, we are actually cash flow oriented investors and value companies similar to the way that a private equity firm might consider buying an entire company. Our definition of value is to figure out what a business is worth and buy at a discount or sell short at a premium. This is largely based on corporate cash flows. It is not low price/book or low price/sales investing. This is why we have not been punished in this market as much as many traditional “value” investors.
2
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Having said that, our short books have suffered headwinds that have mostly affected medium and small cap stocks. Though many of these shorts are growing quickly, they are very richly priced. Some are currently unprofitable, and others sell at 50 or 100 times corporate free cash flows. We are pleased with how we have managed our risks during the extreme growth environment and our opportunity set on the short side remains quite robust.
On the long side, though we cannot predict short term market moves and the overall market remains expensive, we believe that there is an opportunity to nicely exceed the positive returns we expect for large cap indexes. Combining these long returns with the attractive long/short spread environment that should be available from a market that does not continue up at a 15-20% annualized clip should hopefully lead to promising returns for our portfolios over the next several years.
Important Information
This letter is intended to assist shareholders in understanding how the Gotham Funds described herein performed during the period ended September 30, 2018, and reflects the views of the investment adviser at the time of this writing. Market and index valuations are based on Gotham’s valuation methodology. The views may change and do not guarantee the future performance of the Gotham Funds or the markets.
This letter contains forward-looking statements regarding future events, forecasts and expectations regarding equity markets and certain of Gotham’s strategies. Forward-looking statements may be identified terminology such terms as “may,” “expect,” “will,” “hope,” “believe” and/or comparable terminology. No assurance, representation, or warranty is made that any of Gotham’s expectations, views and/or objectives will be achieved and actual results may be significantly different than reflected herein.
The indices referenced herein are for comparison purposes only. The performance and volatility of the funds will be different than those of the indices. It is not possible to invest in the indices directly.
3
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Performance by Fund
Gotham Absolute Return Fund (GARIX)
• | The Fund returned +6.60% (net) for the trailing twelve month period, the HFRX Equity Hedge Index returned +1.79% and the S&P 500 Total Return Index returned +17.91% over the same time period. |
• | The spread for the period was -3.22%1. |
• | The long portfolio contributed +21.23% for the trailing twelve month period. The short portfolio detracted -12.54% for the period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||
Average Contribution | Average Exposure | |||||
Largest Contributors | ||||||
Long | Information Technology | 7.28% | 31.07% | |||
Consumer Discretionary | 5.81% | 25.03% | ||||
Largest Detractors | ||||||
Short | Information Technology | -3.14% | -13.75% | |||
Consumer Discretionary | -3.05% | -13.85% | ||||
| ||||||
Stock Contributors/Detractors | ||||||
Average Contribution | Average Exposure | |||||
Largest Contributors | ||||||
Long | Amazon.com Inc | 0.58% | 0.99% | |||
Twenty-First Century Fox Inc | 0.50% | 0.79% | ||||
Short | Hain Celestial Group Inc (The) | 0.22% | -0.35% | |||
US Concrete Inc | 0.17% | -0.29% | ||||
Largest Detractors | ||||||
Long | Tyson Foods Inc | -0.24% | 0.70% | |||
Celgene Corp | -0.19% | 0.49% | ||||
Short | Shake Shack Inc | -0.41% | -0.43% | |||
ENSCO Plc | -0.40% | -0.45% |
4
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Gotham Enhanced Return Fund (GENIX)
• | The Fund returned +14.79% (net) for the trailing twelve month period and the S&P 500 Total Return Index returned +17.91% over the same time period. |
• | The spread for the period was -1.07%. |
• | The long portfolio contributed +32.96% for the trailing twelve month period. The short portfolio detracted -14.83% for the period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||
Average Contribution | Average Exposure | |||||
Largest Contributors | ||||||
Long | Information Technology | 10.77% | 44.64% | |||
Consumer Discretionary | 9.48% | 37.33% | ||||
Short | Materials | 0.10% | -5.21% | |||
Largest Detractors | ||||||
Short | Information Technology | -3.98% | -16.55% | |||
Consumer Discretionary | -3.94% | -17.38% | ||||
| ||||||
Stock Contributors/Detractors | ||||||
Average Contribution | Average Exposure | |||||
Largest Contributors | ||||||
Long | Amazon.com Inc | 1.07% | 1.78% | |||
Twenty-First Century Fox Inc | 0.85% | 1.28% | ||||
Short | Adient Plc | 0.29% | -0.39% | |||
Hain Celestial Group Inc (The) | 0.26% | -0.45% | ||||
Largest Detractors | ||||||
Long | Tyson Foods Inc | -0.34% | 0.95% | |||
Celgene Corp | -0.24% | 0.69% | ||||
Short | Axon Enterprise Inc | -0.46% | -0.34% | |||
Shake Shack Inc | -0.43% | -0.46% |
5
Annual Investment Adviser’s Report (Concluded)
September 30, 2018
(Unaudited)
Gotham Neutral Fund (GONIX)
• | The Fund returned +0.20% (net) for the trailing twelve month period. |
• | The spread for the period was -2.69%. |
• | The long portfolio contributed +21.32% for the trailing twelve month period. The short portfolio detracted -19.49% for the period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||
Average Contribution | Average Exposure | |||||
Largest Contributors | ||||||
Long | Information Technology | 6.75% | 30.16% | |||
Consumer Discretionary | 5.36% | 24.88% | ||||
Short | Materials | 0.04% | -6.21% | |||
Largest Detractors | ||||||
Short | Information Technology | -5.28% | -22.95% | |||
Consumer Discretionary | -4.39% | -20.91% | ||||
| ||||||
Stock Contributors/Detractors | ||||||
Average Contribution | Average Exposure | |||||
Largest Contributors | ||||||
Long | Etsy Inc | 0.44% | 0.41% | |||
Advance Auto Parts Inc | 0.42% | 0.63% | ||||
Short | Overstock.com Inc | 0.35% | -0.56% | |||
Hain Celestial Group Inc (The) | 0.26% | -0.50% | ||||
Largest Detractors | ||||||
Long | Tyson Foods Inc | -0.19% | 0.59% | |||
Celgene Corp | -0.19% | 0.30% | ||||
Short | ENSCO Plc | -0.58% | -0.57% | |||
Nektar Therapeutics | -0.58% | -0.60% |
1 | The spread is defined as how much our long portfolio outperformed our short portfolio adjusted for leverage (i.e. 100% long the long portfolio less 100% long the short portfolio). |
6
GOTHAM FUNDS
Gotham Absolute Return Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Absolute Return Fund Institutional Class Shares
vs Hedge Fund Research Inc. (HFRX) Equity Hedge Index
Average Annual Total Returns for the Periods Ended September 30, 2018 | ||||||||||||||||
1 Year | 3 Year | 5 Year | Since Inception | |||||||||||||
Institutional Class Shares | 6.60% | 6.47% | 5.20% | 8.14%* | ||||||||||||
HFRX Equity Hedge Index | 1.79% | 3.22% | 2.40% | 3.42%** |
* | 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 graph and table do 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.
7
GOTHAM FUNDS
Gotham Enhanced Return Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Enhanced Return Fund Institutional Class Shares
vs the Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Periods Ended September 30, 2018 | ||||||||||||||||
1 Year | 3 Year | 5 Year | Since Inception | |||||||||||||
Institutional Class Shares | 14.79% | 12.95% | 10.76% | 11.58%* | ||||||||||||
S&P 500® Total Return Index | 17.91% | 17.31% | 13.95% | 13.82%** |
* | 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 graph and table do 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 3.56% 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.
8
GOTHAM FUNDS
Gotham Neutral Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Neutral Fund Institutional Class Shares
vs BofA Merrill Lynch 3-Month U.S. Treasury Bill Index
Average Annual Total Returns for the Periods Ended September 30, 2018 | ||||||||||||||||
1 Year | 3 Year | 5 Year | Since Inception | |||||||||||||
Institutional Class Shares | 0.20% | 1.08% | 1.16% | 1.12%* | ||||||||||||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 1.59% | 0.84% | 0.52% | 0.51%** |
* | 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 graph and table do 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.
9
GOTHAM FUNDS
Fund Expense Disclosure
September 30, 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 April 1, 2018, and held for the entire period through September 30, 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 April 1, 2018 | Ending Account Value September 30, 2018 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||||||||||||||
Gotham Absolute Return Fund | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,015.00 | 2.40 | % | $ | 12.14 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,013.02 | 2.40 | % | 12.13 | |||||||||||||||
Gotham Enhanced Return Fund | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,052.80 | 3.60 | % | $ | 18.53 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,007.02 | 3.60 | % | 18.11 | |||||||||||||||
Gotham Neutral Fund | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 964.20 | 2.37 | % | $ | 11.67 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,013.19 | 2.37 | % | 11.96 |
* | Annualized expense ratios include dividend expense on securities sold short and interest expense on securities sold short and borrowings. |
** | Expenses are equal to a Fund’s annualized expense ratio, in the table above, which include waived fees or reimbursement expenses for the six-month period ended September 30, 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. |
10
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 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: | ||||||||||
Software & Services | 18.1 | % | $ | 193,243,584 | ||||||
Capital Goods | 15.6 | 167,248,867 | ||||||||
Health Care Equipment & Services | 10.9 | 116,176,179 | ||||||||
Retailing | 10.6 | 113,762,899 | ||||||||
Technology Hardware & Equipment | 9.1 | 97,647,519 | ||||||||
Food, Beverage & Tobacco | 6.8 | 72,417,240 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 6.1 | 65,384,046 | ||||||||
Semiconductors & Semiconductor Equipment | 5.2 | 55,395,096 | ||||||||
Consumer Services | 4.7 | 49,777,658 | ||||||||
Media | 4.6 | 48,907,975 | ||||||||
Transportation | 4.5 | 47,967,219 | ||||||||
Materials | 3.5 | 37,310,752 | ||||||||
Energy | 3.5 | 37,000,124 | ||||||||
Consumer Durables & Apparel | 3.3 | 35,790,160 | ||||||||
Food & Staples Retailing | 3.1 | 33,505,816 | ||||||||
Household & Personal Products | 3.1 | 33,282,672 | ||||||||
Commercial & Professional Services | 3.1 | 33,273,546 | ||||||||
Telecommunication Services | 2.4 | 25,618,669 | ||||||||
Automobiles & Components | 1.7 | 18,376,331 | ||||||||
Corporate Bonds and Notes: | ||||||||||
Capital Goods | 0.0 | 756 | ||||||||
|
|
|
| |||||||
Total Long Positions | 119.9 | 1,282,087,108 | ||||||||
|
|
|
|
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Household & Personal Products | (0.6 | )% | $ | (6,032,522 | ) | |||||
Food & Staples Retailing | (0.8 | ) | (8,772,013 | ) | ||||||
Telecommunication Services | (1.1 | ) | (12,332,014 | ) | ||||||
Commercial & Professional Services | (1.2 | ) | (13,418,607 | ) | ||||||
Media | (1.3 | ) | (14,142,413 | ) | ||||||
Automobiles & Components | (1.7 | ) | (18,547,584 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (1.8 | ) | (18,879,125 | ) | ||||||
Consumer Durables & Apparel | (2.4 | ) | (26,240,695 | ) | ||||||
Food, Beverage & Tobacco | (2.6 | ) | (27,438,165 | ) | ||||||
Transportation | (2.9 | ) | (31,179,582 | ) | ||||||
Semiconductors & Semiconductor Equipment | (3.1 | ) | (33,177,611 | ) | ||||||
Energy | (3.5 | ) | (36,957,241 | ) | ||||||
Materials | (3.5 | ) | (37,313,004 | ) | ||||||
Consumer Services | (3.8 | ) | (40,178,067 | ) | ||||||
Technology Hardware & Equipment | (3.9 | ) | (41,974,100 | ) | ||||||
Retailing | (4.2 | ) | (45,220,994 | ) | ||||||
Health Care Equipment & Services | (4.8 | ) | (51,164,826 | ) | ||||||
Software & Services | (8.1 | ) | (86,450,311 | ) | ||||||
Capital Goods | (8.5 | ) | (90,423,985 | ) | ||||||
|
|
|
| |||||||
Total Short Positions | (59.8 | ) | (639,842,859 | ) | ||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 39.9 | 426,800,402 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 1,069,044,651 | ||||||
|
|
|
|
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
September 30, 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: | ||||||||||
Software & Services | 26.5 | % | $ | 223,951,296 | ||||||
Capital Goods | 22.2 | 187,462,295 | ||||||||
Retailing | 16.0 | 135,513,225 | ||||||||
Health Care Equipment & Services | 15.8 | 133,425,899 | ||||||||
Technology Hardware & Equipment | 14.2 | 119,980,818 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 10.9 | 91,907,429 | ||||||||
Food, Beverage & Tobacco | 8.8 | 74,397,754 | ||||||||
Media | 7.6 | 64,043,759 | ||||||||
Transportation | 7.5 | 63,120,636 | ||||||||
Semiconductors & Semiconductor Equipment | 6.4 | 54,048,197 | ||||||||
Consumer Durables & Apparel | 5.7 | 48,265,525 | ||||||||
Consumer Services | 5.5 | 46,270,934 | ||||||||
Food & Staples Retailing | 5.1 | 43,235,055 | ||||||||
Materials | 4.7 | 39,407,469 | ||||||||
Household & Personal Products | 4.3 | 36,778,778 | ||||||||
Commercial & Professional Services | 4.1 | 35,029,501 | ||||||||
Energy | 3.9 | 33,234,862 | ||||||||
Telecommunication Services | 2.8 | 23,830,095 | ||||||||
Automobiles & Components | 0.7 | 6,368,988 | ||||||||
|
|
|
| |||||||
Total Long Positions | 172.7 | 1,460,272,515 | ||||||||
|
|
|
|
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Household & Personal Products | (0.7 | )% | $ | (6,001,089 | ) | |||||
Food & Staples Retailing | (1.4 | ) | (11,610,133 | ) | ||||||
Telecommunication Services | (1.4 | ) | (11,811,448 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (1.6 | ) | (13,777,854 | ) | ||||||
Commercial & Professional Services | (1.7 | ) | (14,806,835 | ) | ||||||
Automobiles & Components | (2.3 | ) | (19,310,299 | ) | ||||||
Media | (2.3 | ) | (19,625,011 | ) | ||||||
Consumer Durables & Apparel | (3.3 | ) | (28,110,392 | ) | ||||||
Health Care Equipment & Services | (3.6 | ) | (30,455,374 | ) | ||||||
Semiconductors & Semiconductor Equipment | (3.8 | ) | (32,526,265 | ) | ||||||
Transportation | (3.9 | ) | (32,628,190 | ) | ||||||
Energy | (4.0 | ) | (33,465,364 | ) | ||||||
Food, Beverage & Tobacco | (4.1 | ) | (34,481,384 | ) | ||||||
Technology Hardware & Equipment | (4.7 | ) | (39,453,416 | ) | ||||||
Materials | (4.7 | ) | (39,859,579 | ) | ||||||
Consumer Services | (5.0 | ) | (42,663,060 | ) | ||||||
Retailing | (5.3 | ) | (44,443,288 | ) | ||||||
Software & Services | (8.6 | ) | (72,885,625 | ) | ||||||
Capital Goods | (11.1 | ) | (93,485,959 | ) | ||||||
|
|
|
| |||||||
Total Short Positions | (73.5 | ) | (621,400,565 | ) | ||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 0.8 | 6,961,011 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 845,832,961 | ||||||
|
|
|
|
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
September 30, 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: | ||||||||||
Software & Services | 18.3 | % | $ | 65,180,290 | ||||||
Capital Goods | 15.6 | 55,785,216 | ||||||||
Health Care Equipment & Services | 12.0 | 42,815,602 | ||||||||
Retailing | 8.7 | 30,988,496 | ||||||||
Technology Hardware & Equipment | 7.8 | 27,749,790 | ||||||||
Food, Beverage & Tobacco | 6.1 | 21,627,829 | ||||||||
Energy | 5.9 | 21,010,666 | ||||||||
Consumer Services | 5.9 | 20,864,952 | ||||||||
Materials | 5.7 | 20,159,458 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 5.5 | 19,688,251 | ||||||||
Semiconductors & Semiconductor Equipment | 5.0 | 17,694,593 | ||||||||
Transportation | 4.8 | 17,152,325 | ||||||||
Consumer Durables & Apparel | 3.9 | 13,972,195 | ||||||||
Media | 3.6 | 12,937,575 | ||||||||
Commercial & Professional Services | 3.1 | 11,029,808 | ||||||||
Telecommunication Services | 2.6 | 9,379,960 | ||||||||
Automobiles & Components | 2.6 | 9,290,603 | ||||||||
Food & Staples Retailing | 2.2 | 7,876,966 | ||||||||
Household & Personal Products | 1.9 | 6,922,895 | ||||||||
Corporate Bonds and Notes: | ||||||||||
Capital Goods | 0.0 | 688 | ||||||||
|
|
|
| |||||||
Total Long Positions | 121.2 | 432,128,158 | ||||||||
|
|
|
|
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Household & Personal Products | (1.0 | )% | $ | (3,565,545 | ) | |||||
Food & Staples Retailing | (1.4 | ) | (4,810,450 | ) | ||||||
Media | (2.0 | ) | (7,190,010 | ) | ||||||
Telecommunication Services | (2.0 | ) | (7,238,110 | ) | ||||||
Commercial & Professional Services | (2.1 | ) | (7,410,907 | ) | ||||||
Automobiles & Components | (2.9 | ) | (10,195,737 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (2.9 | ) | (10,342,585 | ) | ||||||
Consumer Durables & Apparel | (3.9 | ) | (13,966,507 | ) | ||||||
Food, Beverage & Tobacco | (4.2 | ) | (14,866,395 | ) | ||||||
Transportation | (4.7 | ) | (16,729,392 | ) | ||||||
Semiconductors & Semiconductor Equipment | (4.8 | ) | (17,248,445 | ) | ||||||
Materials | (5.6 | ) | (20,099,506 | ) | ||||||
Consumer Services | (5.9 | ) | (20,915,090 | ) | ||||||
Energy | (5.9 | ) | (21,023,091 | ) | ||||||
Retailing | (6.0 | ) | (21,548,082 | ) | ||||||
Technology Hardware & Equipment | (6.1 | ) | (21,736,749 | ) | ||||||
Health Care Equipment & Services | (7.9 | ) | (28,144,771 | ) | ||||||
Software & Services | (13.2 | ) | (46,965,883 | ) | ||||||
Capital Goods | (13.6 | ) | (48,592,139 | ) | ||||||
|
|
|
| |||||||
Total Short Positions | (96.1 | ) | (342,589,394 | ) | ||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 74.9 | 267,132,993 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 356,671,757 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
13
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
LONG POSITIONS — 119.9% | ||||||||
COMMON STOCKS — 119.9% | ||||||||
Automobiles & Components — 1.7% |
| |||||||
Adient PLC (Ireland)(a) | 73,603 | $ | 2,893,334 | |||||
BorgWarner, Inc.† | 23,485 | 1,004,688 | ||||||
Dana, Inc. | 11,310 | 211,158 | ||||||
Delphi Technologies PLC (Jersey) | 44,995 | 1,411,043 | ||||||
Fiat Chrysler Automobiles NV (Netherlands)(a)* | 210,761 | 3,690,425 | ||||||
Gentex Corp.(a) | 33,271 | 713,996 | ||||||
Goodyear Tire & Rubber Co. | 84,577 | 1,978,256 | ||||||
Harley-Davidson, Inc.(a) | 35,390 | 1,603,167 | ||||||
Lear Corp.†(b) | 19,536 | 2,832,720 | ||||||
Tenneco, Inc., Class A†(a) | 32,283 | 1,360,406 | ||||||
Thor Industries, Inc.(a) | 6,898 | 577,363 | ||||||
Visteon Corp.(a)* | 1,074 | 99,775 | ||||||
|
| |||||||
18,376,331 | ||||||||
|
| |||||||
Capital Goods — 15.6% | ||||||||
3M Co.†(a) | 18,782 | 3,957,555 | ||||||
AAR Corp. | 4,281 | 205,017 | ||||||
Actuant Corp., Class A(a) | 6,452 | 180,011 | ||||||
AECOM(a)* | 6,916 | 225,877 | ||||||
Allison Transmission Holdings, | 98,847 | 5,141,033 | ||||||
Altra Industrial Motion Corp.(a) | 8,354 | 345,020 | ||||||
AMETEK, Inc.† | 42,004 | 3,323,357 | ||||||
AO Smith Corp. | 13,583 | 724,925 | ||||||
Applied Industrial Technologies, Inc. | 18,670 | 1,460,928 | ||||||
Arconic, Inc. | 59,506 | 1,309,727 | ||||||
Argan, Inc.† | 25,712 | 1,105,616 | ||||||
Armstrong World Industries, Inc.(b)* | 44,745 | 3,114,252 | ||||||
Atkore International Group, Inc.* | 54,446 | 1,444,452 | ||||||
AZZ, Inc. | 1,108 | 55,954 | ||||||
Boeing Co. (The)† | 22,970 | 8,542,543 | ||||||
Briggs & Stratton Corp. | 8,481 | 163,090 | ||||||
Caterpillar, Inc.† | 26,465 | 4,035,648 | ||||||
Colfax Corp.(a)* | 11,489 | 414,293 | ||||||
Columbus McKinnon Corp. | 8,630 | 341,230 | ||||||
Comfort Systems USA, Inc. | 2,351 | 132,596 | ||||||
Continental Building Products, Inc.†* | 15,362 | 576,843 | ||||||
Donaldson Co., Inc.(a) | 6,633 | 386,439 | ||||||
Dover Corp.†(a) | 42,985 | 3,805,462 | ||||||
Eaton Corp. PLC (Ireland)† | 27,046 | 2,345,700 | ||||||
Emerson Electric Co.† | 108,162 | 8,283,046 | ||||||
Esterline Technologies Corp.†* | 8,744 | 795,267 | ||||||
Fastenal Co.(a) | 1,489 | 86,392 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
Federal Signal Corp. | 1,343 | $ | 35,966 | |||||
Fluor Corp.† | 53,809 | 3,126,303 | ||||||
Fortune Brands Home & Security, Inc. | 1,619 | 84,771 | ||||||
Gardner Denver Holdings, Inc.†(b)* | 81,237 | 2,302,257 | ||||||
Generac Holdings, Inc.(a)* | 9,162 | 516,828 | ||||||
General Electric Co.† | 162,666 | 1,836,499 | ||||||
Gibraltar Industries, Inc.†* | 5,723 | 260,969 | ||||||
Global Brass & Copper Holdings, Inc. | 1,473 | 54,354 | ||||||
GrafTech International Ltd. | 137,364 | 2,679,972 | ||||||
Harris Corp.† | 17,498 | 2,960,837 | ||||||
Harsco Corp.†* | 23,185 | 661,932 | ||||||
Hexcel Corp.(a) | 4,407 | 295,489 | ||||||
Hillenbrand, Inc.† | 41,514 | 2,171,182 | ||||||
Honeywell International, Inc.† | 77,308 | 12,864,051 | ||||||
IDEX Corp.† | 1,990 | 299,813 | ||||||
Illinois Tool Works, Inc.†(a)(b) | 29,940 | 4,225,133 | ||||||
Insteel Industries, Inc. | 4,628 | 166,053 | ||||||
ITT, Inc. | 18,226 | 1,116,525 | ||||||
Jacobs Engineering Group, Inc.†(b) | 74,316 | 5,685,174 | ||||||
Johnson Controls International PLC (Ireland) | 3,533 | 123,655 | ||||||
Kaman Corp.(a) | 9,015 | 602,022 | ||||||
Kennametal, Inc.†(a) | 87,197 | 3,798,301 | ||||||
KLX, Inc.* | 5,624 | 353,075 | ||||||
Lockheed Martin Corp.† | 8,577 | 2,967,299 | ||||||
Manitowoc Co., Inc. (The)†* | 17,697 | 424,551 | ||||||
Meritor, Inc.†* | 115,812 | 2,242,120 | ||||||
Milacron Holdings Corp.* | 28,078 | 568,580 | ||||||
MSC Industrial Direct Co., Inc., | 23,028 | 2,028,997 | ||||||
Mueller Industries, Inc. | 2,076 | 60,162 | ||||||
National Presto Industries, Inc.(a) | 3,927 | 509,136 | ||||||
Nexeo Solutions, Inc.(a)* | 2,665 | 32,646 | ||||||
nVent Electric PLC (Ireland) | 7,590 | 206,144 | ||||||
Oshkosh Corp.(a) | 37,879 | 2,698,500 | ||||||
Parker-Hannifin Corp.†(b) | 56,023 | 10,304,310 | ||||||
Pentair PLC (Ireland)† | 52,575 | 2,279,126 | ||||||
PGT Innovations, Inc.* | 4,363 | 94,241 | ||||||
Quanex Building Products Corp. | 1,316 | 23,951 | ||||||
Quanta Services, Inc.* | 9,910 | 330,796 | ||||||
Raytheon Co.†(b) | 14,764 | 3,051,128 | ||||||
Rockwell Automation, Inc.†(a) | 24,452 | 4,585,239 | ||||||
Rockwell Collins, Inc. | 149 | 20,930 | ||||||
Snap-on, Inc.(a) | 30,689 | 5,634,500 |
The accompanying notes are an integral part of the financial statements.
14
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Spirit AeroSystems Holdings, Inc., Class A | 1,968 | $ | 180,407 | |||||
SPX FLOW, Inc.(b)* | 26,916 | 1,399,632 | ||||||
Standex International Corp. | 645 | 67,241 | ||||||
Systemax, Inc. | 12,799 | 421,599 | ||||||
Teledyne Technologies, Inc.†* | 3,894 | 960,572 | ||||||
Textron, Inc.† | 45,408 | 3,245,310 | ||||||
Toro Co. (The) | 1,848 | 110,825 | ||||||
TransDigm Group, Inc.(a)* | 4,379 | 1,630,302 | ||||||
TriMas Corp.* | 209 | 6,354 | ||||||
United Rentals, Inc.†(b)* | 37,708 | 6,169,029 | ||||||
United Technologies Corp.(a) | 70,823 | 9,901,764 | ||||||
Valmont Industries, Inc.(a) | 10,893 | 1,508,680 | ||||||
Wabash National Corp.(a) | 22,538 | 410,868 | ||||||
WESCO International, Inc.* | 18,659 | 1,146,596 | ||||||
WW Grainger, Inc.(a) | 9,244 | 3,303,898 | ||||||
|
| |||||||
167,248,867 | ||||||||
|
| |||||||
Commercial & Professional Services — 3.1% |
| |||||||
ABM Industries, Inc.(a) | 15,215 | 490,684 | ||||||
CBIZ, Inc.* | 3,694 | 87,548 | ||||||
Cintas Corp.† | 6,707 | 1,326,712 | ||||||
Copart, Inc.†* | 42,132 | 2,171,062 | ||||||
Deluxe Corp.(a) | 26,283 | 1,496,554 | ||||||
Dun & Bradstreet Corp. (The)† | 16,107 | 2,295,409 | ||||||
FTI Consulting, Inc.†* | 13,783 | 1,008,778 | ||||||
Heidrick & Struggles International, Inc. | 3,676 | 124,433 | ||||||
ICF International, Inc.† | 2,544 | 191,945 | ||||||
KAR Auction Services, Inc. | 18,477 | 1,102,892 | ||||||
Korn/Ferry International† | 16,433 | 809,161 | ||||||
ManpowerGroup, Inc.† | 22,027 | 1,893,441 | ||||||
Matthews International Corp., | 5,546 | 278,132 | ||||||
Navigant Consulting, Inc. | 6,306 | 145,416 | ||||||
Nielsen Holdings PLC (United Kingdom) | 15,141 | 418,800 | ||||||
Pitney Bowes, Inc.(a) | 58,851 | 416,665 | ||||||
Republic Services, Inc.†(b) | 71,735 | 5,212,265 | ||||||
Ritchie Bros Auctioneers, Inc. (Canada) | 1,749 | 63,191 | ||||||
Robert Half International, Inc.†(a) | 31,721 | 2,232,524 | ||||||
SP Plus Corp.* | 21,545 | 786,392 | ||||||
Tetra Tech, Inc. | 25,512 | 1,742,470 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
TriNet Group, Inc.(b)* | 20,618 | $ | 1,161,206 | |||||
Verisk Analytics, Inc.†(a)* | 12,179 | 1,468,178 | ||||||
Waste Management, Inc.(b) | 70,271 | 6,349,688 | ||||||
|
| |||||||
33,273,546 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 3.3% |
| |||||||
Cavco Industries, Inc.†(a)* | 4,580 | 1,158,740 | ||||||
Crocs, Inc.(a)* | 85,145 | 1,812,737 | ||||||
Fossil Group, Inc.(a)* | 74,866 | 1,742,880 | ||||||
Garmin Ltd. (Switzerland)†(b) | 97,485 | 6,828,824 | ||||||
Hasbro, Inc.(a) | 2,007 | 210,976 | ||||||
Johnson Outdoors, Inc., Class A | 354 | 32,918 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 36,753 | 2,519,786 | ||||||
Mohawk Industries, Inc.†* | 20,958 | 3,674,985 | ||||||
NIKE, Inc., Class B† | 20,628 | 1,747,604 | ||||||
PVH Corp. | 19,528 | 2,819,843 | ||||||
Ralph Lauren Corp.† | 7,827 | 1,076,604 | ||||||
Skechers U.S.A., Inc., Class A(a)* | 58,810 | 1,642,563 | ||||||
Tapestry, Inc.†(b) | 119,453 | 6,004,902 | ||||||
Tupperware Brands Corp.(a) | 18,312 | 612,536 | ||||||
Whirlpool Corp.†(a) | 32,878 | 3,904,262 | ||||||
|
| |||||||
35,790,160 | ||||||||
|
| |||||||
Consumer Services — 4.7% |
| |||||||
Adtalem Global Education, Inc.(a)* | 2,994 | 144,311 | ||||||
BJ’s Restaurants, Inc.(a) | 21,329 | 1,539,954 | ||||||
Bloomin’ Brands, Inc.(a) | 21,192 | 419,390 | ||||||
Boyd Gaming Corp.†(a)(b) | 114,672 | 3,881,647 | ||||||
Brinker International, Inc.(a) | 45,640 | 2,132,757 | ||||||
Choice Hotels International, Inc.(a) | 17,980 | 1,497,734 | ||||||
Churchill Downs, Inc.(a) | 904 | 251,041 | ||||||
Darden Restaurants, Inc.†(b) | 26,772 | 2,976,779 | ||||||
Denny’s Corp.(a)* | 1,565 | 23,037 | ||||||
Dine Brands Global, Inc.†(a) | 2,425 | 197,177 | ||||||
Eldorado Resorts, Inc.* | 738 | 35,867 | ||||||
Graham Holdings Co., Class B† | 2,587 | 1,498,649 | ||||||
Hilton Worldwide Holdings, Inc.† | 14,666 | 1,184,719 | ||||||
Hyatt Hotels Corp., Class A† | 58,469 | 4,653,548 | ||||||
International Game Technology PLC (United Kingdom) | 17,482 | 345,270 | ||||||
Jack in the Box, Inc.† | 11,433 | 958,428 | ||||||
Las Vegas Sands Corp.(b) | 20,334 | 1,206,416 | ||||||
Laureate Education, Inc., Class A* | 15,042 | 232,248 | ||||||
Marriott International, Inc., | 18,449 | 2,435,821 |
The accompanying notes are an integral part of the financial statements.
15
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
McDonald’s Corp.† | 49,715 | $ | 8,316,822 | |||||
Papa John’s International, Inc.(a) | 34,176 | 1,752,545 | ||||||
Ruth’s Hospitality Group, Inc.(a) | 10,972 | 346,167 | ||||||
Sonic Corp. | 5,830 | 252,672 | ||||||
Stars Group, Inc. (The) | 149,202 | 3,715,130 | ||||||
Vail Resorts, Inc.†(a) | 6,932 | 1,902,279 | ||||||
Weight Watchers International, | 7,941 | 571,673 | ||||||
Wyndham Hotels & Resorts, Inc.† | 19,544 | 1,086,060 | ||||||
Yum! Brands, Inc.† | 68,414 | 6,219,517 | ||||||
|
| |||||||
49,777,658 | ||||||||
|
| |||||||
Energy — 3.5% |
| |||||||
Cameco Corp. (Canada)† | 125,813 | 1,434,268 | ||||||
Chevron Corp.† | 21,002 | 2,568,125 | ||||||
CONSOL Energy, Inc.* | 1,377 | 56,195 | ||||||
CVR Energy, Inc.(a) | 42,775 | 1,720,410 | ||||||
Diamond Offshore Drilling, Inc.(a)* | 19,480 | 389,600 | ||||||
Frank’s International NV (Netherlands)(a)* | 59,423 | 515,792 | ||||||
FTS International, Inc.(a)* | 99,836 | 1,177,066 | ||||||
Halliburton Co.†(b) | 64,529 | 2,615,360 | ||||||
Helmerich & Payne, Inc.(a) | 11,694 | 804,196 | ||||||
HollyFrontier Corp.(a)(b) | 38,153 | 2,666,895 | ||||||
Kinder Morgan, Inc.† | 205,685 | 3,646,795 | ||||||
Mammoth Energy Services, Inc.† | 99,821 | 2,904,791 | ||||||
Matrix Service Co.* | 2,338 | 57,632 | ||||||
Nabors Industries Ltd. | 256,932 | 1,582,701 | ||||||
Noble Corp. PLC (United | 106,981 | 752,076 | ||||||
ONEOK, Inc.(a) | 33,622 | 2,279,235 | ||||||
Phillips 66† | 12,167 | 1,371,464 | ||||||
Precision Drilling Corp. | 101,197 | 350,142 | ||||||
Renewable Energy Group, Inc.* | 10,104 | 290,995 | ||||||
RPC, Inc.(a) | 232,876 | 3,604,920 | ||||||
SEACOR Holdings, Inc.†* | 13,802 | 681,957 | ||||||
Ship Finance International Ltd. (Bermuda)(a) | 34,226 | 475,741 | ||||||
TechnipFMC PLC (United | 88,993 | 2,781,031 | ||||||
Tidewater, Inc.* | 1,995 | 62,224 | ||||||
Transocean Ltd. (Switzerland)(a)* | 13,286 | 185,340 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Weatherford International PLC (Ireland)(a)* | 158,588 | $ | 429,773 | |||||
Williams Cos., Inc. (The) | 58,676 | 1,595,400 | ||||||
|
| |||||||
37,000,124 | ||||||||
|
| |||||||
Food & Staples Retailing — 3.1% |
| |||||||
Kroger Co. (The)†(a) | 191,806 | 5,583,473 | ||||||
Performance Food Group Co.†* | 8,130 | 270,729 | ||||||
SUPERVALU, Inc.(a)* | 30,785 | 991,893 | ||||||
Sysco Corp.†(b) | 101,171 | 7,410,776 | ||||||
Walgreens Boots Alliance, | 99,331 | 7,241,230 | ||||||
Walmart, Inc.†(b) | 122,707 | 11,523,414 | ||||||
Weis Markets, Inc.(a) | 11,159 | 484,301 | ||||||
|
| |||||||
33,505,816 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 6.8% |
| |||||||
Altria Group, Inc.† | 123,204 | 7,430,433 | ||||||
Archer-Daniels-Midland Co.† | 145,724 | 7,325,546 | ||||||
B&G Foods, Inc.(a) | 6,990 | 191,876 | ||||||
Brown-Forman Corp., Class B | 57,080 | 2,885,394 | ||||||
Coca-Cola Co. (The)† | 55,487 | 2,562,945 | ||||||
Conagra Brands, Inc.† | 120,952 | 4,108,739 | ||||||
Dean Foods Co.(a) | 129,108 | 916,667 | ||||||
General Mills, Inc.† | 33,033 | 1,417,776 | ||||||
Hershey Co. (The)† | 9,679 | 987,258 | ||||||
Ingredion, Inc.† | 37,345 | 3,919,731 | ||||||
Kellogg Co.(a) | 55,206 | 3,865,524 | ||||||
Kraft Heinz Co. (The)†(b) | 143,092 | 7,885,800 | ||||||
Molson Coors Brewing Co., Class B† | 40,101 | 2,466,212 | ||||||
Mondelez International, Inc., | 114,822 | 4,932,753 | ||||||
PepsiCo, Inc.† | 72,123 | 8,063,351 | ||||||
Philip Morris International, Inc.†(b) | 95,909 | 7,820,420 | ||||||
Pilgrim’s Pride Corp.(a)(b)* | 144,051 | 2,605,883 | ||||||
Tyson Foods, Inc., Class A†(b) | 38,226 | 2,275,594 | ||||||
Universal Corp. | 2,748 | 178,620 | ||||||
Vector Group Ltd.(a) | 41,852 | 576,718 | ||||||
|
| |||||||
72,417,240 | ||||||||
|
| |||||||
Health Care Equipment & Services — 10.9% |
| |||||||
Abbott Laboratories† | 18,532 | 1,359,508 | ||||||
Acadia Healthcare Co., Inc.(a)* | 2,894 | 101,869 | ||||||
Allscripts Healthcare Solutions, | 141,203 | 2,012,143 |
The accompanying notes are an integral part of the financial statements.
16
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
AmerisourceBergen Corp.† | 37,212 | $ | 3,431,691 | |||||
AMN Healthcare Services, Inc.(a)* | 34,973 | 1,913,023 | ||||||
Avanos Medical, Inc.(a)* | 48,067 | 3,292,590 | ||||||
Baxter International, Inc.† | 15,973 | 1,231,359 | ||||||
Becton Dickinson and Co.†(a) | 21,603 | 5,638,383 | ||||||
Cardinal Health, Inc.†(b) | 67,594 | 3,650,076 | ||||||
Cerner Corp.(b)* | 32,865 | 2,116,835 | ||||||
CONMED Corp.†(a) | 31,039 | 2,458,910 | ||||||
Cooper Cos., Inc. (The)(a) | 4,673 | 1,295,122 | ||||||
CVS Health Corp.†(a) | 126,621 | 9,967,605 | ||||||
Danaher Corp.† | 39,614 | 4,304,457 | ||||||
DaVita, Inc.* | 25,747 | 1,844,258 | ||||||
DENTSPLY SIRONA, Inc.†(b) | 76,940 | 2,903,716 | ||||||
Encompass Health Corp. | 3,899 | 303,927 | ||||||
Envision Healthcare Corp.(b)* | 66,285 | 3,031,213 | ||||||
Express Scripts Holding Co.†* | 71,489 | 6,792,170 | ||||||
Globus Medical, Inc., Class A†* | 48,495 | 2,752,576 | ||||||
Haemonetics Corp.†* | 6,232 | 714,063 | ||||||
HCA Healthcare, Inc.† | 36,217 | 5,038,509 | ||||||
Hill-Rom Holdings, Inc.†(a) | 21,791 | 2,057,070 | ||||||
HMS Holdings Corp.(a)* | 17,046 | 559,279 | ||||||
ICU Medical, Inc.†(b)* | 11,576 | 3,273,114 | ||||||
Integer Holdings Corp.†* | 29,710 | 2,464,444 | ||||||
Laboratory Corp. of America Holdings†(b)* | 34,715 | 6,029,301 | ||||||
LifePoint Health, Inc.†* | 22,801 | 1,468,384 | ||||||
Masimo Corp.* | 1,695 | 211,095 | ||||||
McKesson Corp.† | 39,022 | 5,176,268 | ||||||
Medtronic PLC (Ireland)† | 114,893 | 11,302,024 | ||||||
NextGen Healthcare, Inc.* | 19,682 | 395,215 | ||||||
Owens & Minor, Inc.(a) | 11,957 | 197,530 | ||||||
Patterson Cos., Inc.(a) | 46,281 | 1,131,570 | ||||||
Quest Diagnostics, Inc.† | 14,584 | 1,573,759 | ||||||
Quidel Corp.(a)* | 25,850 | 1,684,644 | ||||||
ResMed, Inc.†(b) | 38,474 | 4,437,591 | ||||||
STERIS PLC (United | 29,740 | 3,402,256 | ||||||
Stryker Corp.† | 4,631 | 822,836 | ||||||
Tenet Healthcare Corp.†(a)* | 56,062 | 1,595,525 | ||||||
Tivity Health, Inc.(a)* | 5,256 | 168,980 | ||||||
Universal Health Services, Inc., Class B† | 9,105 | 1,163,983 | ||||||
Varex Imaging Corp.* | 124 | 3,554 | ||||||
Varian Medical Systems, Inc.†(a)* | 2,818 | 315,419 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
West Pharmaceutical Services, | 4,765 | $ | 588,335 | |||||
|
| |||||||
116,176,179 | ||||||||
|
| |||||||
Household & Personal Products — 3.1% |
| |||||||
Avon Products, Inc.(b)* | 394,337 | 867,541 | ||||||
Church & Dwight Co., Inc.(a)(b) | 51,711 | 3,070,082 | ||||||
Clorox Co. (The)(a) | 23,575 | 3,545,916 | ||||||
Colgate-Palmolive Co.†(b) | 121,646 | 8,144,200 | ||||||
Edgewell Personal Care Co.(a)* | 52,972 | 2,448,896 | ||||||
Estee Lauder Cos., Inc. (The), Class A†(b) | 7,246 | 1,052,989 | ||||||
Kimberly-Clark Corp.† | 52,698 | 5,988,601 | ||||||
Procter & Gamble Co. (The)†(b) | 98,095 | 8,164,447 | ||||||
|
| |||||||
33,282,672 | ||||||||
|
| |||||||
Materials — 3.5% |
| |||||||
AptarGroup, Inc.(a) | 13,041 | 1,405,037 | ||||||
Bemis Co., Inc. | 6,563 | 318,962 | ||||||
Celanese Corp.† | 31,160 | 3,552,240 | ||||||
Chemours Co. (The)† | 62,739 | 2,474,426 | ||||||
Domtar Corp.†(a) | 68,270 | 3,561,646 | ||||||
DowDuPont, Inc. | 7,424 | 477,437 | ||||||
Eagle Materials, Inc.†(b) | 44,714 | 3,811,421 | ||||||
FMC Corp.† | 8,485 | 739,722 | ||||||
FutureFuel Corp. | 393 | 7,286 | ||||||
Greif, Inc., Class A | 5,062 | 271,627 | ||||||
HB Fuller Co. | 778 | 40,199 | ||||||
International Paper Co.† | 16,173 | 794,903 | ||||||
KMG Chemicals, Inc. | 5,274 | 398,503 | ||||||
Kraton Corp.†(a)* | 27,727 | 1,307,328 | ||||||
Kronos Worldwide, Inc.(a) | 31,651 | 514,329 | ||||||
Louisiana-Pacific Corp. | 9,900 | 262,251 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 33,275 | 3,411,020 | ||||||
Methanex Corp. (Canada)† | 34,737 | 2,747,697 | ||||||
Norbord, Inc. (Canada)(a) | 4,321 | 143,328 | ||||||
PolyOne Corp.†(b) | 20,348 | 889,615 | ||||||
RPM International, Inc.(a) | 40,712 | 2,643,837 | ||||||
Sherwin-Williams Co. (The)(b) | 4,360 | 1,984,716 | ||||||
Sonoco Products Co.(a) | 4,208 | 233,544 | ||||||
Tredegar Corp. | 750 | 16,238 | ||||||
Valhi, Inc.(a) | 838 | 1,911 | ||||||
Verso Corp., Class A(a)* | 37,778 | 1,271,985 | ||||||
Westlake Chemical Corp.† | 2,077 | 172,619 | ||||||
WestRock Co.† | 72,173 | 3,856,925 | ||||||
|
| |||||||
37,310,752 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
17
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — 4.6% |
| |||||||
AMC Entertainment Holdings, Inc., Class A(a) | 18,775 | $ | 384,888 | |||||
CBS Corp., Class B, non-voting shares† | 91,703 | 5,268,337 | ||||||
Cinemark Holdings, Inc.(a) | 71,363 | 2,868,793 | ||||||
Comcast Corp., Class A† | 154,386 | 5,466,808 | ||||||
DISH Network Corp., Class A†(a)* | 124,410 | 4,448,902 | ||||||
Gannett Co., Inc.(a) | 88,768 | 888,568 | ||||||
Interpublic Group of Cos., Inc. (The)†(a) | 141,609 | 3,238,598 | ||||||
Loral Space & Communications, Inc.* | 2,839 | 128,891 | ||||||
MSG Networks, Inc., Class A†(a)* | 7,848 | 202,478 | ||||||
New Media Investment Group, Inc. | 1,146 | 17,981 | ||||||
News Corp., Class A(b) | 152,627 | 2,013,150 | ||||||
Omnicom Group, Inc.(a)(b) | 51,353 | 3,493,031 | ||||||
Scholastic Corp.(a) | 4,261 | 198,946 | ||||||
Sinclair Broadcast Group, Inc., Class A | 4,942 | 140,106 | ||||||
Tribune Media Co., Class A | 30,808 | 1,183,951 | ||||||
Twenty-First Century Fox, Inc., Class A† | 177,693 | 8,232,517 | ||||||
Viacom, Inc., Class B† | 82,706 | 2,792,155 | ||||||
Walt Disney Co. (The)† | 67,897 | 7,939,875 | ||||||
|
| |||||||
48,907,975 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 6.1% |
| |||||||
AbbVie, Inc.† | 40,790 | 3,857,918 | ||||||
Amgen, Inc.† | 24,598 | 5,098,919 | ||||||
ANI Pharmaceuticals, Inc.(a)* | 3,334 | 188,504 | ||||||
Biogen, Inc.†* | 12,140 | 4,289,183 | ||||||
Bristol-Myers Squibb Co.† | 37,346 | 2,318,440 | ||||||
Bruker Corp.† | 41,122 | 1,375,531 | ||||||
Celgene Corp.†* | 55,340 | 4,952,377 | ||||||
Eli Lilly & Co.† | 11,626 | 1,247,586 | ||||||
Enanta Pharmaceuticals, Inc.(a)* | 6,502 | 555,661 | ||||||
Exelixis, Inc.* | 10,319 | 182,853 | ||||||
Gilead Sciences, Inc.† | 75,771 | 5,850,279 | ||||||
Innoviva, Inc.(a)* | 105,249 | 1,603,995 | ||||||
Jazz Pharmaceuticals PLC (Ireland)(a)* | 7,567 | 1,272,240 | ||||||
Johnson & Johnson† | 50,614 | 6,993,336 | ||||||
Ligand Pharmaceuticals, Inc.(a)* | 4,525 | 1,242,067 | ||||||
Merck & Co., Inc.† | 71,345 | 5,061,214 | ||||||
Mettler-Toledo International, Inc.†* | 1,681 | 1,023,695 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Nektar Therapeutics(a)* | 55,241 | $ | 3,367,491 | |||||
Neurocrine Biosciences, Inc.(a)* | 6,245 | 767,823 | ||||||
Pfizer, Inc.† | 50,572 | 2,228,708 | ||||||
Phibro Animal Health Corp., Class A | 2,896 | 124,238 | ||||||
PRA Health Sciences, Inc.†(b)* | 27,245 | 3,002,127 | ||||||
Prestige Consumer Healthcare, Inc.(a)* | 15,668 | 593,661 | ||||||
QIAGEN NV (Netherlands)* | 57,097 | 2,162,834 | ||||||
Regeneron Pharmaceuticals, | 1,784 | 720,807 | ||||||
REGENXBIO, Inc.* | 10,189 | 769,270 | ||||||
Repligen Corp.(a)* | 2,953 | 163,773 | ||||||
Sarepta Therapeutics, Inc.(a)* | 3,744 | 604,693 | ||||||
Thermo Fisher Scientific, Inc. | 1,859 | 453,745 | ||||||
Waters Corp.†(a)* | 9,203 | 1,791,640 | ||||||
Zoetis, Inc.† | 16,595 | 1,519,438 | ||||||
|
| |||||||
65,384,046 | ||||||||
|
| |||||||
Retailing — 10.6% |
| |||||||
Aaron’s, Inc. | 576 | 31,369 | ||||||
Advance Auto Parts, Inc.†(b) | 46,199 | 7,776,678 | ||||||
Amazon.com, Inc.†(b)* | 6,937 | 13,894,811 | ||||||
Asbury Automotive Group, Inc.†(a)* | 28,988 | 1,992,925 | ||||||
AutoNation, Inc.(a)* | 10,561 | 438,810 | ||||||
AutoZone, Inc.†(b)* | 7,618 | 5,909,283 | ||||||
Bed Bath & Beyond, Inc.(a) | 90,574 | 1,358,610 | ||||||
Best Buy Co., Inc.†(b) | 35,022 | 2,779,346 | ||||||
Booking Holdings, Inc.†* | 1,108 | 2,198,272 | ||||||
Buckle, Inc. (The) | 491 | 11,318 | ||||||
CarMax, Inc.†(a)* | 36,196 | 2,702,755 | ||||||
Core-Mark Holding Co., Inc.† | 35,265 | 1,197,599 | ||||||
Dick’s Sporting Goods, Inc.(a) | 9,472 | 336,067 | ||||||
Dollar General Corp.†(a)(b) | 75,090 | 8,207,337 | ||||||
Dollar Tree, Inc.(b)* | 2,431 | 198,248 | ||||||
Foot Locker, Inc.(a) | 27,755 | 1,414,950 | ||||||
Genuine Parts Co.(a)(b) | 29,387 | 2,921,068 | ||||||
Home Depot, Inc. (The)†(a) | 62,951 | 13,040,300 | ||||||
Kohl’s Corp.(a) | 61,625 | 4,594,144 | ||||||
Lowe’s Cos., Inc.(a)(b) | 74,308 | 8,532,045 | ||||||
Macy’s, Inc.†(a) | 31,541 | 1,095,419 | ||||||
Nordstrom, Inc.(a) | 13,803 | 825,557 | ||||||
Nutrisystem, Inc.(a) | 33,212 | 1,230,505 | ||||||
O’Reilly Automotive, Inc.†* | 5,198 | 1,805,369 | ||||||
PetMed Express, Inc.(a) | 27,685 | 913,882 |
The accompanying notes are an integral part of the financial statements.
18
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Qurate Retail, Inc.(b)* | 175,655 | $ | 3,901,298 | |||||
RH(a)* | 1,962 | 257,042 | ||||||
Ross Stores, Inc.†(b) | 54,700 | 5,420,770 | ||||||
Signet Jewelers Ltd. (Bermuda)(a) | 44,663 | 2,944,632 | ||||||
Tailored Brands, Inc.(a) | 81,314 | 2,048,300 | ||||||
Target Corp.† | 23,786 | 2,098,163 | ||||||
Tiffany & Co.(b) | 10,419 | 1,343,738 | ||||||
TJX Cos., Inc. (The)†(b) | 62,626 | 7,015,365 | ||||||
Ulta Beauty, Inc.(a)* | 1,371 | 386,787 | ||||||
Urban Outfitters, Inc.†* | 71,886 | 2,940,137 | ||||||
|
| |||||||
113,762,899 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.2% |
| |||||||
Advanced Energy Industries, | 46,131 | 2,382,666 | ||||||
Analog Devices, Inc.†(a)(b) | 59,250 | 5,478,255 | ||||||
Cabot Microelectronics Corp. | 3,336 | 344,175 | ||||||
Cirrus Logic, Inc.(b)* | 12,586 | 485,820 | ||||||
Diodes, Inc.(a)* | 35,275 | 1,174,305 | ||||||
Intel Corp.† | 7,273 | 343,940 | ||||||
KLA-Tencor Corp.†(a) | 35,693 | 3,630,335 | ||||||
Lam Research Corp.†(a)(b) | 49,120 | 7,451,504 | ||||||
Maxim Integrated Products, Inc.†(b) | 54,873 | 3,094,288 | ||||||
Micron Technology, Inc.†(a)* | 287,074 | 12,984,357 | ||||||
MKS Instruments, Inc.†(a) | 14,646 | 1,173,877 | ||||||
Nanometrics, Inc.(a)* | 47,279 | 1,773,908 | ||||||
ON Semiconductor Corp.†* | 43,810 | 807,418 | ||||||
QUALCOMM, Inc.†(a) | 79,269 | 5,709,746 | ||||||
SMART Global Holdings, Inc. (Cayman Islands)(a)(b)* | 97,436 | 2,800,311 | ||||||
Texas Instruments, Inc.†(a) | 36,019 | 3,864,479 | ||||||
Xcerra Corp.†* | 132,846 | 1,895,712 | ||||||
|
| |||||||
55,395,096 | ||||||||
|
| |||||||
Software & Services — 18.1% |
| |||||||
Accenture PLC, Class A | 44,734 | 7,613,727 | ||||||
Adobe, Inc.* | 1,238 | 334,198 | ||||||
Akamai Technologies, Inc.†* | 54,933 | 4,018,349 | ||||||
Alliance Data Systems Corp. | 6,639 | 1,567,866 | ||||||
Alphabet, Inc., Class A†* | 9,681 | 11,685,741 | ||||||
ANGI Homeservices, Inc., Class A* | 28,753 | 675,120 | ||||||
ANSYS, Inc.†* | 7,433 | 1,387,592 | ||||||
Appfolio, Inc., Class A†(a)* | 15,099 | 1,183,762 | ||||||
Aspen Technology, Inc.†* | 15,743 | 1,793,285 | ||||||
Automatic Data Processing, Inc.† | 56,243 | 8,473,570 | ||||||
Avaya Holdings Corp.(a)* | 13,686 | 303,008 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Broadridge Financial Solutions, Inc.† | 24,570 | $ | 3,242,012 | |||||
CA, Inc.† | 141,239 | 6,235,702 | ||||||
Cadence Design Systems, Inc.* | 9,783 | 443,366 | ||||||
Cardtronics PLC, Class A (United Kingdom)†(a)* | 45,469 | 1,438,639 | ||||||
Cars.com, Inc.(a)* | 75,027 | 2,071,495 | ||||||
CDK Global, Inc.† | 59,658 | 3,732,204 | ||||||
CGI Group, Inc., Class A | 36,642 | 2,362,676 | ||||||
Cision Ltd. (Cayman Islands)* | 42,354 | 711,547 | ||||||
Citrix Systems, Inc.†* | 54,349 | 6,041,435 | ||||||
Conduent, Inc.†* | 73,169 | 1,647,766 | ||||||
Convergys Corp. | 25,132 | 596,634 | ||||||
DXC Technology Co.†(b) | 105,980 | 9,911,250 | ||||||
eBay, Inc.†* | 237,571 | 7,844,594 | ||||||
Electronic Arts, Inc.†* | 40,319 | 4,858,036 | ||||||
Endurance International Group Holdings, Inc.(a)* | 38,362 | 337,586 | ||||||
Etsy, Inc.†(a)* | 92,425 | 4,748,796 | ||||||
Facebook, Inc., Class A†* | 39,970 | 6,573,466 | ||||||
Fair Isaac Corp.†* | 9,522 | 2,176,253 | ||||||
Fiserv, Inc.†* | 43,602 | 3,591,933 | ||||||
FleetCor Technologies, Inc.†(a)* | 9,443 | 2,151,493 | ||||||
Fortinet, Inc.†(a)(b)* | 56,521 | 5,215,193 | ||||||
Globant SA (Luxembourg)* | 186 | 10,972 | ||||||
GoDaddy, Inc., Class A†* | 43,860 | 3,657,485 | ||||||
IAC/InterActiveCorp.†(b)* | 14,542 | 3,151,542 | ||||||
International Business Machines | 28,005 | 4,234,636 | ||||||
Intuit, Inc.(b) | 65,657 | 14,930,402 | ||||||
j2 Global, Inc.(a) | 12,424 | 1,029,328 | ||||||
LogMeIn, Inc.† | 31,158 | 2,776,178 | ||||||
Manhattan Associates, Inc.†* | 5,049 | 275,675 | ||||||
Mastercard, Inc., Class A† | 6,538 | 1,455,424 | ||||||
Microsoft Corp.† | 20,060 | 2,294,262 | ||||||
MicroStrategy, Inc., Class A†* | 5 | 703 | ||||||
Monotype Imaging Holdings, Inc. | 7,995 | 161,499 | ||||||
NIC, Inc.(a) | 70,198 | 1,038,930 | ||||||
Open Text Corp. (Canada)† | 40,625 | 1,545,375 | ||||||
Oracle Corp.†(b) | 174,968 | 9,021,350 | ||||||
Paychex, Inc.†(a) | 84,836 | 6,248,171 | ||||||
Paycom Software, Inc.(a)* | 2,892 | 449,446 | ||||||
Perficient, Inc.* | 883 | 23,532 | ||||||
Progress Software Corp.†(b) | 45,265 | 1,597,402 |
The accompanying notes are an integral part of the financial statements.
19
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Qualys, Inc.(a)* | 9,594 | $ | 854,825 | |||||
QuinStreet, Inc.(a)* | 18,293 | 248,236 | ||||||
Red Hat, Inc.(b)* | 16,569 | 2,258,023 | ||||||
salesforce.com, Inc.* | 28,749 | 4,571,953 | ||||||
ServiceNow, Inc.* | 5,244 | 1,025,884 | ||||||
Shutterstock, Inc.(a) | 3,693 | 201,564 | ||||||
SPS Commerce, Inc.* | 6,050 | 600,402 | ||||||
SS&C Technologies Holdings, Inc.† | 7,408 | 420,997 | ||||||
Stamps.com, Inc.(a)(b)* | 11,869 | 2,684,768 | ||||||
Synopsys, Inc.* | 22,208 | 2,189,931 | ||||||
TechTarget, Inc.(a)* | 14,379 | 279,240 | ||||||
TTEC Holdings, Inc. | 691 | 17,897 | ||||||
Tyler Technologies, Inc.(a)* | 1,981 | 485,464 | ||||||
VeriSign, Inc.†* | 23,904 | 3,827,508 | ||||||
Visa, Inc., Class A(a) | 24,178 | 3,628,876 | ||||||
Web.com Group, Inc.†(a)* | 27,954 | 779,917 | ||||||
XO Group, Inc.* | 8,628 | 297,493 | ||||||
|
| |||||||
193,243,584 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 9.1% |
| |||||||
ADTRAN, Inc. | 10,251 | 180,930 | ||||||
Amphenol Corp., Class A† | 18,830 | 1,770,397 | ||||||
Apple, Inc.† | 29,374 | 6,630,887 | ||||||
Avnet, Inc.(a) | 34,311 | 1,536,103 | ||||||
AVX Corp. | 18,975 | 342,499 | ||||||
Casa Systems, Inc.(a)* | 68,567 | 1,011,363 | ||||||
Ciena Corp.†(a)* | 79,745 | 2,491,234 | ||||||
Cisco Systems, Inc.† | 209,266 | 10,180,791 | ||||||
CommScope Holding Co., Inc.†* | 45,882 | 1,411,330 | ||||||
Dolby Laboratories, Inc., Class A† | 27,602 | 1,931,312 | ||||||
EchoStar Corp., Class A†* | 43,138 | 2,000,309 | ||||||
Electro Scientific Industries, Inc.†* | 38,606 | 673,675 | ||||||
F5 Networks, Inc.†* | 19,191 | 3,827,069 | ||||||
FLIR Systems, Inc.†(b) | 96,209 | 5,913,967 | ||||||
Hewlett Packard Enterprise Co.†(a) | 241,882 | 3,945,095 | ||||||
HP, Inc.† | 374,855 | 9,660,013 | ||||||
Insight Enterprises, Inc.†* | 31,755 | 1,717,628 | ||||||
InterDigital, Inc.† | 7,099 | 567,920 | ||||||
Jabil, Inc.† | 66,565 | 1,802,580 | ||||||
Juniper Networks, Inc.† | 14,878 | 445,894 | ||||||
KEMET Corp.†* | 35,277 | 654,388 | ||||||
Mesa Laboratories, Inc.(a) | 159 | 29,514 | ||||||
Mitel Networks Corp. (Canada)†* | 31,613 | 348,375 | ||||||
Motorola Solutions, Inc.† | 15,054 | 1,959,128 | ||||||
MTS Systems Corp.(a) | 2,060 | 112,785 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
NetApp, Inc.†(a) | 65,785 | $ | 5,650,274 | |||||
Novanta, Inc. (Canada)* | 237 | 16,211 | ||||||
OSI Systems, Inc.(a)* | 15,029 | 1,146,863 | ||||||
Plantronics, Inc.†(a) | 17,961 | 1,083,048 | ||||||
Seagate Technology PLC | 147,628 | 6,990,186 | ||||||
TE Connectivity Ltd. | 108,109 | 9,506,024 | ||||||
Vishay Intertechnology, Inc.(a) | 151,996 | 3,093,119 | ||||||
Western Digital Corp.†(b) | 107,210 | 6,276,073 | ||||||
Xerox Corp. | 48,403 | 1,305,913 | ||||||
Zebra Technologies Corp., Class A†* | 8,113 | 1,434,622 | ||||||
|
| |||||||
97,647,519 | ||||||||
|
| |||||||
Telecommunication Services — 2.4% |
| |||||||
BCE, Inc. (Canada)† | 43,348 | 1,756,461 | ||||||
CenturyLink, Inc.†(a) | 223,282 | 4,733,578 | ||||||
Intelsat SA (Luxembourg)* | 36,967 | 1,109,010 | ||||||
Rogers Communications, Inc., | 48,959 | 2,516,982 | ||||||
Verizon Communications, Inc.†(a)(b) | 252,392 | 13,475,209 | ||||||
Vonage Holdings Corp.(a)(b)* | 143,180 | 2,027,429 | ||||||
|
| |||||||
25,618,669 | ||||||||
|
| |||||||
Transportation — 4.5% |
| |||||||
American Airlines Group, Inc.(a)(b) | 150,316 | 6,212,560 | ||||||
ArcBest Corp. | 34,509 | 1,675,412 | ||||||
CH Robinson Worldwide, Inc.(a)(b) | 21,219 | 2,077,764 | ||||||
CSX Corp.†(a) | 56,289 | 4,168,200 | ||||||
Echo Global Logistics, Inc.* | 174 | 5,385 | ||||||
Expeditors International of Washington, Inc.†(a) | 109,776 | 8,071,829 | ||||||
FedEx Corp.(b) | 18,898 | 4,550,449 | ||||||
Heartland Express, Inc.(a) | 12,454 | 245,717 | ||||||
Landstar System, Inc.†(a) | 17,897 | 2,183,434 | ||||||
Norfolk Southern Corp.† | 21,582 | 3,895,551 | ||||||
Schneider National, Inc., Class B(a) | 95,514 | 2,385,940 | ||||||
Southwest Airlines Co.† | 17,970 | 1,122,226 | ||||||
Union Pacific Corp.†(a) | 28,505 | 4,641,469 | ||||||
United Continental Holdings, Inc.†* | 37,118 | 3,305,729 | ||||||
United Parcel Service, Inc., | 28,453 | 3,321,888 | ||||||
XPO Logistics, Inc.(a)* | 908 | 103,666 | ||||||
|
| |||||||
47,967,219 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,282,086,352 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
20
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Par Value | Value | |||||||
CORPORATE BONDS AND NOTES — 0.0% |
| |||||||
Capital Goods — 0.0% |
| |||||||
Mueller Industries, Inc. | $ | 785 | $ | 756 | ||||
|
| |||||||
TOTAL CORPORATE BONDS AND NOTES | 756 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 119.9% | 1,282,087,108 | |||||||
|
| |||||||
(Cost $1,158,136,733) | ||||||||
Number of Shares | ||||||||
SHORT POSITIONS — (59.8)% |
| |||||||
COMMON STOCKS — (59.8)% |
| |||||||
Automobiles & Components — (1.7)% |
| |||||||
Aptiv PLC (Jersey) | (18,714 | ) | (1,570,105 | ) | ||||
Cooper Tire & Rubber Co. | (65,830 | ) | (1,862,989 | ) | ||||
Dorman Products, Inc.* | (22,644 | ) | (1,741,776 | ) | ||||
Fox Factory Holding Corp.* | (23,651 | ) | (1,656,753 | ) | ||||
General Motors Co. | (13,045 | ) | (439,225 | ) | ||||
Gentherm, Inc.* | (40,845 | ) | (1,856,405 | ) | ||||
LCI Industries | (34,769 | ) | (2,878,873 | ) | ||||
Standard Motor Products, Inc. | (10,876 | ) | (535,317 | ) | ||||
Tesla, Inc.* | (22,683 | ) | (6,005,778 | ) | ||||
Tower International, Inc. | (12 | ) | (363 | ) | ||||
|
| |||||||
(18,547,584 | ) | |||||||
|
| |||||||
Capital Goods — (8.5)% |
| |||||||
AAON, Inc. | (24,758 | ) | (935,852 | ) | ||||
Aegion Corp.* | (14 | ) | (355 | ) | ||||
Alamo Group, Inc. | (5,704 | ) | (522,543 | ) | ||||
Ameresco, Inc., Class A* | (61 | ) | (833 | ) | ||||
American Railcar Industries, Inc. | (7,261 | ) | (334,732 | ) | ||||
American Woodmark Corp.* | (22,764 | ) | (1,785,836 | ) | ||||
Astec Industries, Inc. | (9,618 | ) | (484,843 | ) | ||||
Astronics Corp.* | (20,389 | ) | (886,921 | ) | ||||
Axon Enterprise, Inc.* | (22,887 | ) | (1,566,157 | ) | ||||
Beacon Roofing Supply, Inc.* | (88,041 | ) | (3,186,204 | ) | ||||
Blue Bird Corp.* | (2,015 | ) | (49,367 | ) | ||||
Builders FirstSource, Inc.* | (167,439 | ) | (2,458,004 | ) | ||||
BWX Technologies, Inc. | (3,359 | ) | (210,072 | ) | ||||
CIRCOR International, Inc. | (39,807 | ) | (1,890,832 | ) | ||||
Construction Partners, Inc., Class A* | (251 | ) | (3,037 | ) | ||||
Crane Co. | (5,028 | ) | (494,504 | ) | ||||
Curtiss-Wright Corp. | (3,431 | ) | (471,488 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Douglas Dynamics, Inc. | (2,168 | ) | $ | (95,175 | ) | |||
DXP Enterprises, Inc.* | (9,794 | ) | (392,446 | ) | ||||
Dycom Industries, Inc.* | (32,404 | ) | (2,741,378 | ) | ||||
Encore Wire Corp. | (4,883 | ) | (244,638 | ) | ||||
EnPro Industries, Inc. | (11,185 | ) | (815,722 | ) | ||||
Evoqua Water Technologies Corp.* | (58,856 | ) | (1,046,460 | ) | ||||
Flowserve Corp. | (44,458 | ) | (2,431,408 | ) | ||||
Franklin Electric Co., Inc. | (7,408 | ) | (350,028 | ) | ||||
Gates Industrial Corp. PLC (United Kingdom)* | (26,880 | ) | (524,160 | ) | ||||
General Dynamics Corp. | (28,289 | ) | (5,791,324 | ) | ||||
GMS, Inc.* | (16,503 | ) | (382,870 | ) | ||||
Granite Construction, Inc. | (40,398 | ) | (1,846,189 | ) | ||||
HEICO Corp. | (4,645 | ) | (430,173 | ) | ||||
Herc Holdings, Inc.* | (1,664 | ) | (85,197 | ) | ||||
Hyster-Yale Materials Handling, Inc. | (4,839 | ) | (297,744 | ) | ||||
JELD-WEN Holding, Inc.* | (92,979 | ) | (2,292,862 | ) | ||||
John Bean Technologies Corp. | (1,043 | ) | (124,430 | ) | ||||
Kratos Defense & Security Solutions, Inc.* | (177,765 | ) | (2,627,367 | ) | ||||
Lindsay Corp. | (68 | ) | (6,816 | ) | ||||
Lydall, Inc.* | (6,030 | ) | (259,893 | ) | ||||
MasTec, Inc.* | (12,542 | ) | (560,000 | ) | ||||
Maxar Technologies Ltd. (Canada) | (48,596 | ) | (1,607,070 | ) | ||||
Mercury Systems, Inc.* | (62,292 | ) | (3,445,993 | ) | ||||
Middleby Corp. (The)* | (26,675 | ) | (3,450,411 | ) | ||||
MRC Global, Inc.* | (203,900 | ) | (3,827,203 | ) | ||||
Mueller Water Products, Inc., Class A | (67,885 | ) | (781,356 | ) | ||||
Navistar International Corp.* | (13,302 | ) | (512,127 | ) | ||||
Northrop Grumman Corp. | (21,728 | ) | (6,895,815 | ) | ||||
NOW, Inc.* | (142,833 | ) | (2,363,886 | ) | ||||
Patrick Industries, Inc.* | (27,105 | ) | (1,604,616 | ) | ||||
Primoris Services Corp. | (31,237 | ) | (775,302 | ) | ||||
Raven Industries, Inc. | (18,694 | ) | (855,250 | ) | ||||
Regal Beloit Corp. | (2,926 | ) | (241,249 | ) | ||||
REV Group, Inc. | (53,148 | ) | (834,424 | ) | ||||
Roper Technologies, Inc. | (8,388 | ) | (2,484,609 | ) | ||||
SiteOne Landscape Supply, Inc.* | (2,884 | ) | (217,281 | ) | ||||
SPX Corp.* | (45,911 | ) | (1,529,295 | ) | ||||
Stanley Black & Decker, Inc. | (20,366 | ) | (2,982,397 | ) | ||||
Sun Hydraulics Corp. | (6,159 | ) | (337,390 | ) | ||||
Sunrun, Inc.* | (118,099 | ) | (1,469,152 | ) | ||||
Textainer Group Holdings Ltd. (Bermuda)* | (9,679 | ) | (123,891 | ) |
The accompanying notes are an integral part of the financial statements.
21
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Thermon Group Holdings, Inc.* | (21,602 | ) | $ | (556,900 | ) | |||
Timken Co. (The) | (17,503 | ) | (872,525 | ) | ||||
TPI Composites, Inc.* | (16,665 | ) | (475,786 | ) | ||||
Trex Co., Inc.* | (14,186 | ) | (1,092,038 | ) | ||||
Universal Forest Products, Inc. | (32,484 | ) | (1,147,660 | ) | ||||
USG Corp. | (77,808 | ) | (3,369,864 | ) | ||||
Vicor Corp.* | (13,664 | ) | (628,544 | ) | ||||
Vivint Solar, Inc.* | (3,215 | ) | (16,718 | ) | ||||
Welbilt, Inc.* | (99,149 | ) | (2,070,231 | ) | ||||
Wesco Aircraft Holdings, Inc.* | (114,299 | ) | (1,285,864 | ) | ||||
Woodward, Inc. | (48,742 | ) | (3,941,278 | ) | ||||
|
| |||||||
(90,423,985 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (1.2)% |
| |||||||
ACCO Brands Corp. | (8,419 | ) | (95,135 | ) | ||||
Advanced Disposal Services, Inc.* | (25,433 | ) | (688,726 | ) | ||||
ASGN, Inc.* | (12,287 | ) | (969,813 | ) | ||||
Barrett Business Services, Inc. | (3,143 | ) | (209,889 | ) | ||||
Casella Waste Systems, Inc., Class A* | (20,598 | ) | (639,774 | ) | ||||
Cimpress NV (Netherlands)* | (961 | ) | (131,282 | ) | ||||
Civeo Corp. (Canada)* | (860 | ) | (3,569 | ) | ||||
Clean Harbors, Inc.* | (51,805 | ) | (3,708,202 | ) | ||||
Healthcare Services Group, Inc. | (56,029 | ) | (2,275,898 | ) | ||||
HNI Corp. | (13,879 | ) | (614,007 | ) | ||||
Huron Consulting Group, Inc.* | (4,224 | ) | (208,666 | ) | ||||
Kelly Services, Inc., Class A | (5,308 | ) | (127,551 | ) | ||||
Multi-Color Corp. | (18,732 | ) | (1,166,067 | ) | ||||
Steelcase, Inc., Class A | (31,958 | ) | (591,223 | ) | ||||
Team, Inc.* | (66,798 | ) | (1,502,955 | ) | ||||
Viad Corp. | (8,200 | ) | (485,850 | ) | ||||
|
| |||||||
(13,418,607 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.4)% |
| |||||||
Canada Goose Holdings, Inc. (Canada)* | (51,818 | ) | (3,344,334 | ) | ||||
Deckers Outdoor Corp.* | (5,486 | ) | (650,530 | ) | ||||
G-III Apparel Group Ltd.* | (1,108 | ) | (53,395 | ) | ||||
Gildan Activewear, Inc. (Canada) | (37,524 | ) | (1,141,855 | ) | ||||
GoPro, Inc., Class A* | (172,672 | ) | (1,243,238 | ) | ||||
Hanesbrands, Inc. | (47,381 | ) | (873,232 | ) | ||||
Installed Building Products, Inc.* | (18,993 | ) | (740,727 | ) | ||||
iRobot Corp.* | (13,167 | ) | (1,447,317 | ) | ||||
Leggett & Platt, Inc. | (4,125 | ) | (180,634 | ) | ||||
Marine Products Corp. | (36 | ) | (824 | ) | ||||
Mattel, Inc.* | (394,905 | ) | (6,200,008 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Newell Brands, Inc. | (39,051 | ) | $ | (792,735 | ) | |||
Oxford Industries, Inc. | (11,743 | ) | (1,059,219 | ) | ||||
Polaris Industries, Inc. | (21,786 | ) | (2,199,297 | ) | ||||
Tempur Sealy International, Inc.* | (94,298 | ) | (4,988,364 | ) | ||||
TopBuild Corp.* | (23,319 | ) | (1,324,986 | ) | ||||
|
| |||||||
(26,240,695 | ) | |||||||
|
| |||||||
Consumer Services — (3.8)% |
| |||||||
Aramark | (120,888 | ) | (5,200,602 | ) | ||||
Belmond Ltd., Class A (Bermuda)* | (52,406 | ) | (956,409 | ) | ||||
Carrols Restaurant Group, Inc.* | (8,153 | ) | (119,034 | ) | ||||
Chegg, Inc.* | (24,938 | ) | (708,987 | ) | ||||
Chipotle Mexican Grill, Inc.* | (4,035 | ) | (1,833,988 | ) | ||||
Dave & Buster’s Entertainment, Inc. | (54,195 | ) | (3,588,793 | ) | ||||
Fiesta Restaurant Group, Inc.* | (33,636 | ) | (899,763 | ) | ||||
Golden Entertainment, Inc.* | (13,668 | ) | (328,169 | ) | ||||
Grand Canyon Education, Inc.* | (4,246 | ) | (478,949 | ) | ||||
Houghton Mifflin Harcourt Co.* | (51,214 | ) | (358,498 | ) | ||||
MGM Resorts International | (27,313 | ) | (762,306 | ) | ||||
Monarch Casino & Resort, Inc.* | (6,170 | ) | (280,426 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (100,991 | ) | (5,799,913 | ) | ||||
PlayAGS, Inc.* | (15,284 | ) | (450,419 | ) | ||||
Red Rock Resorts, Inc., Class A | (41,972 | ) | (1,118,554 | ) | ||||
Royal Caribbean Cruises Ltd. (Liberia) | (36,642 | ) | (4,761,261 | ) | ||||
SeaWorld Entertainment, Inc.* | (42,506 | ) | (1,335,964 | ) | ||||
Service Corp. International | (43,090 | ) | (1,904,578 | ) | ||||
Shake Shack, Inc., Class A* | (47,762 | ) | (3,009,484 | ) | ||||
Six Flags Entertainment Corp. | (14,526 | ) | (1,014,205 | ) | ||||
Strategic Education, Inc. | (4,064 | ) | (556,890 | ) | ||||
Wingstop, Inc. | (39,860 | ) | (2,721,242 | ) | ||||
Wynn Resorts Ltd. | (15,659 | ) | (1,989,633 | ) | ||||
|
| |||||||
(40,178,067 | ) | |||||||
|
| |||||||
Energy — (3.5)% |
| |||||||
Andeavor | (20,162 | ) | (3,094,867 | ) | ||||
Cheniere Energy, Inc.* | (27,433 | ) | (1,906,319 | ) | ||||
DHT Holdings, Inc. (Marshall Islands) | (19,741 | ) | (92,783 | ) | ||||
Ensco PLC, Class A (United Kingdom) | (134,706 | ) | (1,136,919 | ) | ||||
Exterran Corp.* | (2,418 | ) | (64,150 | ) | ||||
Forum Energy Technologies, Inc.* | (209,367 | ) | (2,166,948 | ) | ||||
Green Plains, Inc. | (121,997 | ) | (2,098,348 | ) | ||||
Helix Energy Solutions Group, Inc.* | (36,724 | ) | (362,833 | ) | ||||
Liberty Oilfield Services, Inc., Class A | (72,066 | ) | (1,554,464 | ) |
The accompanying notes are an integral part of the financial statements.
22
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
NexGen Energy Ltd. (Canada)* | (15,529 | ) | $ | (31,834 | ) | |||
Nine Energy Service, Inc.* | (8,452 | ) | (258,462 | ) | ||||
Oil States International, Inc.* | (24,381 | ) | (809,449 | ) | ||||
Par Pacific Holdings, Inc.* | (690 | ) | (14,076 | ) | ||||
Rowan Cos. PLC, Class A (United Kingdom)* | (266,757 | ) | (5,023,034 | ) | ||||
Select Energy Services, Inc., Class A* | (47,212 | ) | (558,990 | ) | ||||
Solaris Oilfield Infrastructure, Inc., Class A* | (106,556 | ) | (2,012,843 | ) | ||||
Suncor Energy, Inc. (Canada) | (22,979 | ) | (889,058 | ) | ||||
Superior Energy Services, Inc.* | (34,324 | ) | (334,316 | ) | ||||
Targa Resources Corp. | (78,940 | ) | (4,445,111 | ) | ||||
TransCanada Corp. (Canada) | (36,707 | ) | (1,485,165 | ) | ||||
Unit Corp.* | (9,929 | ) | (258,750 | ) | ||||
US Silica Holdings, Inc. | (243,590 | ) | (4,586,800 | ) | ||||
Valero Energy Corp. | (33,158 | ) | (3,771,722 | ) | ||||
|
| |||||||
(36,957,241 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.8)% |
| |||||||
Casey’s General Stores, Inc. | (16,360 | ) | (2,112,240 | ) | ||||
Chefs’ Warehouse, Inc. (The)* | (5,938 | ) | (215,846 | ) | ||||
Ingles Markets, Inc., Class A | (2,619 | ) | (89,701 | ) | ||||
PriceSmart, Inc. | (24,290 | ) | (1,966,276 | ) | ||||
Rite Aid Corp.* | (740,275 | ) | (947,552 | ) | ||||
Sprouts Farmers Market, Inc.* | (10,938 | ) | (299,811 | ) | ||||
United Natural Foods, Inc.* | (104,861 | ) | (3,140,587 | ) | ||||
|
| |||||||
(8,772,013 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (2.6)% |
| |||||||
Boston Beer Co., Inc. (The), Class A* | (3,779 | ) | (1,086,461 | ) | ||||
Bunge Ltd. (Bermuda) | (57,677 | ) | (3,962,987 | ) | ||||
Calavo Growers, Inc. | (5,797 | ) | (559,990 | ) | ||||
Campbell Soup Co. | (32,549 | ) | (1,192,270 | ) | ||||
Coca-Cola Bottling Co. Consolidated | (5,501 | ) | (1,002,722 | ) | ||||
Darling Ingredients, Inc.* | (46,422 | ) | (896,873 | ) | ||||
Fresh Del Monte Produce, Inc. (Cayman Islands) | (30,308 | ) | (1,027,138 | ) | ||||
Freshpet, Inc.* | (19,140 | ) | (702,438 | ) | ||||
Hain Celestial Group, Inc. (The)* | (13,866 | ) | (376,046 | ) | ||||
Hostess Brands, Inc.* | (33,958 | ) | (375,915 | ) | ||||
J&J Snack Foods Corp. | (4,598 | ) | (693,792 | ) | ||||
JM Smucker Co. (The) | (26,368 | ) | (2,705,620 | ) | ||||
John B Sanfilippo & Son, Inc. | (5,705 | ) | (407,223 | ) | ||||
McCormick & Co., Inc., non-voting shares | (7,097 | ) | (935,030 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
MGP Ingredients, Inc. | (44,302 | ) | $ | (3,498,972 | ) | |||
National Beverage Corp.* | (3,276 | ) | (382,047 | ) | ||||
Primo Water Corp.* | (18,313 | ) | (330,550 | ) | ||||
Sanderson Farms, Inc. | (69,536 | ) | (7,187,936 | ) | ||||
SunOpta, Inc. (Canada)* | (4,746 | ) | (34,883 | ) | ||||
Turning Point Brands, Inc. | (1,912 | ) | (79,272 | ) | ||||
|
| |||||||
(27,438,165 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (4.8)% |
| |||||||
Align Technology, Inc.* | (406 | ) | (158,835 | ) | ||||
AngioDynamics, Inc.* | (424 | ) | (9,218 | ) | ||||
AtriCure, Inc.* | (35,792 | ) | (1,253,794 | ) | ||||
AxoGen, Inc.* | (8,167 | ) | (300,954 | ) | ||||
BioTelemetry, Inc.* | (57,304 | ) | (3,693,243 | ) | ||||
Brookdale Senior Living, Inc.* | (185,357 | ) | (1,822,059 | ) | ||||
Cardiovascular Systems, Inc.* | (14,138 | ) | (553,361 | ) | ||||
CryoLife, Inc.* | (12,406 | ) | (436,691 | ) | ||||
Diplomat Pharmacy, Inc.* | (49,888 | ) | (968,326 | ) | ||||
Ensign Group, Inc. (The) | (30,789 | ) | (1,167,519 | ) | ||||
Evolent Health, Inc., Class A* | (65,351 | ) | (1,855,968 | ) | ||||
Glaukos Corp.* | (70,542 | ) | (4,578,176 | ) | ||||
Hanger, Inc.* | (236 | ) | (4,916 | ) | ||||
Inovalon Holdings, Inc., Class A* | (57,847 | ) | (581,362 | ) | ||||
Inspire Medical Systems, Inc.* | (12,398 | ) | (521,708 | ) | ||||
Insulet Corp.* | (42,569 | ) | (4,510,186 | ) | ||||
iRhythm Technologies, Inc.* | (11,822 | ) | (1,119,071 | ) | ||||
K2M Group Holdings, Inc.* | (77,189 | ) | (2,112,663 | ) | ||||
LHC Group, Inc.* | (37,105 | ) | (3,821,444 | ) | ||||
Medidata Solutions, Inc.* | (46,100 | ) | (3,379,591 | ) | ||||
Merit Medical Systems, Inc.* | (32,508 | ) | (1,997,617 | ) | ||||
National Research Corp. | (757 | ) | (29,220 | ) | ||||
Nevro Corp.* | (76,263 | ) | (4,346,991 | ) | ||||
Novocure Ltd. (Jersey)* | (9,626 | ) | (504,402 | ) | ||||
NxStage Medical, Inc.* | (35,613 | ) | (993,247 | ) | ||||
OraSure Technologies, Inc.* | (25,308 | ) | (391,009 | ) | ||||
PetIQ, Inc.* | (7,742 | ) | (304,338 | ) | ||||
RadNet, Inc.* | (30,273 | ) | (455,609 | ) | ||||
Select Medical Holdings Corp.* | (38,527 | ) | (708,897 | ) | ||||
Senseonics Holdings, Inc.* | (123,889 | ) | (590,951 | ) | ||||
Sientra, Inc.* | (4,123 | ) | (98,457 | ) | ||||
STAAR Surgical Co.* | (16,913 | ) | (811,824 | ) | ||||
Surgery Partners, Inc.* | (18,950 | ) | (312,675 | ) | ||||
Tactile Systems Technology, Inc.* | (5,860 | ) | (416,353 | ) | ||||
US Physical Therapy, Inc. | (3,071 | ) | (364,221 | ) | ||||
ViewRay, Inc.* | (121,919 | ) | (1,141,162 | ) |
The accompanying notes are an integral part of the financial statements.
23
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Vocera Communications, Inc.* | (31,487 | ) | $ | (1,151,794 | ) | |||
Wright Medical Group NV (Netherlands)* | (127,394 | ) | (3,696,974 | ) | ||||
|
| |||||||
(51,164,826 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.6)% |
| |||||||
Central Garden & Pet Co., Class A* | (40,937 | ) | (1,356,652 | ) | ||||
Coty, Inc., Class A | (107,911 | ) | (1,355,362 | ) | ||||
Inter Parfums, Inc. | (6,662 | ) | (429,366 | ) | ||||
Spectrum Brands Holdings, Inc. | (15,483 | ) | (1,156,890 | ) | ||||
WD-40 Co. | (10,077 | ) | (1,734,252 | ) | ||||
|
| |||||||
(6,032,522 | ) | |||||||
|
| |||||||
Materials — (3.5)% |
| |||||||
A. Schulman, Inc. CVR(c) | (6,743 | ) | (13,486 | ) | ||||
Air Products & Chemicals, Inc. | (4,247 | ) | (709,461 | ) | ||||
Cabot Corp. | (45,665 | ) | (2,864,109 | ) | ||||
Chase Corp. | (1,381 | ) | (165,927 | ) | ||||
Crown Holdings, Inc.* | (47,771 | ) | (2,293,008 | ) | ||||
Ferro Corp.* | (98,549 | ) | (2,288,308 | ) | ||||
GCP Applied Technologies, Inc.* | (13,619 | ) | (361,584 | ) | ||||
Graphic Packaging Holding Co. | (148,312 | ) | (2,077,851 | ) | ||||
Huntsman Corp. | (83,975 | ) | (2,286,639 | ) | ||||
Ingevity Corp.* | (30,259 | ) | (3,082,787 | ) | ||||
Innophos Holdings, Inc. | (18,938 | ) | (840,847 | ) | ||||
Innospec, Inc. | (458 | ) | (35,152 | ) | ||||
KapStone Paper and Packaging Corp. | (1,759 | ) | (59,648 | ) | ||||
Koppers Holdings, Inc.* | (12,151 | ) | (378,504 | ) | ||||
Martin Marietta Materials, Inc. | (34,787 | ) | (6,329,495 | ) | ||||
Minerals Technologies, Inc. | (8,163 | ) | (551,819 | ) | ||||
Nutrien Ltd. (Canada) | (27,600 | ) | (1,592,520 | ) | ||||
PH Glatfelter Co. | (30,101 | ) | (575,230 | ) | ||||
PQ Group Holdings, Inc.* | (16,395 | ) | (286,421 | ) | ||||
Rayonier Advanced Materials, Inc. | (23,685 | ) | (436,515 | ) | ||||
Sensient Technologies Corp. | (18,536 | ) | (1,418,189 | ) | ||||
Silgan Holdings, Inc. | (38,907 | ) | (1,081,615 | ) | ||||
Summit Materials, Inc., Class A* | (5,249 | ) | (95,427 | ) | ||||
Tronox Ltd., Class A (Australia) | (158,681 | ) | (1,896,238 | ) | ||||
US Concrete, Inc.* | (34,637 | ) | (1,588,106 | ) | ||||
WR Grace & Co. | (56,033 | ) | (4,004,118 | ) | ||||
|
| |||||||
(37,313,004 | ) | |||||||
|
| |||||||
Media — (1.3)% |
| |||||||
Altice USA, Inc., Class A | (16,623 | ) | (301,541 | ) | ||||
Boston Omaha Corp., Class A* | (287 | ) | (8,581 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) |
| |||||||
Charter Communications, Inc., Class A* | (10,366 | ) | $ | (3,378,072 | ) | |||
Discovery, Inc., Class A* | (26,645 | ) | (852,640 | ) | ||||
Entercom Communications Corp., Class A | (121,528 | ) | (960,071 | ) | ||||
EW Scripps Co. (The), Class A | (69,598 | ) | (1,148,367 | ) | ||||
Lions Gate Entertainment Corp., Class B (Canada) | (25,159 | ) | (586,205 | ) | ||||
Live Nation Entertainment, Inc.* | (22,568 | ) | (1,229,279 | ) | ||||
Madison Square Garden Co. (The), Class A* | (4,324 | ) | (1,363,444 | ) | ||||
Meredith Corp. | (51,695 | ) | (2,639,030 | ) | ||||
National CineMedia, Inc. | (26,635 | ) | (282,065 | ) | ||||
New York Times Co. (The), Class A | (51,883 | ) | (1,201,091 | ) | ||||
WideOpenWest, Inc.* | (17,130 | ) | (192,027 | ) | ||||
|
| |||||||
(14,142,413 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (1.8)% |
| |||||||
Accelerate Diagnostics, Inc.* | (11,837 | ) | (271,659 | ) | ||||
Aclaris Therapeutics, Inc.* | (25,439 | ) | (369,374 | ) | ||||
Aerie Pharmaceuticals, Inc.* | (6,614 | ) | (407,092 | ) | ||||
Aimmune Therapeutics, Inc.* | (1,725 | ) | (47,058 | ) | ||||
Alder Biopharmaceuticals, Inc.* | (23,667 | ) | (394,055 | ) | ||||
Apellis Pharmaceuticals, Inc.* | (544 | ) | (9,672 | ) | ||||
Bio-Techne Corp. | (2,745 | ) | (560,282 | ) | ||||
Cambrex Corp.* | (31,722 | ) | (2,169,785 | ) | ||||
Charles River Laboratories International, Inc.* | (20,524 | ) | (2,761,299 | ) | ||||
Codexis, Inc.* | (19,090 | ) | (327,394 | ) | ||||
Coherus Biosciences, Inc.* | (18,298 | ) | (301,917 | ) | ||||
Cymabay Therapeutics, Inc.* | (4,252 | ) | (47,112 | ) | ||||
Dova Pharmaceuticals, Inc.* | (13,702 | ) | (287,331 | ) | ||||
Dynavax Technologies Corp.* | (23,237 | ) | (288,139 | ) | ||||
Epizyme, Inc.* | (45,869 | ) | (486,211 | ) | ||||
Esperion Therapeutics, Inc.* | (5,788 | ) | (256,814 | ) | ||||
Flexion Therapeutics, Inc.* | (43,204 | ) | (808,347 | ) | ||||
Insmed, Inc.* | (40,411 | ) | (817,110 | ) | ||||
Intra-Cellular Therapies, Inc.* | (42,566 | ) | (923,682 | ) | ||||
La Jolla Pharmaceutical Co.* | (54,777 | ) | (1,102,661 | ) | ||||
Luminex Corp. | (16,166 | ) | (489,991 | ) | ||||
NeoGenomics, Inc.* | (59,919 | ) | (919,757 | ) | ||||
Omeros Corp.* | (6,212 | ) | (151,635 | ) | ||||
Portola Pharmaceuticals, Inc.* | (20,268 | ) | (539,737 | ) | ||||
Radius Health, Inc.* | (20,753 | ) | (369,403 | ) | ||||
Revance Therapeutics, Inc.* | (32,193 | ) | (799,996 | ) |
The accompanying notes are an integral part of the financial statements.
24
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
TherapeuticsMD, Inc.* | (114,213 | ) | $ | (749,237 | ) | |||
Theravance Biopharma, Inc. (Cayman Islands)* | (42,856 | ) | (1,400,106 | ) | ||||
Zogenix, Inc.* | (16,578 | ) | (822,269 | ) | ||||
|
| |||||||
(18,879,125 | ) | |||||||
|
| |||||||
Retailing — (4.2)% |
| |||||||
1-800-Flowers.com, Inc., Class A* | (2,530 | ) | (29,854 | ) | ||||
At Home Group, Inc.* | (76,184 | ) | (2,402,081 | ) | ||||
Big Lots, Inc. | (67,809 | ) | (2,833,738 | ) | ||||
Boot Barn Holdings, Inc.* | (43,866 | ) | (1,246,233 | ) | ||||
Camping World Holdings, Inc., Class A | (145,787 | ) | (3,108,179 | ) | ||||
Carvana Co.* | (29,607 | ) | (1,749,478 | ) | ||||
Children’s Place, Inc. (The) | (16,527 | ) | (2,112,151 | ) | ||||
Dillard’s, Inc., Class A | (53,909 | ) | (4,115,413 | ) | ||||
DSW, Inc., Class A | (124,247 | ) | (4,209,488 | ) | ||||
Duluth Holdings, Inc., Class B* | (5,122 | ) | (161,138 | ) | ||||
Express, Inc.* | (46,203 | ) | (511,005 | ) | ||||
Five Below, Inc.* | (6,805 | ) | (885,058 | ) | ||||
Floor & Decor Holdings, Inc., | (71,134 | ) | (2,146,113 | ) | ||||
GameStop Corp., Class A | (110,593 | ) | (1,688,755 | ) | ||||
Guess?, Inc. | (106,160 | ) | (2,399,216 | ) | ||||
LKQ Corp.* | (127,755 | ) | (4,046,001 | ) | ||||
Lumber Liquidators Holdings, Inc.* | (6,619 | ) | (102,528 | ) | ||||
Michaels Cos., Inc. (The)* | (121,055 | ) | (1,964,723 | ) | ||||
Monro, Inc. | (28,914 | ) | (2,012,414 | ) | ||||
Murphy USA, Inc.* | (2,732 | ) | (233,477 | ) | ||||
National Vision Holdings, Inc.* | (17,630 | ) | (795,818 | ) | ||||
Ollie’s Bargain Outlet Holdings, Inc.* | (11,434 | ) | (1,098,807 | ) | ||||
Overstock.com, Inc.* | (109,501 | ) | (3,033,178 | ) | ||||
Party City Holdco, Inc.* | (103,118 | ) | (1,397,249 | ) | ||||
Shutterfly, Inc.* | (7,701 | ) | (507,419 | ) | ||||
Sleep Number Corp.* | (11,280 | ) | (414,878 | ) | ||||
Sonic Automotive, Inc., Class A | (858 | ) | (16,602 | ) | ||||
|
| |||||||
(45,220,994 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (3.1)% |
| |||||||
Ambarella, Inc. (Cayman | (143,863 | ) | (5,564,621 | ) | ||||
Amkor Technology, Inc.* | (21,058 | ) | (155,619 | ) | ||||
Brooks Automation, Inc. | (42,805 | ) | (1,499,459 | ) | ||||
CEVA, Inc.* | (13,105 | ) | (376,769 | ) | ||||
Cree, Inc.* | (14,544 | ) | (550,781 | ) | ||||
FormFactor, Inc.* | (105,315 | ) | (1,448,081 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Inphi Corp.* | (142,755 | ) | $ | (5,421,835 | ) | |||
MACOM Technology Solutions Holdings, Inc.* | (30,800 | ) | (634,480 | ) | ||||
Marvell Technology Group Ltd. (Bermuda) | (239,509 | ) | (4,622,524 | ) | ||||
MaxLinear, Inc.* | (58,765 | ) | (1,168,248 | ) | ||||
Microchip Technology, Inc. | (63,927 | ) | (5,044,480 | ) | ||||
Photronics, Inc.* | (20,214 | ) | (199,108 | ) | ||||
Rambus, Inc.* | (96,498 | ) | (1,052,793 | ) | ||||
Rudolph Technologies, Inc.* | (10,201 | ) | (249,414 | ) | ||||
Synaptics, Inc.* | (92,625 | ) | (4,225,552 | ) | ||||
Teradyne, Inc. | (19 | ) | (703 | ) | ||||
Veeco Instruments, Inc.* | (21,732 | ) | (222,753 | ) | ||||
Xperi Corp. | (49,858 | ) | (740,391 | ) | ||||
|
| |||||||
(33,177,611 | ) | |||||||
|
| |||||||
Software & Services — (8.1)% |
| |||||||
8x8, Inc.* | (147,157 | ) | (3,127,086 | ) | ||||
ACI Worldwide, Inc.* | (106,469 | ) | (2,996,038 | ) | ||||
Avalara, Inc.* | (11,648 | ) | (406,865 | ) | ||||
Benefitfocus, Inc.* | (36,885 | ) | (1,491,998 | ) | ||||
Black Knight, Inc.* | (8,032 | ) | (417,262 | ) | ||||
BlackBerry Ltd. (Canada)* | (138,742 | ) | (1,578,884 | ) | ||||
Blackline, Inc.* | (26,905 | ) | (1,519,325 | ) | ||||
Box, Inc., Class A* | (166,397 | ) | (3,978,552 | ) | ||||
Carbon Black, Inc.* | (694 | ) | (14,699 | ) | ||||
Cloudera, Inc.* | (262,336 | ) | (4,630,230 | ) | ||||
comScore, Inc.* | (5,999 | ) | (109,362 | ) | ||||
CSG Systems International, Inc. | (38,392 | ) | (1,541,055 | ) | ||||
Ellie Mae, Inc.* | (25,687 | ) | (2,434,357 | ) | ||||
Everbridge, Inc.* | (4,642 | ) | (267,565 | ) | ||||
Exela Technologies, Inc.* | (1,984 | ) | (14,146 | ) | ||||
Fidelity National Information Services, Inc. | (4,502 | ) | (491,033 | ) | ||||
FireEye, Inc.* | (352,234 | ) | (5,987,978 | ) | ||||
ForeScout Technologies, Inc.* | (73,214 | ) | (2,764,561 | ) | ||||
Global Payments, Inc. | (30,879 | ) | (3,933,985 | ) | ||||
GTT Communications, Inc.* | (10,367 | ) | (449,928 | ) | ||||
Hortonworks, Inc.* | (138,400 | ) | (3,156,904 | ) | ||||
Instructure, Inc.* | (39,842 | ) | (1,410,407 | ) | ||||
LiveRamp Holdings, Inc.* | (40,894 | ) | (2,020,573 | ) | ||||
ManTech International Corp., Class A | (20,175 | ) | (1,277,078 | ) | ||||
MINDBODY, Inc., Class A* | (8,910 | ) | (362,192 | ) | ||||
MongoDB, Inc.* | (9,785 | ) | (797,967 | ) | ||||
Nutanix, Inc., Class A* | (8,343 | ) | (356,413 | ) |
The accompanying notes are an integral part of the financial statements.
25
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
OneSpan, Inc.* | (6,273 | ) | $ | (119,501 | ) | |||
Pandora Media, Inc.* | (194,372 | ) | (1,848,478 | ) | ||||
PayPal Holdings, Inc.* | (27,160 | ) | (2,385,734 | ) | ||||
Presidio, Inc. | (20,718 | ) | (315,950 | ) | ||||
PROS Holdings, Inc.* | (58,003 | ) | (2,031,265 | ) | ||||
Quotient Technology, Inc.* | (14,767 | ) | (228,888 | ) | ||||
SecureWorks Corp., Class A* | (20,980 | ) | (307,357 | ) | ||||
SendGrid, Inc.* | (17,966 | ) | (660,969 | ) | ||||
Snap, Inc., Class A* | (440,897 | ) | (3,738,807 | ) | ||||
Splunk, Inc.* | (5,027 | ) | (607,815 | ) | ||||
Switch, Inc., Class A | (191,057 | ) | (2,063,416 | ) | ||||
Take-Two Interactive Software, Inc.* | (3,100 | ) | (427,769 | ) | ||||
Tenable Holdings, Inc.* | (21,716 | ) | (844,318 | ) | ||||
Teradata Corp.* | (56,021 | ) | (2,112,552 | ) | ||||
TiVo Corp. | (122,553 | ) | (1,525,785 | ) | ||||
Travelport Worldwide Ltd. (Bermuda) | (95,289 | ) | (1,607,525 | ) | ||||
TrueCar, Inc.* | (243,706 | ) | (3,436,255 | ) | ||||
Workiva, Inc.* | (35,296 | ) | (1,394,192 | ) | ||||
Worldpay, Inc., Class A* | (53,291 | ) | (5,396,780 | ) | ||||
Yelp, Inc.* | (77,300 | ) | (3,803,160 | ) | ||||
Yext, Inc.* | (13,573 | ) | (321,680 | ) | ||||
Zynga, Inc., Class A* | (931,589 | ) | (3,735,672 | ) | ||||
|
| |||||||
(86,450,311 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (3.9)% |
| |||||||
3D Systems Corp.* | (41,059 | ) | (776,015 | ) | ||||
Acacia Communications, Inc.* | (57,312 | ) | (2,370,997 | ) | ||||
Anixter International, Inc.* | (5,301 | ) | (372,660 | ) | ||||
Arrow Electronics, Inc.* | (32,377 | ) | (2,386,832 | ) | ||||
Badger Meter, Inc. | (10,036 | ) | (531,406 | ) | ||||
Benchmark Electronics, Inc. | (22,494 | ) | (526,360 | ) | ||||
CalAmp Corp.* | (722 | ) | (17,299 | ) | ||||
Celestica, Inc. (Canada)* | (23,754 | ) | (257,256 | ) | ||||
Cognex Corp. | (15,518 | ) | (866,215 | ) | ||||
Control4 Corp.* | (10,358 | ) | (355,590 | ) | ||||
Cray, Inc.* | (66,581 | ) | (1,431,492 | ) | ||||
Electronics For Imaging, Inc.* | (66,479 | ) | (2,265,604 | ) | ||||
ePlus, Inc.* | (3,695 | ) | (342,526 | ) | ||||
Extreme Networks, Inc.* | (108,072 | ) | (592,235 | ) | ||||
FARO Technologies, Inc.* | (5,046 | ) | (324,710 | ) | ||||
Finisar Corp.* | (248,408 | ) | (4,732,172 | ) | ||||
Fitbit, Inc., Class A* | (621,854 | ) | (3,326,919 | ) | ||||
Infinera Corp.* | (346,519 | ) | (2,529,589 | ) | ||||
Knowles Corp.* | (52,490 | ) | (872,384 | ) | ||||
Littelfuse, Inc. | (4,921 | ) | (973,817 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Methode Electronics, Inc. | (6,798 | ) | $ | (246,088 | ) | |||
National Instruments Corp. | (11,916 | ) | (575,900 | ) | ||||
NetScout Systems, Inc.* | (112,246 | ) | (2,834,212 | ) | ||||
nLight, Inc.* | (1,062 | ) | (23,587 | ) | ||||
Pure Storage, Inc., Class A* | (19,537 | ) | (506,985 | ) | ||||
Quantenna Communications, Inc.* | (8,858 | ) | (163,430 | ) | ||||
Ribbon Communications, Inc.* | (3,274 | ) | (22,361 | ) | ||||
Rogers Corp.* | (6,837 | ) | (1,007,227 | ) | ||||
Sanmina Corp.* | (90,431 | ) | (2,495,896 | ) | ||||
Stratasys Ltd. (Israel)* | (6,147 | ) | (142,057 | ) | ||||
TTM Technologies, Inc.* | (97,368 | ) | (1,549,125 | ) | ||||
ViaSat, Inc.* | (66,776 | ) | (4,270,325 | ) | ||||
Viavi Solutions, Inc.* | (201,484 | ) | (2,284,829 | ) | ||||
|
| |||||||
(41,974,100 | ) | |||||||
|
| |||||||
Telecommunication Services — (1.1)% |
| |||||||
AT&T, Inc. | (119,599 | ) | (4,016,134 | ) | ||||
ATN International, Inc. | (13,312 | ) | (983,490 | ) | ||||
Boingo Wireless, Inc.* | (73,031 | ) | (2,548,782 | ) | ||||
Cincinnati Bell, Inc.* | (24,685 | ) | (393,726 | ) | ||||
Consolidated Communications Holdings, Inc. | (70,198 | ) | (915,382 | ) | ||||
Iridium Communications, Inc.* | (60,620 | ) | (1,363,950 | ) | ||||
ORBCOMM, Inc.* | (75,519 | ) | (820,136 | ) | ||||
Sprint Corp.* | (197,311 | ) | (1,290,414 | ) | ||||
|
| |||||||
(12,332,014 | ) | |||||||
|
| |||||||
Transportation — (2.9)% |
| |||||||
Air Transport Services Group, Inc.* | (75,687 | ) | (1,625,000 | ) | ||||
Allegiant Travel Co. | (11,914 | ) | (1,510,695 | ) | ||||
Atlas Air Worldwide Holdings, Inc.* | (64,384 | ) | (4,104,480 | ) | ||||
Canadian National Railway Co. (Canada) | (7,529 | ) | (676,104 | ) | ||||
Canadian Pacific Railway Ltd. (Canada) | (3,281 | ) | (695,375 | ) | ||||
Hawaiian Holdings, Inc. | (86,077 | ) | (3,451,688 | ) | ||||
Hub Group, Inc., Class A* | (29,149 | ) | (1,329,194 | ) | ||||
Kansas City Southern | (38,877 | ) | (4,403,987 | ) | ||||
Ryder System, Inc. | (79,431 | ) | (5,804,023 | ) | ||||
Saia, Inc.* | (14,568 | ) | (1,113,724 | ) | ||||
SkyWest, Inc. | (7,737 | ) | (455,709 | ) | ||||
Spirit Airlines, Inc.* | (58,452 | ) | (2,745,490 | ) |
The accompanying notes are an integral part of the financial statements.
26
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Concluded)
September 30, 2018
Number | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Werner Enterprises, Inc. | (92,337 | ) | $ | (3,264,113 | ) | |||
|
| |||||||
(31,179,582 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK | (639,842,859 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (59.8)% |
| (639,842,859 | ) | |||||
|
| |||||||
(Proceeds $636,354,480) |
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 39.9% |
| 426,800,402 | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 1,069,044,651 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
(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. (See Note 5 of the Notes to Financial Statements) |
(c) | Security is fair valued by the Advisor under direction of the Board of Trustees. |
* | Non-income producing. |
PLC Public Limited Company
The accompanying notes are an integral part of the financial statements.
27
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
LONG POSITIONS — 172.7% |
| |||||||
COMMON STOCKS — 172.7% |
| |||||||
Automobiles & Components — 0.7% |
| |||||||
BorgWarner, Inc.† | 13,677 | $ | 585,102 | |||||
Dana, Inc.† | 11,181 | 208,749 | ||||||
Delphi Technologies PLC (Jersey)† | 4,605 | 144,413 | ||||||
Fiat Chrysler Automobiles NV (Netherlands)(a)* | 12,293 | 215,250 | ||||||
Gentex Corp.(a) | 8,745 | 187,668 | ||||||
Goodyear Tire & Rubber Co. | 35,010 | 818,884 | ||||||
Harley-Davidson, Inc.(a) | 39,648 | 1,796,054 | ||||||
Lear Corp.†(b) | 9,997 | 1,449,565 | ||||||
Standard Motor Products, Inc.(a) | 1,326 | 65,266 | ||||||
Tenneco, Inc., Class A† | 6,485 | 273,278 | ||||||
Thor Industries, Inc. | 4,412 | 369,284 | ||||||
Visteon Corp.(a)* | 2,750 | 255,475 | ||||||
|
| |||||||
6,368,988 | ||||||||
|
| |||||||
Capital Goods — 22.2% | ||||||||
3M Co.†(a) | 25,095 | 5,287,767 | ||||||
Actuant Corp., Class A | 4,427 | 123,513 | ||||||
Acuity Brands, Inc.(a) | 6,214 | 976,841 | ||||||
AECOM(a)* | 14,228 | 464,687 | ||||||
Allison Transmission Holdings, | 96,130 | 4,999,721 | ||||||
Altra Industrial Motion Corp.(a) | 6,551 | 270,556 | ||||||
AMETEK, Inc.† | 46,393 | 3,670,614 | ||||||
Applied Industrial Technologies, Inc. | 12,824 | 1,003,478 | ||||||
Arconic, Inc.(a) | 92,297 | 2,031,457 | ||||||
Argan, Inc.† | 5,898 | 253,614 | ||||||
Armstrong World Industries, Inc.(b)* | 31,745 | 2,209,452 | ||||||
Atkore International Group, Inc.* | 33,653 | 892,814 | ||||||
AZZ, Inc. | 1,746 | 88,173 | ||||||
Boeing Co. (The)†(b) | 31,180 | 11,595,842 | ||||||
Carlisle Cos., Inc.(a) | 1,529 | 186,232 | ||||||
Caterpillar, Inc.†(a) | 36,185 | 5,517,851 | ||||||
Colfax Corp.(a)* | 16,785 | 605,267 | ||||||
Columbus McKinnon Corp. | 8,196 | 324,070 | ||||||
Comfort Systems USA, Inc. | 3,231 | 182,228 | ||||||
Continental Building Products, Inc.†* | 23,743 | 891,550 | ||||||
Crane Co. | 27 | 2,655 | ||||||
Curtiss-Wright Corp.† | 6,707 | 921,676 | ||||||
Deere & Co.† | 3,108 | 467,226 | ||||||
Donaldson Co., Inc.(a) | 7,951 | 463,225 | ||||||
Dover Corp.(a) | 49,873 | 4,415,257 | ||||||
Eaton Corp. PLC (Ireland)† | 33,994 | 2,948,300 | ||||||
Emerson Electric Co.† | 135,409 | 10,369,621 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Engility Holdings, Inc.(a)* | 2,634 | $ | 94,798 | |||||
Esterline Technologies Corp.* | 9,892 | 899,677 | ||||||
Fastenal Co.(a) | 5,123 | 297,237 | ||||||
Federal Signal Corp. | 6,364 | 170,428 | ||||||
Fluor Corp.†(b) | 52,232 | 3,034,679 | ||||||
Fortune Brands Home & Security, Inc. | 3,841 | 201,115 | ||||||
Gardner Denver Holdings, Inc.†* | 39,787 | 1,127,564 | ||||||
Generac Holdings, Inc.(b)* | 43,192 | 2,436,461 | ||||||
Gibraltar Industries, Inc.†* | 6,015 | 274,284 | ||||||
Global Brass & Copper Holdings, Inc. | 1,171 | 43,210 | ||||||
Gorman-Rupp Co. (The) | 455 | 16,608 | ||||||
Graco, Inc. | 5,039 | 233,507 | ||||||
GrafTech International Ltd.† | 56,224 | 1,096,930 | ||||||
Harris Corp.†(b) | 25,653 | 4,340,744 | ||||||
Harsco Corp.(b)* | 66,953 | 1,911,508 | ||||||
HD Supply Holdings, Inc.(b)* | 13,226 | 565,941 | ||||||
Hexcel Corp.(a) | 6,180 | 414,369 | ||||||
Hillenbrand, Inc.† | 41,832 | 2,187,814 | ||||||
Honeywell International, Inc.† | 69,302 | 11,531,853 | ||||||
IDEX Corp. | 2,566 | 386,594 | ||||||
Illinois Tool Works, Inc.†(b) | 39,321 | 5,548,980 | ||||||
Insteel Industries, Inc. | 20 | 718 | ||||||
ITT, Inc. | 19,576 | 1,199,226 | ||||||
Jacobs Engineering Group, Inc.(b) | 71,538 | 5,472,657 | ||||||
Johnson Controls International PLC (Ireland) | 8,249 | 288,715 | ||||||
Kaman Corp. | 7,653 | 511,067 | ||||||
Kennametal, Inc.(a) | 68,974 | 3,004,507 | ||||||
KLX, Inc.* | 4,745 | 297,891 | ||||||
L3 Technologies, Inc. | 634 | 134,801 | ||||||
Lincoln Electric Holdings, Inc. | 3,382 | 316,014 | ||||||
Lockheed Martin Corp.(b) | 10,760 | 3,722,530 | ||||||
Manitowoc Co., Inc. (The)(a)* | 4,272 | 102,485 | ||||||
Masco Corp. | 7,597 | 278,050 | ||||||
Milacron Holdings Corp.* | 21,156 | 428,409 | ||||||
MSC Industrial Direct Co., Inc., | 19,123 | 1,684,928 | ||||||
Mueller Industries, Inc. | 1,800 | 52,164 | ||||||
National Presto Industries, Inc.(a) | 2,370 | 307,270 | ||||||
Nexeo Solutions, Inc.(a)* | 1,271 | 15,570 | ||||||
Nordson Corp.(a) | 2,255 | 313,220 | ||||||
NV5 Global, Inc.* | 28 | 2,428 | ||||||
nVent Electric PLC (Ireland) | 4,221 | 114,642 | ||||||
Oshkosh Corp.(b) | 31,755 | 2,262,226 |
The accompanying notes are an integral part of the financial statements.
28
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Parker-Hannifin Corp.(b) | 51,237 | $ | 9,424,021 | |||||
Pentair PLC (Ireland)† | 54,430 | 2,359,540 | ||||||
PGT Innovations, Inc.* | 6,606 | 142,690 | ||||||
Quanex Building Products Corp. | 832 | 15,142 | ||||||
Quanta Services, Inc.†* | 21,781 | 727,050 | ||||||
Raytheon Co.† | 17,141 | 3,542,359 | ||||||
Rexnord Corp.†* | 24,285 | 747,978 | ||||||
Rockwell Automation, Inc.†(a)(b) | 30,111 | 5,646,415 | ||||||
Snap-on, Inc.(a) | 32,530 | 5,972,508 | ||||||
Spirit AeroSystems Holdings, Inc., Class A† | 8,111 | 743,535 | ||||||
SPX FLOW, Inc.†* | 30,354 | 1,578,408 | ||||||
Standex International Corp. | 342 | 35,654 | ||||||
Systemax, Inc. | 17,197 | 566,469 | ||||||
Teledyne Technologies, Inc.†(a)* | 12,252 | 3,022,323 | ||||||
Textron, Inc.† | 57,327 | 4,097,161 | ||||||
Toro Co. (The) | 2,796 | 167,676 | ||||||
TransDigm Group, Inc.(a)* | 4,847 | 1,804,538 | ||||||
TriMas Corp.(a)* | 15,915 | 483,816 | ||||||
United Rentals, Inc.(b)* | 40,895 | 6,690,422 | ||||||
United Technologies Corp.(a) | 76,746 | 10,729,858 | ||||||
Valmont Industries, Inc.(a) | 7,285 | 1,008,972 | ||||||
WABCO Holdings, Inc.* | 1,964 | 231,634 | ||||||
Watts Water Technologies, Inc., Class A | 3,053 | 253,399 | ||||||
WESCO International, Inc.* | 20,695 | 1,271,708 | ||||||
WW Grainger, Inc.(a) | 19,945 | 7,128,542 | ||||||
Xylem, Inc.† | 7,299 | 582,971 | ||||||
|
| |||||||
187,462,295 | ||||||||
|
| |||||||
Commercial & Professional Services — 4.1% |
| |||||||
Brink’s Co. (The)(a) | 1,954 | 136,292 | ||||||
CBIZ, Inc.* | 3,093 | 73,304 | ||||||
Cintas Corp.(b) | 10,472 | 2,071,466 | ||||||
Copart, Inc.†* | 33,499 | 1,726,204 | ||||||
Deluxe Corp.(a) | 19,655 | 1,119,156 | ||||||
Dun & Bradstreet Corp. (The)† | 16,811 | 2,395,736 | ||||||
Equifax, Inc. | 1,271 | 165,954 | ||||||
FTI Consulting, Inc.†* | 19,712 | 1,442,721 | ||||||
ICF International, Inc.† | 6,384 | 481,673 | ||||||
KAR Auction Services, Inc. | 19,866 | 1,185,802 | ||||||
Kforce, Inc. | 117 | 4,399 | ||||||
Korn/Ferry International† | 11,896 | 585,759 | ||||||
ManpowerGroup, Inc.† | 2,908 | 249,972 | ||||||
Navigant Consulting, Inc. | 20,474 | 472,130 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Nielsen Holdings PLC (United Kingdom)†(a) | 18,115 | $ | 501,061 | |||||
Quad/Graphics, Inc.†(a) | 13,720 | 285,925 | ||||||
Republic Services, Inc.†(b) | 99,131 | 7,202,858 | ||||||
Ritchie Bros Auctioneers, Inc. (Canada) | 3,003 | 108,498 | ||||||
Robert Half International, Inc.†(a) | 46,780 | 3,292,376 | ||||||
SP Plus Corp.†* | 17,981 | 656,306 | ||||||
Tetra Tech, Inc. | 19,908 | 1,359,716 | ||||||
TriNet Group, Inc.* | 10,266 | 578,181 | ||||||
Verisk Analytics, Inc.†(a)* | 11,593 | 1,397,536 | ||||||
Waste Management, Inc.†(b) | 83,405 | 7,536,476 | ||||||
|
| |||||||
35,029,501 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 5.7% |
| |||||||
Acushnet Holdings Corp.(a) | 6,913 | 189,624 | ||||||
Carter’s, Inc.(a) | 2,058 | 202,919 | ||||||
Cavco Industries, Inc.†* | 4,664 | 1,179,992 | ||||||
Crocs, Inc.(a)* | 86,877 | 1,849,611 | ||||||
Deckers Outdoor Corp.(a)* | 21,189 | 2,512,592 | ||||||
Fossil Group, Inc.†(a)* | 42,779 | 995,895 | ||||||
Garmin Ltd. (Switzerland)(b) | 98,960 | 6,932,148 | ||||||
Hasbro, Inc.(a) | 27,573 | 2,898,474 | ||||||
Helen of Troy Ltd. (Bermuda)(a)* | 9,581 | 1,254,153 | ||||||
Johnson Outdoors, Inc., Class A | 20 | 1,860 | ||||||
Malibu Boats, Inc., Class A* | 3,970 | 217,238 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 66,555 | 4,563,011 | ||||||
NIKE, Inc., Class B† | 30,512 | 2,584,977 | ||||||
PVH Corp. | 16,668 | 2,406,859 | ||||||
Ralph Lauren Corp.† | 27,887 | 3,835,857 | ||||||
Sturm Ruger & Co., Inc. | 1,386 | 95,703 | ||||||
Tapestry, Inc.†(b) | 117,557 | 5,909,590 | ||||||
TopBuild Corp.†* | 3,204 | 182,051 | ||||||
Tupperware Brands Corp.(a) | 587 | 19,635 | ||||||
Under Armour, Inc., Class C(a)* | 63,161 | 1,229,113 | ||||||
VF Corp.(a)(b) | 79,904 | 7,467,029 | ||||||
Whirlpool Corp.(a) | 14,629 | 1,737,194 | ||||||
|
| |||||||
48,265,525 | ||||||||
|
| |||||||
Consumer Services — 5.5% | ||||||||
Adtalem Global Education, Inc.(a)* | 10,934 | 527,019 | ||||||
BJ’s Restaurants, Inc.(a) | 27,745 | 2,003,189 | ||||||
Bloomin’ Brands, Inc.(a) | 6,273 | 124,143 | ||||||
Boyd Gaming Corp.†(a)(b) | 108,150 | 3,660,878 | ||||||
Brinker International, Inc.(a) | 38,049 | 1,778,030 |
The accompanying notes are an integral part of the financial statements.
29
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Choice Hotels International, Inc.(a) | 12,767 | $ | 1,063,491 | |||||
Churchill Downs, Inc.(a) | 780 | 216,606 | ||||||
Darden Restaurants, Inc.(b) | 28,648 | 3,185,371 | ||||||
Denny’s Corp.* | 1,151 | 16,943 | ||||||
Dine Brands Global, Inc.(a) | 4,800 | 390,288 | ||||||
Eldorado Resorts, Inc.(a)* | 10,300 | 500,580 | ||||||
Graham Holdings Co., Class B† | 2,375 | 1,375,838 | ||||||
Grand Canyon Education, Inc.* | 1,007 | 113,590 | ||||||
Hilton Worldwide Holdings, Inc.† | 15,657 | 1,264,772 | ||||||
Hyatt Hotels Corp., Class A(b) | 41,404 | 3,295,344 | ||||||
International Game Technology PLC (United Kingdom)(a) | 6,187 | 122,193 | ||||||
Jack in the Box, Inc.† | 10,704 | 897,316 | ||||||
Las Vegas Sands Corp. | 181 | 10,739 | ||||||
Laureate Education, Inc., | 7,870 | 121,513 | ||||||
Marriott International, Inc., | 29,865 | 3,943,076 | ||||||
McDonald’s Corp.†(b) | 52,884 | 8,846,964 | ||||||
Planet Fitness, Inc., Class A* | 9,901 | 534,951 | ||||||
Ruth’s Hospitality Group, Inc.(a) | 8,750 | 276,062 | ||||||
Sonic Corp. | 6,124 | 265,414 | ||||||
Stars Group, Inc. (The) (Canada)†* | 40,061 | 997,519 | ||||||
Vail Resorts, Inc.†(a) | 6,159 | 1,690,153 | ||||||
Wyndham Destinations, Inc.† | 2,234 | 96,866 | ||||||
Wyndham Hotels & Resorts, Inc. | 21,552 | 1,197,645 | ||||||
Yum! Brands, Inc.† | 85,298 | 7,754,441 | ||||||
|
| |||||||
46,270,934 | ||||||||
|
| |||||||
Energy — 3.9% | ||||||||
Cameco Corp. (Canada)† | 28,007 | 319,280 | ||||||
Chevron Corp.† | 25,721 | 3,145,164 | ||||||
CONSOL Energy, Inc.* | 1,784 | 72,805 | ||||||
CVR Energy, Inc.(a) | 67,416 | 2,711,472 | ||||||
Diamond Offshore Drilling, Inc.* | 24,238 | 484,760 | ||||||
Dril-Quip, Inc.(a)* | 3,168 | 165,528 | ||||||
Enbridge, Inc. (Canada) | 3,297 | 106,460 | ||||||
Frank’s International NV (Netherlands)(a)* | 35,043 | 304,173 | ||||||
FTS International, Inc.(a)* | 12,744 | 150,252 | ||||||
Halliburton Co.† | 3,675 | 148,948 | ||||||
Helmerich & Payne, Inc.(a) | 21,278 | 1,463,288 | ||||||
HollyFrontier Corp.(a)(b) | 36,645 | 2,561,486 | ||||||
Imperial Oil Ltd. (Canada)† | 1,770 | 57,295 | ||||||
Kinder Morgan, Inc.† | 195,514 | 3,466,463 | ||||||
Mammoth Energy Services, Inc. | 7,611 | 221,480 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Matrix Service Co.* | 4,532 | $ | 111,714 | |||||
Noble Corp. PLC (United | 248,088 | 1,744,059 | ||||||
ONEOK, Inc. | 37,040 | 2,510,942 | ||||||
Phillips 66†(a) | 21,310 | 2,402,063 | ||||||
Precision Drilling Corp. (Canada)(a)* | 49,624 | 171,699 | ||||||
ProPetro Holding Corp.(a)* | 18,094 | 298,370 | ||||||
Renewable Energy Group, Inc.* | 13,500 | 388,800 | ||||||
Rowan Cos. PLC, Class A (United Kingdom)†(a)* | 13,129 | 247,219 | ||||||
RPC, Inc.(a) | 115,203 | 1,783,342 | ||||||
Ship Finance International Ltd. (Bermuda)(a) | 28,024 | 389,534 | ||||||
TechnipFMC PLC (United | 104,722 | 3,272,562 | ||||||
Tidewater, Inc.* | 6,124 | 191,008 | ||||||
Transocean Ltd. (Switzerland)(a)* | 151,385 | 2,111,821 | ||||||
Valero Energy Corp.†(a) | 7,891 | 897,601 | ||||||
Williams Cos., Inc. (The) | 49,109 | 1,335,274 | ||||||
|
| |||||||
33,234,862 | ||||||||
|
| |||||||
Food & Staples Retailing — 5.1% |
| |||||||
BJ’s Wholesale Club Holdings, Inc.* | 2,191 | 58,675 | ||||||
Kroger Co. (The)†(a) | 370,768 | 10,793,056 | ||||||
SUPERVALU, Inc.(a)* | 16,229 | 522,898 | ||||||
Sysco Corp.†(b) | 131,118 | 9,604,394 | ||||||
Walgreens Boots Alliance, Inc.(a) | 111,021 | 8,093,431 | ||||||
Walmart, Inc.†(b) | 147,543 | 13,855,763 | ||||||
Weis Markets, Inc.(a) | 7,070 | 306,838 | ||||||
|
| |||||||
43,235,055 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 8.8% |
| |||||||
Altria Group, Inc.† | 162,122 | 9,777,578 | ||||||
Archer-Daniels-Midland Co.† | 161,543 | 8,120,767 | ||||||
Brown-Forman Corp., Class B† | 52,862 | 2,672,174 | ||||||
Coca-Cola Co. (The)†(b) | 60,510 | 2,794,957 | ||||||
Conagra Brands, Inc.†(a)(b) | 103,852 | 3,527,852 | ||||||
Dean Foods Co.(a) | 9,336 | 66,286 | ||||||
General Mills, Inc.† | 22,861 | 981,194 | ||||||
Hershey Co. (The) | 664 | 67,728 | ||||||
Ingredion, Inc.† | 18,919 | 1,985,738 | ||||||
Kellogg Co.(a) | 67,517 | 4,727,540 | ||||||
Kraft Heinz Co. (The)†(b) | 110,289 | 6,078,027 | ||||||
McCormick & Co., Inc., non-voting shares(a) | 17,899 | 2,358,193 | ||||||
Molson Coors Brewing Co., | 14,277 | 878,036 |
The accompanying notes are an integral part of the financial statements.
30
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Mondelez International, Inc., | 180,099 | $ | 7,737,053 | |||||
PepsiCo, Inc.† | 87,216 | 9,750,749 | ||||||
Philip Morris International, Inc.†(a) | 120,634 | 9,836,496 | ||||||
Pilgrim’s Pride Corp.(a)* | 94,004 | 1,700,532 | ||||||
TreeHouse Foods, Inc.(a)* | 10,441 | 499,602 | ||||||
Tyson Foods, Inc., Class A(b) | 8,475 | �� | 504,517 | |||||
Universal Corp.† | 5,119 | 332,735 | ||||||
|
| |||||||
74,397,754 | ||||||||
|
| |||||||
Health Care Equipment & Services — 15.8% |
| |||||||
Abbott Laboratories† | 49,743 | 3,649,146 | ||||||
Acadia Healthcare Co., Inc.(a)* | 1,100 | 38,720 | ||||||
Allscripts Healthcare Solutions, | 131,821 | 1,878,449 | ||||||
AmerisourceBergen Corp.† | 44,264 | 4,082,026 | ||||||
AMN Healthcare Services, Inc.(a)* | 21,475 | 1,174,682 | ||||||
Avanos Medical, Inc.(a)* | 37,325 | 2,556,762 | ||||||
Baxter International, Inc.† | 22,409 | 1,727,510 | ||||||
Becton Dickinson and Co.† | 19,495 | 5,088,195 | ||||||
Boston Scientific Corp.* | 7,936 | 305,536 | ||||||
Brookdale Senior Living, Inc.(a)* | 163,622 | 1,608,404 | ||||||
Cardinal Health, Inc.†(a)(b) | 75,755 | 4,090,770 | ||||||
Cerner Corp.(a)(b)* | 38,106 | 2,454,407 | ||||||
CONMED Corp.†(a) | 23,886 | 1,892,249 | ||||||
Cooper Cos., Inc. (The)(a) | 5,282 | 1,463,906 | ||||||
CVS Health Corp.†(a) | 118,021 | 9,290,613 | ||||||
Danaher Corp.†(b) | 39,807 | 4,325,429 | ||||||
DaVita, Inc.* | 33,031 | 2,366,011 | ||||||
DENTSPLY SIRONA, Inc.(b) | 51,361 | 1,938,364 | ||||||
Encompass Health Corp. | 10,235 | 797,818 | ||||||
Envision Healthcare Corp.* | 68,245 | 3,120,844 | ||||||
Express Scripts Holding Co.†* | 122,034 | 11,594,450 | ||||||
Globus Medical, Inc., Class A†* | 63,866 | 3,625,034 | ||||||
Haemonetics Corp.(a)* | 22,415 | 2,568,311 | ||||||
HCA Healthcare, Inc.† | 45,384 | 6,313,822 | ||||||
HealthStream, Inc. | 288 | 8,931 | ||||||
Hill-Rom Holdings, Inc.†(a) | 18,999 | 1,793,506 | ||||||
HMS Holdings Corp.(a)* | 25,060 | 822,219 | ||||||
Hologic, Inc.* | 4,582 | 187,770 | ||||||
ICU Medical, Inc.(b)* | 16,491 | 4,662,830 | ||||||
Integer Holdings Corp.†* | 37,309 | 3,094,782 | ||||||
Laboratory Corp. of America Holdings†* | 37,141 | 6,450,649 | ||||||
LifePoint Health, Inc.(b)* | 31,295 | 2,015,398 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Masimo Corp.†* | 6,344 | $ | 790,082 | |||||
McKesson Corp.(b) | 29,827 | 3,956,552 | ||||||
Medtronic PLC (Ireland)† | 135,114 | 13,291,164 | ||||||
Meridian Bioscience, Inc.†(a) | 7,086 | 105,581 | ||||||
NextGen Healthcare, Inc.* | 34,838 | 699,547 | ||||||
Owens & Minor, Inc.(a) | 26,461 | 437,136 | ||||||
Patterson Cos., Inc.(a) | 42,555 | 1,040,470 | ||||||
Quest Diagnostics, Inc. | 18,024 | 1,944,970 | ||||||
Quidel Corp.* | 2,415 | 157,386 | ||||||
ResMed, Inc.†(b) | 41,005 | 4,729,517 | ||||||
STERIS PLC (United Kingdom)†(a) | 22,337 | 2,555,353 | ||||||
Stryker Corp.† | 5,136 | 912,564 | ||||||
Tabula Rasa HealthCare, Inc.(a)* | 2,048 | 166,277 | ||||||
Tenet Healthcare Corp.(a)* | 72,947 | 2,076,072 | ||||||
Tivity Health, Inc.(a)* | 10,426 | 335,196 | ||||||
Universal Health Services, Inc., | 4,879 | 623,731 | ||||||
Varex Imaging Corp.(a)* | 352 | 10,088 | ||||||
Varian Medical Systems, Inc.†(a)(b)* | 17,881 | 2,001,420 | ||||||
West Pharmaceutical Services, | 4,902 | 605,250 | ||||||
|
| |||||||
133,425,899 | ||||||||
|
| |||||||
Household & Personal Products — 4.3% |
| |||||||
Avon Products, Inc.* | 293,653 | 646,037 | ||||||
Church & Dwight Co., Inc.(a)(b) | 67,975 | 4,035,676 | ||||||
Clorox Co. (The)(a)(b) | 25,575 | 3,846,736 | ||||||
Colgate-Palmolive Co.† | 152,726 | 10,225,006 | ||||||
Edgewell Personal Care Co.(a)* | 7,364 | 340,438 | ||||||
Energizer Holdings, Inc.(a) | 1,735 | 101,758 | ||||||
Estee Lauder Cos., Inc. (The), | 7,974 | 1,158,782 | ||||||
Kimberly-Clark Corp.† | 66,964 | 7,609,789 | ||||||
Procter & Gamble Co. (The)† | 105,906 | 8,814,556 | ||||||
|
| |||||||
36,778,778 | ||||||||
|
| |||||||
Materials — 4.7% | ||||||||
Albemarle Corp.(a) | 9,426 | 940,526 | ||||||
AptarGroup, Inc.(a) | 11,242 | 1,211,213 | ||||||
Bemis Co., Inc. | 10,965 | 532,899 | ||||||
Celanese Corp.(b) | 29,612 | 3,375,768 | ||||||
CF Industries Holdings, Inc.† | 33,630 | 1,830,817 | ||||||
Chemours Co. (The)† | 4,289 | 169,158 | ||||||
Domtar Corp.† | 65,881 | 3,437,012 | ||||||
DowDuPont, Inc.† | 4,853 | 312,096 | ||||||
Eagle Materials, Inc.(b) | 1,378 | 117,461 | ||||||
FMC Corp.† | 19,019 | 1,658,076 |
The accompanying notes are an integral part of the financial statements.
31
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
FutureFuel Corp. | 2,282 | $ | 42,308 | |||||
Greif, Inc., Class A | 4,905 | 263,202 | ||||||
HB Fuller Co. | 1,348 | 69,651 | ||||||
International Paper Co.† | 16,480 | 809,992 | ||||||
KMG Chemicals, Inc. | 3,754 | 283,652 | ||||||
Kraton Corp.(a)* | 22,673 | 1,069,032 | ||||||
Kronos Worldwide, Inc.(a) | 39,894 | 648,278 | ||||||
Louisiana-Pacific Corp.†(a) | 12,636 | 334,728 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 25,733 | 2,637,890 | ||||||
Methanex Corp. (Canada)† | 63,940 | 5,057,654 | ||||||
Minerals Technologies, Inc.† | 2,527 | 170,825 | ||||||
Norbord, Inc. (Canada)(a) | 2,505 | 83,091 | ||||||
PolyOne Corp.(a) | 26,843 | 1,173,576 | ||||||
Praxair, Inc. | 5,421 | 871,317 | ||||||
RPM International, Inc.(a)(b) | 53,751 | 3,490,590 | ||||||
Sherwin-Williams Co. (The)(b) | 6,670 | 3,036,251 | ||||||
Tredegar Corp. | 1,701 | 36,827 | ||||||
Verso Corp., Class A* | 37,615 | 1,266,497 | ||||||
Vulcan Materials Co.(a) | 8,744 | 972,333 | ||||||
Westlake Chemical Corp.†(a)(b) | 42,170 | 3,504,749 | ||||||
|
| |||||||
39,407,469 | ||||||||
|
| |||||||
Media — 7.6% | ||||||||
AMC Entertainment Holdings, Inc., Class A(a) | 45,257 | 927,768 | ||||||
CBS Corp., Class B, non-voting shares† | 96,839 | 5,563,401 | ||||||
Cinemark Holdings, Inc.(a) | 48,011 | 1,930,042 | ||||||
Comcast Corp., Class A† | 192,586 | 6,819,470 | ||||||
Discovery, Inc., Class A(a)* | 35,504 | 1,136,128 | ||||||
DISH Network Corp., Class A†(a)(b)* | 137,149 | 4,904,448 | ||||||
Gannett Co., Inc.(a) | 112,853 | 1,129,659 | ||||||
Interpublic Group of Cos., Inc. (The)†(a) | 174,321 | 3,986,721 | ||||||
Loral Space & Communications, Inc.* | 2,192 | 99,517 | ||||||
Marcus Corp. (The) | 6 | 252 | ||||||
MSG Networks, Inc., Class A†(a)* | 44,406 | 1,145,675 | ||||||
New Media Investment Group, Inc. | 1,843 | 28,917 | ||||||
News Corp., Class A(b) | 207,123 | 2,731,952 | ||||||
Omnicom Group, Inc.(a) | 56,607 | 3,850,408 | ||||||
Scholastic Corp.(a) | 2,518 | 117,565 | ||||||
Sinclair Broadcast Group, Inc., Class A | 10,162 | 288,093 | ||||||
Tribune Media Co., Class A | 19,127 | 735,051 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) |
| |||||||
Twenty-First Century Fox, Inc., Class A(b) | 252,596 | $ | 11,702,773 | |||||
Viacom, Inc., Class B† | 92,240 | 3,114,022 | ||||||
Walt Disney Co. (The)† | 118,282 | 13,831,897 | ||||||
|
| |||||||
64,043,759 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 10.9% |
| |||||||
AbbVie, Inc.†(b) | 44,320 | 4,191,786 | ||||||
Amgen, Inc.† | 34,624 | 7,177,209 | ||||||
Biogen, Inc.†* | 15,661 | 5,533,188 | ||||||
Bluebird Bio, Inc.(a)* | 4,820 | 703,720 | ||||||
Bristol-Myers Squibb Co.† | 65,071 | 4,039,608 | ||||||
Bruker Corp.† | 36,024 | 1,205,003 | ||||||
Cambrex Corp.(a)* | 10,344 | 707,530 | ||||||
Celgene Corp.†* | 63,455 | 5,678,588 | ||||||
Eli Lilly & Co.† | 8,877 | 952,591 | ||||||
Enanta Pharmaceuticals, Inc.* | 801 | 68,453 | ||||||
Exact Sciences Corp.(a)* | 42,971 | 3,391,271 | ||||||
Gilead Sciences, Inc.(b) | 90,199 | 6,964,265 | ||||||
Incyte Corp.* | 645 | 44,557 | ||||||
Innoviva, Inc.(a)* | 98,098 | 1,495,014 | ||||||
Jazz Pharmaceuticals PLC | 1,041 | 175,023 | ||||||
Johnson & Johnson† | 49,184 | 6,795,753 | ||||||
Ligand Pharmaceuticals, Inc.(a)* | 2,009 | 551,450 | ||||||
Merck & Co., Inc.† | 128,975 | 9,149,486 | ||||||
Mettler-Toledo International, Inc.* | 2,855 | 1,738,638 | ||||||
Nektar Therapeutics(a)* | 29,826 | 1,818,193 | ||||||
Neurocrine Biosciences, Inc.(a)* | 3,100 | 381,145 | ||||||
Pfizer, Inc.† | 234,745 | 10,345,212 | ||||||
Phibro Animal Health Corp., Class A† | 1,096 | 47,018 | ||||||
PRA Health Sciences, Inc.†(b)* | 24,488 | 2,698,333 | ||||||
Prestige Consumer Healthcare, | 2,050 | 77,674 | ||||||
QIAGEN NV (Netherlands)* | 43,944 | 1,664,599 | ||||||
Regeneron Pharmaceuticals, Inc.†* | 7,035 | 2,842,421 | ||||||
REGENXBIO, Inc.* | 4,389 | 331,370 | ||||||
Repligen Corp.* | 39 | 2,163 | ||||||
Sarepta Therapeutics, Inc.(a)* | 1,848 | 298,470 | ||||||
Thermo Fisher Scientific, Inc. | 6,160 | 1,503,533 | ||||||
Waters Corp.†(a)* | 8,561 | 1,666,656 | ||||||
Zoetis, Inc.† | 83,743 | 7,667,509 | ||||||
|
| |||||||
91,907,429 | ||||||||
|
| |||||||
Retailing — 16.0% | ||||||||
Aaron’s, Inc. | 1,277 | 69,545 |
The accompanying notes are an integral part of the financial statements.
32
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Advance Auto Parts, Inc.(b) | 57,397 | $ | 9,661,637 | |||||
Amazon.com, Inc.†(b)* | 11,239 | 22,511,717 | ||||||
Asbury Automotive Group, Inc.(a)* | 26,260 | 1,805,375 | ||||||
Ascena Retail Group, Inc.* | 92 | 420 | ||||||
AutoZone, Inc.†(b)* | 12,619 | 9,788,558 | ||||||
Best Buy Co., Inc.(b) | 40,051 | 3,178,447 | ||||||
Booking Holdings, Inc.†(b)* | 1,307 | 2,593,088 | ||||||
CarMax, Inc.(a)* | 39,733 | 2,966,863 | ||||||
Dick’s Sporting Goods, Inc.(a) | 9,351 | 331,773 | ||||||
Dollar General Corp.†(a) | 66,278 | 7,244,185 | ||||||
Dollar Tree, Inc.†* | 5,153 | 420,227 | ||||||
Foot Locker, Inc.(b) | 18,265 | 931,150 | ||||||
Genuine Parts Co.(a)(b) | 32,073 | 3,188,056 | ||||||
Home Depot, Inc. (The)†(a)(b) | 61,479 | 12,735,375 | ||||||
Kohl’s Corp.(a) | 61,480 | 4,583,334 | ||||||
Lowe’s Cos., Inc.†(a) | 95,865 | 11,007,219 | ||||||
Macy’s, Inc.(a) | 54,978 | 1,909,386 | ||||||
Murphy USA, Inc.(a)* | 1,468 | 125,455 | ||||||
Nordstrom, Inc. | 13,599 | 813,356 | ||||||
Nutrisystem, Inc.(a) | 57,429 | 2,127,745 | ||||||
O’Reilly Automotive, Inc.(b)* | 15,295 | 5,312,259 | ||||||
Penske Automotive Group, Inc.(a) | 10,424 | 493,993 | ||||||
PetMed Express, Inc.(a) | 16,235 | 535,917 | ||||||
RH(a)* | 14,690 | 1,924,537 | ||||||
Ross Stores, Inc.† | 74,617 | 7,394,545 | ||||||
Signet Jewelers Ltd. (Bermuda)(a) | 36,700 | 2,419,631 | ||||||
Tailored Brands, Inc.(a) | 53,639 | 1,351,166 | ||||||
Target Corp.(b) | 45,657 | 4,027,404 | ||||||
Tiffany & Co.(b) | 20,424 | 2,634,083 | ||||||
TJX Cos., Inc. (The)†(b) | 80,467 | 9,013,913 | ||||||
TripAdvisor, Inc.(a)* | 8,687 | 443,645 | ||||||
Ulta Beauty, Inc.(a)* | 2,767 | 780,626 | ||||||
Urban Outfitters, Inc.* | 29,061 | 1,188,595 | ||||||
|
| |||||||
135,513,225 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.4% |
| |||||||
Advanced Energy Industries, | 5,282 | 272,815 | ||||||
Analog Devices, Inc.†(a) | 60,388 | 5,583,474 | ||||||
Axcelis Technologies, Inc.* | 11,130 | 218,704 | ||||||
Cabot Microelectronics Corp.(a) | 3,797 | 391,736 | ||||||
Cirrus Logic, Inc.(a)* | 11,526 | 444,904 | ||||||
Cohu, Inc.(a) | 10,200 | 256,020 | ||||||
Diodes, Inc.(a)* | 23,801 | 792,335 | ||||||
Intel Corp.† | 40,469 | 1,913,779 | ||||||
KLA-Tencor Corp.(a)(b) | 40,027 | 4,071,146 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Lam Research Corp.(a) | 34,628 | $ | 5,253,068 | |||||
Maxim Integrated Products, Inc.† | 29,491 | 1,662,998 | ||||||
Micron Technology, Inc.†(a)* | 306,616 | 13,868,242 | ||||||
MKS Instruments, Inc.† | 6,345 | 508,552 | ||||||
Nanometrics, Inc.(a)* | 14,873 | 558,035 | ||||||
ON Semiconductor Corp.(a)* | 116,955 | 2,155,481 | ||||||
Qorvo, Inc.†* | 8,057 | 619,503 | ||||||
QUALCOMM, Inc.†(a) | 117,793 | 8,484,630 | ||||||
SMART Global Holdings, Inc. (Cayman Islands)(a)* | 784 | 22,532 | ||||||
Texas Instruments, Inc.†(a) | 49,221 | 5,280,921 | ||||||
Universal Display Corp.(a) | 1,430 | 168,597 | ||||||
Xcerra Corp.†* | 106,568 | 1,520,725 | ||||||
|
| |||||||
54,048,197 | ||||||||
|
| |||||||
Software & Services — 26.5% | ||||||||
Accenture PLC, Class A (Ireland)†(b) | 56,239 | 9,571,878 | ||||||
Adobe, Inc.†* | 7,738 | 2,088,873 | ||||||
Akamai Technologies, Inc.†(b)* | 44,067 | 3,223,501 | ||||||
Alliance Data Systems Corp.(b) | 7,759 | 1,832,365 | ||||||
Alphabet, Inc., Class A†(b)* | 15,796 | 19,067,036 | ||||||
ANGI Homeservices, Inc., Class A* | 26,714 | 627,245 | ||||||
ANSYS, Inc.†* | 8,852 | 1,652,491 | ||||||
Appfolio, Inc., Class A(a)* | 20,221 | 1,585,326 | ||||||
Aspen Technology, Inc.†* | 20,673 | 2,354,861 | ||||||
Automatic Data Processing, Inc.† | 74,012 | 11,150,648 | ||||||
Avaya Holdings Corp.(a)* | 12,089 | 267,650 | ||||||
Broadridge Financial Solutions, Inc.† | 28,944 | 3,819,161 | ||||||
CA, Inc.† | 197,275 | 8,709,691 | ||||||
CACI International, Inc., Class A†* | 6,429 | 1,183,900 | ||||||
Cadence Design Systems, Inc.†* | 24,647 | 1,117,002 | ||||||
Cardtronics PLC, Class A (United Kingdom)†(a)* | 61,634 | 1,950,100 | ||||||
Cars.com, Inc.(a)* | 55,131 | 1,522,167 | ||||||
CDK Global, Inc.†(b) | 39,446 | 2,467,742 | ||||||
CGI Group, Inc., Class A (Canada)†* | 31,948 | 2,060,007 | ||||||
Cision Ltd. (Cayman Islands)* | 25,572 | 429,610 | ||||||
Citrix Systems, Inc.†* | 60,280 | 6,700,725 | ||||||
CommVault Systems, Inc.* | 2,849 | 199,430 | ||||||
Conduent, Inc.(a)* | 56,775 | 1,278,573 | ||||||
Convergys Corp.(a) | 30,674 | 728,201 | ||||||
DXC Technology Co.†(a)(b) | 92,974 | 8,694,929 | ||||||
eBay, Inc.†* | 130,487 | 4,308,681 | ||||||
Electronic Arts, Inc.* | 18,453 | 2,223,402 |
The accompanying notes are an integral part of the financial statements.
33
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Endurance International Group Holdings, Inc.(a)* | 22,176 | $ | 195,149 | |||||
Envestnet, Inc.(a)* | 5,465 | 333,092 | ||||||
Etsy, Inc.(a)(b)* | 106,438 | 5,468,784 | ||||||
Facebook, Inc., Class A†* | 45,970 | 7,560,226 | ||||||
Fair Isaac Corp.†* | 8,871 | 2,027,467 | ||||||
Fidelity National Information Services, Inc. | 16,385 | 1,787,112 | ||||||
Fiserv, Inc.(a)* | 56,114 | 4,622,671 | ||||||
FleetCor Technologies, Inc.(a)(b)* | 11,800 | 2,688,512 | ||||||
Fortinet, Inc.(a)(b)* | 41,523 | 3,831,327 | ||||||
Globant SA (Luxembourg)* | 7,486 | 441,599 | ||||||
GoDaddy, Inc., Class A(b)* | 38,296 | 3,193,504 | ||||||
GrubHub, Inc.* | 8,990 | 1,246,194 | ||||||
IAC/InterActiveCorp.†* | 18,225 | 3,949,722 | ||||||
International Business Machines Corp.† | 36,040 | 5,449,608 | ||||||
Intuit, Inc.†(b) | 63,510 | 14,442,174 | ||||||
j2 Global, Inc.(a) | 19,735 | 1,635,045 | ||||||
LogMeIn, Inc.(b) | 6,836 | 609,088 | ||||||
Manhattan Associates, Inc.†(a)* | 12,083 | 659,732 | ||||||
ManTech International Corp., | 3,188 | 201,800 | ||||||
Mastercard, Inc., Class A(a) | 10,550 | 2,348,536 | ||||||
MAXIMUS, Inc. | 3,200 | 208,192 | ||||||
Microsoft Corp.† | 32,913 | 3,764,260 | ||||||
Monotype Imaging Holdings, Inc. | 2,329 | 47,046 | ||||||
NIC, Inc.(a) | 14,439 | 213,697 | ||||||
Open Text Corp. (Canada)† | 47,912 | 1,822,572 | ||||||
Oracle Corp.† | 243,223 | 12,540,578 | ||||||
Paychex, Inc.†(a)(b) | 136,333 | 10,040,926 | ||||||
Paycom Software, Inc.(a)* | 8,017 | 1,245,922 | ||||||
Perficient, Inc.* | 319 | 8,501 | ||||||
Progress Software Corp.(b) | 56,444 | 1,991,909 | ||||||
Qualys, Inc.(a)* | 10,535 | 938,668 | ||||||
QuinStreet, Inc.(a)* | 7,111 | 96,496 | ||||||
Red Hat, Inc.(a)* | 3,501 | 477,116 | ||||||
salesforce.com, Inc.†* | 24,525 | 3,900,211 | ||||||
ServiceNow, Inc.* | 2,809 | 549,525 | ||||||
Shutterstock, Inc.(a) | 4,681 | 255,489 | ||||||
SPS Commerce, Inc.* | 5,517 | 547,507 | ||||||
SS&C Technologies Holdings, | 7,710 | 438,159 | ||||||
Stamps.com, Inc.(a)* | 5,592 | 1,264,910 | ||||||
Symantec Corp. | 13,902 | 295,835 |
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Synopsys, Inc.†(a)* | 17,763 | $ | 1,751,609 | |||||
Total System Services, Inc. | 3,358 | 331,569 | ||||||
Trade Desk, Inc. (The), Class A(a)* | 10,718 | 1,617,453 | ||||||
Tyler Technologies, Inc.†(a)* | 2,770 | 678,816 | ||||||
VeriSign, Inc.(b)* | 44,039 | 7,051,525 | ||||||
Visa, Inc., Class A(a) | 35,423 | 5,316,638 | ||||||
VMware, Inc., Class A* | 12,322 | 1,922,971 | ||||||
Web.com Group, Inc.(a)* | 38,967 | 1,087,179 | ||||||
XO Group, Inc.* | 1,145 | 39,480 | ||||||
|
| |||||||
223,951,296 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 14.2% |
| |||||||
Amphenol Corp., Class A | 25,110 | 2,360,842 | ||||||
Apple, Inc.† | 68,946 | 15,563,870 | ||||||
Arista Networks, Inc.†* | 1,009 | 268,253 | ||||||
Avnet, Inc. | 11,524 | 515,930 | ||||||
AVX Corp.† | 8,111 | 146,404 | ||||||
Casa Systems, Inc.(a)* | 8,278 | 122,100 | ||||||
CDW Corp.(b) | 22,944 | 2,040,180 | ||||||
Ciena Corp.†(a)* | 60,358 | 1,885,584 | ||||||
Cisco Systems, Inc.† | 273,076 | 13,285,147 | ||||||
CommScope Holding Co., Inc.* | 40,438 | 1,243,873 | ||||||
Corning, Inc. | 3,506 | 123,762 | ||||||
Dolby Laboratories, Inc., Class A | 22,742 | 1,591,258 | ||||||
EchoStar Corp., Class A†* | 31,380 | 1,455,091 | ||||||
Electro Scientific Industries, Inc.(a)* | 33,558 | 585,587 | ||||||
F5 Networks, Inc.†* | 24,122 | 4,810,409 | ||||||
FLIR Systems, Inc.(b) | 87,619 | 5,385,940 | ||||||
Hewlett Packard Enterprise Co.†(a) | 345,127 | 5,629,021 | ||||||
HP, Inc.†(b) | 564,740 | 14,553,350 | ||||||
Insight Enterprises, Inc.* | 23,313 | 1,261,000 | ||||||
InterDigital, Inc.† | 18,295 | 1,463,600 | ||||||
Jabil, Inc.(a)(b) | 41,594 | 1,126,366 | ||||||
Juniper Networks, Inc.† | 34,865 | 1,044,904 | ||||||
KEMET Corp.†* | 125,638 | 2,330,585 | ||||||
Knowles Corp.(a)* | 37,603 | 624,962 | ||||||
Mesa Laboratories, Inc.(a) | 58 | 10,766 | ||||||
Mitel Networks Corp. (Canada)†* | 37,414 | 412,302 | ||||||
Motorola Solutions, Inc.† | 51,635 | 6,719,779 | ||||||
MTS Systems Corp.(a) | 1,457 | 79,771 | ||||||
NetApp, Inc.†(a) | 109,360 | 9,392,930 | ||||||
NETGEAR, Inc.(a)* | 11,779 | 740,310 | ||||||
Novanta, Inc. (Canada)* | 789 | 53,968 | ||||||
OSI Systems, Inc.(a)* | 17,288 | 1,319,247 | ||||||
Plantronics, Inc.(a) | 9,652 | 582,016 |
The accompanying notes are an integral part of the financial statements.
34
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Seagate Technology PLC | 92,389 | $ | 4,374,619 | |||||
TE Connectivity Ltd. | 116,518 | 10,245,428 | ||||||
TTM Technologies, Inc.(a)* | 9,219 | 146,674 | ||||||
Ubiquiti Networks, Inc.(a) | 3,539 | 349,866 | ||||||
Vishay Intertechnology, Inc.(a) | 99,066 | 2,015,993 | ||||||
Western Digital Corp.(b) | 15,139 | 886,237 | ||||||
Xerox Corp.(a) | 57,260 | 1,544,875 | ||||||
Zebra Technologies Corp., Class A†* | 9,546 | 1,688,019 | ||||||
|
| |||||||
119,980,818 | ||||||||
|
| |||||||
Telecommunication Services — 2.8% |
| |||||||
BCE, Inc. (Canada)† | 35,147 | 1,424,156 | ||||||
CenturyLink, Inc.(a) | 140,233 | 2,972,940 | ||||||
Globalstar, Inc.* | 4,093 | 2,079 | ||||||
Intelsat SA (Luxembourg)* | 55,800 | 1,674,000 | ||||||
Rogers Communications, Inc., Class B (Canada)† | 44,323 | 2,278,646 | ||||||
Verizon Communications, | 234,209 | 12,504,419 | ||||||
Vonage Holdings Corp.(a)* | 210,018 | 2,973,855 | ||||||
|
| |||||||
23,830,095 | ||||||||
|
| |||||||
Transportation — 7.5% | ||||||||
American Airlines Group, Inc.(a) | 130,198 | 5,381,083 | ||||||
ArcBest Corp. | 20,855 | 1,012,510 | ||||||
CH Robinson Worldwide, Inc.(a)(b) | 39,323 | 3,850,508 | ||||||
CSX Corp.†(a) | 77,355 | 5,728,138 | ||||||
Echo Global Logistics, Inc.* | 1,589 | 49,180 | ||||||
Expeditors International of Washington, Inc.(a)(b) | 118,395 | 8,705,584 | ||||||
FedEx Corp.†(b) | 28,364 | 6,829,768 | ||||||
Forward Air Corp.(a) | 2,491 | 178,605 | ||||||
Heartland Express, Inc.(a) | 19,329 | 381,361 | ||||||
JB Hunt Transport Services, | 5,266 | 626,338 | ||||||
Landstar System, Inc.(a) | 18,528 | 2,260,416 | ||||||
Norfolk Southern Corp.† | 51,209 | 9,243,224 | ||||||
Old Dominion Freight Line, Inc.(a) | 2,826 | 455,721 | ||||||
Schneider National, Inc., | 45,304 | 1,131,694 | ||||||
Southwest Airlines Co.(a) | 21,731 | 1,357,101 | ||||||
Union Pacific Corp.†(a) | 48,900 | 7,962,387 | ||||||
United Continental Holdings, Inc.†* | 33,814 | 3,011,475 | ||||||
United Parcel Service, Inc., Class B† | 39,249 | 4,582,321 |
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
XPO Logistics, Inc.(a)* | 3,269 | $ | 373,222 | |||||
|
| |||||||
63,120,636 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 1,460,272,515 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 172.7% | 1,460,272,515 | |||||||
|
| |||||||
(Cost $1,228,280,524) | ||||||||
SHORT POSITIONS — (73.5)% |
| |||||||
COMMON STOCKS — (73.5)% |
| |||||||
Automobiles & Components — (2.3)% |
| |||||||
Adient PLC (Ireland) | (55,773 | ) | (2,192,437 | ) | ||||
Aptiv PLC (Jersey) | (23,298 | ) | (1,954,702 | ) | ||||
Cooper Tire & Rubber Co. | (76,395 | ) | (2,161,978 | ) | ||||
Dorman Products, Inc.* | (24,445 | ) | (1,880,309 | ) | ||||
Ford Motor Co. | (176,644 | ) | (1,633,957 | ) | ||||
Fox Factory Holding Corp.* | (220 | ) | (15,411 | ) | ||||
General Motors Co. | (59,692 | ) | (2,009,830 | ) | ||||
Gentherm, Inc.* | (9,114 | ) | (414,231 | ) | ||||
LCI Industries | (29,393 | ) | (2,433,740 | ) | ||||
Modine Manufacturing Co.* | (22 | ) | (328 | ) | ||||
Tesla, Inc.* | (17,332 | ) | (4,588,994 | ) | ||||
Tower International, Inc. | (806 | ) | (24,382 | ) | ||||
|
| |||||||
(19,310,299 | ) | |||||||
|
| |||||||
Capital Goods — (11.1)% | ||||||||
AAON, Inc. | (27,775 | ) | (1,049,895 | ) | ||||
AAR Corp. | (823 | ) | (39,413 | ) | ||||
Aegion Corp.* | (510 | ) | (12,944 | ) | ||||
Alamo Group, Inc. | (5,802 | ) | (531,521 | ) | ||||
Ameresco, Inc., Class A* | (100 | ) | (1,365 | ) | ||||
American Railcar Industries, Inc. | (8,329 | ) | (383,967 | ) | ||||
American Woodmark Corp.* | (24,711 | ) | (1,938,578 | ) | ||||
Astec Industries, Inc. | (10,085 | ) | (508,385 | ) | ||||
Astronics Corp.* | (12,760 | ) | (555,060 | ) | ||||
Axon Enterprise, Inc.* | (23,551 | ) | (1,611,595 | ) | ||||
Beacon Roofing Supply, Inc.* | (80,513 | ) | (2,913,765 | ) | ||||
Blue Bird Corp.* | (3,229 | ) | (79,110 | ) | ||||
Briggs & Stratton Corp. | (3,258 | ) | (62,651 | ) | ||||
Builders FirstSource, Inc.* | (141,164 | ) | (2,072,287 | ) | ||||
BWX Technologies, Inc. | (7,730 | ) | (483,434 | ) | ||||
CIRCOR International, Inc. | (32,530 | ) | (1,545,175 | ) | ||||
Construction Partners, Inc., Class A* | (701 | ) | (8,482 | ) |
The accompanying notes are an integral part of the financial statements.
35
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Cummins, Inc. | (9,867 | ) | $ | (1,441,273 | ) | |||
Douglas Dynamics, Inc. | (2,639 | ) | (115,852 | ) | ||||
DXP Enterprises, Inc.* | (9,625 | ) | (385,674 | ) | ||||
Dycom Industries, Inc.* | (35,307 | ) | (2,986,972 | ) | ||||
EMCOR Group, Inc. | (170 | ) | (12,769 | ) | ||||
Encore Wire Corp. | (2,637 | ) | (132,114 | ) | ||||
EnPro Industries, Inc. | (9,552 | ) | (696,627 | ) | ||||
ESCO Technologies, Inc. | (4,506 | ) | (306,633 | ) | ||||
Evoqua Water Technologies Corp.* | (74,431 | ) | (1,323,383 | ) | ||||
Flowserve Corp. | (46,008 | ) | (2,516,177 | ) | ||||
Franklin Electric Co., Inc. | (9,092 | ) | (429,597 | ) | ||||
Gates Industrial Corp. PLC (United Kingdom)* | (35,706 | ) | (696,267 | ) | ||||
General Dynamics Corp. | (26,367 | ) | (5,397,852 | ) | ||||
GMS, Inc.* | (17,806 | ) | (413,099 | ) | ||||
Granite Construction, Inc. | (33,278 | ) | (1,520,805 | ) | ||||
HEICO Corp. | (9,047 | ) | (837,843 | ) | ||||
Herc Holdings, Inc.* | (4,827 | ) | (247,142 | ) | ||||
Huntington Ingalls Industries, Inc. | (3,872 | ) | (991,542 | ) | ||||
Hyster-Yale Materials Handling, Inc. | (4,587 | ) | (282,238 | ) | ||||
JELD-WEN Holding, Inc.* | (78,078 | ) | (1,925,403 | ) | ||||
John Bean Technologies Corp. | (4,828 | ) | (575,980 | ) | ||||
Kratos Defense & Security Solutions, Inc.* | (134,979 | ) | (1,994,990 | ) | ||||
Lindsay Corp. | (3,250 | ) | (325,780 | ) | ||||
Lydall, Inc.* | (5,124 | ) | (220,844 | ) | ||||
MasTec, Inc.* | (36,277 | ) | (1,619,768) | |||||
Maxar Technologies Ltd. (Canada) | (49,745 | ) | (1,645,067 | ) | ||||
Mercury Systems, Inc.* | (44,692 | ) | (2,472,361 | ) | ||||
Meritor, Inc.* | (23,713 | ) | (459,084 | ) | ||||
Middleby Corp. (The)* | (30,801 | ) | (3,984,109 | ) | ||||
MRC Global, Inc.* | (173,790 | ) | (3,262,038 | ) | ||||
Mueller Water Products, Inc., Class A | (59,059 | ) | (679,769 | ) | ||||
Navistar International Corp.* | (15,946 | ) | (613,921 | ) | ||||
Northrop Grumman Corp. | (21,577 | ) | (6,847,892 | ) | ||||
NOW, Inc.* | (146,319 | ) | (2,421,579 | ) | ||||
Patrick Industries, Inc.* | (26,271 | ) | (1,555,243 | ) | ||||
Primoris Services Corp. | (13,977 | ) | (346,909 | ) | ||||
Proto Labs, Inc.* | (41 | ) | (6,632 | ) | ||||
Raven Industries, Inc. | (4,837 | ) | (221,293 | ) | ||||
Regal Beloit Corp. | (3,567 | ) | (294,099 | ) | ||||
REV Group, Inc. | (71,210 | ) | (1,117,997 | ) | ||||
Roper Technologies, Inc. | (9,996 | ) | (2,960,915 | ) | ||||
SiteOne Landscape Supply, Inc.* | (8,830 | ) | (665,252 | ) |
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
SPX Corp.* | (35,379 | ) | $ | (1,178,474 | ) | |||
Stanley Black & Decker, Inc. | (24,581 | ) | (3,599,642 | ) | ||||
Sun Hydraulics Corp. | (5,495 | ) | (301,016 | ) | ||||
Sunrun, Inc.* | (102,356 | ) | (1,273,309 | ) | ||||
Textainer Group Holdings Ltd. (Bermuda)* | (5,787 | ) | (74,074 | ) | ||||
Thermon Group Holdings, Inc.* | (20,742 | ) | (534,729 | ) | ||||
Timken Co. (The) | (17,199 | ) | (857,370 | ) | ||||
TPI Composites, Inc.* | (19,603 | ) | (559,666 | ) | ||||
Trex Co., Inc.* | (17,164 | ) | (1,321,285 | ) | ||||
Triumph Group, Inc. | (55,432 | ) | (1,291,566 | ) | ||||
Universal Forest Products, Inc. | (29,728 | ) | (1,050,290 | ) | ||||
USG Corp. | (76,387 | ) | (3,308,321 | ) | ||||
Vicor Corp.* | (14,689 | ) | (675,694 | ) | ||||
Vivint Solar, Inc.* | (3,798 | ) | (19,750 | ) | ||||
Wabash National Corp. | (4,597 | ) | (83,803 | ) | ||||
Welbilt, Inc.* | (89,389 | ) | (1,866,442 | ) | ||||
Wesco Aircraft Holdings, Inc.* | (100,899 | ) | (1,135,114 | ) | ||||
Woodward, Inc. | (44,608 | ) | (3,607,003 | ) | ||||
|
| |||||||
(93,485,959 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (1.7)% |
| |||||||
ABM Industries, Inc. | (33,525 | ) | (1,081,181 | ) | ||||
ACCO Brands Corp. | (4,250 | ) | (48,025 | ) | ||||
ADT, Inc. | (33,548 | ) | (315,016 | ) | ||||
Advanced Disposal Services, Inc.* | (39,110 | ) | (1,059,099 | ) | ||||
ASGN, Inc.* | (14,210 | ) | (1,121,595 | ) | ||||
Barrett Business Services, Inc. | (2,290 | ) | (152,926 | ) | ||||
Casella Waste Systems, Inc., | (25,209 | ) | (782,991 | ) | ||||
Cimpress NV (Netherlands)* | (3,475 | ) | (474,720 | ) | ||||
Civeo Corp. (Canada)* | (1,448 | ) | (6,009 | ) | ||||
Clean Harbors, Inc.* | (7,888 | ) | (564,623 | ) | ||||
CoStar Group, Inc.* | (286 | ) | (120,360 | ) | ||||
Covanta Holding Corp. | (47,927 | ) | (778,814 | ) | ||||
Forrester Research, Inc. | (6,077 | ) | (278,934 | ) | ||||
Healthcare Services Group, Inc. | (54,643 | ) | (2,219,599 | ) | ||||
HNI Corp. | (17,101 | ) | (756,548 | ) | ||||
Huron Consulting Group, Inc.* | (3,637 | ) | (179,668 | ) | ||||
Insperity, Inc. | (2,383 | ) | (281,075 | ) | ||||
Matthews International Corp., | (764 | ) | (38,315 | ) | ||||
Multi-Color Corp. | (20,077 | ) | (1,249,793 | ) | ||||
Pitney Bowes, Inc. | (77,386 | ) | (547,893 | ) | ||||
Steelcase, Inc., Class A | (507 | ) | (9,380 | ) |
The accompanying notes are an integral part of the financial statements.
36
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Team, Inc.* | (52,887 | ) | $ | (1,189,957 | ) | |||
TransUnion | (10,910 | ) | (802,758 | ) | ||||
UniFirst Corp. | (1,749 | ) | (303,714 | ) | ||||
Viad Corp. | (7,491 | ) | (443,842 | ) | ||||
|
| |||||||
(14,806,835 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (3.3)% |
| |||||||
American Outdoor Brands Corp.* | (101,698 | ) | (1,579,370 | ) | ||||
Callaway Golf Co. | (8,321 | ) | (202,117 | ) | ||||
Canada Goose Holdings, Inc. (Canada)* | (45,123 | ) | (2,912,238 | ) | ||||
G-III Apparel Group Ltd.* | (4,240 | ) | (204,326 | ) | ||||
Gildan Activewear, Inc. (Canada) | (44,049 | ) | (1,340,411 | ) | ||||
GoPro, Inc., Class A* | (44,155 | ) | (317,916 | ) | ||||
Hanesbrands, Inc. | (58,654 | ) | (1,080,993 | ) | ||||
Installed Building Products, Inc.* | (21,314 | ) | (831,246 | ) | ||||
iRobot Corp.* | (11,379 | ) | (1,250,780 | ) | ||||
Leggett & Platt, Inc. | (6,465 | ) | (283,102 | ) | ||||
Marine Products Corp. | (112 | ) | (2,564 | ) | ||||
Mattel, Inc.* | (351,779 | ) | (5,522,930 | ) | ||||
Mohawk Industries, Inc.* | (6,088 | ) | (1,067,531 | ) | ||||
Newell Brands, Inc. | (79,388 | ) | (1,611,576 | ) | ||||
Oxford Industries, Inc. | (13,298 | ) | (1,199,480 | ) | ||||
Polaris Industries, Inc. | (24,915 | ) | (2,515,169 | ) | ||||
Skechers U.S.A., Inc., Class A* | (56,507 | ) | (1,578,240 | ) | ||||
Tempur Sealy International, Inc.* | (81,010 | ) | (4,285,429 | ) | ||||
Wolverine World Wide, Inc. | (8,322 | ) | (324,974 | ) | ||||
|
| |||||||
(28,110,392 | ) | |||||||
|
| |||||||
Consumer Services — (5.0)% | ||||||||
Aramark | (108,903 | ) | (4,685,007 | ) | ||||
Carnival Corp. (Panama) | (21,003 | ) | (1,339,361 | ) | ||||
Carrols Restaurant Group, Inc.* | (21,428 | ) | (312,849 | ) | ||||
Cheesecake Factory, Inc. (The) | (2,323 | ) | (124,373 | ) | ||||
Chegg, Inc.* | (7,775 | ) | (221,043 | ) | ||||
Chipotle Mexican Grill, Inc.* | (6,407 | ) | (2,912,110 | ) | ||||
Dave & Buster’s Entertainment, Inc. | (59,437 | ) | (3,935,918 | ) | ||||
Domino’s Pizza, Inc. | (2,105 | ) | (620,554 | ) | ||||
Fiesta Restaurant Group, Inc.* | (31,039 | ) | (830,293 | ) | ||||
Golden Entertainment, Inc.* | (16,593 | ) | (398,398 | ) | ||||
Houghton Mifflin Harcourt Co.* | (53,283 | ) | (372,981 | ) | ||||
International Speedway Corp., Class A | (7,136 | ) | (312,557 | ) | ||||
MGM Resorts International | (43,497 | ) | (1,214,001 | ) | ||||
Monarch Casino & Resort, Inc.* | (7,033 | ) | (319,650 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (90,181 | ) | $ | (5,179,095 | ) | |||
Papa John’s International, Inc. | (18,734 | ) | (960,679 | ) | ||||
PlayAGS, Inc.* | (13,889 | ) | (409,309 | ) | ||||
Red Robin Gourmet Burgers, Inc.* | (7,649 | ) | (307,107 | ) | ||||
Red Rock Resorts, Inc., Class A | (48,831 | ) | (1,301,346 | ) | ||||
Royal Caribbean Cruises Ltd. (Liberia) | (35,938 | ) | (4,669,784 | ) | ||||
Service Corp. International | (55,160 | ) | (2,438,072 | ) | ||||
Shake Shack, Inc., Class A* | (25,528 | ) | (1,608,519 | ) | ||||
Six Flags Entertainment Corp. | (30,760 | ) | (2,147,663 | ) | ||||
Starbucks Corp. | (22,205 | ) | (1,262,132 | ) | ||||
Strategic Education, Inc. | (1,508 | ) | (206,641 | ) | ||||
Weight Watchers International, Inc.* | (795 | ) | (57,232 | ) | ||||
Wingstop, Inc. | (24,683 | ) | (1,685,108 | ) | ||||
Wynn Resorts Ltd. | (22,283 | ) | (2,831,278 | ) | ||||
|
| |||||||
(42,663,060 | ) | |||||||
|
| |||||||
Energy — (4.0)% | ||||||||
Andeavor | (21,118 | ) | (3,241,613 | ) | ||||
Cheniere Energy, Inc.* | (36,214 | ) | (2,516,511 | ) | ||||
DHT Holdings, Inc. (Marshall Islands) | (19,093 | ) | (89,737 | ) | ||||
Exterran Corp.* | (1,734 | ) | (46,003 | ) | ||||
Forum Energy Technologies, Inc.* | (170,393 | ) | (1,763,567 | ) | ||||
Green Plains, Inc. | (143,893 | ) | (2,474,960 | ) | ||||
Helix Energy Solutions Group, Inc.* | (65,439 | ) | (646,537 | ) | ||||
Keane Group, Inc.* | (78,012 | ) | (965,008 | ) | ||||
Liberty Oilfield Services, Inc., Class A | (62,023 | ) | (1,337,836 | ) | ||||
Nabors Industries Ltd. (Bermuda) | (81,661 | ) | (503,032 | ) | ||||
Newpark Resources, Inc.* | (16,139 | ) | (167,039 | ) | ||||
NexGen Energy Ltd. (Canada)* | (12,927 | ) | (26,500 | ) | ||||
Nine Energy Service, Inc.* | (7,375 | ) | (225,528 | ) | ||||
Occidental Petroleum Corp. | (16,394 | ) | (1,347,095 | ) | ||||
Oil States International, Inc.* | (27,633 | ) | (917,416 | ) | ||||
Par Pacific Holdings, Inc.* | (10,620 | ) | (216,648 | ) | ||||
Patterson-UTI Energy, Inc. | (11,988 | ) | (205,115 | ) | ||||
REX American Resources Corp.* | (435 | ) | (32,864 | ) | ||||
Select Energy Services, Inc., | (50,287 | ) | (595,398 | ) | ||||
SemGroup Corp., Class A | (97,181 | ) | (2,142,841 | ) | ||||
Solaris Oilfield Infrastructure, Inc., Class A* | (93,262 | ) | (1,761,719 | ) | ||||
Suncor Energy, Inc. (Canada) | (46,624 | ) | (1,803,882 | ) | ||||
Superior Energy Services, Inc.* | (29,184 | ) | (284,252 | ) | ||||
Targa Resources Corp. | (71,245 | ) | (4,011,806 | ) |
The accompanying notes are an integral part of the financial statements.
37
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
TransCanada Corp. (Canada) | (52,466 | ) | $ | (2,122,774 | ) | |||
Unit Corp.* | (15,760 | ) | (410,706 | ) | ||||
US Silica Holdings, Inc. | (191,661 | ) | (3,608,977 | ) | ||||
|
| |||||||
(33,465,364 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (1.4)% |
| |||||||
Casey’s General Stores, Inc. | (20,036 | ) | (2,586,848 | ) | ||||
Chefs’ Warehouse, Inc. (The)* | (2,974 | ) | (108,105 | ) | ||||
Costco Wholesale Corp. | (7,735 | ) | (1,816,797 | ) | ||||
Ingles Markets, Inc., Class A | (3,016 | ) | (103,298 | ) | ||||
Performance Food Group Co.* | (15,354 | ) | (511,288 | ) | ||||
PriceSmart, Inc. | (26,492 | ) | (2,144,527 | ) | ||||
Rite Aid Corp.* | (730,820 | ) | (935,450 | ) | ||||
Sprouts Farmers Market, Inc.* | (26,282 | ) | (720,390 | ) | ||||
United Natural Foods, Inc.* | (89,597 | ) | (2,683,430 | ) | ||||
|
| |||||||
(11,610,133 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (4.1)% |
| |||||||
B&G Foods, Inc. | (49,984 | ) | (1,372,061 | ) | ||||
Boston Beer Co., Inc. (The), Class A* | (1,660 | ) | (477,250 | ) | ||||
Bunge Ltd. (Bermuda) | (68,297 | ) | (4,692,687 | ) | ||||
Calavo Growers, Inc. | (10,456 | ) | (1,010,050 | ) | ||||
Campbell Soup Co. | (37,812 | ) | (1,385,054 | ) | ||||
Coca-Cola Bottling Co. Consolidated | (7,413 | ) | (1,351,242 | ) | ||||
Cott Corp. (Canada) | (12,195 | ) | (196,949 | ) | ||||
Darling Ingredients, Inc.* | (75,380 | ) | (1,456,342 | ) | ||||
Fresh Del Monte Produce, Inc. (Cayman Islands) | (38,681 | ) | (1,310,899 | ) | ||||
Hain Celestial Group, Inc. (The)* | (136,015 | ) | (3,688,727 | ) | ||||
Hormel Foods Corp. | (36,470 | ) | (1,436,918 | ) | ||||
Hostess Brands, Inc.* | (43,073 | ) | (476,818 | ) | ||||
J&J Snack Foods Corp. | (7,095 | ) | (1,070,565 | ) | ||||
JM Smucker Co. (The) | (34,913 | ) | (3,582,423 | ) | ||||
John B Sanfilippo & Son, Inc. | (5,933 | ) | (423,498 | ) | ||||
Lancaster Colony Corp. | (2,693 | ) | (401,823 | ) | ||||
MGP Ingredients, Inc. | (14,514 | ) | (1,146,316 | ) | ||||
Monster Beverage Corp.* | (16,284 | ) | (949,032 | ) | ||||
National Beverage Corp.* | (7,405 | ) | (863,571 | ) | ||||
Primo Water Corp.* | (19,673 | ) | (355,098 | ) | ||||
Sanderson Farms, Inc. | (59,469 | ) | (6,147,311 | ) | ||||
SunOpta, Inc. (Canada)* | (6,725 | ) | (49,429 | ) | ||||
Tootsie Roll Industries, Inc. | (6,301 | ) | (184,304 | ) | ||||
Turning Point Brands, Inc. | (4,574 | ) | (189,638 | ) | ||||
Vector Group Ltd. | (19,113 | ) | (263,379 | ) | ||||
|
| |||||||
(34,481,384 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (3.6)% |
| |||||||
Addus HomeCare Corp.* | (3,297 | ) | $ | (231,285 | ) | |||
AngioDynamics, Inc.* | (340 | ) | (7,392 | ) | ||||
AxoGen, Inc.* | (18,034 | ) | (664,553 | ) | ||||
CorVel Corp.* | (481 | ) | (28,980 | ) | ||||
Diplomat Pharmacy, Inc.* | (77,330 | ) | (1,500,975 | ) | ||||
Ensign Group, Inc. (The) | (9,493 | ) | (359,974 | ) | ||||
Evolent Health, Inc., Class A* | (81,007 | ) | (2,300,599 | ) | ||||
Hanger, Inc.* | (767 | ) | (15,977 | ) | ||||
Heska Corp.* | (729 | ) | (82,603 | ) | ||||
Inovalon Holdings, Inc., Class A* | (50,182 | ) | (504,329 | ) | ||||
Inspire Medical Systems, Inc.* | (10,921 | ) | (459,556 | ) | ||||
Insulet Corp.* | (38,236 | ) | (4,051,104 | ) | ||||
iRhythm Technologies, Inc.* | (713 | ) | (67,493 | ) | ||||
K2M Group Holdings, Inc.* | (1,664 | ) | (45,544 | ) | ||||
LHC Group, Inc.* | (8,093 | ) | (833,498 | ) | ||||
Medidata Solutions, Inc.* | (43,718 | ) | (3,204,967 | ) | ||||
Merit Medical Systems, Inc.* | (36,708 | ) | (2,255,707 | ) | ||||
National Research Corp. | (1,149 | ) | (44,351 | ) | ||||
Nevro Corp.* | (63,776 | ) | (3,635,232 | ) | ||||
NxStage Medical, Inc.* | (47,433 | ) | (1,322,906 | ) | ||||
OraSure Technologies, Inc.* | (38,641 | ) | (597,003 | ) | ||||
RadNet, Inc.* | (24,535 | ) | (369,252 | ) | ||||
Select Medical Holdings Corp.* | (36,928 | ) | (679,475 | ) | ||||
Senseonics Holdings, Inc.* | (112,659 | ) | (537,383 | ) | ||||
Sientra, Inc.* | (8,305 | ) | (198,323 | ) | ||||
Surgery Partners, Inc.* | (16,868 | ) | (278,322 | ) | ||||
US Physical Therapy, Inc. | (3,399 | ) | (403,121 | ) | ||||
ViewRay, Inc.* | (107,329 | ) | (1,004,599 | ) | ||||
Vocera Communications, Inc.* | (33,747 | ) | (1,234,465 | ) | ||||
Wright Medical Group NV (Netherlands)* | (121,861 | ) | (3,536,406 | ) | ||||
|
| |||||||
(30,455,374 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.7)% |
| |||||||
Central Garden & Pet Co., Class A* | (35,075 | ) | (1,162,386 | ) | ||||
Coty, Inc., Class A | (206,592 | ) | (2,594,796 | ) | ||||
elf Beauty, Inc.* | (16,766 | ) | (213,431 | ) | ||||
Inter Parfums, Inc. | (7,842 | ) | (505,417 | ) | ||||
Spectrum Brands Holdings, Inc. | (17,575 | ) | (1,313,204 | ) | ||||
WD-40 Co. | (1,231 | ) | (211,855 | ) | ||||
|
| |||||||
(6,001,089 | ) | |||||||
|
| |||||||
Materials — (4.7)% | ||||||||
A. Schulman, Inc. CVR(c) | (10,821 | ) | (21,642 | ) | ||||
Air Products & Chemicals, Inc. | (9,561 | ) | (1,597,165 | ) | ||||
Avery Dennison Corp. | (3,158 | ) | (342,169 | ) |
The accompanying notes are an integral part of the financial statements.
38
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Axalta Coating Systems Ltd. (Bermuda)* | (11,881 | ) | $ | (346,450 | ) | |||
Ball Corp. | (6,840 | ) | (300,892 | ) | ||||
Boise Cascade Co. | (4,040 | ) | (148,672 | ) | ||||
Cabot Corp. | (34,961 | ) | (2,192,754 | ) | ||||
Chase Corp. | (1,035 | ) | (124,355 | ) | ||||
Crown Holdings, Inc.* | (50,591 | ) | (2,428,368 | ) | ||||
Ferro Corp.* | (82,533 | ) | (1,916,416 | ) | ||||
GCP Applied Technologies, Inc.* | (18,104 | ) | (480,661 | ) | ||||
Graphic Packaging Holding Co. | (159,066 | ) | (2,228,515 | ) | ||||
Huntsman Corp. | (81,376 | ) | (2,215,868 | ) | ||||
Ingevity Corp.* | (26,181 | ) | (2,667,320 | ) | ||||
Innophos Holdings, Inc. | (16,877 | ) | (749,339 | ) | ||||
Innospec, Inc. | (1,683 | ) | (129,170 | ) | ||||
KapStone Paper and Packaging Corp. | (11,471 | ) | (388,982 | ) | ||||
Koppers Holdings, Inc.* | (10,111 | ) | (314,958 | ) | ||||
Martin Marietta Materials, Inc. | (28,236 | ) | (5,137,540 | ) | ||||
Neenah, Inc. | (1,628 | ) | (140,496 | ) | ||||
NewMarket Corp. | (479 | ) | (194,239 | ) | ||||
Nutrien Ltd. (Canada) | (35,646 | ) | (2,056,774 | ) | ||||
Olin Corp. | (18,026 | ) | (462,908 | ) | ||||
Packaging Corp. of America | (2,168 | ) | (237,808 | ) | ||||
PH Glatfelter Co. | (35,847 | ) | (685,036 | ) | ||||
PQ Group Holdings, Inc.* | (13,725 | ) | (239,776 | ) | ||||
Rayonier Advanced Materials, Inc. | (32,799 | ) | (604,486 | ) | ||||
Sensient Technologies Corp. | (19,551 | ) | (1,495,847 | ) | ||||
Silgan Holdings, Inc. | (37,210 | ) | (1,034,438 | ) | ||||
Sonoco Products Co. | (3,340 | ) | (185,370 | ) | ||||
Summit Materials, Inc., Class A* | (31,214 | ) | (567,471 | ) | ||||
Tronox Ltd., Class A (Australia) | (45,055 | ) | (538,407 | ) | ||||
US Concrete, Inc.* | (65,851 | ) | (3,019,268 | ) | ||||
Valvoline, Inc. | (6,409 | ) | (137,858 | ) | ||||
Venator Materials PLC (United Kingdom)* | (90,136 | ) | (811,224 | ) | ||||
WestRock Co. | (8,537 | ) | (456,217 | ) | ||||
WR Grace & Co. | (45,630 | ) | (3,260,720 | ) | ||||
|
| |||||||
(39,859,579 | ) | |||||||
|
| |||||||
Media — (2.3)% |
| |||||||
Altice USA, Inc., Class A | (108,385 | ) | (1,966,104 | ) | ||||
Boston Omaha Corp., Class A* | (761 | ) | (22,754 | ) | ||||
Charter Communications, Inc., Class A* | (12,107 | ) | (3,945,429 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) |
| |||||||
Entercom Communications Corp., Class A | (272,009 | ) | $ | (2,148,871 | ) | |||
EW Scripps Co. (The), Class A | (82,151 | ) | (1,355,491 | ) | ||||
Lions Gate Entertainment Corp., Class B (Canada) | (26,900 | ) | (626,770 | ) | ||||
Live Nation Entertainment, Inc.* | (37,735 | ) | (2,055,425 | ) | ||||
Madison Square Garden Co. (The), Class A* | (6,397 | ) | (2,017,102 | ) | ||||
Meredith Corp. | (50,536 | ) | (2,579,863 | ) | ||||
National CineMedia, Inc. | (40,823 | ) | (432,316 | ) | ||||
New York Times Co. (The), Class A | (73,992 | ) | (1,712,915 | ) | ||||
Sirius XM Holdings, Inc. | (29,582 | ) | (186,958 | ) | ||||
TEGNA, Inc. | (31,457 | ) | (376,226 | ) | ||||
WideOpenWest, Inc.* | (17,733 | ) | (198,787 | ) | ||||
|
| |||||||
(19,625,011 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (1.6)% |
| |||||||
Accelerate Diagnostics, Inc.* | (9,457 | ) | (217,038 | ) | ||||
Aclaris Therapeutics, Inc.* | (38,493 | ) | (558,918 | ) | ||||
Aerie Pharmaceuticals, Inc.* | (8,248 | ) | (507,664 | ) | ||||
Aimmune Therapeutics, Inc.* | (3,870 | ) | (105,574 | ) | ||||
Alder Biopharmaceuticals, Inc.* | (22,875 | ) | (380,869 | ) | ||||
Apellis Pharmaceuticals, Inc.* | (1,096 | ) | (19,487 | ) | ||||
Charles River Laboratories International, Inc.* | (19,947 | ) | (2,683,669 | ) | ||||
Codexis, Inc.* | (16,195 | ) | (277,744 | ) | ||||
Coherus Biosciences, Inc.* | (16,302 | ) | (268,983 | ) | ||||
Cymabay Therapeutics, Inc.* | (6,227 | ) | (68,995 | ) | ||||
Dova Pharmaceuticals, Inc.* | (14,195 | ) | (297,669 | ) | ||||
Dynavax Technologies Corp.* | (23,169 | ) | (287,296 | ) | ||||
Epizyme, Inc.* | (45,779 | ) | (485,257 | ) | ||||
Esperion Therapeutics, Inc.* | (5,015 | ) | (222,516 | ) | ||||
Flexion Therapeutics, Inc.* | (33,698 | ) | (630,490 | ) | ||||
Insmed, Inc.* | (31,887 | ) | (644,755 | ) | ||||
Intra-Cellular Therapies, Inc.* | (14,646 | ) | (317,818 | ) | ||||
La Jolla Pharmaceutical Co.* | (53,958 | ) | (1,086,175 | ) | ||||
Luminex Corp. | (30,899 | ) | (936,549 | ) | ||||
Medicines Co. (The)* | (9,080 | ) | (271,583 | ) | ||||
NeoGenomics, Inc.* | (1,951 | ) | (29,948 | ) | ||||
Optinose, Inc.* | (2,091 | ) | (25,991 | ) | ||||
Portola Pharmaceuticals, Inc.* | (9,244 | ) | (246,168 | ) | ||||
Radius Health, Inc.* | (15,501 | ) | (275,918 | ) | ||||
Revance Therapeutics, Inc.* | (29,911 | ) | (743,288 | ) | ||||
TherapeuticsMD, Inc.* | (106,129 | ) | (696,206 | ) |
The accompanying notes are an integral part of the financial statements.
39
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Theravance Biopharma, Inc. (Cayman Islands)* | (25,019 | ) | $ | (817,371 | ) | |||
Zogenix, Inc.* | (13,587 | ) | (673,915 | ) | ||||
|
| |||||||
(13,777,854 | ) | |||||||
|
| |||||||
Retailing — (5.3)% | ||||||||
1-800-Flowers.com, Inc., Class A* | (3,832 | ) | (45,218 | ) | ||||
At Home Group, Inc.* | (52,759 | ) | (1,663,491 | ) | ||||
Big Lots, Inc. | (98,326 | ) | (4,109,043 | ) | ||||
Boot Barn Holdings, Inc.* | (62,705 | ) | (1,781,449 | ) | ||||
Caleres, Inc. | (12,144 | ) | (435,484 | ) | ||||
Camping World Holdings, Inc., Class A | (125,505 | ) | (2,675,767 | ) | ||||
Carvana Co.* | (114 | ) | (6,736 | ) | ||||
Chico’s FAS, Inc. | (41,556 | ) | (360,291 | ) | ||||
Children’s Place, Inc. (The) | (18,369 | ) | (2,347,558 | ) | ||||
Core-Mark Holding Co., Inc. | (13,993 | ) | (475,202 | ) | ||||
Dillard’s, Inc., Class A | (57,478 | ) | (4,387,871 | ) | ||||
DSW, Inc., Class A | (66,227 | ) | (2,243,771 | ) | ||||
Express, Inc.* | (111,669 | ) | (1,235,059 | ) | ||||
Five Below, Inc.* | (15,417 | ) | (2,005,135 | ) | ||||
Floor & Decor Holdings, Inc., Class A* | (70,247 | ) | (2,119,352 | ) | ||||
GameStop Corp., Class A | (142,244 | ) | (2,172,066 | ) | ||||
Guess?, Inc. | (49,363 | ) | (1,115,604 | ) | ||||
Lithia Motors, Inc., Class A | (4,240 | ) | (346,238 | ) | ||||
LKQ Corp.* | (114,532 | ) | (3,627,228 | ) | ||||
Lumber Liquidators Holdings, Inc.* | (26,360 | ) | (408,316 | ) | ||||
Michaels Cos., Inc. (The)* | (123,215 | ) | (1,999,779 | ) | ||||
Monro, Inc. | (27,102 | ) | (1,886,299 | ) | ||||
National Vision Holdings, Inc.* | (16,015 | ) | (722,917 | ) | ||||
Overstock.com, Inc.* | (85,720 | ) | (2,374,444 | ) | ||||
Party City Holdco, Inc.* | (107,315 | ) | (1,454,118 | ) | ||||
Pool Corp. | (1,429 | ) | (238,471 | ) | ||||
Qurate Retail, Inc.* | (24,502 | ) | (544,189 | ) | ||||
Shutterfly, Inc.* | (14,793 | ) | (974,711 | ) | ||||
Sleep Number Corp.* | (15,906 | ) | (585,023 | ) | ||||
Sonic Automotive, Inc., Class A | (5,295 | ) | (102,458 | ) | ||||
|
| |||||||
(44,443,288 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (3.8)% |
| |||||||
Ambarella, Inc. (Cayman Islands)* | (120,590 | ) | (4,664,421 | ) | ||||
Amkor Technology, Inc.* | (22,063 | ) | (163,046 | ) | ||||
Brooks Automation, Inc. | (35,965 | ) | (1,259,854 | ) | ||||
CEVA, Inc.* | (13,540 | ) | (389,275 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Cree, Inc.* | (24,259 | ) | $ | (918,688 | ) | |||
First Solar, Inc.* | (15,752 | ) | (762,712 | ) | ||||
FormFactor, Inc.* | (94,850 | ) | (1,304,188 | ) | ||||
Ichor Holdings Ltd. (Cayman Islands)* | (13,628 | ) | (278,284 | ) | ||||
Inphi Corp.* | (120,394 | ) | (4,572,564 | ) | ||||
MACOM Technology Solutions Holdings, Inc.* | (39,566 | ) | (815,060 | ) | ||||
Marvell Technology Group Ltd. (Bermuda) | (227,724 | ) | (4,395,073 | ) | ||||
MaxLinear, Inc.* | (67,937 | ) | (1,350,587 | ) | ||||
Microchip Technology, Inc. | (58,030 | ) | (4,579,147 | ) | ||||
Photronics, Inc.* | (16,777 | ) | (165,253 | ) | ||||
Power Integrations, Inc. | (790 | ) | (49,928 | ) | ||||
Rambus, Inc.* | (85,544 | ) | (933,285 | ) | ||||
Rudolph Technologies, Inc.* | (11,728 | ) | (286,750 | ) | ||||
Synaptics, Inc.* | (82,071 | ) | (3,744,079 | ) | ||||
Teradyne, Inc. | (21,354 | ) | (789,671 | ) | ||||
Ultra Clean Holdings, Inc.* | (8,569 | ) | (107,541 | ) | ||||
Veeco Instruments, Inc.* | (32,494 | ) | (333,064 | ) | ||||
Xperi Corp. | (44,700 | ) | (663,795 | ) | ||||
|
| |||||||
(32,526,265 | ) | |||||||
|
| |||||||
Software & Services — (8.6)% |
| |||||||
8x8, Inc.* | (61,696 | ) | (1,311,040 | ) | ||||
ACI Worldwide, Inc.* | (87,833 | ) | (2,471,621 | ) | ||||
Avalara, Inc.* | (16,229 | ) | (566,879 | ) | ||||
Benefitfocus, Inc.* | (30,148 | ) | (1,219,487 | ) | ||||
Black Knight, Inc.* | (20,527 | ) | (1,066,378 | ) | ||||
BlackBerry Ltd. (Canada)* | (187,228 | ) | (2,130,655 | ) | ||||
Box, Inc., Class A* | (140,635 | ) | (3,362,583 | ) | ||||
Carbon Black, Inc.* | (11,390 | ) | (241,240 | ) | ||||
Cloudera, Inc.* | (234,172 | ) | (4,133,136 | ) | ||||
comScore, Inc.* | (7,944 | ) | (144,819 | ) | ||||
CSG Systems International, Inc. | (31,612 | ) | (1,268,906 | ) | ||||
DocuSign, Inc.* | (10,567 | ) | (555,507 | ) | ||||
Ellie Mae, Inc.* | (28,584 | ) | (2,708,906 | ) | ||||
Exela Technologies, Inc.* | (4,138 | ) | (29,504 | ) | ||||
FireEye, Inc.* | (287,967 | ) | (4,895,439 | ) | ||||
First Data Corp., Class A* | (54,312 | ) | (1,329,015 | ) | ||||
ForeScout Technologies, Inc.* | (61,113 | ) | (2,307,627 | ) | ||||
Global Payments, Inc. | (30,559 | ) | (3,893,217 | ) | ||||
GTT Communications, Inc.* | (8,009 | ) | (347,591 | ) | ||||
Hortonworks, Inc.* | (27,211 | ) | (620,683 | ) | ||||
Instructure, Inc.* | (15,051 | ) | (532,805 | ) |
The accompanying notes are an integral part of the financial statements.
40
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Leidos Holdings, Inc. | (3,204 | ) | $ | (221,589 | ) | |||
MicroStrategy, Inc., Class A* | (4,047 | ) | (569,089 | ) | ||||
MINDBODY, Inc., Class A* | (17,605 | ) | (715,643 | ) | ||||
Nutanix, Inc., Class A* | (12,063 | ) | (515,331 | ) | ||||
OneSpan, Inc.* | (7,808 | ) | (148,742 | ) | ||||
Pandora Media, Inc.* | (300,121 | ) | (2,854,151 | ) | ||||
PayPal Holdings, Inc.* | (32,127 | ) | (2,822,036 | ) | ||||
Pivotal Software, Inc., Class A* | (21,708 | ) | (425,043 | ) | ||||
Pluralsight, Inc., Class A* | (3,843 | ) | (122,976 | ) | ||||
Presidio, Inc. | (17,538 | ) | (267,454 | ) | ||||
PROS Holdings, Inc.* | (21,044 | ) | (736,961 | ) | ||||
Quotient Technology, Inc.* | (15,834 | ) | (245,427 | ) | ||||
SecureWorks Corp., Class A* | (17,521 | ) | (256,683 | ) | ||||
Snap, Inc., Class A* | (461,729 | ) | (3,915,462 | ) | ||||
Splunk, Inc.* | (10,794 | ) | (1,305,102 | ) | ||||
Switch, Inc., Class A | (159,505 | ) | (1,722,654 | ) | ||||
Take-Two Interactive Software, Inc.* | (1,806 | ) | (249,210 | ) | ||||
Tenable Holdings, Inc.* | (24,279 | ) | (943,967 | ) | ||||
Teradata Corp.* | (52,603 | ) | (1,983,659 | ) | ||||
TiVo Corp. | (130,788 | ) | (1,628,311 | ) | ||||
Travelport Worldwide Ltd. (Bermuda) | (90,726 | ) | (1,530,548 | ) | ||||
TrueCar, Inc.* | (178,540 | ) | (2,517,414 | ) | ||||
TTEC Holdings, Inc. | (2,760 | ) | (71,484 | ) | ||||
Virtusa Corp.* | (3,715 | ) | (199,533 | ) | ||||
Worldpay, Inc., Class A* | (53,563 | ) | (5,424,325 | ) | ||||
Yelp, Inc.* | (68,251 | ) | (3,357,949 | ) | ||||
Zynga, Inc., Class A* | (747,592 | ) | (2,997,844 | ) | ||||
|
| |||||||
(72,885,625 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (4.7)% |
| |||||||
Acacia Communications, Inc.* | (60,049 | ) | (2,484,227 | ) | ||||
ADTRAN, Inc. | (6,400 | ) | (112,960 | ) | ||||
Anixter International, Inc.* | (4,857 | ) | (341,447 | ) | ||||
Applied Optoelectronics, Inc.* | (3,052 | ) | (75,262 | ) | ||||
Arlo Technologies, Inc.* | (4,958 | ) | (71,941 | ) | ||||
ARRIS International PLC (United Kingdom)* | (4,646 | ) | (120,749 | ) | ||||
Arrow Electronics, Inc.* | (29,931 | ) | (2,206,513 | ) | ||||
Badger Meter, Inc. | (9,319 | ) | (493,441 | ) | ||||
Benchmark Electronics, Inc. | (29,961 | ) | (701,087 | ) | ||||
CalAmp Corp.* | (683 | ) | (16,365 | ) | ||||
Celestica, Inc. (Canada)* | (56,670 | ) | (613,736 | ) | ||||
Cognex Corp. | (20,461 | ) | (1,142,133 | ) | ||||
Control4 Corp.* | (12,302 | ) | (422,328 | ) | ||||
Cray, Inc.* | (53,130 | ) | (1,142,295 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Electronics For Imaging, Inc.* | (67,812 | ) | $ | (2,311,033 | ) | |||
ePlus, Inc.* | (3,260 | ) | (302,202 | ) | ||||
Extreme Networks, Inc.* | (122,467 | ) | (671,119 | ) | ||||
FARO Technologies, Inc.* | (5,503 | ) | (354,118 | ) | ||||
Finisar Corp.* | (257,705 | ) | (4,909,280 | ) | ||||
Fitbit, Inc., Class A* | (492,039 | ) | (2,632,409 | ) | ||||
Infinera Corp.* | (345,909 | ) | (2,525,136 | ) | ||||
Littelfuse, Inc. | (4,580 | ) | (906,336 | ) | ||||
Methode Electronics, Inc. | (4,038 | ) | (146,176 | ) | ||||
National Instruments Corp. | (21,957 | ) | (1,061,182 | ) | ||||
NetScout Systems, Inc.* | (98,890 | ) | (2,496,972 | ) | ||||
nLight, Inc.* | (7,908 | ) | (175,637 | ) | ||||
Plexus Corp.* | (1,629 | ) | (95,313 | ) | ||||
Pure Storage, Inc., Class A* | (25,940 | ) | (673,143 | ) | ||||
Quantenna Communications, Inc.* | (7,717 | ) | (142,379 | ) | ||||
Ribbon Communications, Inc.* | (5,283 | ) | (36,083 | ) | ||||
Rogers Corp.* | (6,627 | ) | (976,290 | ) | ||||
Sanmina Corp.* | (76,491 | ) | (2,111,152 | ) | ||||
Sierra Wireless, Inc. (Canada)* | (23,113 | ) | (464,571 | ) | ||||
Stratasys Ltd. (Israel)* | (14,716 | ) | (340,087 | ) | ||||
Tech Data Corp.* | (117 | ) | (8,374 | ) | ||||
ViaSat, Inc.* | (59,782 | ) | (3,823,059 | ) | ||||
Viavi Solutions, Inc.* | (206,956 | ) | (2,346,881 | ) | ||||
|
| |||||||
(39,453,416 | ) | |||||||
|
| |||||||
Telecommunication Services — (1.4)% |
| |||||||
AT&T, Inc. | (139,133 | ) | (4,672,086 | ) | ||||
ATN International, Inc. | (12,118 | ) | (895,278 | ) | ||||
Boingo Wireless, Inc.* | (8,521 | ) | (297,383 | ) | ||||
Cincinnati Bell, Inc.* | (68,666 | ) | (1,095,223 | ) | ||||
Consolidated Communications Holdings, Inc. | (88,015 | ) | (1,147,716 | ) | ||||
ORBCOMM, Inc.* | (83,556 | ) | (907,418 | ) | ||||
Shenandoah Telecommunications Co. | (11,991 | ) | (464,651 | ) | ||||
Sprint Corp.* | (356,528 | ) | (2,331,693 | ) | ||||
|
| |||||||
(11,811,448 | ) | |||||||
|
| |||||||
Transportation — (3.9)% |
| |||||||
Air Transport Services Group, Inc.* | (65,722 | ) | (1,411,051 | ) | ||||
Allegiant Travel Co. | (16,122 | ) | (2,044,270 | ) | ||||
Atlas Air Worldwide Holdings, Inc.* | (53,712 | ) | (3,424,140 | ) | ||||
Canadian National Railway Co. (Canada) | (20,616 | ) | (1,851,317 | ) | ||||
Canadian Pacific Railway Ltd. (Canada) | (9,166 | ) | (1,942,642 | ) |
The accompanying notes are an integral part of the financial statements.
41
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Concluded)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Hawaiian Holdings, Inc. | (71,369 | ) | $ | (2,861,897 | ) | |||
Hub Group, Inc., Class A* | (32,044 | ) | (1,461,206 | ) | ||||
JetBlue Airways Corp.* | (48,073 | ) | (930,693 | ) | ||||
Kansas City Southern | (37,617 | ) | (4,261,254 | ) | ||||
Kirby Corp.* | (1,384 | ) | (113,834 | ) | ||||
Knight-Swift Transportation Holdings, Inc. | (5,117 | ) | (176,434 | ) | ||||
Ryder System, Inc. | (59,617 | ) | (4,356,214 | ) | ||||
Saia, Inc.* | (16,329 | ) | (1,248,352 | ) | ||||
SkyWest, Inc. | (13,904 | ) | (818,946 | ) | ||||
Spirit Airlines, Inc.* | (62,296 | ) | (2,926,043 | ) | ||||
Werner Enterprises, Inc. | (79,205 | ) | (2,799,897 | ) | ||||
|
| |||||||
(32,628,190 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK |
| (621,400,565 | ) | |||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (73.5)% |
| (621,400,565 | ) | |||||
|
| |||||||
(Proceeds $655,918,395) |
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.8% |
| 6,961,011 | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 845,832,961 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
(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. (See Note 5 of the Notes to Financial Statements) |
(c) | Security is fair valued by the Advisor under direction of the Board of Trustees. |
* | Non-income producing. |
PLC Public Limited Company
The accompanying notes are an integral part of the financial statements.
42
GOTHAM NEUTRAL FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
LONG POSITIONS — 121.2% |
| |||||||
COMMON STOCKS — 121.2% |
| |||||||
Automobiles & Components — 2.6% |
| |||||||
Adient PLC (Ireland)†(a)(b) | 40,716 | $ | 1,600,546 | |||||
BorgWarner, Inc.† | 3,634 | 155,463 | ||||||
Cooper-Standard Holdings, Inc.†* | 414 | 49,672 | ||||||
Dana, Inc.† | 15,034 | 280,685 | ||||||
Delphi Technologies PLC (Jersey)† | 25,876 | 811,471 | ||||||
Fiat Chrysler Automobiles NV (Netherlands)(a)* | 101,535 | 1,777,878 | ||||||
Gentex Corp.† | 17,291 | 371,065 | ||||||
Goodyear Tire & Rubber Co. | 49,359 | 1,154,507 | ||||||
Harley-Davidson, Inc.(a) | 2,570 | 116,421 | ||||||
Lear Corp.† | 10,623 | 1,540,335 | ||||||
Magna International, Inc. | 970 | 50,954 | ||||||
Tenneco, Inc., Class A†(a)(b) | 22,369 | 942,630 | ||||||
Thor Industries, Inc.(a) | 4,178 | 349,699 | ||||||
Visteon Corp.(a)* | 961 | 89,277 | ||||||
|
| |||||||
9,290,603 | ||||||||
|
| |||||||
Capital Goods — 15.6% |
| |||||||
3M Co.† | 3,123 | 658,047 | ||||||
AAR Corp.† | 2,457 | 117,666 | ||||||
Actuant Corp., Class A(a) | 994 | 27,733 | ||||||
AECOM(a)* | 7,613 | 248,641 | ||||||
Allison Transmission Holdings, Inc.† | 37,407 | 1,945,538 | ||||||
Altra Industrial Motion Corp.(a) | 5,625 | 232,312 | ||||||
AMETEK, Inc.† | 7,762 | 614,129 | ||||||
AO Smith Corp.† | 6,821 | 364,037 | ||||||
Applied Industrial Technologies, Inc.† | 5,944 | 465,118 | ||||||
Arconic, Inc.†(a) | 33,290 | 732,713 | ||||||
Argan, Inc.† | 13,041 | 560,763 | ||||||
Armstrong World Industries, Inc.(b)* | 25,142 | 1,749,883 | ||||||
Atkore International Group, Inc.†* | 20,043 | 531,741 | ||||||
AZZ, Inc.(a) | 636 | 32,118 | ||||||
Boeing Co. (The)† | 5,302 | 1,971,814 | ||||||
Briggs & Stratton Corp. | 2,051 | 39,441 | ||||||
Caterpillar, Inc.† | 3,288 | 501,387 | ||||||
Colfax Corp.†(a)* | 11,872 | 428,104 | ||||||
Columbus McKinnon Corp.† | 2,935 | 116,050 | ||||||
Comfort Systems USA, Inc. | 2,088 | 117,763 | ||||||
Continental Building Products, Inc.†* | 6,736 | 252,937 | ||||||
Donaldson Co., Inc.†(a) | 5,370 | 312,856 | ||||||
Dover Corp.† | 12,229 | 1,082,633 | ||||||
Eaton Corp. PLC (Ireland)† | 5,305 | 460,103 | ||||||
Emerson Electric Co.†(b) | 33,441 | 2,560,912 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Esterline Technologies Corp.†* | 4,457 | $ | 405,364 | |||||
Federal Signal Corp.† | 5,525 | 147,960 | ||||||
Fluor Corp.†(b) | 23,688 | 1,376,273 | ||||||
Fortune Brands Home & Security, Inc. | 1,869 | 97,861 | ||||||
Gardner Denver Holdings, Inc.†* | 47,863 | 1,356,437 | ||||||
Generac Holdings, Inc.†* | 563 | 31,759 | ||||||
General Electric Co.† | 28,730 | 324,362 | ||||||
Gibraltar Industries, Inc.†* | 2 | 91 | ||||||
Global Brass & Copper Holdings, Inc. | 349 | 12,878 | ||||||
Graco, Inc.† | 1,014 | 46,989 | ||||||
GrafTech International Ltd.†(a) | 57,885 | 1,129,336 | ||||||
Harris Corp.† | 2,791 | 472,265 | ||||||
Harsco Corp.†* | 9,188 | 262,317 | ||||||
HD Supply Holdings, Inc.†* | 3,407 | 145,786 | ||||||
Hexcel Corp.†(a) | 4,934 | 330,825 | ||||||
Hillenbrand, Inc.† | 19,451 | 1,017,287 | ||||||
Honeywell International, Inc.† | 13,997 | 2,329,101 | ||||||
Illinois Tool Works, Inc.† | 5,604 | 790,836 | ||||||
Insteel Industries, Inc.† | 1,563 | 56,080 | ||||||
ITT, Inc.†(b) | 12,515 | 766,669 | ||||||
Jacobs Engineering Group, Inc.†(a)(b) | 31,081 | 2,377,696 | ||||||
Kadant, Inc.† | 333 | 35,914 | ||||||
Kaman Corp.†(a) | 4,963 | 331,429 | ||||||
Kennametal, Inc.†(a)(b) | 33,521 | 1,460,175 | ||||||
KLX, Inc.†* | 3,764 | 236,304 | ||||||
L3 Technologies, Inc. | 369 | 78,457 | ||||||
Lincoln Electric Holdings, Inc.† | 1,209 | 112,969 | ||||||
Lockheed Martin Corp.† | 1,594 | 551,460 | ||||||
Masco Corp. | 2,886 | 105,628 | ||||||
Meritor, Inc.†* | 42,106 | 815,172 | ||||||
Milacron Holdings Corp.†* | 6,673 | 135,128 | ||||||
MSC Industrial Direct Co., Inc., | 14,436 | 1,271,956 | ||||||
Mueller Industries, Inc. | 169 | 4,898 | ||||||
National Presto Industries, Inc.†(a) | 1,694 | 219,627 | ||||||
Nexeo Solutions, Inc.(a)* | 1,065 | 13,046 | ||||||
Nordson Corp.†(b) | 1,497 | 207,933 | ||||||
NV5 Global, Inc.* | 5 | 434 | ||||||
nVent Electric PLC (Ireland) | 578 | 15,698 | ||||||
Oshkosh Corp.†(a)(b) | 20,461 | 1,457,642 | ||||||
Parker-Hannifin Corp.† | 16,909 | 3,110,072 | ||||||
Pentair PLC (Ireland)† | 19,217 | 833,057 | ||||||
PGT Innovations, Inc.* | 4,298 | 92,837 | ||||||
Quanex Building Products Corp.(a) | 417 | 7,589 |
The accompanying notes are an integral part of the financial statements.
43
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Quanta Services, Inc.†* | 16,119 | $ | 538,052 | |||||
Raytheon Co.† | 6,025 | 1,245,126 | ||||||
Rockwell Automation, Inc.† | 4,104 | 769,582 | ||||||
Rockwell Collins, Inc. | 132 | 18,542 | ||||||
Snap-on, Inc.†(a)(b) | 12,901 | 2,368,624 | ||||||
Spirit AeroSystems Holdings, Inc., Class A† | 4,876 | 446,983 | ||||||
SPX FLOW, Inc.†* | 11,629 | 604,708 | ||||||
Standex International Corp. | 217 | 22,622 | ||||||
Systemax, Inc.†(a) | 1,823 | 60,050 | ||||||
Teledyne Technologies, Inc.†(a)* | 2,128 | 524,935 | ||||||
Textron, Inc.† | 7,767 | 555,107 | ||||||
Toro Co. (The) | 1,468 | 88,036 | ||||||
TransDigm Group, Inc.†(a)* | 1,319 | 491,064 | ||||||
TriMas Corp.†(b)* | 4,880 | 148,352 | ||||||
United Rentals, Inc.†* | 9,158 | 1,498,249 | ||||||
United Technologies Corp. | 20,415 | 2,854,221 | ||||||
Valmont Industries, Inc.(a) | 4,440 | 614,940 | ||||||
Wabash National Corp.(a) | 7,677 | 139,952 | ||||||
WABCO Holdings, Inc.* | 629 | 74,184 | ||||||
WESCO International, Inc.†(b)* | 15,066 | 925,806 | ||||||
WW Grainger, Inc.† | 2,754 | 984,307 | ||||||
Xylem, Inc.† | 1,399 | 111,738 | ||||||
|
| |||||||
55,785,216 | ||||||||
|
| |||||||
Commercial & Professional Services — 3.1% |
| |||||||
ABM Industries, Inc.(a) | 10,752 | 346,752 | ||||||
Brink’s Co. (The)(a) | 3,069 | 214,063 | ||||||
CBIZ, Inc.* | 1,560 | 36,972 | ||||||
Cintas Corp.† | 1,428 | 282,473 | ||||||
Copart, Inc.†(a)* | 11,411 | 588,009 | ||||||
Deluxe Corp.†(a) | 15,110 | 860,363 | ||||||
Dun & Bradstreet Corp. (The)† | 3,563 | 507,763 | ||||||
FTI Consulting, Inc.†(b)* | 8,458 | 619,041 | ||||||
Heidrick & Struggles International, Inc. | 1,020 | 34,527 | ||||||
ICF International, Inc.† | 2,218 | 167,348 | ||||||
KAR Auction Services, Inc.† | 14,734 | 879,472 | ||||||
Kforce, Inc. | 112 | 4,211 | ||||||
Kimball International, Inc., Class B | 19 | 318 | ||||||
Korn/Ferry International† | 12,460 | 613,530 | ||||||
ManpowerGroup, Inc.†(b) | 13,500 | 1,160,460 | ||||||
Matthews International Corp., Class A(a) | 1,388 | 69,608 | ||||||
Navigant Consulting, Inc.† | 4,325 | 99,734 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Pitney Bowes, Inc.†(a) | 45,824 | $ | 324,434 | |||||
Republic Services, Inc.† | 12,382 | 899,676 | ||||||
Ritchie Bros Auctioneers, Inc. (Canada) | 2,133 | 77,065 | ||||||
Robert Half International, Inc.†(a) | 3,955 | 278,353 | ||||||
SP Plus Corp.†* | 8,650 | 315,725 | ||||||
Tetra Tech, Inc.† | 8,927 | 609,714 | ||||||
TriNet Group, Inc.(b)* | 8,651 | 487,224 | ||||||
Verisk Analytics, Inc.†* | 2,815 | 339,348 | ||||||
Waste Management, Inc.†(b) | 13,431 | 1,213,625 | ||||||
|
| |||||||
11,029,808 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 3.9% |
| |||||||
Acushnet Holdings Corp.(a) | 2,467 | 67,670 | ||||||
Carter’s, Inc.(a) | 1,993 | 196,510 | ||||||
Cavco Industries, Inc.†* | 2,019 | 510,807 | ||||||
Crocs, Inc.(a)(b)* | 37,287 | 793,840 | ||||||
Fossil Group, Inc.†(a)* | 36,050 | 839,244 | ||||||
Garmin Ltd. (Switzerland)† | 24,287 | 1,701,304 | ||||||
Johnson Outdoors, Inc., Class A | 145 | 13,484 | ||||||
Malibu Boats, Inc., Class A†* | 1,016 | 55,596 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 6,475 | 443,926 | ||||||
Mohawk Industries, Inc.†* | 9,394 | 1,647,238 | ||||||
NIKE, Inc., Class B† | 3,202 | 271,273 | ||||||
PVH Corp.† | 10,562 | 1,525,153 | ||||||
Ralph Lauren Corp.† | 77 | 10,591 | ||||||
Skechers U.S.A., Inc., Class A†(a)(b)* | 36,839 | 1,028,913 | ||||||
Sturm Ruger & Co., Inc.(a) | 1,360 | 93,908 | ||||||
Tapestry, Inc.† | 48,189 | 2,422,461 | ||||||
Tupperware Brands Corp.†(a)(b) | 14,880 | 497,736 | ||||||
Vista Outdoor, Inc.†(a) * | 13,550 | 242,410 | ||||||
Whirlpool Corp.†(a) | 13,559 | 1,610,131 | ||||||
|
| |||||||
13,972,195 | ||||||||
|
| |||||||
Consumer Services — 5.9% |
| |||||||
Adtalem Global Education, Inc.†* | 4,637 | 223,503 | ||||||
BJ’s Restaurants, Inc.†(a) | 13,187 | 952,101 | ||||||
Bloomin’ Brands, Inc.†(a) | 20,471 | 405,121 | ||||||
Boyd Gaming Corp.† | 67,722 | 2,292,390 | ||||||
Brinker International, Inc.†(a) | 27,184 | 1,270,308 | ||||||
Choice Hotels International, Inc.†(a) | 10,105 | 841,746 | ||||||
Churchill Downs, Inc.†(a) | 1,354 | 376,006 | ||||||
Darden Restaurants, Inc.† | 5,004 | 556,395 | ||||||
Denny’s Corp.(a)* | 654 | 9,627 | ||||||
Eldorado Resorts, Inc.(a)* | 2,819 | 137,003 |
The accompanying notes are an integral part of the financial statements.
44
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Graham Holdings Co., Class B†(a) | 1,652 | $ | 957,004 | |||||
Hilton Worldwide Holdings, Inc.† | 3,692 | 298,240 | ||||||
Hyatt Hotels Corp., Class A† | 29,232 | 2,326,575 | ||||||
International Game Technology PLC (United Kingdom)†(a) | 13,753 | 271,622 | ||||||
Jack in the Box, Inc.† | 8,068 | 676,340 | ||||||
K12, Inc.* | 12 | 212 | ||||||
Las Vegas Sands Corp.† | 9,649 | 572,475 | ||||||
Laureate Education, Inc., Class A†* | 11,676 | 180,277 | ||||||
Marriott International, Inc., | 1,302 | 171,903 | ||||||
McDonald’s Corp.† | 8,889 | 1,487,041 | ||||||
Papa John’s International, Inc.†(a) | 17,173 | 880,631 | ||||||
Red Robin Gourmet Burgers, | 1,893 | 76,004 | ||||||
Regis Corp.†* | 3,489 | 71,280 | ||||||
Ruth’s Hospitality Group, Inc.(a) | 3,951 | 124,654 | ||||||
Sonic Corp.† | 6,037 | 261,644 | ||||||
Stars Group, Inc. (The) | 76,724 | 1,910,428 | ||||||
Vail Resorts, Inc.† | 4,241 | 1,163,815 | ||||||
Weight Watchers International, Inc.†* | 8,579 | 617,602 | ||||||
Wyndham Hotels & Resorts, Inc.† | 12,914 | 717,631 | ||||||
Yum! Brands, Inc.† | 11,389 | 1,035,374 | ||||||
|
| |||||||
20,864,952 | ||||||||
|
| |||||||
Energy — 5.9% |
| |||||||
Cameco Corp. (Canada)† | 66,361 | 756,515 | ||||||
Chevron Corp.†(b) | 11,958 | 1,462,224 | ||||||
CONSOL Energy, Inc.* | 807 | 32,934 | ||||||
CVR Energy, Inc.†(a) | 26,695 | 1,073,673 | ||||||
Diamond Offshore Drilling, Inc.(a)* | 12,942 | 258,840 | ||||||
Frank’s International NV (Netherlands)* | 3,472 | 30,137 | ||||||
FTS International, Inc.†(a)* | 37,398 | 440,922 | ||||||
Halliburton Co.† | 37,495 | 1,519,672 | ||||||
Helmerich & Payne, Inc.†(a) | 11,681 | 803,302 | ||||||
HollyFrontier Corp.†(a)(b) | 22,591 | 1,579,111 | ||||||
Imperial Oil Ltd. (Canada)† | 3,794 | 122,812 | ||||||
Kinder Morgan, Inc.†(a) | 106,604 | 1,890,089 | ||||||
Mammoth Energy Services, Inc.†(a) | 35,685 | 1,038,434 | ||||||
Matrix Service Co.* | 540 | 13,311 | ||||||
Nabors Industries Ltd. | 162,506 | 1,001,037 | ||||||
National Oilwell Varco, Inc. | 17 | 732 | ||||||
Noble Corp. PLC (United | 76,082 | 534,856 | ||||||
ONEOK, Inc.†(a) | 19,887 | 1,348,140 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Phillips 66† | 9,544 | $ | 1,075,800 | |||||
Precision Drilling Corp. (Canada)†* | 37,663 | 130,314 | ||||||
ProPetro Holding Corp.(a)* | 3,176 | 52,372 | ||||||
Renewable Energy Group, Inc.(a)* | 10,745 | 309,456 | ||||||
RPC, Inc.†(a) | 121,456 | 1,880,139 | ||||||
SEACOR Holdings, Inc.†(b)* | 5,601 | 276,745 | ||||||
Ship Finance International Ltd. (Bermuda)†(a) | 38,057 | 528,992 | ||||||
TechnipFMC PLC (United | 39,794 | 1,243,562 | ||||||
Tidewater, Inc.* | 3,309 | 103,208 | ||||||
Valero Energy Corp.† | 2,483 | 282,441 | ||||||
Weatherford International PLC (Ireland)†(a)* | 55,969 | 151,676 | ||||||
Williams Cos., Inc. (The)† | 39,324 | 1,069,220 | ||||||
|
| |||||||
21,010,666 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.2% |
| |||||||
BJ’s Wholesale Club Holdings, Inc.* | 959 | 25,682 | ||||||
Kroger Co. (The)† | 35,317 | 1,028,078 | ||||||
Performance Food Group Co.(b)* | 6,081 | 202,497 | ||||||
SUPERVALU, Inc.†(a)* | 17,705 | 570,455 | ||||||
Sysco Corp.† | 21,443 | 1,570,700 | ||||||
Walgreens Boots Alliance, Inc.† | 10,940 | 797,526 | ||||||
Walmart, Inc.† | 36,645 | 3,441,332 | ||||||
Weis Markets, Inc.(a) | 5,546 | 240,696 | ||||||
|
| |||||||
7,876,966 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 6.1% |
| |||||||
Altria Group, Inc.† | 22,084 | 1,331,886 | ||||||
Archer-Daniels-Midland Co.† | 46,365 | 2,330,768 | ||||||
B&G Foods, Inc.(a) | 12,089 | 331,843 | ||||||
Brown-Forman Corp., Class B†(a) | 27,661 | 1,398,264 | ||||||
Coca-Cola Co. (The)† | 9,178 | 423,932 | ||||||
Conagra Brands, Inc.† | 42,697 | 1,450,417 | ||||||
Dean Foods Co.(a) | 70,303 | 499,151 | ||||||
Flowers Foods, Inc. | 18 | 336 | ||||||
General Mills, Inc.†(a) | 7,122 | 305,676 | ||||||
Hain Celestial Group, Inc. (The)†(a)* | 18,462 | 500,689 | ||||||
Ingredion, Inc.† | 19,757 | 2,073,695 | ||||||
Kellogg Co.†(a)(b) | 10,763 | 753,625 | ||||||
Kraft Heinz Co. (The)†(a)(b) | 41,053 | 2,262,431 | ||||||
Molson Coors Brewing Co., | 11,681 | 718,382 | ||||||
Mondelez International, Inc., | 19,933 | 856,322 |
The accompanying notes are an integral part of the financial statements.
45
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
PepsiCo, Inc.† | 19,918 | $ | 2,226,832 | |||||
Philip Morris International, Inc.†(b) | 18,085 | 1,474,651 | ||||||
Pilgrim’s Pride Corp.†* | 72,200 | 1,306,098 | ||||||
TreeHouse Foods, Inc.(a)* | 1,121 | 53,640 | ||||||
Tyson Foods, Inc., Class A† | 15,065 | 896,819 | ||||||
Universal Corp.† | 1,428 | 92,820 | ||||||
Vector Group Ltd.†(a) | 24,641 | 339,552 | ||||||
|
| |||||||
21,627,829 | ||||||||
|
| |||||||
Health Care Equipment & Services — 12.0% |
| |||||||
Abbott Laboratories† | 13,392 | 982,437 | ||||||
Acadia Healthcare Co., Inc.(a)* | 3,969 | 139,709 | ||||||
Allscripts Healthcare Solutions, | 84,468 | 1,203,669 | ||||||
AmerisourceBergen Corp.† | 6,109 | 563,372 | ||||||
AMN Healthcare Services, | 23,032 | 1,259,850 | ||||||
AngioDynamics, Inc.†* | 2,114 | 45,958 | ||||||
athenahealth, Inc.†* | 2,009 | 268,402 | ||||||
Avanos Medical, Inc.†(a)(b)* | 26,051 | 1,784,494 | ||||||
Baxter International, Inc.†(b) | 10,566 | 814,533 | ||||||
Becton Dickinson and Co.† | 9,882 | 2,579,202 | ||||||
Cardinal Health, Inc.† | 12,327 | 665,658 | ||||||
Cerner Corp.†* | 14,548 | 937,037 | ||||||
CONMED Corp.†(a) | 14,132 | 1,119,537 | ||||||
Cooper Cos., Inc. (The)†(a) | 3,168 | 878,011 | ||||||
CVS Health Corp.† | 13,418 | 1,056,265 | ||||||
Danaher Corp.† | 13,238 | 1,438,441 | ||||||
DaVita, Inc.†* | 3,758 | 269,186 | ||||||
DENTSPLY SIRONA, Inc.†(b) | 41,482 | 1,565,531 | ||||||
Encompass Health Corp. | 3,330 | 259,574 | ||||||
Envision Healthcare Corp.†* | 12,697 | 580,634 | ||||||
Express Scripts Holding Co.†* | 9,722 | 923,687 | ||||||
Globus Medical, Inc., Class A†(b)* | 28,652 | 1,626,288 | ||||||
Haemonetics Corp.†* | 4,587 | 525,578 | ||||||
HCA Healthcare, Inc.† | 6,005 | 835,416 | ||||||
HealthStream, Inc. | 155 | 4,807 | ||||||
Hill-Rom Holdings, Inc.†(a) | 12,942 | 1,221,725 | ||||||
HMS Holdings Corp.†* | 14,221 | 466,591 | ||||||
Hologic, Inc.(b)* | 6,207 | 254,363 | ||||||
ICU Medical, Inc.†* | 7,937 | 2,244,187 | ||||||
Integer Holdings Corp.†* | 11,147 | 924,644 | ||||||
Laboratory Corp. of America Holdings†* | 12,174 | 2,114,380 | ||||||
LifePoint Health, Inc.†(b)* | 21,253 | 1,368,693 | ||||||
Masimo Corp.†* | 948 | 118,064 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
McKesson Corp.† | 6,586 | $ | 873,633 | |||||
Medtronic PLC (Ireland)† | 26,735 | 2,629,922 | ||||||
Meridian Bioscience, Inc.†(a) | 7,485 | 111,526 | ||||||
NextGen Healthcare, Inc.(b)* | 18,117 | 363,789 | ||||||
Owens & Minor, Inc.†(a) | 22,252 | 367,603 | ||||||
Patterson Cos., Inc.†(a) | 27,842 | 680,737 | ||||||
Quest Diagnostics, Inc.† | 2,318 | 250,135 | ||||||
Quidel Corp.†(a)* | 12,423 | 809,607 | ||||||
ResMed, Inc.†(b) | 12,798 | 1,476,121 | ||||||
STERIS PLC (United | 15,742 | 1,800,885 | ||||||
Stryker Corp.† | 803 | 142,677 | ||||||
Tabula Rasa HealthCare, Inc.(a)* | 789 | 64,059 | ||||||
Tenet Healthcare Corp.†(a)* | 38,332 | 1,090,929 | ||||||
Tivity Health, Inc.(a)* | 8,555 | 275,043 | ||||||
Universal Health Services, Inc., Class B† | 807 | 103,167 | ||||||
Varex Imaging Corp.†(a)* | 3,588 | 102,832 | ||||||
Varian Medical Systems, Inc.†(a)* | 1,478 | 165,433 | ||||||
West Pharmaceutical Services, | 3,787 | 467,581 | ||||||
|
| |||||||
42,815,602 | ||||||||
|
| |||||||
Household & Personal Products — 1.9% |
| |||||||
Avon Products, Inc.†* | 155,769 | 342,692 | ||||||
Clorox Co. (The)†(a) | 4,038 | 607,356 | ||||||
Colgate-Palmolive Co.† | 28,724 | 1,923,072 | ||||||
Edgewell Personal Care Co.†(a)* | 29,850 | 1,379,966 | ||||||
Estee Lauder Cos., Inc. (The), | 1,089 | 158,253 | ||||||
Kimberly-Clark Corp.† | 11,936 | 1,356,407 | ||||||
Procter & Gamble Co. (The)† | 13,879 | 1,155,149 | ||||||
|
| |||||||
6,922,895 | ||||||||
|
| |||||||
Materials — 5.7% |
| |||||||
AptarGroup, Inc.†(a) | 8,387 | 903,615 | ||||||
Bemis Co., Inc.† | 5,473 | 265,988 | ||||||
Celanese Corp.† | 16,365 | 1,865,610 | ||||||
Chemours Co. (The)†(a) | 32,995 | 1,301,323 | ||||||
Domtar Corp.† | 37,910 | 1,977,765 | ||||||
DowDuPont, Inc.†(b) | 5,815 | 373,963 | ||||||
Eagle Materials, Inc.†(b) | 22,163 | 1,889,174 | ||||||
FMC Corp.†(b) | 7,769 | 677,301 | ||||||
FutureFuel Corp. | 29 | 538 | ||||||
Greif, Inc., Class A | 1,225 | 65,734 | ||||||
International Paper Co.† | 11,562 | 568,272 | ||||||
KMG Chemicals, Inc.† | 496 | 37,478 |
The accompanying notes are an integral part of the financial statements.
46
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Kraton Corp.†(b)* | 12,464 | $ | 587,678 | |||||
Kronos Worldwide, Inc.†(a) | 10,121 | 164,466 | ||||||
Louisiana-Pacific Corp.† | 11,249 | 297,986 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 17,261 | 1,769,425 | ||||||
Methanex Corp. (Canada)† | 13,278 | 1,050,290 | ||||||
NewMarket Corp.†(a) | 391 | 158,554 | ||||||
Norbord, Inc. (Canada)(a) | 1,893 | 62,791 | ||||||
PolyOne Corp.†(a) | 14,862 | 649,767 | ||||||
RPM International, Inc.†(b) | 22,704 | 1,474,398 | ||||||
Sherwin-Williams Co. (The)†(b) | 2,613 | 1,189,464 | ||||||
Tredegar Corp. | 340 | 7,361 | ||||||
Valhi, Inc.(a) | 160 | 365 | ||||||
Verso Corp., Class A†(b)* | 21,367 | 719,427 | ||||||
Vulcan Materials Co.(b) | 2,214 | 246,197 | ||||||
WestRock Co.† | 34,703 | 1,854,528 | ||||||
|
| |||||||
20,159,458 | ||||||||
|
| |||||||
Media — 3.6% | ||||||||
AMC Entertainment Holdings, Inc., Class A†(a) | 23,348 | 478,634 | ||||||
AMC Networks, Inc., Class A(a)* | 1,353 | 89,758 | ||||||
CBS Corp., Class B, non-voting shares† | 14,418 | 828,314 | ||||||
Cinemark Holdings, Inc.†(a) | 39,762 | 1,598,432 | ||||||
Comcast Corp., Class A† | 23,403 | 828,700 | ||||||
DISH Network Corp., Class A†* | 20,410 | 729,862 | ||||||
Gannett Co., Inc.(a)(b) | 56,258 | 563,143 | ||||||
Interpublic Group of Cos., Inc. (The)† | 39,371 | 900,415 | ||||||
Loral Space & Communications, Inc.†* | 1,214 | 55,116 | ||||||
Marcus Corp. (The) | 33 | 1,388 | ||||||
MSG Networks, Inc., Class A†(a)* | 16,622 | 428,848 | ||||||
New Media Investment Group, | 5,396 | 84,663 | ||||||
News Corp., Class A† | 34,545 | 455,649 | ||||||
Omnicom Group, Inc.†(a)(b) | 12,659 | 861,065 | ||||||
Scholastic Corp.(a) | 1,607 | 75,031 | ||||||
Sinclair Broadcast Group, Inc., Class A† | 8,926 | 253,052 | ||||||
Tribune Media Co., Class A†(b) | 22,109 | 849,649 | ||||||
Twenty-First Century Fox, Inc., Class A† | 28,904 | 1,339,122 | ||||||
Viacom, Inc., Class B† | 30,342 | 1,024,346 | ||||||
Walt Disney Co. (The)† | 12,762 | 1,492,388 | ||||||
|
| |||||||
12,937,575 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 5.5% |
| |||||||
AbbVie, Inc.† | 8,655 | $ | 818,590 | |||||
Acorda Therapeutics, Inc.†* | 5,159 | 101,374 | ||||||
Amgen, Inc.† | 3,961 | 821,076 | ||||||
ANI Pharmaceuticals, Inc.†(a)* | 2,185 | 123,540 | ||||||
Biogen, Inc.†* | 1,930 | 681,888 | ||||||
Bristol-Myers Squibb Co.†(b) | 5,224 | 324,306 | ||||||
Bruker Corp.† | 16,270 | 544,232 | ||||||
Celgene Corp.†* | 9,820 | 878,792 | ||||||
Corcept Therapeutics, Inc.(a)* | 4,909 | 68,824 | ||||||
Eagle Pharmaceuticals, Inc.†* | 4,722 | 327,376 | ||||||
Eli Lilly & Co.† | 2,113 | 226,746 | ||||||
Emergent BioSolutions, Inc.†* | 7,194 | 473,581 | ||||||
Enanta Pharmaceuticals, Inc.†(a)* | 4,343 | 371,153 | ||||||
Exelixis, Inc.* | 3,829 | 67,850 | ||||||
Gilead Sciences, Inc.† | 12,238 | 944,896 | ||||||
Incyte Corp.* | 45 | 3,109 | ||||||
Innoviva, Inc.†* | 58,418 | 890,290 | ||||||
Jazz Pharmaceuticals PLC | 3,970 | 667,476 | ||||||
Johnson & Johnson† | 6,355 | 878,070 | ||||||
Ligand Pharmaceuticals, Inc.†(a)* | 2,574 | 706,537 | ||||||
Merck & Co., Inc.† | 10,837 | 768,777 | ||||||
Mettler-Toledo International, Inc.†* | 1,442 | 878,149 | ||||||
Myriad Genetics, Inc.(b)* | 4,919 | 226,274 | ||||||
Nektar Therapeutics†(a)* | 18,033 | 1,099,292 | ||||||
Neurocrine Biosciences, Inc.(a)(b)* | 3,145 | 386,678 | ||||||
Pfizer, Inc.† | 7,836 | 345,333 | ||||||
Phibro Animal Health Corp., Class A† | 5,511 | 236,422 | ||||||
PRA Health Sciences, Inc.†(b)* | 15,976 | 1,760,395 | ||||||
Prestige Consumer Healthcare, Inc.†* | 10,382 | 393,374 | ||||||
QIAGEN NV (Netherlands)†* | 27,406 | 1,038,139 | ||||||
Regeneron Pharmaceuticals, Inc.†* | 164 | 66,263 | ||||||
REGENXBIO, Inc.†* | 5,275 | 398,262 | ||||||
Repligen Corp.†(a)* | 5,541 | 307,304 | ||||||
Sarepta Therapeutics, Inc.(a)* | 690 | 111,442 | ||||||
Seattle Genetics, Inc.* | 9 | 694 | ||||||
Supernus Pharmaceuticals, Inc.(a)* | 1,048 | 52,767 | ||||||
Thermo Fisher Scientific, Inc.† | 2,720 | 663,898 | ||||||
United Therapeutics Corp.†* | 358 | 45,781 | ||||||
Vertex Pharmaceuticals, Inc.* | 14 | 2,698 | ||||||
Waters Corp.†(a)* | 4,368 | 850,362 | ||||||
Zoetis, Inc.† | 1,488 | 136,241 | ||||||
|
| |||||||
19,688,251 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
47
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — 8.7% |
| |||||||
Aaron’s, Inc. | 1,221 | $ | 66,496 | |||||
Advance Auto Parts, Inc.† | 10,048 | 1,691,380 | ||||||
Amazon.com, Inc.†* | 1,197 | 2,397,591 | ||||||
Asbury Automotive Group, Inc.†(a)* | 15,644 | 1,075,525 | ||||||
Ascena Retail Group, Inc.* | 4,036 | 18,444 | ||||||
AutoNation, Inc.(a)* | 5,832 | 242,320 | ||||||
AutoZone, Inc.†* | 2,385 | 1,850,044 | ||||||
Bed Bath & Beyond, Inc.(a) | 46,616 | 699,240 | ||||||
Best Buy Co., Inc.(b) | 8,121 | 644,483 | ||||||
Booking Holdings, Inc.†* | 691 | 1,370,944 | ||||||
Buckle, Inc. (The)(a) | 4,132 | 95,243 | ||||||
CarMax, Inc.†* | 1,200 | 89,604 | ||||||
Chico’s FAS, Inc.(a)(b) | 27,170 | 235,564 | ||||||
Core-Mark Holding Co., Inc.†(a) | 17,146 | 582,278 | ||||||
Dick’s Sporting Goods, Inc.†(a) | 18,598 | 659,857 | ||||||
Dollar General Corp.†(b) | 21,908 | 2,394,544 | ||||||
Foot Locker, Inc.†(a) | 16,295 | 830,719 | ||||||
Genuine Parts Co.† | 7,187 | 714,388 | ||||||
Home Depot, Inc. (The)† | 6,408 | 1,327,417 | ||||||
Kohl’s Corp.†(a) | 25,334 | 1,888,650 | ||||||
Lands’ End, Inc.†(a)* | 4,459 | 78,255 | ||||||
Lowe’s Cos., Inc.† | 11,533 | 1,324,219 | ||||||
Macy’s, Inc.(a) | 4,145 | 143,956 | ||||||
Nordstrom, Inc.(a) | 1,373 | 82,119 | ||||||
Nutrisystem, Inc.†(a) | 21,215 | 786,016 | ||||||
Office Depot, Inc.† | 81,558 | 261,801 | ||||||
O’Reilly Automotive, Inc.†* | 815 | 283,066 | ||||||
PetMed Express, Inc.†(a) | 27,519 | 908,402 | ||||||
Qurate Retail, Inc.†(b)* | 85,390 | 1,896,512 | ||||||
RH†* | 2 | 262 | ||||||
Ross Stores, Inc.† | 4,267 | 422,860 | ||||||
Signet Jewelers Ltd. (Bermuda)†(a) | 28,234 | 1,861,468 | ||||||
Tailored Brands, Inc.†(a) | 59,340 | 1,494,775 | ||||||
Target Corp. | 1,050 | 92,620 | ||||||
TJX Cos., Inc. (The)†(b) | 5,769 | 646,243 | ||||||
TripAdvisor, Inc.(a)* | 1,393 | 71,141 | ||||||
Urban Outfitters, Inc.†* | 43,033 | 1,760,050 | ||||||
|
| |||||||
30,988,496 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.0% |
| |||||||
Advanced Energy Industries, | 23,758 | 1,227,101 | ||||||
Analog Devices, Inc.†(b) | 23,181 | 2,143,315 | ||||||
Cabot Microelectronics Corp.† | 3,720 | 383,792 | ||||||
Diodes, Inc.†(a)* | 13,131 | 437,131 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Intel Corp. | 1,459 | $ | 68,996 | |||||
KLA-Tencor Corp.† | 5,471 | 556,455 | ||||||
Lam Research Corp.†(b) | 15,453 | 2,344,220 | ||||||
Maxim Integrated Products, Inc.†(b) | 27,905 | 1,573,563 | ||||||
Micron Technology, Inc.†(a)* | 77,778 | 3,517,899 | ||||||
MKS Instruments, Inc.† | 9,549 | 765,352 | ||||||
Nanometrics, Inc.†(b)* | 15,779 | 592,028 | ||||||
QUALCOMM, Inc.†(a) | 5,433 | 391,339 | ||||||
SMART Global Holdings, Inc. (Cayman Islands)†(a)(b)* | 50,681 | 1,456,572 | ||||||
Texas Instruments, Inc.† | 14,784 | 1,586,175 | ||||||
Xcerra Corp.†* | 45,596 | 650,655 | ||||||
|
| |||||||
17,694,593 | ||||||||
|
| |||||||
Software & Services — 18.3% | ||||||||
Accenture PLC, Class A (Ireland)† | 7,510 | 1,278,202 | ||||||
Adobe, Inc.†* | 2,096 | 565,815 | ||||||
Akamai Technologies, Inc.†(b)* | 26,856 | 1,964,516 | ||||||
Alliance Data Systems Corp.†(a) | 1,610 | 380,218 | ||||||
Alphabet, Inc., Class A†* | 2,191 | 2,644,712 | ||||||
ANGI Homeservices, Inc., | 17,528 | 411,557 | ||||||
ANSYS, Inc.†* | 2,779 | 518,784 | ||||||
Appfolio, Inc., Class A†(a)(b)* | 9,111 | 714,302 | ||||||
Aspen Technology, Inc.†* | 4,282 | 487,763 | ||||||
Automatic Data Processing, Inc.† | 7,964 | 1,199,856 | ||||||
Avaya Holdings Corp.†(a)* | 11,422 | 252,883 | ||||||
Broadridge Financial Solutions, Inc.† | 5,240 | 691,418 | ||||||
CA, Inc.† | 46,149 | 2,037,478 | ||||||
Cadence Design Systems, Inc.†* | 8,015 | 363,240 | ||||||
Cardtronics PLC, Class A (United Kingdom)†* | 20,289 | 641,944 | ||||||
Cars.com, Inc.(a)* | 45,796 | 1,264,428 | ||||||
CDK Global, Inc.†(b) | 30,741 | 1,923,157 | ||||||
CGI Group, Inc., Class A | 19,593 | 1,263,357 | ||||||
Cision Ltd. (Cayman Islands)†* | 20,566 | 345,509 | ||||||
Citrix Systems, Inc.†* | 19,398 | 2,156,282 | ||||||
CommVault Systems, Inc.†* | 2,479 | 173,530 | ||||||
Conduent, Inc.†(a)(b)* | 44,614 | 1,004,707 | ||||||
Convergys Corp.† | 15,525 | 368,564 | ||||||
DXC Technology Co.†(b) | 25,389 | 2,374,379 | ||||||
eBay, Inc.†* | 73,970 | 2,442,489 | ||||||
Electronic Arts, Inc.†* | 13,964 | 1,682,522 |
The accompanying notes are an integral part of the financial statements.
48
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Endurance International Group Holdings, Inc.(a)* | 17,634 | $ | 155,179 | |||||
Envestnet, Inc.†* | 609 | 37,119 | ||||||
Etsy, Inc.†(a)* | 62,053 | 3,188,283 | ||||||
Facebook, Inc., Class A†* | 8,772 | 1,442,643 | ||||||
Fair Isaac Corp.†* | 5,840 | 1,334,732 | ||||||
Fiserv, Inc.†* | 6,767 | 557,465 | ||||||
FleetCor Technologies, Inc.†(a)* | 1,663 | 378,898 | ||||||
Fortinet, Inc.†(a)(b)* | 26,045 | 2,403,172 | ||||||
Globant SA (Luxembourg)†* | 2,615 | 154,259 | ||||||
GoDaddy, Inc., Class A†(b)* | 21,963 | 1,831,495 | ||||||
IAC/InterActiveCorp.†* | 7,820 | 1,694,750 | ||||||
International Business Machines Corp.† | 5,137 | 776,766 | ||||||
Intuit, Inc.† | 11,004 | 2,502,310 | ||||||
j2 Global, Inc.(a)(b) | 6,703 | 555,344 | ||||||
LogMeIn, Inc.†(b) | 17,255 | 1,537,420 | ||||||
Manhattan Associates, Inc.†* | 1,720 | 93,912 | ||||||
Mastercard, Inc., Class A† | 662 | 147,368 | ||||||
MAXIMUS, Inc.† | 1,602 | 104,226 | ||||||
Microsoft Corp.† | 10,672 | 1,220,557 | ||||||
MicroStrategy, Inc., Class A†* | 238 | 33,468 | ||||||
Monotype Imaging Holdings, Inc.† | 3,427 | 69,225 | ||||||
New Relic, Inc.†* | 713 | 67,186 | ||||||
NIC, Inc.†(a) | 44,481 | 658,319 | ||||||
Open Text Corp. (Canada)† | 30,286 | 1,152,079 | ||||||
Oracle Corp.†(b) | 23,583 | 1,215,939 | ||||||
Paychex, Inc.†(a)(b) | 13,177 | 970,486 | ||||||
Paycom Software, Inc.†(a)* | 1,995 | 310,043 | ||||||
Perficient, Inc.(a)* | 1,844 | 49,143 | ||||||
Progress Software Corp.† | 21,511 | 759,123 | ||||||
Qualys, Inc.†(a)(b)* | 6,630 | 590,733 | ||||||
QuinStreet, Inc.(a)* | 10,578 | 143,543 | ||||||
Red Hat, Inc.†(a)* | 9,585 | 1,306,244 | ||||||
salesforce.com, Inc.†* | 14,023 | 2,230,078 | ||||||
ServiceNow, Inc.†* | 4,161 | 814,016 | ||||||
Shutterstock, Inc.(a) | 4,782 | 261,002 | ||||||
SPS Commerce, Inc.†* | 5,036 | 499,773 | ||||||
Stamps.com, Inc.†(a)(b)* | 6,815 | 1,541,553 | ||||||
Symantec Corp.† | 9,496 | 202,075 | ||||||
Synopsys, Inc.†(b)* | 2,541 | 250,568 | ||||||
TechTarget, Inc.†* | 8,135 | 157,982 | ||||||
TTEC Holdings, Inc. | 265 | 6,864 | ||||||
Tucows, Inc., Class A(a)* | 716 | 39,917 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Tyler Technologies, Inc.†* | 1,225 | $ | 300,198 | |||||
VeriSign, Inc.†* | 7,258 | 1,162,151 | ||||||
Visa, Inc., Class A†(a)(b) | 2,641 | 396,388 | ||||||
VMware, Inc., Class A†* | 1,501 | 234,246 | ||||||
Web.com Group, Inc.†* | 13,316 | 371,516 | ||||||
XO Group, Inc.†* | 3,449 | 118,922 | ||||||
|
| |||||||
65,180,290 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 7.8% |
| |||||||
ADTRAN, Inc.† | 3,652 | 64,458 | ||||||
Amphenol Corp., Class A† | 4,351 | 409,081 | ||||||
Apple, Inc.† | 4,469 | 1,008,832 | ||||||
Avnet, Inc.†(a)(b) | 15,486 | 693,308 | ||||||
AVX Corp.† | 6,946 | 125,375 | ||||||
Casa Systems, Inc.†(a)* | 40,439 | 596,475 | ||||||
Ciena Corp.†(a)* | 44,119 | 1,378,278 | ||||||
Cisco Systems, Inc.† | 28,654 | 1,394,017 | ||||||
CommScope Holding Co., Inc.†(a)* | 31,639 | 973,216 | ||||||
Corning, Inc. | 338 | 11,931 | ||||||
Dolby Laboratories, Inc., Class A† | 8,218 | 575,013 | ||||||
EchoStar Corp., Class A†(b)* | 17,210 | 798,028 | ||||||
Electro Scientific Industries, Inc.†* | 8,514 | 148,569 | ||||||
F5 Networks, Inc.†* | 3,756 | 749,022 | ||||||
FLIR Systems, Inc.† | 34,626 | 2,128,460 | ||||||
Hewlett Packard Enterprise Co.†(a) | 39,289 | 640,804 | ||||||
HP, Inc.† | 46,253 | 1,191,940 | ||||||
Insight Enterprises, Inc.†* | 9,982 | 539,926 | ||||||
InterDigital, Inc.† | 4,318 | 345,440 | ||||||
Jabil, Inc.† | 40,169 | 1,087,777 | ||||||
Mesa Laboratories, Inc.(a) | 70 | 12,993 | ||||||
Mitel Networks Corp. (Canada)†* | 18,420 | 202,988 | ||||||
Motorola Solutions, Inc.† | 3,491 | 454,319 | ||||||
MTS Systems Corp.(a) | 688 | 37,668 | ||||||
NetApp, Inc.† | 9,881 | 848,679 | ||||||
Novanta, Inc. (Canada)* | 520 | 35,568 | ||||||
OSI Systems, Inc.†(a)* | 10,053 | 767,144 | ||||||
Plantronics, Inc.†(a) | 10,792 | 650,758 | ||||||
Seagate Technology PLC | 57,451 | 2,720,305 | ||||||
TE Connectivity Ltd. (Switzerland)† | 33,803 | 2,972,298 | ||||||
Tech Data Corp.(a)* | 1,556 | 111,363 | ||||||
Vishay Intertechnology, Inc.†(a) | 76,818 | 1,563,246 | ||||||
Western Digital Corp.†(a)(b) | 37,296 | 2,183,308 | ||||||
Xerox Corp.† | 8,964 | 241,849 | ||||||
Zebra Technologies Corp., Class A†* | 494 | 87,354 | ||||||
|
| |||||||
27,749,790 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
49
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Telecommunication Services — 2.6% |
| |||||||
BCE, Inc. (Canada)†(b) | 30,304 | $ | 1,227,918 | |||||
CenturyLink, Inc.†(a) | 67,875 | 1,438,950 | ||||||
Globalstar, Inc.* | 553 | 281 | ||||||
Intelsat SA (Luxembourg)†* | 23,144 | 694,320 | ||||||
Rogers Communications, Inc., | 28,106 | 1,444,929 | ||||||
Verizon Communications, Inc.†(b) | 57,648 | 3,077,827 | ||||||
Vonage Holdings Corp.†(b)* | 105,631 | 1,495,735 | ||||||
|
| |||||||
9,379,960 | ||||||||
|
| |||||||
Transportation — 4.8% |
| |||||||
American Airlines Group, Inc.†(a)(b) | 55,596 | 2,297,783 | ||||||
ArcBest Corp.†(b) | 12,406 | 602,311 | ||||||
CH Robinson Worldwide, Inc.† | 3,904 | 382,280 | ||||||
CSX Corp.† | 20,225 | 1,497,661 | ||||||
Echo Global Logistics, Inc.* | 1,025 | 31,724 | ||||||
Expeditors International of Washington, Inc.† | 43,449 | 3,194,805 | ||||||
FedEx Corp.† | 3,734 | 899,110 | ||||||
Heartland Express, Inc.(a) | 14,494 | 285,967 | ||||||
JB Hunt Transport Services, Inc. | 59 | 7,017 | ||||||
Knight-Swift Transportation Holdings, Inc.(a) | 5,388 | 185,778 | ||||||
Landstar System, Inc.†(a)(b) | 11,618 | 1,417,396 | ||||||
Norfolk Southern Corp.† | 3,628 | 654,854 | ||||||
Schneider National, Inc., | 53,861 | 1,345,448 | ||||||
Southwest Airlines Co.† | 6,729 | 420,226 | ||||||
Union Pacific Corp.† | 4,259 | 693,493 | ||||||
United Continental Holdings, | 21,704 | 1,932,958 | ||||||
United Parcel Service, Inc., Class B† | 11,165 | 1,303,514 | ||||||
|
| |||||||
17,152,325 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 432,127,470 | |||||||
|
| |||||||
Par Value | ||||||||
CORPORATE BONDS AND NOTES — 0.0% |
| |||||||
Capital Goods — 0.0% |
| |||||||
Mueller Industries, Inc. | $ | 715 | 688 | |||||
|
| |||||||
TOTAL CORPORATE BONDS AND NOTES |
| 688 | ||||||
|
| |||||||
TOTAL LONG POSITIONS - 121.2% | 432,128,158 | |||||||
|
| |||||||
(Cost $395,197,567) |
Number of Shares | Value | |||||||
SHORT POSITIONS — (96.1)% |
| |||||||
COMMON STOCKS — (96.1)% |
| |||||||
Automobiles & Components — (2.9)% |
| |||||||
American Axle & Manufacturing Holdings, Inc.* | (4,528 | ) | $ | (78,968 | ) | |||
Aptiv PLC (Jersey) | (11,584 | ) | (971,898 | ) | ||||
Cooper Tire & Rubber Co. | (46,323 | ) | (1,310,941 | ) | ||||
Dorman Products, Inc.* | (13,660 | ) | (1,050,727 | ) | ||||
Fox Factory Holding Corp.* | (14,596 | ) | (1,022,450 | ) | ||||
General Motors Co. | (19,494 | ) | (656,363 | ) | ||||
Gentherm, Inc.* | (19,660 | ) | (893,547 | ) | ||||
LCI Industries | (17,025 | ) | (1,409,670 | ) | ||||
Standard Motor Products, Inc. | (2,403 | ) | (118,276 | ) | ||||
Tesla, Inc.* | (10,107 | ) | (2,676,030 | ) | ||||
Tower International, Inc. | (227 | ) | (6,867 | ) | ||||
|
| |||||||
(10,195,737 | ) | |||||||
|
| |||||||
Capital Goods — (13.6)% | ||||||||
AAON, Inc. | (13,467 | ) | (509,053 | ) | ||||
Aegion Corp.* | (67 | ) | (1,700 | ) | ||||
Alamo Group, Inc. | (2,584 | ) | (236,720 | ) | ||||
Allegion PLC (Ireland) | (104 | ) | (9,419 | ) | ||||
Ameresco, Inc., Class A* | (3 | ) | (41 | ) | ||||
American Railcar Industries, Inc. | (3,532 | ) | (162,825 | ) | ||||
American Woodmark Corp.* | (7,925 | ) | (621,716 | ) | ||||
Astec Industries, Inc. | (4,711 | ) | (237,482 | ) | ||||
Astronics Corp.* | (9,845 | ) | (428,258 | ) | ||||
Axon Enterprise, Inc.* | (10,123 | ) | (692,717 | ) | ||||
Barnes Group, Inc. | (737 | ) | (52,349 | ) | ||||
Beacon Roofing Supply, Inc.* | (42,029 | ) | (1,521,030 | ) | ||||
Blue Bird Corp.* | (190 | ) | (4,655 | ) | ||||
Builders FirstSource, Inc.* | (61,904 | ) | (908,751 | ) | ||||
BWX Technologies, Inc. | (2,602 | ) | (162,729 | ) | ||||
CAE, Inc. (Canada) | (342 | ) | (6,949 | ) | ||||
Carlisle Cos., Inc. | (682 | ) | (83,068 | ) | ||||
CIRCOR International, Inc. | (17,345 | ) | (823,888 | ) | ||||
Construction Partners, Inc., Class A* | (45 | ) | (544 | ) | ||||
Crane Co. | (3,575 | ) | (351,601 | ) | ||||
Cubic Corp. | (520 | ) | (37,986 | ) | ||||
Cummins, Inc. | (3,113 | ) | (454,716 | ) | ||||
Curtiss-Wright Corp. | (3,799 | ) | (522,059 | ) | ||||
Douglas Dynamics, Inc. | (616 | ) | (27,042 | ) | ||||
DXP Enterprises, Inc.* | (5,710 | ) | (228,800 | ) | ||||
Dycom Industries, Inc.* | (17,566 | ) | (1,486,084 | ) | ||||
EMCOR Group, Inc. | (3,237 | ) | (243,131 | ) | ||||
Encore Wire Corp. | (1,905 | ) | (95,440 | ) | ||||
EnPro Industries, Inc. | (4,113 | ) | (299,961 | ) |
The accompanying notes are an integral part of the financial statements.
50
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
ESCO Technologies, Inc. | (2,082 | ) | $ | (141,680 | ) | |||
Evoqua Water Technologies Corp.* | (31,148 | ) | (553,811 | ) | ||||
Flowserve Corp. | (34,685 | ) | (1,896,923 | ) | ||||
Franklin Electric Co., Inc. | (7,195 | ) | (339,964 | ) | ||||
Gates Industrial Corp. PLC (United Kingdom)* | (17,250 | ) | (336,375 | ) | ||||
General Dynamics Corp. | (12,642 | ) | (2,588,070 | ) | ||||
GMS, Inc.* | (3,246 | ) | (75,307 | ) | ||||
Granite Construction, Inc. | (13,250 | ) | (605,525 | ) | ||||
HEICO Corp. | (5,066 | ) | (469,162 | ) | ||||
Herc Holdings, Inc.* | (2,884 | ) | (147,661 | ) | ||||
Huntington Ingalls Industries, Inc. | (992 | ) | (254,031 | ) | ||||
Hyster-Yale Materials Handling, Inc. | (2,618 | ) | (161,086 | ) | ||||
JELD-WEN Holding, Inc.* | (26,706 | ) | (658,570 | ) | ||||
John Bean Technologies Corp. | (2,060 | ) | (245,758 | ) | ||||
Kratos Defense & Security Solutions, Inc.* | (72,907 | ) | (1,077,565 | ) | ||||
Lindsay Corp. | (1,672 | ) | (167,601 | ) | ||||
Lydall, Inc.* | (2,238 | ) | (96,458 | ) | ||||
MasTec, Inc.* | (16,707 | ) | (745,968 | ) | ||||
Maxar Technologies Ltd. (Canada) | (19,327 | ) | (639,144 | ) | ||||
Mercury Systems, Inc.* | (33,105 | ) | (1,831,369 | ) | ||||
Middleby Corp. (The)* | (15,018 | ) | (1,942,578 | ) | ||||
MRC Global, Inc.* | (97,701 | ) | (1,833,848 | ) | ||||
Mueller Water Products, Inc., Class A | (23,473 | ) | (270,174 | ) | ||||
Navistar International Corp.* | (8,953 | ) | (344,690 | ) | ||||
Northrop Grumman Corp. | (9,614 | ) | (3,051,195 | ) | ||||
NOW, Inc.* | (92,776 | ) | (1,535,443 | ) | ||||
Patrick Industries, Inc.* | (13,220 | ) | (782,624 | ) | ||||
Primoris Services Corp. | (7,374 | ) | (183,023 | ) | ||||
Proto Labs, Inc.* | (1,576 | ) | (254,918 | ) | ||||
Raven Industries, Inc. | (10,629 | ) | (486,277 | ) | ||||
RBC Bearings, Inc.* | (277 | ) | (41,650 | ) | ||||
Regal Beloit Corp. | (4,086 | ) | (336,891 | ) | ||||
REV Group, Inc. | (25,665 | ) | (402,940 | ) | ||||
Roper Technologies, Inc. | (4,775 | ) | (1,414,403 | ) | ||||
SiteOne Landscape Supply, Inc.* | (4,989 | ) | (375,871 | ) | ||||
SPX Corp.* | (22,709 | ) | (756,437 | ) | ||||
Stanley Black & Decker, Inc. | (12,305 | ) | (1,801,944 | ) | ||||
Sun Hydraulics Corp. | (2,495 | ) | (136,676 | ) | ||||
Sunrun, Inc.* | (77,926 | ) | (969,399 | ) | ||||
Textainer Group Holdings Ltd. (Bermuda)* | (7,895 | ) | (101,056 | ) | ||||
Thermon Group Holdings, Inc.* | (8,753 | ) | (225,652 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Timken Co. (The) | (12,574 | ) | $ | (626,814 | ) | |||
TPI Composites, Inc.* | (7,008 | ) | (200,078 | ) | ||||
Trex Co., Inc.* | (9,284 | ) | (714,682 | ) | ||||
Triumph Group, Inc. | (7,409 | ) | (172,630 | ) | ||||
Tutor Perini Corp.* | (4,720 | ) | (88,736 | ) | ||||
Universal Forest Products, Inc. | (13,573 | ) | (479,534 | ) | ||||
USG Corp. | (48,645 | ) | (2,106,815 | ) | ||||
Vicor Corp.* | (11,663 | ) | (536,498 | ) | ||||
Welbilt, Inc.* | (46,849 | ) | (978,207 | ) | ||||
Wesco Aircraft Holdings, Inc.* | (41,589 | ) | (467,876 | ) | ||||
Woodward, Inc. | (21,393 | ) | (1,729,838 | ) | ||||
|
| |||||||
(48,592,139 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (2.1)% |
| |||||||
ACCO Brands Corp. | (701 | ) | (7,921 | ) | ||||
ADT, Inc. | (6,503 | ) | (61,063 | ) | ||||
Advanced Disposal Services, Inc.* | (16,885 | ) | (457,246 | ) | ||||
ASGN, Inc.* | (9,233 | ) | (728,761 | ) | ||||
Casella Waste Systems, Inc., Class A* | (9,954 | ) | (309,171 | ) | ||||
Cimpress NV (Netherlands)* | (960 | ) | (131,146 | ) | ||||
Civeo Corp. (Canada)* | (173 | ) | (718 | ) | ||||
Clean Harbors, Inc.* | (23,725 | ) | (1,698,236 | ) | ||||
Forrester Research, Inc. | (3,718 | ) | (170,656 | ) | ||||
Healthcare Services Group, Inc. | (31,313 | ) | (1,271,934 | ) | ||||
HNI Corp. | (10,205 | ) | (451,469 | ) | ||||
Huron Consulting Group, Inc.* | (920 | ) | (45,448 | ) | ||||
Insperity, Inc. | (1,454 | ) | (171,499 | ) | ||||
Multi-Color Corp. | (9,515 | ) | (592,309 | ) | ||||
Quad/Graphics, Inc. | (945 | ) | (19,694 | ) | ||||
Steelcase, Inc., Class A | (7,792 | ) | (144,152 | ) | ||||
Team, Inc.* | (24,495 | ) | (551,138 | ) | ||||
TransUnion | (2,595 | ) | (190,940 | ) | ||||
TrueBlue, Inc.* | (1,514 | ) | (39,440 | ) | ||||
UniFirst Corp. | (1,185 | ) | (205,775 | ) | ||||
Viad Corp. | (2,662 | ) | (157,724 | ) | ||||
Waste Connections, Inc. (Canada) | (56 | ) | (4,467 | ) | ||||
|
| |||||||
(7,410,907 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (3.9)% |
| |||||||
Canada Goose Holdings, Inc. (Canada)* | (21,961 | ) | (1,417,363 | ) | ||||
Deckers Outdoor Corp.* | (2,640 | ) | (313,051 | ) | ||||
G-III Apparel Group Ltd.* | (1,412 | ) | (68,044 | ) | ||||
Gildan Activewear, Inc. (Canada) | (19,288 | ) | (586,934 | ) | ||||
GoPro, Inc., Class A* | (126,047 | ) | (907,538 | ) |
The accompanying notes are an integral part of the financial statements.
51
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Hanesbrands, Inc. | (5,594 | ) | $ | (103,097 | ) | |||
Hasbro, Inc. | (4,369 | ) | (459,269 | ) | ||||
Installed Building Products, Inc.* | (8,295 | ) | (323,505 | ) | ||||
iRobot Corp.* | (10,593 | ) | (1,164,383 | ) | ||||
Leggett & Platt, Inc. | (1,523 | ) | (66,692 | ) | ||||
Marine Products Corp. | (2 | ) | (46 | ) | ||||
Mattel, Inc.* | (177,651 | ) | (2,789,121 | ) | ||||
Newell Brands, Inc. | (35,809 | ) | (726,923 | ) | ||||
Oxford Industries, Inc. | (6,575 | ) | (593,065 | ) | ||||
Polaris Industries, Inc. | (12,269 | ) | (1,238,556 | ) | ||||
Tempur Sealy International, Inc.* | (47,388 | ) | (2,506,825 | ) | ||||
TopBuild Corp.* | (9,392 | ) | (533,653 | ) | ||||
VF Corp. | (304 | ) | (28,409 | ) | ||||
Wolverine World Wide, Inc. | (3,586 | ) | (140,033 | ) | ||||
|
| |||||||
(13,966,507 | ) | |||||||
|
| |||||||
Consumer Services — (5.9)% |
| |||||||
Aramark | (59,468 | ) | (2,558,313 | ) | ||||
Belmond Ltd., Class A | (24,217 | ) | (441,960 | ) | ||||
Carnival Corp. (Panama) | (2,482 | ) | (158,277 | ) | ||||
Carrols Restaurant Group, Inc.* | (2,577 | ) | (37,624 | ) | ||||
Chegg, Inc.* | (14,811 | ) | (421,077 | ) | ||||
Chipotle Mexican Grill, Inc.* | (2,214 | ) | (1,006,307 | ) | ||||
Dave & Buster’s Entertainment, Inc. | (29,121 | ) | (1,928,393 | ) | ||||
Domino’s Pizza, Inc. | (292 | ) | (86,082 | ) | ||||
Fiesta Restaurant Group, Inc.* | (11,846 | ) | (316,880 | ) | ||||
Golden Entertainment, Inc.* | (5,127 | ) | (123,099 | ) | ||||
Grand Canyon Education, Inc.* | (3,421 | ) | (385,889 | ) | ||||
Houghton Mifflin Harcourt Co.* | (21,714 | ) | (151,998 | ) | ||||
International Speedway Corp., Class A | (3,068 | ) | (134,378 | ) | ||||
Monarch Casino & Resort, Inc.* | (1,831 | ) | (83,219 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (47,990 | ) | (2,756,066 | ) | ||||
PlayAGS, Inc.* | (5,869 | ) | (172,959 | ) | ||||
Red Rock Resorts, Inc., Class A | (25,139 | ) | (669,954 | ) | ||||
Royal Caribbean Cruises Ltd. (Liberia) | (17,789 | ) | (2,311,503 | ) | ||||
SeaWorld Entertainment, Inc.* | (20,188 | ) | (634,509 | ) | ||||
Service Corp. International | (25,949 | ) | (1,146,946 | ) | ||||
Shake Shack, Inc., Class A* | (26,015 | ) | (1,639,205 | ) | ||||
Six Flags Entertainment Corp. | (11,087 | ) | (774,094 | ) | ||||
Starbucks Corp. | (6,301 | ) | (358,149 | ) | ||||
Strategic Education, Inc. | (3,397 | ) | (465,491 | ) | ||||
Wingstop, Inc. | (22,625 | ) | (1,544,609 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Wynn Resorts Ltd. | (4,786 | ) | $ | (608,109 | ) | |||
|
| |||||||
(20,915,090 | ) | |||||||
|
| |||||||
Energy — (5.9)% | ||||||||
Andeavor | (10,900 | ) | (1,673,150 | ) | ||||
Cheniere Energy, Inc.* | (18,586 | ) | (1,291,541 | ) | ||||
DHT Holdings, Inc. (Marshall Islands) | (4,258 | ) | (20,013 | ) | ||||
Ensco PLC, Class A (United Kingdom) | (127,985 | ) | (1,080,193 | ) | ||||
Exterran Corp.* | (469 | ) | (12,443 | ) | ||||
Forum Energy Technologies, Inc.* | (96,583 | ) | (999,634 | ) | ||||
Green Plains, Inc. | (45,753 | ) | (786,952 | ) | ||||
Helix Energy Solutions Group, Inc.* | (37,926 | ) | (374,709 | ) | ||||
Liberty Oilfield Services, Inc., Class A | (28,675 | ) | (618,520 | ) | ||||
Newpark Resources, Inc.* | (16,523 | ) | (171,013 | ) | ||||
NexGen Energy Ltd. (Canada)* | (5,630 | ) | (11,542 | ) | ||||
Nine Energy Service, Inc.* | (2,031 | ) | (62,108 | ) | ||||
Occidental Petroleum Corp. | (4,276 | ) | (351,359 | ) | ||||
Oceaneering International, Inc.* | (6,909 | ) | (190,688 | ) | ||||
Oil States International, Inc.* | (14,206 | ) | (471,639 | ) | ||||
Par Pacific Holdings, Inc.* | (849 | ) | (17,320 | ) | ||||
Rowan Cos. PLC, Class A (United Kingdom)* | (142,229 | ) | (2,678,172 | ) | ||||
Select Energy Services, Inc., | (19,402 | ) | (229,720 | ) | ||||
SemGroup Corp., Class A | (5,354 | ) | (118,056 | ) | ||||
Solaris Oilfield Infrastructure, Inc., Class A* | (43,174 | ) | (815,557 | ) | ||||
Suncor Energy, Inc. (Canada) | (22,046 | ) | (852,960 | ) | ||||
Superior Energy Services, Inc.* | (45,648 | ) | (444,612 | ) | ||||
Targa Resources Corp. | (40,003 | ) | (2,252,569 | ) | ||||
TransCanada Corp. (Canada) | (30,623 | ) | (1,239,007 | ) | ||||
Transocean Ltd. (Switzerland)* | (108,328 | ) | (1,511,176 | ) | ||||
Unit Corp.* | (17,459 | ) | (454,982 | ) | ||||
US Silica Holdings, Inc. | (121,798 | ) | (2,293,456 | ) | ||||
|
| |||||||
(21,023,091 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (1.4)% |
| |||||||
Casey’s General Stores, Inc. | (9,037 | ) | (1,166,767 | ) | ||||
Chefs’ Warehouse, Inc. (The)* | (5,646 | ) | (205,232 | ) | ||||
Costco Wholesale Corp. | (1,752 | ) | (411,510 | ) | ||||
Ingles Markets, Inc., Class A | (561 | ) | (19,214 | ) | ||||
PriceSmart, Inc. | (11,266 | ) | (911,983 | ) | ||||
Rite Aid Corp.* | (436,301 | ) | (558,465 | ) | ||||
Sprouts Farmers Market, Inc.* | (9,726 | ) | (266,590 | ) |
The accompanying notes are an integral part of the financial statements.
52
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food & Staples Retailing — (Continued) |
| |||||||
United Natural Foods, Inc.* | (42,427 | ) | $ | (1,270,689 | ) | |||
|
| |||||||
(4,810,450 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (4.2)% |
| |||||||
Boston Beer Co., Inc. (The), Class A* | (3,138 | ) | (902,175 | ) | ||||
Bunge Ltd. (Bermuda) | (30,743 | ) | (2,112,352 | ) | ||||
Calavo Growers, Inc. | (6,229 | ) | (601,721 | ) | ||||
Campbell Soup Co. | (7,179 | ) | (262,967 | ) | ||||
Coca-Cola Bottling Co. Consolidated | (2,627 | ) | (478,850 | ) | ||||
Darling Ingredients, Inc.* | (46,738 | ) | (902,978 | ) | ||||
Fresh Del Monte Produce, Inc. (Cayman Islands) | (4,944 | ) | (167,552 | ) | ||||
Freshpet, Inc.* | (11,103 | ) | (407,480 | ) | ||||
Hormel Foods Corp. | (10,337 | ) | (407,278 | ) | ||||
Hostess Brands, Inc.* | (5,542 | ) | (61,350 | ) | ||||
J&J Snack Foods Corp. | (3,606 | ) | (544,109 | ) | ||||
JM Smucker Co. (The) | (14,241 | ) | (1,461,269 | ) | ||||
John B Sanfilippo & Son, Inc. | (1,711 | ) | (122,131 | ) | ||||
Lancaster Colony Corp. | (748 | ) | (111,609 | ) | ||||
McCormick & Co., Inc., non-voting shares | (5,627 | ) | (741,357 | ) | ||||
MGP Ingredients, Inc. | (18,597 | ) | (1,468,791 | ) | ||||
Monster Beverage Corp.* | (5,180 | ) | (301,890 | ) | ||||
National Beverage Corp.* | (2,489 | ) | (290,267 | ) | ||||
Primo Water Corp.* | (4,537 | ) | (81,893 | ) | ||||
Sanderson Farms, Inc. | (32,931 | ) | (3,404,077 | ) | ||||
SunOpta, Inc. (Canada)* | (137 | ) | (1,007 | ) | ||||
Turning Point Brands, Inc. | (803 | ) | (33,292 | ) | ||||
|
| |||||||
(14,866,395 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (7.9)% |
| |||||||
Addus HomeCare Corp.* | (595 | ) | (41,739 | ) | ||||
Align Technology, Inc.* | (510 | ) | (199,522 | ) | ||||
AtriCure, Inc.* | (16,397 | ) | (574,387 | ) | ||||
AxoGen, Inc.* | (8,270 | ) | (304,750 | ) | ||||
BioTelemetry, Inc.* | (34,497 | ) | (2,223,332 | ) | ||||
Brookdale Senior Living, Inc.* | (77,617 | ) | (762,975 | ) | ||||
Cardiovascular Systems, Inc.* | (8,947 | ) | (350,186 | ) | ||||
CorVel Corp.* | (39 | ) | (2,350 | ) | ||||
CryoLife, Inc.* | (5,857 | ) | (206,166 | ) | ||||
Diplomat Pharmacy, Inc.* | (43,186 | ) | (838,240 | ) | ||||
Ensign Group, Inc. (The) | (14,051 | ) | (532,814 | ) | ||||
Evolent Health, Inc., Class A* | (56,129 | ) | (1,594,064 | ) | ||||
Glaukos Corp.* | (31,214 | ) | (2,025,789 | ) | ||||
Hanger, Inc.* | (16 | ) | (333 | ) | ||||
Heska Corp.* | (114 | ) | (12,917 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Inovalon Holdings, Inc., Class A* | (21,582 | ) | $ | (216,899 | ) | |||
Inspire Medical Systems, Inc.* | (3,751 | ) | (157,842 | ) | ||||
Insulet Corp.* | (22,102 | ) | (2,341,707 | ) | ||||
iRhythm Technologies, Inc.* | (9,321 | ) | (882,326 | ) | ||||
K2M Group Holdings, Inc.* | (28,986 | ) | (793,347 | ) | ||||
LHC Group, Inc.* | (19,273 | ) | (1,984,926 | ) | ||||
Medidata Solutions, Inc.* | (27,420 | ) | (2,010,160 | ) | ||||
Merit Medical Systems, Inc.* | (23,931 | ) | (1,470,560 | ) | ||||
National Research Corp. | (292 | ) | (11,271 | ) | ||||
Natus Medical, Inc.* | (26 | ) | (927 | ) | ||||
Nevro Corp.* | (37,988 | ) | (2,165,316 | ) | ||||
Novocure Ltd. (Jersey)* | (11,157 | ) | (584,627 | ) | ||||
NxStage Medical, Inc.* | (20,328 | ) | (566,948 | ) | ||||
OraSure Technologies, Inc.* | (30,213 | ) | (466,791 | ) | ||||
PetIQ, Inc.* | (1,739 | ) | (68,360 | ) | ||||
RadNet, Inc.* | (9,408 | ) | (141,590 | ) | ||||
Select Medical Holdings Corp.* | (12,392 | ) | (228,013 | ) | ||||
Senseonics Holdings, Inc.* | (34,024 | ) | (162,294 | ) | ||||
Sientra, Inc.* | (2,257 | ) | (53,897 | ) | ||||
STAAR Surgical Co.* | (13,127 | ) | (630,096 | ) | ||||
Surgery Partners, Inc.* | (8,983 | ) | (148,220 | ) | ||||
Tactile Systems Technology, Inc.* | (3,447 | ) | (244,909 | ) | ||||
US Physical Therapy, Inc. | (964 | ) | (114,330 | ) | ||||
ViewRay, Inc.* | (42,343 | ) | (396,330 | ) | ||||
Vocera Communications, Inc.* | (13,272 | ) | (485,490 | ) | ||||
Wright Medical Group NV (Netherlands)* | (74,019 | ) | (2,148,031 | ) | ||||
|
| |||||||
(28,144,771 | ) | |||||||
|
| |||||||
Household & Personal Products — (1.0)% |
| |||||||
Central Garden & Pet Co., Class A* | (13,762 | ) | (456,073 | ) | ||||
Church & Dwight Co., Inc. | (7,478 | ) | (443,969 | ) | ||||
Coty, Inc., Class A | (43,015 | ) | (540,268 | ) | ||||
Energizer Holdings, Inc. | (4,704 | ) | (275,890 | ) | ||||
Inter Parfums, Inc. | (3,317 | ) | (213,781 | ) | ||||
Spectrum Brands Holdings, Inc. | (8,680 | ) | (648,570 | ) | ||||
WD-40 Co. | (5,735 | ) | (986,994 | ) | ||||
|
| |||||||
(3,565,545 | ) | |||||||
|
| |||||||
Materials — (5.6)% |
| |||||||
A. Schulman, Inc. CVR(c) | (6,794 | ) | (13,588 | ) | ||||
Air Products & Chemicals, Inc. | (6,063 | ) | (1,012,824 | ) | ||||
Avery Dennison Corp. | (1,627 | ) | (176,285 | ) | ||||
Axalta Coating Systems Ltd. (Bermuda)* | (2,786 | ) | (81,240 | ) | ||||
Ball Corp. | (1,671 | ) | (73,507 | ) |
The accompanying notes are an integral part of the financial statements.
53
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Cabot Corp. | (20,591 | ) | $ | (1,291,468 | ) | |||
Chase Corp. | (482 | ) | (57,912 | ) | ||||
Crown Holdings, Inc.* | (31,432 | ) | (1,508,736 | ) | ||||
Ferro Corp.* | (46,732 | ) | (1,085,117 | ) | ||||
GCP Applied Technologies, Inc.* | (8,583 | ) | (227,879 | ) | ||||
Graphic Packaging Holding Co. | (97,565 | ) | (1,366,886 | ) | ||||
HB Fuller Co. | (5,198 | ) | (268,581 | ) | ||||
Huntsman Corp. | (58,276 | ) | (1,586,855 | ) | ||||
Ingevity Corp.* | (6,470 | ) | (659,164 | ) | ||||
Innophos Holdings, Inc. | (7,837 | ) | (347,963 | ) | ||||
Innospec, Inc. | (1,169 | ) | (89,721 | ) | ||||
KapStone Paper and Packaging Corp. | (6,464 | ) | (219,194 | ) | ||||
Koppers Holdings, Inc.* | (3,747 | ) | (116,719 | ) | ||||
Martin Marietta Materials, Inc. | (16,815 | ) | (3,059,489 | ) | ||||
Minerals Technologies, Inc. | (2,170 | ) | (146,692 | ) | ||||
Nutrien Ltd. (Canada) | (19,079 | ) | (1,100,858 | ) | ||||
Packaging Corp. of America | (2,418 | ) | (265,230 | ) | ||||
PH Glatfelter Co. | (18,275 | ) | (349,235 | ) | ||||
Platform Specialty Products Corp.* | (8,566 | ) | (106,818 | ) | ||||
PQ Group Holdings, Inc.* | (6,043 | ) | (105,571 | ) | ||||
Rayonier Advanced Materials, Inc. | (16,221 | ) | (298,953 | ) | ||||
Sensient Technologies Corp. | (10,182 | ) | (779,025 | ) | ||||
Silgan Holdings, Inc. | (14,675 | ) | (407,965 | ) | ||||
Sonoco Products Co. | (417 | ) | (23,144 | ) | ||||
Summit Materials, Inc., Class A* | (21,946 | ) | (398,978 | ) | ||||
Tronox Ltd., Class A (Australia) | (19,376 | ) | (231,543 | ) | ||||
US Concrete, Inc.* | (9,478 | ) | (434,566 | ) | ||||
Valvoline, Inc. | (2,776 | ) | (59,712 | ) | ||||
WR Grace & Co. | (30,060 | ) | (2,148,088 | ) | ||||
|
| |||||||
(20,099,506 | ) | |||||||
|
| |||||||
Media — (2.0)% | ||||||||
Altice USA, Inc., Class A | (16,647 | ) | (301,977 | ) | ||||
Boston Omaha Corp., Class A* | (35 | ) | (1,046 | ) | ||||
Charter Communications, Inc., Class A* | (3,919 | ) | (1,277,124 | ) | ||||
Discovery, Inc., Class A* | (3,722 | ) | (119,104 | ) | ||||
Entercom Communications Corp., Class A | (63,470 | ) | (501,413 | ) | ||||
EW Scripps Co. (The), Class A | (41,753 | ) | (688,924 | ) | ||||
Lions Gate Entertainment Corp., Class B (Canada) | (8,230 | ) | (191,759 | ) | ||||
Live Nation Entertainment, Inc.* | (20,303 | ) | (1,105,904 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) |
| |||||||
Madison Square Garden Co. (The), Class A* | (3,109 | ) | $ | (980,330 | ) | |||
Meredith Corp. | (24,508 | ) | (1,251,133 | ) | ||||
National CineMedia, Inc. | (16,033 | ) | (169,789 | ) | ||||
New York Times Co. (The), Class A | (24,033 | ) | (556,364 | ) | ||||
WideOpenWest, Inc.* | (4,027 | ) | (45,143 | ) | ||||
|
| |||||||
(7,190,010 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (2.9)% |
| |||||||
Accelerate Diagnostics, Inc.* | (4,391 | ) | (100,773 | ) | ||||
Aclaris Therapeutics, Inc.* | (12,367 | ) | (179,569 | ) | ||||
Aerie Pharmaceuticals, Inc.* | (2,857 | ) | (175,848 | ) | ||||
Aimmune Therapeutics, Inc.* | (490 | ) | (13,367 | ) | ||||
Alder Biopharmaceuticals, Inc.* | (17,664 | ) | (294,106 | ) | ||||
Apellis Pharmaceuticals, Inc.* | (139 | ) | (2,471 | ) | ||||
Bio-Techne Corp. | (4,069 | ) | (830,524 | ) | ||||
Cambrex Corp.* | (13,200 | ) | (902,880 | ) | ||||
Charles River Laboratories International, Inc.* | (11,268 | ) | (1,515,997 | ) | ||||
Codexis, Inc.* | (5,639 | ) | (96,709 | ) | ||||
Coherus Biosciences, Inc.* | (19,517 | ) | (322,030 | ) | ||||
Cymabay Therapeutics, Inc.* | (1,650 | ) | (18,282 | ) | ||||
Dova Pharmaceuticals, Inc.* | (4,950 | ) | (103,802 | ) | ||||
Dynavax Technologies Corp.* | (12,977 | ) | (160,915 | ) | ||||
Epizyme, Inc.* | (27,446 | ) | (290,928 | ) | ||||
Esperion Therapeutics, Inc.* | (3,010 | ) | (133,554 | ) | ||||
Flexion Therapeutics, Inc.* | (21,208 | ) | (396,802 | ) | ||||
Insmed, Inc.* | (13,981 | ) | (282,696 | ) | ||||
Intra-Cellular Therapies, Inc.* | (23,106 | ) | (501,400 | ) | ||||
La Jolla Pharmaceutical Co.* | (19,432 | ) | (391,166 | ) | ||||
Luminex Corp. | (15,200 | ) | (460,712 | ) | ||||
NeoGenomics, Inc.* | (33,020 | ) | (506,857 | ) | ||||
Omeros Corp.* | (2,493 | ) | (60,854 | ) | ||||
Portola Pharmaceuticals, Inc.* | (14,041 | ) | (373,912 | ) | ||||
Radius Health, Inc.* | (9,160 | ) | (163,048 | ) | ||||
Revance Therapeutics, Inc.* | (19,361 | ) | (481,121 | ) | ||||
TherapeuticsMD, Inc.* | (56,163 | ) | (368,429 | ) | ||||
Theravance Biopharma, Inc. (Cayman Islands)* | (20,035 | ) | (654,543 | ) | ||||
Zogenix, Inc.* | (11,276 | ) | (559,290 | ) | ||||
|
| |||||||
(10,342,585 | ) | |||||||
|
| |||||||
Retailing — (6.0)% | ||||||||
1-800-Flowers.com, Inc., Class A* | (269 | ) | (3,174 | ) | ||||
At Home Group, Inc.* | (40,245 | ) | (1,268,925 | ) | ||||
Big Lots, Inc. | (27,931 | ) | (1,167,236 | ) |
The accompanying notes are an integral part of the financial statements.
54
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Boot Barn Holdings, Inc.* | (14,751 | ) | $ | (419,076 | ) | |||
Camping World Holdings, Inc., Class A | (64,820 | ) | (1,381,962 | ) | ||||
Carvana Co.* | (12,737 | ) | (752,629 | ) | ||||
Children’s Place, Inc. (The) | (6,504 | ) | (831,211 | ) | ||||
Dillard’s, Inc., Class A | (23,040 | ) | (1,758,874 | ) | ||||
DSW, Inc., Class A | (54,204 | ) | (1,836,432 | ) | ||||
Express, Inc.* | (26,766 | ) | (296,032 | ) | ||||
Five Below, Inc.* | (1,739 | ) | (226,174 | ) | ||||
Floor & Decor Holdings, Inc., Class A* | (37,587 | ) | (1,134,000 | ) | ||||
GameStop Corp., Class A | (39,217 | ) | (598,844 | ) | ||||
Group 1 Automotive, Inc. | (732 | ) | (47,507 | ) | ||||
Guess?, Inc. | (44,605 | ) | (1,008,073 | ) | ||||
LKQ Corp.* | (60,303 | ) | (1,909,796 | ) | ||||
Michaels Cos., Inc. (The)* | (48,700 | ) | (790,401 | ) | ||||
Monro, Inc. | (17,340 | ) | (1,206,864 | ) | ||||
Murphy USA, Inc.* | (2,785 | ) | (238,006 | ) | ||||
National Vision Holdings, Inc.* | (6,261 | ) | (282,622 | ) | ||||
Ollie’s Bargain Outlet Holdings, Inc.* | (6,356 | ) | (610,812 | ) | ||||
Overstock.com, Inc.* | (53,462 | ) | (1,480,897 | ) | ||||
Party City Holdco, Inc.* | (25,411 | ) | (344,319 | ) | ||||
Pool Corp. | (397 | ) | (66,251 | ) | ||||
Shutterfly, Inc.* | (3,658 | ) | (241,026 | ) | ||||
Sleep Number Corp.* | (9,140 | ) | (336,169 | ) | ||||
Sonic Automotive, Inc., Class A | (7,734 | ) | (149,653 | ) | ||||
Tiffany & Co. | (9,003 | ) | (1,161,117 | ) | ||||
|
| |||||||
(21,548,082 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (4.8)% |
| |||||||
Ambarella, Inc. (Cayman | (75,290 | ) | (2,912,217 | ) | ||||
Amkor Technology, Inc.* | (11,444 | ) | (84,571 | ) | ||||
Brooks Automation, Inc. | (30,164 | ) | (1,056,645 | ) | ||||
CEVA, Inc.* | (7,271 | ) | (209,041 | ) | ||||
Cree, Inc.* | (9,745 | ) | (369,043 | ) | ||||
FormFactor, Inc.* | (55,789 | ) | (767,099 | ) | ||||
Ichor Holdings Ltd. (Cayman Islands)* | (2,917 | ) | (59,565 | ) | ||||
Inphi Corp.* | (60,618 | ) | (2,302,272 | ) | ||||
Lattice Semiconductor Corp.* | (9,994 | ) | (79,952 | ) | ||||
MACOM Technology Solutions Holdings, Inc.* | (31,320 | ) | (645,192 | ) | ||||
Marvell Technology Group Ltd. (Bermuda) | (117,502 | ) | (2,267,789 | ) | ||||
MaxLinear, Inc.* | (7,594 | ) | (150,969 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Microchip Technology, Inc. | (31,280 | ) | $ | (2,468,305 | ) | |||
Photronics, Inc.* | (15,341 | ) | (151,109 | ) | ||||
Power Integrations, Inc. | (2,576 | ) | (162,803 | ) | ||||
Rambus, Inc.* | (40,487 | ) | (441,713 | ) | ||||
Rudolph Technologies, Inc.* | (8,418 | ) | (205,820 | ) | ||||
Synaptics, Inc.* | (44,739 | ) | (2,040,993 | ) | ||||
Teradyne, Inc. | (11,806 | ) | (436,586 | ) | ||||
Veeco Instruments, Inc.* | (14,448 | ) | (148,092 | ) | ||||
Xperi Corp. | (19,439 | ) | (288,669 | ) | ||||
|
| |||||||
(17,248,445 | ) | |||||||
|
| |||||||
Software & Services — (13.2)% |
| |||||||
8x8, Inc.* | (76,956 | ) | (1,635,315 | ) | ||||
ACI Worldwide, Inc.* | (45,292 | ) | (1,274,517 | ) | ||||
Avalara, Inc.* | (7,823 | ) | (273,257 | ) | ||||
Benefitfocus, Inc.* | (18,868 | ) | (763,211 | ) | ||||
Black Knight, Inc.* | (10,594 | ) | (550,358 | ) | ||||
BlackBerry Ltd. (Canada)* | (116,217 | ) | (1,322,549 | ) | ||||
Blackline, Inc.* | (15,992 | ) | (903,068 | ) | ||||
Box, Inc., Class A* | (86,550 | ) | (2,069,410 | ) | ||||
Carbon Black, Inc.* | (4,514 | ) | (95,607 | ) | ||||
Cloudera, Inc.* | (134,265 | ) | (2,369,777 | ) | ||||
comScore, Inc.* | (1,045 | ) | (19,050 | ) | ||||
CSG Systems International, Inc. | (12,955 | ) | (520,014 | ) | ||||
DocuSign, Inc.* | (1,254 | ) | (65,923 | ) | ||||
Ellie Mae, Inc.* | (14,941 | ) | (1,415,959 | ) | ||||
Everbridge, Inc.* | (6,857 | ) | (395,237 | ) | ||||
Exela Technologies, Inc.* | (107 | ) | (763 | ) | ||||
Fidelity National Information Services, Inc. | (6,849 | ) | (747,020 | ) | ||||
FireEye, Inc.* | (179,131 | ) | (3,045,227 | ) | ||||
First Data Corp., Class A* | (11,341 | ) | (277,514 | ) | ||||
ForeScout Technologies, Inc.* | (40,268 | ) | (1,520,520 | ) | ||||
Global Payments, Inc. | (17,146 | ) | (2,184,400 | ) | ||||
Glu Mobile, Inc.* | (20,182 | ) | (150,356 | ) | ||||
GTT Communications, Inc.* | (3,136 | ) | (136,102 | ) | ||||
Hortonworks, Inc.* | (77,876 | ) | (1,776,352 | ) | ||||
Instructure, Inc.* | (22,263 | ) | (788,110 | ) | ||||
LiveRamp Holdings, Inc.* | (21,507 | ) | (1,062,661 | ) | ||||
ManTech International Corp., Class A | (9,242 | ) | (585,019 | ) | ||||
MINDBODY, Inc., Class A* | (9,185 | ) | (373,370 | ) | ||||
MongoDB, Inc.* | (3,427 | ) | (279,472 | ) | ||||
Nutanix, Inc., Class A* | (7,496 | ) | (320,229 | ) | ||||
OneSpan, Inc.* | (3,382 | ) | (64,427 | ) | ||||
Pandora Media, Inc.* | (125,352 | ) | (1,192,098 | ) |
The accompanying notes are an integral part of the financial statements.
55
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
PayPal Holdings, Inc.* | (15,583 | ) | $ | (1,368,811 | ) | |||
Pivotal Software, Inc., Class A* | (5,534 | ) | (108,356 | ) | ||||
Pluralsight, Inc., Class A* | (2,606 | ) | (83,392 | ) | ||||
Presidio, Inc. | (6,545 | ) | (99,811 | ) | ||||
PROS Holdings, Inc.* | (25,135 | ) | (880,228 | ) | ||||
Quotient Technology, Inc.* | (6,575 | ) | (101,912 | ) | ||||
Rapid7, Inc.* | (4,872 | ) | (179,874 | ) | ||||
SecureWorks Corp., Class A* | (9,000 | ) | (131,850 | ) | ||||
SendGrid, Inc.* | (9,243 | ) | (340,050 | ) | ||||
Snap, Inc., Class A* | (183,909 | ) | (1,559,548 | ) | ||||
Splunk, Inc.* | (3,966 | ) | (479,529 | ) | ||||
SS&C Technologies Holdings, Inc. | (22,438 | ) | (1,275,152 | ) | ||||
Switch, Inc., Class A | (66,956 | ) | (723,125 | ) | ||||
Tenable Holdings, Inc.* | (9,967 | ) | (387,517 | ) | ||||
Teradata Corp.* | (24,611 | ) | (928,081 | ) | ||||
TiVo Corp. | (64,399 | ) | (801,768 | ) | ||||
Travelport Worldwide Ltd. (Bermuda) | (43,691 | ) | (737,067 | ) | ||||
TrueCar, Inc.* | (84,756 | ) | (1,195,060 | ) | ||||
Virtusa Corp.* | (1,715 | ) | (92,113 | ) | ||||
Workiva, Inc.* | (16,828 | ) | (664,706 | ) | ||||
Worldpay, Inc., Class A* | (25,507 | ) | (2,583,094 | ) | ||||
Yelp, Inc.* | (39,212 | ) | (1,929,230 | ) | ||||
Yext, Inc.* | (5,761 | ) | (136,536 | ) | ||||
Zynga, Inc., Class A* | (499,297 | ) | (2,002,181 | ) | ||||
|
| |||||||
(46,965,883 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (6.1)% |
| |||||||
3D Systems Corp.* | (22,657 | ) | (428,217 | ) | ||||
Acacia Communications, Inc.* | (31,174 | ) | (1,289,668 | ) | ||||
Anixter International, Inc.* | (2,135 | ) | (150,090 | ) | ||||
Arrow Electronics, Inc.* | (17,631 | ) | (1,299,757 | ) | ||||
Badger Meter, Inc. | (3,981 | ) | (210,794 | ) | ||||
Benchmark Electronics, Inc. | (10,545 | ) | (246,753 | ) | ||||
CalAmp Corp.* | (194 | ) | (4,648 | ) | ||||
Celestica, Inc. (Canada)* | (21,734 | ) | (235,379 | ) | ||||
Cognex Corp. | (12,768 | ) | (712,710 | ) | ||||
Control4 Corp.* | (7,654 | ) | (262,762 | ) | ||||
Cray, Inc.* | (28,039 | ) | (602,838 | ) | ||||
Electronics For Imaging, Inc.* | (39,533 | ) | (1,347,285 | ) | ||||
ePlus, Inc.* | (1,072 | ) | (99,374 | ) | ||||
Extreme Networks, Inc.* | (23,048 | ) | (126,303 | ) | ||||
FARO Technologies, Inc.* | (4,019 | ) | (258,623 | ) | ||||
Finisar Corp.* | (126,990 | ) | (2,419,160 | ) | ||||
Fitbit, Inc., Class A* | (283,340 | ) | (1,515,869 | ) | ||||
II-VI, Inc.* | (1,008 | ) | (47,678 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Infinera Corp.* | (151,083 | ) | $ | (1,102,906 | ) | |||
Knowles Corp.* | (32,733 | ) | (544,022 | ) | ||||
Littelfuse, Inc. | (2,325 | ) | (460,094 | ) | ||||
Methode Electronics, Inc. | (2,085 | ) | (75,477 | ) | ||||
National Instruments Corp. | (10,403 | ) | (502,777 | ) | ||||
NetScout Systems, Inc.* | (48,152 | ) | (1,215,838 | ) | ||||
nLight, Inc.* | (2,706 | ) | (60,100 | ) | ||||
Pure Storage, Inc., Class A* | (11,880 | ) | (308,286 | ) | ||||
Quantenna Communications, Inc.* | (2,200 | ) | (40,590 | ) | ||||
Ribbon Communications, Inc.* | (269 | ) | (1,837 | ) | ||||
Rogers Corp.* | (4,822 | ) | (710,377 | ) | ||||
Sanmina Corp.* | (33,447 | ) | (923,137 | ) | ||||
Sierra Wireless, Inc. (Canada)* | (12,348 | ) | (248,195 | ) | ||||
Stratasys Ltd. (Israel)* | (10,244 | ) | (236,739 | ) | ||||
TTM Technologies, Inc.* | (34,718 | ) | (552,363 | ) | ||||
ViaSat, Inc.* | (35,666 | ) | (2,280,841 | ) | ||||
Viavi Solutions, Inc.* | (107,166 | ) | (1,215,262 | ) | ||||
|
| |||||||
(21,736,749 | ) | |||||||
|
| |||||||
Telecommunication Services — (2.0)% |
| |||||||
AT&T, Inc. | (59,640 | ) | (2,002,711 | ) | ||||
ATN International, Inc. | (4,992 | ) | (368,809 | ) | ||||
Boingo Wireless, Inc.* | (34,911 | ) | (1,218,394 | ) | ||||
Cincinnati Bell, Inc.* | (12,329 | ) | (196,648 | ) | ||||
Consolidated Communications Holdings, Inc. | (43,390 | ) | (565,806 | ) | ||||
Iridium Communications, Inc.* | (40,347 | ) | (907,808 | ) | ||||
ORBCOMM, Inc.* | (39,439 | ) | (428,308 | ) | ||||
Shenandoah Telecommunications Co. | (6,449 | ) | (249,899 | ) | ||||
Sprint Corp.* | (198,735 | ) | (1,299,727 | ) | ||||
|
| |||||||
(7,238,110 | ) | |||||||
|
| |||||||
Transportation — (4.7)% | ||||||||
Air Transport Services Group, Inc.* | (35,256 | ) | (756,946 | ) | ||||
Allegiant Travel Co. | (7,734 | ) | (980,671 | ) | ||||
Atlas Air Worldwide Holdings, Inc.* | (28,943 | ) | (1,845,116 | ) | ||||
Canadian National Railway Co. (Canada) | (7,279 | ) | (653,654 | ) | ||||
Canadian Pacific Railway Ltd. (Canada) | (2,962 | ) | (627,766 | ) | ||||
Hawaiian Holdings, Inc. | (41,005 | ) | (1,644,300 | ) | ||||
Hub Group, Inc., Class A* | (17,299 | ) | (788,834 | ) | ||||
Kansas City Southern | (19,167 | ) | (2,171,238 | ) | ||||
Ryder System, Inc. | (38,591 | ) | (2,819,844 | ) | ||||
Saia, Inc.* | (10,758 | ) | (822,449 | ) |
The accompanying notes are an integral part of the financial statements.
56
GOTHAM NEUTRAL FUND
Portfolio of Investments (Concluded)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
SkyWest, Inc. | (8,665 | ) | $ | (510,368 | ) | |||
Spirit Airlines, Inc.* | (31,613 | ) | (1,484,863 | ) | ||||
Werner Enterprises, Inc. | (45,922 | ) | (1,623,343 | ) | ||||
|
| |||||||
(16,729,392 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK |
| (342,589,394 | ) | |||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (96.1)% |
| (342,589,394 | ) | |||||
|
| |||||||
(Proceeds $341,351,848) |
| |||||||
OTHER ASSETS IN EXCESS OF |
| 267,132,993 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 356,671,757 | |||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
(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. (See Note 5 of the Notes to Financial Statements) |
(c) | Security is fair valued by the Advisor under direction of the Board of Trustees. |
* | Non-income producing. |
PLC Public Limited Company
The accompanying notes are an integral part of the financial statements.
57
GOTHAM FUNDS
Statements of Assets and Liabilities
September 30, 2018
Gotham Absolute Return Fund | Gotham Enhanced Return Fund | Gotham Neutral Fund | |||||||||||||
Assets | |||||||||||||||
Non-affiliated investments, at value1,2,3 | $ | 1,282,087,108 | $ | 1,460,272,515 | $ | 432,128,158 | |||||||||
Cash | 7,620,322 | 1,282,912 | 13,361,307 | ||||||||||||
Deposits with brokers for securities sold short | 610,067,841 | 267,691,464 | 284,599,379 | ||||||||||||
Receivables: | |||||||||||||||
Investments sold | 20,170,199 | 26,801,810 | 12,614,476 | ||||||||||||
Capital shares sold | 1,849,321 | 422,982 | 89,787 | ||||||||||||
Dividends and interest | 1,316,565 | 1,416,038 | 388,028 | ||||||||||||
Prepaid expenses and other assets | 134,227 | 15,068 | 70,998 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total assets | 1,923,245,583 | 1,757,902,789 | 743,252,133 | ||||||||||||
|
|
|
|
|
| ||||||||||
Liabilities | |||||||||||||||
Securities sold short, at value4 | 639,842,859 | 621,400,565 | 342,589,394 | ||||||||||||
Payables: | |||||||||||||||
Securities lending cash collateral | 189,944,565 | 256,512,149 | 30,109,867 | ||||||||||||
Investments purchased | 20,630,805 | 29,447,584 | 11,748,798 | ||||||||||||
Dividends and fees on securities sold short | 195,254 | 613,783 | 102,126 | ||||||||||||
Capital shares redeemed | 1,354,432 | 2,416,293 | 934,454 | ||||||||||||
Investment Adviser | 1,614,841 | 1,267,137 | 520,373 | ||||||||||||
Administration and accounting fees | 94,336 | 67,914 | 53,303 | ||||||||||||
Accrued expenses | 523,840 | 344,403 | 522,061 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total liabilities | 854,200,932 | 912,069,828 | 386,580,376 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 1,069,044,651 | $ | 845,832,961 | $ | 356,671,757 | |||||||||
|
|
|
|
|
| ||||||||||
Net Assets Consisted of: | |||||||||||||||
Capital stock, $0.01 par value | $ | 719,284 | $ | 543,892 | $ | 347,938 | |||||||||
Paid-in capital | 1,080,198,474 | 566,617,528 | 413,530,265 | ||||||||||||
Accumulated net investment loss | (3,960,126 | ) | (5,396,606 | ) | (2,073,967 | ) | |||||||||
Accumulated net realized gain/(loss) from investments, securities sold short and translation of assets and liabilities denominated in foreign currency | (128,374,977 | ) | 17,558,326 | (90,825,524 | ) | ||||||||||
Net unrealized appreciation/(depreciation) on investments and securities sold short | 120,461,996 | 266,509,821 | 35,693,045 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 1,069,044,651 | $ | 845,832,961 | $ | 356,671,757 | |||||||||
|
|
|
|
|
| ||||||||||
Institutional Class Shares: | |||||||||||||||
Net assets | $ | 1,069,044,651 | $ | 845,832,961 | $ | 356,671,757 | |||||||||
|
|
|
|
|
| ||||||||||
Shares Outstanding | 71,928,372 | 54,389,153 | 34,793,792 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, offering and redemption price per share | $ | 14.86 | $ | 15.55 | $ | 10.25 | |||||||||
|
|
|
|
|
| ||||||||||
1Non-affiliated investments, at cost | $ | 1,158,136,733 | $ | 1,228,280,524 | $ | 395,197,567 | |||||||||
2Includes market value of securities on loan | $ | 185,429,195 | $ | 250,573,108 | $ | 29,389,826 | |||||||||
3Includes market value of securities designated as collateral for securities on loan | $ | 205,675,813 | $ | 299,726,777 | $ | 35,215,451 | |||||||||
4Proceeds received, securities sold short | $ | 636,354,480 | $ | 655,918,395 | $ | 341,351,848 |
The accompanying notes are an integral part of the financial statements.
58
GOTHAM FUNDS
Statements of Operations
For the Year Ended September 30, 2018
Gotham Absolute Return Fund | Gotham Enhanced Return Fund | Gotham Neutral Fund | |||||||||||||
Investment Income | |||||||||||||||
Dividend income | $ | 19,975,351 | $ | 24,524,145 | $ | 7,829,088 | |||||||||
Less: taxes withheld | (58,624 | ) | (60,600 | ) | (42,352 | ) | |||||||||
Interest | 48,709 | 52,818 | 50,501 | ||||||||||||
Income from securities loaned (Note 5) | 213,768 | 224,586 | 147,825 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total investment income | 20,179,204 | 24,740,949 | 7,985,062 | ||||||||||||
|
|
|
|
|
| ||||||||||
Expenses | |||||||||||||||
Advisory fees (Note 2) | 20,437,442 | 17,734,167 | 9,136,544 | ||||||||||||
Administration and accounting fees (Note 2) | 276,865 | 254,966 | 160,034 | ||||||||||||
Dividends and fees on securities sold short | 666,341 | 7,440,608 | 1,471,745 | ||||||||||||
Fees on cash collateral (Note 5) | 3,486,843 | 5,697,261 | 650,769 | ||||||||||||
Transfer agent fees (Note 2) | 1,315,972 | 743,221 | 626,259 | ||||||||||||
Custodian fees (Note 2) | 77,640 | 81,503 | 40,262 | ||||||||||||
Trustees’ and officers’ fees (Note 2) | 236,932 | 212,523 | 140,066 | ||||||||||||
Printing and shareholder reporting fees | 114,026 | 81,968 | 67,178 | ||||||||||||
Registration and filing fees | 7,611 | 16,457 | 155 | ||||||||||||
Legal fees | 139,598 | 137,063 | 75,421 | ||||||||||||
Audit fees | 30,932 | 28,499 | 27,348 | ||||||||||||
Other expenses | 87,123 | 86,205 | 63,527 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total expenses before waivers and reimbursements | 26,877,325 | 32,514,441 | 12,459,308 | ||||||||||||
|
|
|
|
|
| ||||||||||
Recoupments and/or waivers, reimbursements (Note 2) | (753,891 | ) | (312,238 | ) | (513,515 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net expenses after waivers and reimbursements | 26,123,434 | 32,202,203 | 11,945,793 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net investment loss | (5,944,230 | ) | (7,461,254 | ) | (3,960,731 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain/(loss) from investments: | |||||||||||||||
Net realized gain from non-affiliated investments | 154,530,136 | 208,426,566 | 123,375,740 | ||||||||||||
Net realized loss from securities sold short | (117,378,707 | ) | (145,559,634 | ) | (91,727,397 | ) | |||||||||
Net realized gain from foreign currency transactions | 2 | 16 | 18 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | 28,219,101 | 34,877,569 | (35,063,396 | ) | |||||||||||
Net change in unrealized appreciation/(depreciation) on securities sold short | 1,928,719 | 34,514,066 | 11,779,275 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain on investments | 67,299,251 | 132,258,583 | 8,364,240 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net increase in net assets resulting from operations | $ | 61,355,021 | $ | 124,797,329 | $ | 4,403,509 | |||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
59
GOTHAM FUNDS
Statements of Changes in Net Assets
Gotham Absolute Return Fund | Gotham Enhanced Return Fund | |||||||||||||||||||
For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | |||||||||||||||||
Net increase in net assets from operations: | ||||||||||||||||||||
Net investment loss | $ | (5,944,230 | ) | $ | (8,245,746 | ) | $ | (7,461,254 | ) | $ | (4,964,271 | ) | ||||||||
Net realized gain from investments, securities sold short and foreign currency transactions | 37,151,431 | 150,847,487 | 62,866,948 | 77,350,347 | ||||||||||||||||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | 30,147,820 | (54,601,259 | ) | 69,391,635 | 70,484,386 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 61,355,021 | 88,000,482 | 124,797,329 | 142,870,462 | ||||||||||||||||
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|
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|
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|
| |||||||||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Net realized capital gains | — | — | (8,942,488 | ) | — | |||||||||||||||
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|
|
|
|
| |||||||||||||
Net decrease in net assets from dividends and distributions to shareholders | — | — | (8,942,488 | ) | — | |||||||||||||||
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|
|
|
|
|
|
| |||||||||||||
Increase/(decrease) in Net Assets from Capital Share Transactions (Note 4) | 123,484,830 | (186,782,887 | ) | (167,392,494 | ) | (195,702,219 | ) | |||||||||||||
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|
|
|
|
|
| |||||||||||||
Total increase/(decrease) in net assets | 184,839,851 | (98,782,405 | ) | (51,537,653 | ) | (52,831,757 | ) | |||||||||||||
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| |||||||||||||
Net assets | ||||||||||||||||||||
Beginning of year | 884,204,800 | 982,987,205 | 897,370,614 | 950,202,371 | ||||||||||||||||
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| |||||||||||||
End of year | $ | 1,069,044,651 | $ | 884,204,800 | $ | 845,832,961 | $ | 897,370,614 | ||||||||||||
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| |||||||||||||
Accumulated net investment loss, end of year | $ | (3,960,126 | ) | $ | (6,483,311 | ) | $ | (5,396,606 | ) | $ | (4,171,743 | ) | ||||||||
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|
|
The accompanying notes are an integral part of the financial statements.
60
GOTHAM FUNDS
Statements of Changes in Net Assets (Concluded)
Gotham Neutral Fund | ||||||||||
For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | |||||||||
Net increase in net assets from operations: | ||||||||||
Net investment loss | $ | (3,960,731 | ) | $ | (9,955,724 | ) | ||||
Net realized gain from investments and securities sold short | 31,648,361 | 53,985,369 | ||||||||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | (23,284,121 | ) | (19,434,929 | ) | ||||||
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|
|
| |||||||
Net increase in net assets resulting from operations | 4,403,509 | 24,594,716 | ||||||||
|
|
|
| |||||||
Decrease in Net Assets from Capital Share Transactions (Note 4) | (317,271,553 | ) | (138,078,816 | ) | ||||||
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|
|
| |||||||
Total decrease in net assets | (312,868,044 | ) | (113,484,100 | ) | ||||||
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|
|
| |||||||
Net assets | ||||||||||
Beginning of year | 669,539,801 | 783,023,901 | ||||||||
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| |||||||
End of year | $ | 356,671,757 | $ | 669,539,801 | ||||||
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| |||||||
Accumulated net investment loss, end of year | $ | (2,073,967 | ) | $ | (6,587,385 | ) | ||||
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|
|
|
The accompanying notes are an integral part of the financial statements.
61
GOTHAM FUNDS
Statement of Cash Flow
Gotham Enhanced Return Fund | |||||
For the Year Ended September 30, 2018 | |||||
Cash flows provided by (used in) operating activities: | |||||
Net increase in net assets resulting from operations | $ | 124,797,329 | |||
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 | (3,015,534,384 | ) | |||
Proceeds from disposition of long-term portfolio investments | 3,347,891,876 | ||||
Purchases to cover securities sold short | (1,901,646,266 | ) | |||
Proceeds from securities sold short | 1,751,840,663 | ||||
Net realized gain on investments and securities sold short | (62,866,932 | ) | |||
Class action settlement proceeds | 33,954 | ||||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | (69,391,635 | ) | |||
Return of capital received from real estate investment trusts | 9,407 | ||||
Decrease in deposits with brokers for securities sold short | 28,458,384 | ||||
Increase in receivable for securities sold | (5,181,195 | ) | |||
Decrease in dividend and interest receivable | 203,658 | ||||
Decrease in prepaid expenses and other assets | 29,661 | ||||
Increase in payable for investments purchased | 11,014,155 | ||||
Decrease in use of cash collateral from securities lending | (57,565,309 | ) | |||
Decrease in dividends and fees payable for securities sold short | (107,790 | ) | |||
Decrease in payable for investment advisor | (139,650 | ) | |||
Increase in accrued expense payable | 191,509 | ||||
|
| ||||
Net cash provided by operating activities | 152,037,435 | ||||
|
| ||||
Cash flows from financing activities: | |||||
Proceeds from shares sold | 69,060,046 | ||||
Payment of shares redeemed | (244,466,297 | ) | |||
Dividends and Distributions to Shareholders | (1,067,123 | ) | |||
|
| ||||
Net cash used in financing activities | (176,473,374 | ) | |||
|
| ||||
Net decrease in cash | (24,435,939 | ) | |||
Cash at beginning of year | 25,718,851 | ||||
|
| ||||
Cash at end of year | $ | 1,282,912 | |||
|
| ||||
Supplemental disclosure of cash flow information: | |||||
Cash paid during the year for financing charges | $ | 6,853,283 |
The accompanying notes are an integral part of the financial statements.
62
GOTHAM FUNDS
Financial Highlights
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Absolute Return Fund Institutional Class Shares | ||||||||||||||||||||||||||||||
For the Year Ended September 30, 2018 | 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 | |||||||||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 13.94 | $ | 12.70 | $ | 12.48 | $ | 13.54 | $ | 13.45 | $ | 11.40 | ||||||||||||||||||
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| |||||||||||||||||||
Net investment loss(1) | (0.09 | ) | (0.12 | ) | (0.07 | ) | (0.06 | ) | (0.10 | ) | (0.16 | ) | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.01 | 1.36 | 0.46 | (1.00 | ) | 0.43 | 2.77 | |||||||||||||||||||||||
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| |||||||||||||||||||
Total from investment operations | 0.92 | 1.24 | 0.39 | (1.06 | ) | 0.33 | 2.61 | |||||||||||||||||||||||
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Dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | — | — | — | — | — | — | ||||||||||||||||||||||||
Net realized capital gains | — | — | (0.17 | ) | — | (0.24 | ) | (0.56 | ) | |||||||||||||||||||||
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| |||||||||||||||||||
Total dividends and distributions to shareholders | — | — | (0.17 | ) | — | (0.24 | ) | (0.56 | ) | |||||||||||||||||||||
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| |||||||||||||||||||
Redemption fees | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | ||||||||||||||||||
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| |||||||||||||||||||
Net asset value, end of year/period | $ | 14.86 | $ | 13.94 | $ | 12.70 | $ | 12.48 | $ | 13.54 | $ | 13.45 | ||||||||||||||||||
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| |||||||||||||||||||
Total investment return(3) | 6.60 | % | 9.76 | % | 3.14 | % | (7.83 | )% | 2.44 | % | 23.21 | % | ||||||||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||||||||||||
Net assets, end of year/period (in 000s) | $ | 1,069,045 | $ | 884,205 | $ | 982,987 | $ | 2,566,098 | $ | 3,657,763 | $ | 1,550,210 | ||||||||||||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(4) | 2.56 | % | 2.81 | % | 3.09 | % | 2.95 | %(5) | 2.81 | % | 2.98 | % | ||||||||||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4)(6) | 2.63 | % | 2.95 | % | 3.09 | % | 2.95 | %(5) | 2.81 | % | 2.96 | % | ||||||||||||||||||
Ratio of net investment loss to average net assets (including dividend and interest expense) | (0.58 | )% | (0.88 | )% | (0.56 | )% | (1.03 | )%(5) | (0.75 | )% | (1.23 | )% | ||||||||||||||||||
Portfolio turnover rate | 257.62 | % | 238.43 | % | 272.37 | % | 134.07 | %(7) | 336.09 | % | 399.16 | % |
* | The Fund changed its fiscal year end from April 30 to September 30. |
(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 fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers, reimbursement, and recoupments for the Fund would be 2.15%, 2.15%, 2.20%, 2.15%, 2.15%, 2.20% and 2.25%, for the years ended September 30, 2018, 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.
63
GOTHAM FUNDS
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Enhanced Return Fund Institutional Class Shares | ||||||||||||||||||||||||||||||
For the Year Ended September 30, 2018 | 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) | (0.13 | ) | (0.07 | ) | 0.02 | (0.03 | ) | (0.04 | ) | (0.07 | ) | |||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 2.14 | 1.96 | 0.87 | (1.25 | ) | 0.97 | 2.96 | |||||||||||||||||||||||
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| |||||||||||||||||||
Total from investment operations | 2.01 | 1.89 | 0.89 | (1.28 | ) | 0.93 | 2.89 | |||||||||||||||||||||||
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| |||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||||
Net realized capital gains | (0.14 | ) | — | (0.20 | ) | — | (0.94 | ) | (0.50 | ) | ||||||||||||||||||||
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| |||||||||||||||||||
Total dividends and distributions to shareholders | (0.14 | ) | — | (0.20 | ) | — | (0.94 | ) | (0.50 | ) | ||||||||||||||||||||
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| |||||||||||||||||||
Redemption fees | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | ||||||||||||||||||
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| |||||||||||||||||||
Net asset value, end of year/period | $ | 15.55 | $ | 13.68 | $ | 11.79 | $ | 11.10 | $ | 12.38 | $ | 12.39 | ||||||||||||||||||
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| |||||||||||||||||||
Total investment return(3) | 14.79 | % | 16.03 | % | 8.18 | % | (10.34 | )% | 7.34 | % | 29.36 | % | ||||||||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||||||||||||
Net assets, end of year/period (in 000s) | $ | 845,833 | $ | 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) | 3.63 | % | 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) | 3.67 | % | 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) | (0.84 | )% | (0.51 | )% | 0.16 | % | (0.66 | )%(5) | (0.31 | )% | (0.63 | )%(5) | ||||||||||||||||||
Portfolio turnover rate | 196.54 | % | 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 fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers, reimbursement, and recoupments for the Fund would be 2.15%, 2.15%, 2.15%, 2.14%, 2.16% and 2.25% for the years ended September 30, 2018, 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.
64
GOTHAM FUNDS
Financial Highlights (Concluded)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Neutral Fund Institutional Class Shares | ||||||||||||||||||||||||||||||
For the Year Ended September 30, 2018 | 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 | ||||||||||||||||||
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| |||||||||||||||||||
Net investment loss(1) | (0.09 | ) | (0.13 | ) | (0.10 | ) | (0.06 | ) | (0.12 | ) | (0.12 | ) | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.11 | 0.45 | 0.08 | (0.37 | ) | (0.43 | ) | 1.37 | ||||||||||||||||||||||
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| |||||||||||||||||||
Total from investment operations | 0.02 | 0.32 | (0.02 | ) | (0.43 | ) | (0.55 | ) | 1.25 | |||||||||||||||||||||
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| |||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||||
Net realized capital gains | — | — | (0.06 | ) | — | (0.24 | ) | (0.04 | ) | |||||||||||||||||||||
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| |||||||||||||||||||
Total dividends and distributions to shareholders | — | — | (0.06 | ) | — | (0.24 | ) | (0.04 | ) | |||||||||||||||||||||
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Redemption fees | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | ||||||||||||||||||
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| |||||||||||||||||||
Net asset value, end of year/period | $ | 10.25 | $ | 10.23 | $ | 9.91 | $ | 9.99 | $ | 10.42 | $ | 11.21 | ||||||||||||||||||
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| |||||||||||||||||||
Total investment return(3) | 0.20 | % | 3.23 | % | (0.16 | )% | (4.13 | )% | (5.00 | )% | 12.50 | % | ||||||||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||||||||||||
Net assets, end of year/period (in 000s) | $ | 356,672 | $ | 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) | 2.61 | % | 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) | 2.73 | % | 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) | (0.87 | )% | (1.31 | )% | (1.02 | )% | (1.38 | )%(5) | (1.11 | )% | (1.64 | )%(5) | ||||||||||||||||||
Portfolio turnover rate | 273.77 | % | 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 fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers, reimbursement, and recoupments for the Fund would be 2.15%, 2.15%, 2.16%, 2.16%, 2.18% and 2.25% for the years ended September 30, 2018, 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.
65
GOTHAM FUNDS
Notes to Financial Statements
September 30, 2018
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 Funds’ 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 short position common stock with an end of year value of $13,486, $21,642 and $13,588 held by Absolute Return, Enhanced Return and Neutral, respectively; a corporate debt
66
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
security with end of period value of $756 and $688 held by Absolute Return and Neutral, respectively. These securities are considered Level 2 as of and for the period ended September 30, 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. 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 Level 3 are disclosed when the Funds had an amount of transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the year ended September 30, 2018, there were no transfers in or out of Level 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.
Recent Accounting Pronouncement — In November 2016, the Financial Accounting Standards Board issued Accounting Standards Update, Statement of Cash Flows (Topic 230): Restricted Cash, which requires entities to include the total of cash, cash equivalents, restricted cash and restricted cash equivalents in the beginning and ended cash balances in the statement of cash flows.
67
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
The guidance applies retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within fiscal years beginning after December 15, 2017. Management is currently evaluating the impact of this guidance to the Funds’ presentation in the statement of cash flows.
Effective November 5, 2018, the SEC amended existing rules intended to modernize reporting and disclosure of information. These amendments relate to Regulation S-X which sets forth the form and content of financial statements. Management is evaluating the implications of adopting these amendments and their impact on the financial statements and accompanying notes.
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 September 30, 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 | $ | 639,842,859 | $ | 694,304,053 | $ | 610,067,841 | |||||||||
Enhanced Return | 621,400,565 | 650,041,231 | 267,691,464 | ||||||||||||
Neutral | 342,589,394 | 122,826,683 | 284,599,379 |
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 year ended September 30, 2018:
Rebate (Income)/Fees | |||||
Absolute Return | $ | (5,356,235 | ) | ||
Enhanced Return | (5,653,903 | ) | |||
Neutral | (3,822,802 | ) |
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 on the Statement of Operations and are as follows for the year ended September 30, 2018:
Short Sales Proceeds | Financing Charges | |||||||||
Absolute Return | $ | 26,569,672 | $ | 341,514 | ||||||
Enhanced Return | 353,825,846 | 6,809,925 | ||||||||
Neutral | 58,448,474 | 1,416,931 |
68
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
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 | % |
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 year ended September 30, 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 year ended September 30, 2018, investment advisory fees accrued and waivers were as follows:
Gross Advisory Fee | Waiver/ Reimbursements | Net Advisory Fee/ (Reimbursement) | |||||||||||||
Absolute Return | $ | 20,437,442 | $ | (753,891 | ) | $ | 19,683,551 | ||||||||
Enhanced Return | 17,734,167 | (312,238 | ) | 17,421,929 | |||||||||||
Neutral | 9,136,544 | (513,515 | ) | 8,623,029 |
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 September 30, 2018, the amount of potential reimbursement from the Funds to the Adviser are as follows:
Expiration 09/30/2019 | Expiration 09/30/2020 | Expiration 09/30/2021 | |||||||||||||
Absolute Return | N/A | $ | 1,216,153 | $ | 753,891 | ||||||||||
Enhanced Return | N/A | 162,171 | 312,238 | ||||||||||||
Neutral | N/A | 326,104 | 513,515 |
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.
69
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
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.
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 year ended September 30, 2018 was $219,675. 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. Duff & Phelps, LLC (“D&P”) provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and D&P are compensated for their services provided to the Trust.
3. Investment in Securities
For the year ended September 30, 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 | $ | 3,181,375,446 | $ | 3,143,963,504 | ||||||
Enhanced Return | 2,998,010,988 | 3,329,498,461 | ||||||||
Neutral | 1,513,374,747 | 1,982,105,623 |
For the year ended September 30, 2018, the Funds had no purchases and sales of U.S. Government securities.
4. Capital Share Transactions
For the years ended September 30, 2018 and September 30, 2017, transactions in capital shares of the Funds (authorized shares unlimited) were as follows:
For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | |||||||||||||||||||
Shares | Value | Shares | Value | |||||||||||||||||
Absolute Return: | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Sales | 27,196,132 | $ | 396,846,374 | 13,891,185 | $ | 187,082,892 | ||||||||||||||
Reinvestments | — | — | — | — | ||||||||||||||||
Redemption Fees* | — | 1,556 | — | 2,067 | ||||||||||||||||
Redemptions | (18,687,278 | ) | (273,363,100 | ) | (27,893,001 | ) | (373,867,846 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) | 8,508,854 | $ | 123,484,830 | (14,001,816 | ) | $ | (186,782,887 | ) | ||||||||||||
|
|
|
|
|
|
|
|
70
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | |||||||||||||||||||
Shares | Value | Shares | Value | |||||||||||||||||
Enhanced Return: | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Sales | 4,620,556 | $ | 69,182,293 | 8,414,958 | $ | 107,957,821 | ||||||||||||||
Reinvestments | 543,508 | 7,875,365 | — | — | ||||||||||||||||
Redemption Fees* | — | 318 | — | 3,061 | ||||||||||||||||
Redemptions | (16,385,396 | ) | (244,450,470 | ) | (23,411,239 | ) | (303,663,101 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Decrease | (11,221,332 | ) | $ | (167,392,494 | ) | (14,996,281 | ) | $ | (195,702,219 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Neutral: | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Sales | 17,690,749 | $ | 185,612,981 | 27,583,830 | $ | 284,265,770 | ||||||||||||||
Reinvestments | — | — | — | — | ||||||||||||||||
Redemption Fees* | — | 5,257 | — | 1,186 | ||||||||||||||||
Redemptions | (48,335,028 | ) | (502,889,791 | ) | (41,180,891 | ) | (422,345,772 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Decrease | (30,644,279 | ) | $ | (317,271,553 | ) | (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 Statements 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 year ended September 30, 2018, the Funds listed below each had securities lending programs. The market value of securities on loan and cash collateral received as of September 30, 2018 and the income generated from the programs during the year ended September 30, 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 | $ | 185,429,195 | $ | 189,944,565 | $ | — | $ | 213,768 | ||||||||||||
Enhanced Return | 250,573,108 | 256,512,149 | — | 224,586 | ||||||||||||||||
Neutral | 29,389,826 | 30,109,867 | — | 147,825 |
71
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
Securities lending transactions are entered into by the Funds under a Master Securities Lending Agreement (“MSLA”) which permits the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Funds to the same counterparty against amounts to be received from that counterparty and create one single net payment due to or from the Funds. The following table is a summary of each of the Fund’s open securities lending transactions which are subject to a MSLA as of September 30, 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 Return | $ | 185,429,195 | $ | — | $ | 185,429,195 | $ | — | $ | (185,429,195 | ) | $ | — | |||||||||||||||||
Enhanced Return | 250,573,108 | — | 250,573,108 | — | (250,573,108 | ) | — | |||||||||||||||||||||||
Neutral | 29,389,826 | — | 29,389,826 | — | (29,389,826 | ) | — |
* | Amount disclosed is limited to the amount of assets presented in each Statement of Assets and Liabilities. Actual collateral received may be more than the amount shown. |
** | Net amount represents the net receivable from the counterparty in the event of a default. |
6. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds had determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
In order to present net assets components on the Statement of Assets and Liabilities that more closely represent their tax character, certain reclassifications are made to the net asset components. Net investment income, net realized gains and net assets were not affected by these adjustments. The following permanent differences as of September 30, 2018, primarily attributed to capitalized dividends on short sales were reclassified among the following accounts:
Increase/(Decrease) Undistributed Net Investment Income | Increase/(Decrease) Accumulated Net Realized Loss | Increase/(Decrease) Additional Paid-In Capital | |||||||||||||
Absolute Return | $ | 8,467,415 | $ | (342,026 | ) | $ | (8,125,389 | ) | |||||||
Enhanced Return | 6,236,391 | (329,476 | ) | (5,906,915 | ) | ||||||||||
Neutral | 8,474,149 | (319,237 | ) | (8,154,912 | ) |
The tax character of distributions paid by the Funds during the year ended September 30, 2018 were as follows:
Ordinary Income Dividend | Long-Term Capital Gain Dividend | Return of Capital | |||||||||||||
Enhanced Return | $ | — | $ | 8,942,488 | $ | — |
There were no dividends or distributions paid by the Funds during the year ended September 30, 2017.
72
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
As of September 30, 2018, 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 | $ | (11,824,727 | ) | $ | — | $ | — | $ | 73,588,409 | $ | (73,636,790 | ) | $ | — | ||||||||||||||||
Enhanced Return | — | — | 64,015,734 | 220,042,628 | (5,386,821 | ) | — | |||||||||||||||||||||||
Neutral | (63,378,076 | ) | — | — | 8,245,597 | (2,073,967 | ) | — |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. Foreign currency and short-term capital gains are reported as ordinary income for federal income tax purposes.
As of September 30, 2018, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Funds were as follows:
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Absolute Return | $ | 1,205,010,320 | $ | 186,035,601 | $ | (112,447,192 | ) | $ | 73,588,409 | |||||||||||
Enhanced Return | 1,274,747,717 | 327,015,116 | (106,972,488 | ) | 220,042,628 | |||||||||||||||
Neutral | 422,645,015 | 70,445,876 | (62,200,279 | ) | 8,245,597 |
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 year ended September 30, 2018, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2018. For the year ended September 30, 2018, the Funds deferred to October 1, 2018 the following losses:
Late-Year Ordinary Losses Deferral | Short-Term Capital Loss Deferral | Long-Term Capital Loss Deferral | |||||||||||||
Absolute Return | $ | 3,960,126 | $ | 69,676,664 | $ | — | |||||||||
Enhanced Return | 5,386,821 | — | — | ||||||||||||
Neutral | 2,073,967 | — | — |
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2018 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, 2018, the following Funds had long-term and short-term capital loss carryforwards in the following amounts:
Capital Losses Carryforwards | |||||
Absolute Return | $ | 11,824,727 | |||
Neutral | 63,378,076 |
73
GOTHAM FUNDS
Notes to Financial Statements (Concluded)
September 30, 2018
For the year ended September 30, 2018, the following Funds utilized capital losses as follows:
Capital Losses Utilized | |||||
Absolute Return | $ | 89,779,070 |
7. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available to be issued, and has determined that there are no material subsequent events requiring recognition or disclosure in the financial statements.
74
GOTHAM FUNDS
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of FundVantage Trust and Shareholders of Gotham Absolute Return Fund, Gotham Enhanced Return Fund, and Gotham Neutral Fund:
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Gotham Absolute Return Fund, Gotham Enhanced Return Fund and Gotham Neutral Fund (three of the funds constituting FundVantage Trust), hereafter collectively referred to as the “Funds”) as of September 30, 2018, the related statements of operations for the year ended September 30, 2018, statements of changes in net assets for each of the two years in the period ended September 30, 2018, and for Gotham Enhanced Return Fund, the statement of cash flows for the year ended September 30, 2018, including the related notes and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2018, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended September 30, 2018, and for Gotham Enhanced Return, the statement of cash flows for the year ended September 30, 2018 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2018 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, PA
November 27, 2018
We have served as the auditor of one or more investment companies in Gotham Asset Management LLC since 2011.
75
GOTHAM FUNDS
Shareholder Tax Information
(Unaudited)
Certain tax information regarding each Fund is required to be provided to shareholders based upon each fund’s income and distributions for the taxable year ended September 30, 2018. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2018. During the fiscal year ended September 30, 2018, the following dividends and distributions were paid by each of the Funds:
Ordinary Income | Long-Term Capital Gain | |||||||||
Enhanced Return | $ | — | $ | 8,942,488 |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
Where appropriate, all designations are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of each Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations thereunder.
Because the Funds’ fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2018. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns will be made in conjunction with Form 1099-DIV and will be mailed in January 2019.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by a Fund, if any.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in a Fund.
76
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. Form N-Q is being rescinded. Once Form N-Q is rescinded, disclosure of the Fund’s complete holdings will be required to be made monthly on Form N-PORT, with every third month made available to the public by the Commission 60 days after the end of the Fund’s fiscal quarter.
Board Consideration of Investment Advisory Agreement
At a meeting held on June 25-26, 2018 (the “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 continuation for an additional one-year period of the advisory agreement between Gotham Asset Management, LLC (“Gotham” or the “Adviser”) and the Trust (the “Agreement”) on behalf of Gotham Absolute Return Fund, Gotham Enhanced Return Fund, and Gotham Neutral Fund (together, the “Funds”).
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 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 (including soft dollar arrangements, if any), (vii) the procedures for allocating investment opportunities between the Funds and other clients, (viii) results of any regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding that may have a material impact on Gotham’s ability to service the Funds, (x) compliance with the Funds’ investment objectives, policies and practices (including codes of ethics and proxy voting policies) and (xi) compliance with federal securities laws and other regulatory requirements. The Trustees noted the reports that were provided to them and discussions with management of the Adviser as provided at the Board meetings throughout the year covering matters such as the relative performance of the Funds; compliance with the investment objectives, policies, strategies and limitations for the Funds; the compliance of management personnel with the applicable code of ethics; and the adherence to the Trust’s pricing procedures as established by the Board.
Performance. The Trustees considered the investment performance for the Funds and Gotham. The Trustees reviewed historical performance charts which showed the performance of the Funds as compared to their respective benchmark indices and Lipper categories for the one year, two year, three year, five year, ten year, year-to-date, and since inception periods ended March 31, 2018, as applicable. The Trustees considered the short term and long term performance of the Funds, as applicable. The Trustees noted that they considered performance reports provided at Board meetings throughout the year.
Gotham Absolute Return Fund. The Trustees noted that the Gotham Absolute Return Fund underperformed the HFRX Equity Hedge Index for the year-to-date, one year and two year periods ended March 31, 2018 and outperformed the HFRX Equity Hedge Index for the three year, five year and since inception periods ended March 31, 2018. The Trustees further noted that the Gotham Absolute Return Fund outperformed the Lipper Absolute Return Funds Index for the year-to-date, one year, two year, three year, five year and since inception periods ended March 31, 2018. The Trustees concluded that the performance of the Gotham Absolute Return Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
77
GOTHAM FUNDS
Other Information (Continued)
(Unaudited)
Gotham Enhanced Return Fund. The Trustees noted that the Gotham Enhanced Return Fund outperformed the Lipper Alternative Long/Short Equity Funds Index for the year-to-date, one year, two year, three year and since inception periods ended March 31, 2018, and outperformed the S&P 500 Daily Reinvested Index for the year to date period ended March 31, 2018. The Trustees further noted that the Gotham Enhanced Return Fund underperformed the S&P 500 Daily Reinvested Index for the one year, two year, three year and since inception periods ended March 31, 2018. The Trustees concluded that the performance of the Gotham Enhanced Return Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
Gotham Neutral Fund. The Trustees noted that the Gotham Neutral Fund outperformed the ICE BofAML US 3-Month Treasury Bill Index and the Lipper Alternative Equity Market Neutral Funds Index for the year-to-date and one year periods ended March 31, 2018, and outperformed the ICE BofAML US 3-Month Treasury Bill Index for the two year, three year and since inception periods ended March 31, 2018. The Trustees further noted that the Gotham Neutral Fund underperformed the Lipper Alternative Equity Market Neutral Funds Index for the two year, three year and since inception periods ended March 31, 2018. The Trustees concluded that the performance of the Gotham Neutral Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
Fees. The Trustees noted that the representatives of Gotham had provided information regarding its advisory fees and an analysis of these fees in relation to the services provided to the Funds and any other ancillary benefit resulting from the Gotham’s relationship with the Funds.
The Trustees also reviewed information regarding the fees Gotham charges to other clients and evaluated explanations provided by Gotham as to differences in fees charged to the Funds and other similarly managed accounts. The Trustees reviewed fees charged by other advisers that manage comparable mutual funds with similar strategies. The Trustees concluded that the advisory fees and services provided by Gotham are consistent with those of other advisers that manage mutual funds with investment objectives, strategies and policies similar to those of the Funds as measured by the information provided by Gotham.
The Board considered, among other data, the specific factors and related conclusions set forth below with respect to each Fund:
Gotham Absolute Return Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were each higher than the gross advisory fee and net total expense ratio of the median of funds in the Lipper Absolute Return Funds Index. The Trustees also discussed the limitations of the comparative expense information of the Gotham Absolute Return Fund, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the Fund’s advisory fee was reasonable in light of the high quality of services received by the Fund from Gotham.
Gotham Enhanced Return Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were each higher than the gross advisory fee and net total expense ratio of the median of funds with a similar share class in the Lipper Alternative Long/Short Equity Funds Index. The Trustees also discussed the limitations of the comparative expense information of the Gotham Enhanced Return Fund, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the advisory fee was reasonable in light of the high quality of services received by the Fund from Gotham.
Gotham Neutral Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were each higher than the gross advisory fee and net total expense ratio of the median of funds with a similar share class in the Lipper Alternative Equity Market-Neutral Fund Index. The Trustees also discussed the limitations of the comparative expense information of the Gotham Neutral Fund, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the advisory fee was reasonable in light of the high quality of services received by the Fund from Gotham.
Nature and Quality of Services Provided by Adviser. The Trustees then considered the nature and quality of services provided by the Adviser. In evaluating the quality of services provided by Gotham, the Trustees considered the level and depth of knowledge of Gotham, including the professional experience and qualifications of 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
78
GOTHAM FUNDS
Other Information (Concluded)
(Unaudited)
Gotham’s compliance operations from the Trust’s Compliance Officer. The Board also considered any potential conflicts of interest that may arise in a portfolio manager’s management of the Funds’ investments on the one hand, and the investments of other accounts, on the other. The Trustees reviewed the services provided to each Fund by Gotham and concluded that the nature, extent and quality of the services provided were appropriate and consistent with the terms of the Gotham Agreement, that the quality of the services appeared to be consistent with industry norms and that the Funds are likely to benefit from the continued receipt of those services. They also concluded that Gotham has sufficient personnel, with the appropriate education and experience, to serve the Funds effectively and had demonstrated their ability to attract and retain qualified personnel.
Cost and Profitability. The Trustees then considered the costs of the services provided by Gotham, the compensation and benefits received by Gotham in providing services to the Funds, as well as Gotham’s profitability. The Trustees considered any direct or indirect revenues which would be received by Gotham. The Trustees noted that the level of profitability is an appropriate factor to consider, and the Trustees should be satisfied that Gotham’s profits are sufficient to continue as a healthy concern generally and as investment adviser of the Funds. Based on the information provided, the Trustees concluded that Gotham’s advisory fee level was reasonable in relation to the nature and quality of the services provided, taking into account the current size and projected continued growth of the Funds.
Economies of Scale. In considering the reasonableness of the contractual investment advisory fees of each Fund, the Board considered whether economies of scale will be realized as a Fund grows and whether fee rate levels reflect these economies for the benefit of Fund shareholders. The Board noted that while some Funds have not achieved asset levels where economies of scale are present, certain Funds have asset levels where such economies may have a higher likelihood of being recognized sooner in the event asset growth continues. The Board noted the Adviser’s belief that breakpoints are not warranted at this time because each Fund is currently operating under a contractual expense limitation agreement whereby the Adviser waives its advisory fee and/or reimburses a Fund’s expenses to maintain a net expense ratio, that contractual advisory fees for the Funds are comparable to fees for other accounts of the Adviser using similar strategies, and that certain Funds utilizing a long-short all-cap strategy could have limited capacity for asset growth. Based on the foregoing information, the Board concluded that, it was not yet necessary to consider whether the fee structure of the funds provided an adequate mechanism for sharing the benefit of any such economies.
The Trustees determined to approve the Agreement for an additional one year period. In voting to approve the continuation of the Agreement, the Board considered all factors it deemed relevant and the information presented to the Board by Gotham. In arriving at its decision, the Board did not identify any single factor as being of paramount importance and each member of the Board gave varying weights to each factor according to his or her own judgment. The Board determined that the continuation of the Agreement would be in the best interests of the Funds and their shareholders. The Board, including a majority of the Independent Trustees, unanimously approved the Agreement for an additional one year period.
79
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.
80
GOTHAM FUNDS
Fund Management
(Unaudited)
FundVantage Trust (the “Trust”) is governed by a Board of Trustees (the “Board” or the “Trustees”). The primary responsibility of the Trustees is to represent the interest of the Trust’s shareholders and to provide oversight management of the Trust.
The following tables present certain information regarding the Board of Trustees and officers of the Trust. None of the Trustees are an “interested person” of the Trust, the Adviser, another investment adviser of a series of the Trust, or Foreside Funds Distributors LLC, the principal underwriter of the Trust (“Underwriter”), within the meaning of the 1940 Act and each Trustee is referred to as an “Independent Trustee” and is listed under such heading below. Employees of certain service providers to the Trust serve as officers of the Trust; such persons are not compensated by the Fund. The address of each Trustee and officer as it relates to the Trust’s business is 301 Bellevue Parkway, 2nd Floor, Wilmington, DE 19809.
The Statement of Additional Information for the Funds contains additional information about the Trustees and is available, without charge, upon request, by calling (877) 974-6852.
Name and Date of Birth | Position(s) with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of by Trustee | Other Trustee | |||||
INDEPENDENT TRUSTEES | ||||||||||
ROBERT J. CHRISTIAN Date of Birth: 2/49 | Trustee and Chairman of the Board | Shall serve until death, resignation or removal. Trustee and Chairman since 2007. | Retired since February 2006; Executive Vice President of Wilmington Trust Company from February 1996 to February 2006; President of Rodney Square Management Corporation (“RSMC”) (investment advisory firm) from 1996 to 2005; Vice President of RSMC from 2005 to 2006.
| 41 | Optimum Fund Trust (registered investment company with 6 portfolios). | |||||
IQBAL MANSUR Date of Birth: 6/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2007. | University Professor, Widener University. | 41 | None. | |||||
NICHOLAS M. MARSINI, JR. Date of Birth: 8/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2016. | Retired since March 2016. President of PNC Bank Delaware from June 2011 to March 2016; Executive Vice President Finance of BNY Mellon from July 2010 to January 2011; Executive Vice President and Chief Financial Officer of PNC Global Investment Servicing from September 1997 to July 2010. | 41 | Brinker Capital Destinations Trust (registered investment company with 10 portfolios). | |||||
STEPHEN M. WYNNE Date of Birth: 1/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2009. | Retired since December 2010; Chief Executive Officer of US Funds Services, BNY Mellon Asset Servicing from July 2010 to December 2010; Chief Executive Officer of PNC Global Investment Servicing from March 2008 to July 2010; President, PNC Global Investment Servicing from 2003 to 2008.
| 41 | Copeland Trust (registered investment company with 2 portfolios). |
81
GOTHAM FUNDS
Fund Management (Concluded)
(Unaudited)
Name and Date of Birth | Position(s) with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of by Trustee | Other Trustee | |||||
NANCY B. WOLCOTT Date of Birth: 11/54 | Trustee | Shall serve until death, resignation or removal. Trustee since 2011. | Retired since May 2014; EVP, Head of GFI Client Service Delivery, BNY Mellon from January 2012 to May 2014; EVP, Head of US Funds Services, BNY Mellon from July 2010 to January 2012; President of PNC Global Investment Servicing from 2008 to July 2010; Chief Operating Officer of PNC Global Investment Servicing from 2007 to 2008; Executive Vice President of PFPC Worldwide Inc. from 2006 to 2007.
| 41 | Lincoln Variable Insurance Products Trust (registered investment company with 92 portfolios). |
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | |||
EXECUTIVE OFFICERS | ||||||
JOEL L. WEISS Date of Birth: 1/63 | President and Chief Executive Officer | Shall serve until death, resignation or removal. Officer since 2007. | President of JW Fund Management LLC since June 2016; Vice President and Managing Director of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from 1993 to June 2016.
| |||
T. RICHARD KEYES Date of Birth: 1/57 | Treasurer and Chief Financial Officer | Shall serve until death, resignation or removal. Officer since 2016. | President of TRK Fund Consulting LLC since July 2016; Head of Tax - U.S. Fund Services of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from February 2006 to July 2016.
| |||
VINCENZO A. SCARDUZIO Date of Birth: 4/72 | Secretary | Shall serve until death, resignation or removal. Officer since 2012.
| Director and Vice President Regulatory Administration of The Bank of New York Mellon and predecessor firms since 2001.
| |||
DAVID C. LEBISKY Date of Birth: 5/72 | Chief Compliance Officer and Anti-Money Laundering Officer | Shall serve until death, resignation or removal. Officer since 2015. | President of Lebisky Compliance Consulting LLC since October 2015; Consultant, Duff & Phelps, LLC since 2016; Senior Consultant, Freeh Group International Solutions, LLC (a global risk management firm) from 2015 to 2018; Scotia Institutional Investments US, LP, Director of Regulatory Administration from 2010 to 2014.
|
82
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
240 Greenwich 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-0918
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)
ANNUAL REPORT
September 30, 2018
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. Each Fund except Gotham Enhanced S&P 500 Index 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 Enhanced S&P 500 Index Fund will also use of leverage to make additional investments which could result in greater losses than if a Fund were not leveraged. Gotham Master Index Plus Fund will primarily engage in short sales and leverage through its investments in underlying funds. 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
Annual Investment Adviser’s Report
September 30, 2018
(Unaudited)
Gotham Index Plus Fund (GINDX)
Gotham Index Plus All-Cap Fund (GANDX)
Gotham Enhanced Index Plus Fund (GENDX)
Gotham Enhanced S&P 500 Index Fund (GSPFX)
Gotham Master Index Plus Fund (GMIDX)
Dear Shareholder,
Gotham offers value-focused mutual funds with varying market cap universes and gross and net exposures that share the same investment philosophy, process and research. Gotham offers actively managed strategies (long/short and long-only) as well as strategies that combine an index component and an actively managed long/short overlay. Gotham’s all-cap funds select long and short stock portfolios from a diverse capitalization universe of U.S. stocks. Our large-cap funds select stocks primarily from the S&P 500. This letter describes Gotham’s strategies generally and provides performance insights on our index-based funds listed above.
Our investment process begins with a research effort that seeks to value all of the companies in a fund’s respective investment universe. Our philosophy is simple. Although stock prices react to emotion over the short term, over the long term the market is very good at finding the fair value of stocks. Therefore, we believe that if we are good at valuing businesses (a share of stock represents a percentage ownership stake in a business), the market will agree with us...eventually.
For an individual stock, we believe the waiting period for the market to get it “right” is no more than 2 or 3 years in the vast majority of cases. For a group of stocks, we believe the average waiting period can often be much shorter. In other words, for us, there is a “true north” when it comes to the stock market. If we do a good job of analyzing and valuing companies, we believe the market will agree with us — even if it takes some time. This is crucial. No investment strategy, regardless of how good or logical, works all the time.
The important thing for us is to stick to our strategy even if it is not working over shorter time periods. We have well over 50 years of combined investment experience valuing and investing in publicly traded businesses. We know how to value businesses by using various measures of absolute and relative value. So, that’s how we invest. We buy companies that are at the biggest discount to our assessment of value and sell short (where applicable) those companies that are most expensive relative to our assessment of value. We do not plan to change this strategy or adopt other methodologies when short term stock prices do not reflect the values that we see.
Together with our investment team (led by Director of Research, Adam Barth), we follow a systematic process of researching and valuing companies, investing in our long and short portfolios and adjusting positions daily to take advantage of changing stock prices and fundamental information. The funds are highly diversified and invest in hundreds of positions. Our positions are not equally weighted. The funds invest in the cheapest companies and short (where applicable) the most expensive based on our assessment of value and subject to our risk constraints.
We manage our risks by requiring substantial portfolio diversification, setting maximum limits for sector concentration and by maintaining overall gross and net exposures within carefully defined ranges.
Market Observations and Performance Commentary
Market action this fiscal year continued to follow a trend we have seen for most of this bull market where stocks that are typically defined as “growth” have far outperformed traditional “value” stocks. For the 12 months ending September 30, 2018, the Russell 1000 Pure Growth Index (not market cap weighted) returned 39.9%. For the same period, the Russell 1000 Pure Value Index returned only 4.9%, almost 35% less for the 12 month period.
Although Russell or Morningstar would generally put us in the “Blend” category, which is some combination of value and growth, we are actually cash flow oriented investors and value companies similar to the way that a private equity firm might consider buying an entire company. Our definition of value is to figure out what a business is worth and buy at a discount or sell short at a premium.
2
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
This is largely based on corporate cash flows. It is not low price/book or low price/sales investing. This is why we have not been punished in this market as much as many traditional “value” investors.
Having said that, our short books (where applicable) have suffered headwinds that have mostly affected medium and small cap stocks. Though many of these shorts are growing quickly, they are very richly priced. Some are currently unprofitable, and others sell at 50 or 100 times corporate free cash flows. We are pleased with how we have managed our risks during the extreme growth environment and our opportunity set on the short side remains quite robust.
On the long side, though we cannot predict short term market moves and the overall market remains expensive, we believe that there is an opportunity to nicely exceed the positive returns we expect for large cap indexes. Combining these long returns with the attractive long/short spread environment that should be available from a market that does not continue up at a 15-20% annualized clip should hopefully lead to promising returns for our portfolios over the next several years.
Important Information
This letter is intended to assist shareholders in understanding how the Gotham Funds described herein performed during the period ended September 30, 2018, and reflects the views of the investment adviser at the time of this writing. Market and index valuations are based on Gotham’s valuation methodology. The views may change and do not guarantee the future performance of the Gotham Funds or the markets.
This letter contains forward-looking statements regarding future events, forecasts and expectations regarding equity markets and certain of Gotham’s strategies. Forward-looking statements may be identified terminology such terms as “may,” “expect,” “will,” “hope,” “believe” and/or comparable terminology. No assurance, representation, or warranty is made that any of Gotham’s expectations, views and/or objectives will be achieved and actual results may be significantly different than reflected herein.
The indices referenced herein are for comparison purposes only. The performance and volatility of the funds will be different than those of the indices. It is not possible to invest in the indices directly.
3
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Performance by Fund
Gotham Index Plus (GINDX)
• | The fund returned +21.45% (net) for the trailing twelve month period and the S&P 500 Total Return Index returned +17.91% over the same time period. |
• | The spread for the period was +5.14%1. |
• | The long portfolio contributed +36.54% for the trailing twelve month period. The short portfolio detracted -12.88% for the period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Information Technology | 12.05% | 39.65% | |||||
Consumer Discretionary | 6.89% | 24.18% | ||||||
Short | Utilities | 0.18% | -5.84% | |||||
Financials | 0.02% | -7.84% | ||||||
Largest Detractors | ||||||||
Long | Real Estate | -0.14% | 2.16% | |||||
Short | Information Technology | -4.46% | -15.01% | |||||
Consumer Discretionary | -3.10% | -15.32% | ||||||
| ||||||||
Stock Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Apple Inc | 2.74% | 5.43% | |||||
Boeing Co | 1.37% | 2.63% | ||||||
Short | Schlumberger Ltd | 0.38% | -1.69% | |||||
General Electric Co | 0.27% | -0.68% | ||||||
Largest Detractors | ||||||||
Long | Celgene Corp | -0.77% | 1.89% | |||||
AT&T Inc | -0.27% | 1.32% | ||||||
Short | Netflix Inc | -1.67% | -1.74% | |||||
NVIDIA Corp | -0.84% | -1.44% |
4
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Gotham Index Plus All-Cap (GANDX)
• | GANDX incepted on December 29, 2017. The fund returned +5.50% (net) for the year-to-date period through September 30, 2018 and the S&P 500 Total Return Index returned +10.56% over the same time period. |
• | The spread for the period was -3.84%. |
• | The long portfolio contributed +15.89% for the trailing twelve month period. The short portfolio detracted -9.13% for the period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Information Technology | 7.08% | 41.57% | |||||
Health Care | 4.22% | 21.62% | ||||||
Short | Materials | 0.34% | -5.25% | |||||
Consumer Staples | 0.12% | -3.62% | ||||||
Largest Detractors | ||||||||
Long | Consumer Staples | -0.65% | 11.27% | |||||
Materials | -0.01% | 7.76% | ||||||
Short | Health Care | -3.22% | -8.16% | |||||
Information Technology | -2.89% | -15.50% | ||||||
| ||||||||
Stock Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Amazon.com Inc | 1.59% | 3.11% | |||||
SPDR S&P 500 ETF Trust | 1.18% | 42.01% | ||||||
Short | Camping World Holdings Inc | 0.20% | -0.27% | |||||
US Silica Holdings Inc | 0.19% | -0.26% | ||||||
Largest Detractors | ||||||||
Long | Facebook Inc | -0.23% | 2.07% | |||||
General Electric Co | -0.23% | 0.48% | ||||||
Short | Glaukos Corp | -0.34% | -0.37% | |||||
ENSCO PLC | -0.33% | -0.42% |
5
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Gotham Enhanced Index Plus (GENDX)
• | The fund returned +19.46% (net) for the trailing twelve month period and the S&P 500 Total Return Index returned +17.91% over the same time period. |
• | The spread for the period was -1.79%. |
• | The long portfolio contributed +30.52% for the trailing twelve month period. The short portfolio detracted -9.58% for the period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Information Technology | 10.31% | 33.23% | |||||
Consumer Discretionary | 5.95% | 21.82% | ||||||
Short | Utilities | 0.24% | -0.87% | |||||
Largest Detractors | ||||||||
Long | Real Estate | -0.06% | 1.23% | |||||
Utilities | -0.02% | 1.51% | ||||||
Short | Information Technology | -2.83% | -8.10% | |||||
Health Care | -2.47% | -5.80% | ||||||
| ||||||||
Stock Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Apple Inc | 2.69% | 5.21% | |||||
Amazon.com Inc | 1.45% | 2.19% | ||||||
Short | Allergan PLC | 0.13% | -0.33% | |||||
Camping World Holdings Inc | 0.12% | -0.16% | ||||||
Largest Detractors | ||||||||
Long | Celgene Corp | -0.31% | 0.95% | |||||
CVS Health Corp | -0.20% | 0.58% | ||||||
Short | Netflix Inc | -0.37% | -0.72% | |||||
NVIDIA Corp | -0.24% | -0.61% |
6
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Gotham Enhanced S&P 500 Index (GSPFX)
• | The fund returned +22.97% (net) for the trailing twelve month period and the S&P 500 Total Return Index returned +17.91% over the same time period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Information Technology | 7.96% | 25.07% | |||||
Consumer Discretionary | 5.52% | 15.96% | ||||||
Largest Detractors | ||||||||
Long | Real Estate | -0.01% | 0.71% | |||||
| ||||||||
Stock Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Apple Inc | 2.67% | 5.30% | |||||
Amazon.com Inc | 2.06% | 2.66% | ||||||
Largest Detractors | ||||||||
Long | CVS Health Corp | -0.19% | 0.52% | |||||
Gilead Sciences Inc | -0.18% | 1.19% |
7
Annual Investment Adviser’s Report (Concluded)
September 30, 2018
(Unaudited)
Gotham Master Index Plus (GMIDX)
• | The fund returned +19.66% (net) for the trailing twelve month period and the S&P 500 Total Return Index returned +17.91% over the same time period. |
• | The spread for the period was -0.05%. |
• | The long portfolio contributed +30.72% for the trailing twelve month period. The short portfolio detracted -10.53% for the period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Information Technology | 6.37% | 33.04% | |||||
Health Care | 5.37% | 22.81% | ||||||
Largest Detractors | ||||||||
Short | Information Technology | -2.05% | -9.73% | |||||
Consumer Discretionary | -1.67% | -8.42% | ||||||
| ||||||||
Stock Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Apple Inc | 0.89% | 4.59% | |||||
Wal-Mart Stores Inc | 0.62% | 2.36% | ||||||
Short | Energizer Holdings Inc | 0.01% | -0.03% | |||||
Comcast Corp | 0.01% | -0.08% | ||||||
Largest Detractors | ||||||||
Long | SPDR S&P 500 ETF Trust | -0.09% | 0.30% | |||||
General Dynamics Corp | -0.05% | 0.30% | ||||||
Short | Paypal Holdings Inc | -0.14% | -0.40% | |||||
Netflix Inc | -0.13% | -0.52% |
1 | The spread is defined as how much our long portfolio outperformed our short portfolio adjusted for leverage (i.e. 100% long the long portfolio less 100% long the short portfolio). |
8
GOTHAM FUNDS
Gotham Index Plus Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Index Plus Fund Institutional Class Shares
vs Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Periods Ended September 30, 2018 | ||||||||||||||
1 Year | 3 Year | Since Inception | ||||||||||||
Institutional Class Shares | 21.45% | 20.27% | 14.66%* | |||||||||||
Investor Class Shares | N/A | N/A | 8.43%*,** | |||||||||||
S&P 500® Total Return Index | 17.91% | 17.31% | 12.59%*** |
* | Institutional Class shares and Investor Class shares of the Gotham Index Plus Fund (the “Fund”) incepted on March 31, 2015 and December 29, 2017, respectively. |
** | Not Annualized. |
*** | 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 graph and table do 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.
9
GOTHAM FUNDS
Gotham Index Plus All-Cap Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Index Plus All-Cap Fund Institutional Class Shares
vs Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Total Returns for the Period Ended September 30, 2018 | |||||||||||||||
Since Inception* | |||||||||||||||
Institutional Class Shares | 5.50%** | ||||||||||||||
S&P 500® Total Return Index | 10.56%*** |
* | Not Annualized. |
** | The Gotham Index Plus All-Cap Fund (the “Fund”) incepted 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 graph and table do 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.
10
GOTHAM FUNDS
Gotham Enhanced Index Plus Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Enhanced Index Plus Fund Institutional Class Shares
vs Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Periods Ended September 30, 2018 | ||||||||||||
1 Year | Since Inception | |||||||||||
Institutional Class Shares | 19.46% | 20.33%* | ||||||||||
S&P 500® Total Return Index | 17.91% | 18.26%** |
* | 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 graph and table do 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.
11
GOTHAM FUNDS
Gotham Enhanced S&P 500 Index Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Enhanced S&P 500 Index Fund Institutional Class Shares
vs Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Periods Ended September 30, 2018 | |||||||||||||||
1 Year | Since Inception | ||||||||||||||
Institutional Class Shares | 22.97% | 22.07%* | |||||||||||||
S&P 500® Total Return Index | 17.91% | 18.56%** |
* | 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 graph and table do 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 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 Master Index Plus Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Master Index Plus Fund Institutional Class Shares
vs Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Total Returns for the Periods Ended September 30, 2018 | |||||||||||||||
1 Year | Since Inception | ||||||||||||||
Institutional Class Shares | 19.66 | % | 18.16 | %* | |||||||||||
S&P 500® Total Return Index | 17.91 | % | 17.27 | %** |
* | The Gotham Master Index Plus 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 graph and table do 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.
13
GOTHAM FUNDS
Fund Expense Disclosure
September 30, 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 April 1, 2018, and held for the entire period through September 30, 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 September 30, 2018 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||||||||||||||
Gotham Index Plus Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,106.20 | 3.27 | % | $ | 17.27 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,008.67 | 3.27 | % | 16.47 | |||||||||||||||
Investor Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,104.90 | 3.61 | % | $ | 19.05 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,006.97 | 3.61 | % | 18.16 | |||||||||||||||
Gotham Index Plus All-Cap Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,060.30 | 2.46 | % | $ | 12.70 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,012.74 | 2.46 | % | 12.40 | |||||||||||||||
Gotham Enhanced Index Plus Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,093.00 | 1.89 | % | $ | 9.94 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,015.57 | 1.89 | % | 9.57 |
14
GOTHAM FUNDS
Fund Expense Disclosure (Concluded)
September 30, 2018
(Unaudited)
Beginning Account Value | Ending Account Value September 30, 2018 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||||||||||||||
Gotham Enhanced S&P 500 Index Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,126.70 | 0.50 | % | $ | 2.67 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.55 | 0.50 | % | 2.54 | |||||||||||||||
Gotham Master Index Plus Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,098.30 | 0.00 | % | $ | — | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,025.07 | 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 September 30, 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. |
15
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 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: | ||||||||||
Software & Services | 20.7 | % | $ | 133,652,087 | ||||||
Health Care Equipment & Services | 19.8 | 127,654,408 | ||||||||
Capital Goods | 17.5 | 113,180,420 | ||||||||
Technology Hardware & Equipment | 14.5 | 93,478,545 | ||||||||
Energy | 13.2 | 85,157,595 | ||||||||
Retailing | 13.0 | 83,578,871 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 12.2 | 78,572,115 | ||||||||
Diversified Financials | 9.6 | 62,133,050 | ||||||||
Food, Beverage & Tobacco | 9.6 | 61,727,553 | ||||||||
Transportation | 6.5 | 42,148,350 | ||||||||
Media | 6.5 | 41,811,336 | ||||||||
Food & Staples Retailing | 6.4 | 40,992,332 | ||||||||
Household & Personal Products | 5.5 | 35,464,806 | ||||||||
Materials | 4.3 | 27,884,126 | ||||||||
Utilities | 3.9 | 25,269,368 | ||||||||
Telecommunication Services | 3.2 | 20,871,479 | ||||||||
Insurance | 2.8 | 18,071,759 | ||||||||
Banks | 2.4 | 15,781,823 | ||||||||
Consumer Durables & Apparel | 2.3 | 14,818,612 | ||||||||
Semiconductors & Semiconductor Equipment | 2.3 | 14,816,855 | ||||||||
Commercial & Professional Services | 1.8 | 11,850,118 | ||||||||
Consumer Services | 1.5 | 9,890,793 | ||||||||
Real Estate | 0.8 | 5,171,082 | ||||||||
Automobiles & Components | 0.2 | 1,321,185 | ||||||||
|
|
|
| |||||||
Total Long Positions | 180.5 | $ | 1,165,298,668 | |||||||
|
|
|
|
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Household & Personal Products | (0.2 | )% | $ | (1,162,830 | ) | |||||
Commercial & Professional Services | (0.6 | ) | (3,703,507 | ) | ||||||
Media | (0.8 | ) | (4,982,654 | ) | ||||||
Technology Hardware & Equipment | (0.8 | ) | (5,278,580 | ) | ||||||
Telecommunication Services | (1.5 | ) | (9,558,245 | ) | ||||||
Retailing | (1.9 | ) | (12,172,249 | ) | ||||||
Automobiles & Components | (2.1 | ) | (13,817,232 | ) | ||||||
Consumer Services | (2.2 | ) | (14,474,843 | ) | ||||||
Consumer Durables & Apparel | (2.3 | ) | (14,879,534 | ) | ||||||
Transportation | (2.3 | ) | (15,147,142 | ) | ||||||
Food, Beverage & Tobacco | (2.9 | ) | (18,592,063 | ) | ||||||
Materials | (3.0 | ) | (19,575,106 | ) | ||||||
Health Care Equipment & Services | (3.7 | ) | (23,657,910 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (3.9 | ) | (25,197,392 | ) | ||||||
Diversified Financials | (4.0 | ) | (25,707,732 | ) | ||||||
Insurance | (4.6 | ) | (29,896,392 | ) | ||||||
Banks | (5.0 | ) | (32,035,146 | ) | ||||||
Semiconductors & Semiconductor Equipment | (5.6 | ) | (36,418,495 | ) | ||||||
Software & Services | (5.9 | ) | (38,258,214 | ) | ||||||
Capital Goods | (6.6 | ) | (42,627,645 | ) | ||||||
Utilities | (6.8 | ) | (43,852,852 | ) | ||||||
Energy | (7.6 | ) | (48,930,608 | ) | ||||||
Real Estate | (7.8 | ) | (50,268,723 | ) | ||||||
|
|
|
| |||||||
Total Short Positions | (82.1 | ) | (530,195,094 | ) | ||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 1.6 | 10,359,084 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 645,462,658 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
16
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 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 | 25.8 | % | $ | 631,934 | ||||||
Capital Goods | 17.5 | 430,164 | ||||||||
Health Care Equipment & Services | 13.1 | 322,428 | ||||||||
Retailing | 12.0 | 293,496 | ||||||||
Technology Hardware & Equipment | 10.7 | 262,948 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 10.3 | 253,876 | ||||||||
Energy | 9.8 | 239,387 | ||||||||
Materials | 7.8 | 191,404 | ||||||||
Semiconductors & Semiconductor Equipment | 6.5 | 158,261 | ||||||||
Food, Beverage & Tobacco | 6.0 | 148,331 | ||||||||
Banks | 5.7 | 139,437 | ||||||||
Diversified Financials | 5.6 | 137,144 | ||||||||
Consumer Services | 5.2 | 128,773 | ||||||||
Transportation | 5.0 | 123,174 | ||||||||
Media | 4.1 | 100,800 | ||||||||
Consumer Durables & Apparel | 3.7 | 90,071 | ||||||||
Commercial & Professional Services | 3.6 | 88,886 | ||||||||
Telecommunication Services | 3.1 | 76,644 | ||||||||
Food & Staples Retailing | 2.7 | 65,941 | ||||||||
Utilities | 2.6 | 64,488 | ||||||||
Real Estate | 2.5 | 60,686 | ||||||||
Insurance | 2.2 | 53,390 | ||||||||
Household & Personal Products | 2.0 | 49,284 | ||||||||
Automobiles & Components | 2.0 | 48,645 | ||||||||
|
|
|
| |||||||
Total Long Positions | 169.5 | 4,159,592 | ||||||||
|
|
|
|
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Household & Personal Products | (0.5 | )% | $ | (12,652 | ) | |||||
Food & Staples Retailing | (0.9 | ) | (22,395 | ) | ||||||
Telecommunication Services | (1.3 | ) | (32,298 | ) | ||||||
Automobiles & Components | (1.4 | ) | (34,141 | ) | ||||||
Media | (1.8 | ) | (44,196 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (2.2 | ) | (55,054 | ) | ||||||
Food, Beverage & Tobacco | (2.3 | ) | (56,657 | ) | ||||||
Consumer Durables & Apparel | (2.5 | ) | (60,471 | ) | ||||||
Semiconductors & Semiconductor Equipment | (2.8 | ) | (68,939 | ) | ||||||
Commercial & Professional Services | (2.9 | ) | (69,961 | ) | ||||||
Transportation | (2.9 | ) | (72,064 | ) | ||||||
Consumer Services | (3.9 | ) | (95,610 | ) | ||||||
Energy | (4.5 | ) | (109,302 | ) | ||||||
Retailing | (4.5 | ) | (110,431 | ) | ||||||
Technology Hardware & Equipment | (4.6 | ) | (112,071 | ) | ||||||
Materials | (5.7 | ) | (140,551 | ) | ||||||
Health Care Equipment & Services | (6.4 | ) | (158,206 | ) | ||||||
Software & Services | (8.4 | ) | (206,786 | ) | ||||||
Capital Goods | (10.7 | ) | (261,901 | ) | ||||||
|
|
|
| |||||||
Total Short Positions | (70.2 | ) | (1,723,686 | ) | ||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 0.7 | 18,090 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 2,453,996 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
17
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 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: | ||||||||||
Software & Services | 18.6 | % | $ | 601,842 | ||||||
Capital Goods | 16.4 | 532,214 | ||||||||
Retailing | 14.1 | 456,821 | ||||||||
Technology Hardware & Equipment | 13.6 | 440,069 | ||||||||
Health Care Equipment & Services | 13.1 | 426,340 | ||||||||
Energy | 8.6 | 278,018 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 6.7 | 218,952 | ||||||||
Food, Beverage & Tobacco | 6.6 | 212,484 | ||||||||
Media | 5.1 | 164,918 | ||||||||
Food & Staples Retailing | 4.7 | 151,377 | ||||||||
Materials | 4.6 | 150,141 | ||||||||
Diversified Financials | 4.6 | 148,411 | ||||||||
Household & Personal Products | 3.9 | 127,832 | ||||||||
Telecommunication Services | 3.8 | 123,010 | ||||||||
Semiconductors & Semiconductor Equipment | 3.0 | 97,023 | ||||||||
Commercial & Professional Services | 2.5 | 81,254 | ||||||||
Consumer Services | 2.3 | 74,771 | ||||||||
Transportation | 2.1 | 68,269 | ||||||||
Consumer Durables & Apparel | 1.9 | 60,925 | ||||||||
Utilities | 1.1 | 34,727 | ||||||||
Insurance | 0.9 | 28,059 | ||||||||
Automobiles & Components | 0.8 | 26,073 | ||||||||
Banks | 0.8 | 25,910 | ||||||||
Real Estate | 0.3 | 9,912 | ||||||||
|
|
|
| |||||||
Total Long Positions | 140.1 | 4,539,352 | ||||||||
|
|
|
|
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Household & Personal Products | (0.3 | )% | $ | (9,989 | ) | |||||
Food & Staples Retailing | (0.5 | ) | (15,947 | ) | ||||||
Telecommunication Services | (0.7 | ) | (22,591 | ) | ||||||
Automobiles & Components | (0.8 | ) | (24,979 | ) | ||||||
Media | (1.2 | ) | (38,000 | ) | ||||||
Food, Beverage & Tobacco | (1.3 | ) | (42,268 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (1.4 | ) | (44,575 | ) | ||||||
Consumer Durables & Apparel | (1.4 | ) | (44,689 | ) | ||||||
Transportation | (1.6 | ) | (51,184 | ) | ||||||
Semiconductors & Semiconductor Equipment | (1.6 | ) | (53,617 | ) | ||||||
Commercial & Professional Services | (1.7 | ) | (55,130 | ) | ||||||
Consumer Services | (2.1 | ) | (70,263 | ) | ||||||
Energy | (2.6 | ) | (83,555 | ) | ||||||
Retailing | (2.6 | ) | (83,707 | ) | ||||||
Technology Hardware & Equipment | (2.7 | ) | (86,769 | ) | ||||||
Materials | (3.3 | ) | (106,730 | ) | ||||||
Health Care Equipment & Services | (3.6 | ) | (116,218 | ) | ||||||
Software & Services | (4.7 | ) | (153,813 | ) | ||||||
Capital Goods | (6.2 | ) | (202,741 | ) | ||||||
|
|
|
| |||||||
Total Short Positions | (40.3 | ) | (1,306,765 | ) | ||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 0.2 | 7,732 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 3,240,319 | ||||||
|
|
|
|
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
September 30, 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: | ||||||||||
Software & Services | 13.2 | % | $ | 464,782 | ||||||
Retailing | 11.4 | 402,761 | ||||||||
Technology Hardware & Equipment | 10.9 | 385,273 | ||||||||
Capital Goods | 9.9 | 350,055 | ||||||||
Health Care Equipment & Services | 9.5 | 334,119 | ||||||||
Energy | 6.6 | 234,511 | ||||||||
Food, Beverage & Tobacco | 5.7 | 199,429 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 5.1 | 179,506 | ||||||||
Diversified Financials | 4.9 | 173,455 | ||||||||
Food & Staples Retailing | 4.2 | 148,722 | ||||||||
Media | 4.1 | 145,262 | ||||||||
Household & Personal Products | 3.7 | 129,366 | ||||||||
Telecommunication Services | 3.1 | 110,994 | ||||||||
Materials | 1.5 | 54,138 | ||||||||
Semiconductors & Semiconductor Equipment | 1.5 | 53,077 | ||||||||
Utilities | 1.0 | 36,827 | ||||||||
Insurance | 0.9 | 31,120 | ||||||||
Commercial & Professional Services | 0.8 | 26,394 | ||||||||
Banks | 0.7 | 23,881 | ||||||||
Transportation | 0.6 | 20,917 | ||||||||
Consumer Durables & Apparel | 0.5 | 18,640 | ||||||||
Real Estate | 0.3 | 10,366 | ||||||||
Consumer Services | 0.3 | 10,007 | ||||||||
Automobiles & Components | 0.1 | 2,365 | ||||||||
|
|
|
| |||||||
Total Common Stocks | 100.5 | 3,545,967 | ||||||||
|
|
|
| |||||||
Liabilities in Excess of Other Assets | (0.5 | ) | (17,411 | ) | ||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 3,528,556 | ||||||
|
|
|
|
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
September 30, 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 | 104.5 | % | $ | 1,376,934 | ||||||
Liabilities in Excess of Other Assets | (4.5 | ) | (58,788 | ) | ||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 1,318,146 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
20
GOTHAM INDEX PLUS FUND
Portfolio of Investments
September 30, 2018
Number | ||||||||
of Shares | Value | |||||||
LONG POSITIONS — 180.5% |
| |||||||
COMMON STOCKS — 180.5% |
| |||||||
Automobiles & Components — 0.2% |
| |||||||
BorgWarner, Inc.† | 535 | $ | 22,887 | |||||
Harley-Davidson, Inc.(a) | 28,660 | 1,298,298 | ||||||
|
| |||||||
1,321,185 | ||||||||
|
| |||||||
Banks — 2.4% | ||||||||
Bank of America Corp.† | 208,870 | 6,153,310 | ||||||
Comerica, Inc. | 1 | 90 | ||||||
JPMorgan Chase & Co.† | 81,684 | 9,217,222 | ||||||
PNC Financial Services Group, Inc. (The)† | 109 | 14,845 | ||||||
SunTrust Banks, Inc.† | 1 | 67 | ||||||
SVB Financial Group* | 1,263 | 392,578 | ||||||
Zions Bancorp NA† | 74 | 3,711 | ||||||
|
| |||||||
15,781,823 | ||||||||
|
| |||||||
Capital Goods — 17.5% | ||||||||
3M Co.†(a) | 46,285 | 9,752,712 | ||||||
AMETEK, Inc.† | 19,345 | 1,530,576 | ||||||
Arconic, Inc.(a) | 13,949 | 307,017 | ||||||
Boeing Co. (The)† | 52,255 | 19,433,634 | ||||||
Caterpillar, Inc.†(b) | 63,387 | 9,665,884 | ||||||
Deere & Co.† | 3,801 | 571,404 | ||||||
Dover Corp.† | 25,418 | 2,250,255 | ||||||
Eaton Corp. PLC (Ireland) | 915 | 79,358 | ||||||
Emerson Electric Co.†(b) | 108,144 | 8,281,667 | ||||||
Fastenal Co.(a) | 706 | 40,962 | ||||||
Fluor Corp. | 825 | 47,933 | ||||||
Fortive Corp.(a) | 8,857 | 745,760 | ||||||
Harris Corp.†(b) | 20,392 | 3,450,530 | ||||||
Honeywell International, Inc.† | 107,785 | 17,935,424 | ||||||
Illinois Tool Works, Inc.(a)(b) | 26,915 | 3,798,245 | ||||||
Jacobs Engineering Group, Inc.(a) | 24,412 | 1,867,518 | ||||||
Parker-Hannifin Corp. | 22,788 | 4,191,397 | ||||||
Pentair PLC (Ireland)† | 30,185 | 1,308,520 | ||||||
Raytheon Co.† | 5,459 | 1,128,157 | ||||||
Rockwell Automation, Inc.† | 13,982 | 2,621,905 | ||||||
Roper Technologies, Inc.† | 2,517 | 745,560 | ||||||
Snap-on, Inc.(a) | 9,707 | 1,782,205 | ||||||
Textron, Inc. | 6,049 | 432,322 | ||||||
TransDigm Group, Inc.(a)* | 710 | 264,333 | ||||||
United Rentals, Inc.* | 14,265 | 2,333,754 | ||||||
United Technologies Corp.(a) | 117,318 | 16,402,229 | ||||||
WW Grainger, Inc.(a) | 5,817 | 2,079,054 |
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Xylem, Inc. | 1,654 | $ | 132,105 | |||||
|
| |||||||
113,180,420 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.8% |
| |||||||
Cintas Corp.† | 1,807 | 357,443 | ||||||
Copart, Inc.* | 29 | 1,494 | ||||||
Republic Services, Inc.† | 39,550 | 2,873,703 | ||||||
Robert Half International, Inc.† | 18,414 | 1,295,977 | ||||||
Verisk Analytics, Inc.(a)* | 5,477 | 660,252 | ||||||
Waste Management, Inc.† | 73,719 | 6,661,249 | ||||||
|
| |||||||
11,850,118 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 2.3% |
| |||||||
Garmin Ltd. (Switzerland)†(a) | 32,491 | 2,275,994 | ||||||
Lennar Corp., Class A(a) | 8,008 | 373,893 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 21,788 | 1,493,785 | ||||||
Mohawk Industries, Inc.* | 1,797 | 315,104 | ||||||
NIKE, Inc., Class B(b) | 75,587 | 6,403,731 | ||||||
Ralph Lauren Corp.† | 1,956 | 269,048 | ||||||
Tapestry, Inc.† | 49,562 | 2,491,482 | ||||||
Whirlpool Corp.(a) | 10,068 | 1,195,575 | ||||||
|
| |||||||
14,818,612 | ||||||||
|
| |||||||
Consumer Services — 1.5% | ||||||||
Darden Restaurants, Inc.† | 14,417 | 1,603,026 | ||||||
H&R Block, Inc.(a) | 4,994 | 128,595 | ||||||
Marriott International, Inc., Class A | 1 | 132 | ||||||
McDonald’s Corp.†(b) | 42,292 | 7,075,029 | ||||||
Yum! Brands, Inc.† | 11,924 | 1,084,011 | ||||||
|
| |||||||
9,890,793 | ||||||||
|
| |||||||
Diversified Financials — 9.6% | ||||||||
Affiliated Managers Group, Inc. | 8,789 | 1,201,632 | ||||||
American Express Co.† | 27,100 | 2,885,879 | ||||||
Berkshire Hathaway, Inc., Class B†* | 100,729 | 21,567,086 | ||||||
BlackRock, Inc.† | 15,856 | 7,473,408 | ||||||
Capital One Financial Corp.† | 2 | 190 | ||||||
Charles Schwab Corp. (The)† | 9,026 | 443,628 | ||||||
CME Group, Inc.†(a) | 11,014 | 1,874,693 | ||||||
Discover Financial Services† | 4,712 | 360,232 | ||||||
E*TRADE Financial Corp.†* | 1,500 | 78,585 | ||||||
Franklin Resources, Inc.†(a) | 55,037 | 1,673,675 | ||||||
Intercontinental Exchange, Inc.† | 13,950 | 1,044,716 | ||||||
Invesco Ltd. (Bermuda)† | 31,105 | 711,682 | ||||||
Moody’s Corp.†(b) | 32,994 | 5,516,597 |
The accompanying notes are an integral part of the financial statements.
21
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
MSCI, Inc.† | 14,668 | $ | 2,602,250 | |||||
Nasdaq, Inc.† | 27,317 | 2,343,799 | ||||||
Raymond James Financial, Inc.† | 2 | 184 | ||||||
S&P Global, Inc.†(b) | 43,263 | 8,453,158 | ||||||
T Rowe Price Group, Inc.†(a) | 35,736 | 3,901,656 | ||||||
|
| |||||||
62,133,050 | ||||||||
|
| |||||||
Energy — 13.2% |
| |||||||
Chevron Corp.†(b) | 154,905 | 18,941,783 | ||||||
ConocoPhillips† | 199,985 | 15,478,839 | ||||||
Devon Energy Corp.(b) | 84,021 | 3,355,799 | ||||||
Exxon Mobil Corp.†(a) | 283,355 | 24,090,842 | ||||||
Hess Corp.†(a) | 33,352 | 2,387,336 | ||||||
HollyFrontier Corp.(a) | 27,905 | 1,950,560 | ||||||
Marathon Oil Corp.† | 146,965 | 3,421,345 | ||||||
Marathon Petroleum Corp. | 2,790 | 223,116 | ||||||
Occidental Petroleum Corp.† | 73,018 | 5,999,889 | ||||||
ONEOK, Inc.† | 2 | 136 | ||||||
Phillips 66†(b) | 70,650 | 7,963,668 | ||||||
TechnipFMC PLC | 10,075 | 314,844 | ||||||
Valero Energy Corp.† | 9,050 | 1,029,438 | ||||||
|
| |||||||
85,157,595 | ||||||||
|
| �� | ||||||
Food & Staples Retailing — 6.4% |
| |||||||
Costco Wholesale Corp.† | 7,350 | 1,726,368 | ||||||
Kroger Co. (The)† | 67,070 | 1,952,408 | ||||||
Sysco Corp.†(b) | 89,598 | 6,563,054 | ||||||
Walgreens Boots Alliance, Inc.(a) | 118,192 | 8,616,197 | ||||||
Walmart, Inc.† | 235,697 | 22,134,305 | ||||||
|
| |||||||
40,992,332 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 9.6% |
| |||||||
Altria Group, Inc.†(b) | 209,351 | 12,625,959 | ||||||
Archer-Daniels-Midland Co.† | 96,326 | 4,842,308 | ||||||
Coca-Cola Co. (The)† | 85,231 | 3,936,820 | ||||||
Conagra Brands, Inc.†(a) | 54,282 | 1,843,960 | ||||||
Hershey Co. (The)(a) | 162 | 16,524 | ||||||
Kellogg Co.(a) | 54,132 | 3,790,323 | ||||||
Kraft Heinz Co. (The)†(b) | 77,736 | 4,284,031 | ||||||
Molson Coors Brewing Co., | 7,031 | 432,406 | ||||||
Mondelez International, Inc., | 33,176 | 1,425,241 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
PepsiCo, Inc.† | 106,639 | $ | 11,922,240 | |||||
Philip Morris International, Inc.†(a)(b) | 203,676 | 16,607,741 | ||||||
|
| |||||||
61,727,553 | ||||||||
|
| |||||||
Health Care Equipment & Services — 19.8% |
| |||||||
Abbott Laboratories† | 30,013 | 2,201,754 | ||||||
Aetna, Inc.† | 56,343 | 11,429,178 | ||||||
AmerisourceBergen Corp.† | 37,325 | 3,442,112 | ||||||
Anthem, Inc.† | 43,685 | 11,971,874 | ||||||
Becton Dickinson and Co. | 21,450 | 5,598,450 | ||||||
Cardinal Health, Inc.†(a) | 53,348 | 2,880,792 | ||||||
Centene Corp.†(b)* | 35,321 | 5,113,774 | ||||||
Cigna Corp.†(a) | 37,189 | 7,744,609 | ||||||
CVS Health Corp.† | 94,902 | 7,470,685 | ||||||
Danaher Corp.† | 31,974 | 3,474,295 | ||||||
DaVita, Inc.* | 23,974 | 1,717,258 | ||||||
Envision Healthcare Corp.* | 20,893 | 955,437 | ||||||
Express Scripts Holding Co.†* | 44,212 | 4,200,582 | ||||||
HCA Healthcare, Inc.†(b) | 59,674 | 8,301,847 | ||||||
Humana, Inc.† | 23,705 | 8,024,617 | ||||||
Laboratory Corp. of America Holdings†(a)* | 16,252 | 2,822,647 | ||||||
McKesson Corp.(b) | 27,011 | 3,583,009 | ||||||
Medtronic PLC (Ireland)†(b) | 148,857 | 14,643,063 | ||||||
Quest Diagnostics, Inc. | 3,125 | 337,219 | ||||||
ResMed, Inc. | 24,553 | 2,831,943 | ||||||
UnitedHealth Group, Inc.† | 61,796 | 16,440,208 | ||||||
WellCare Health Plans, Inc.†* | 7,704 | 2,469,055 | ||||||
|
| |||||||
127,654,408 | ||||||||
|
| |||||||
Household & Personal Products — 5.5% |
| |||||||
Church & Dwight Co., Inc.(a) | 42,168 | 2,503,514 | ||||||
Clorox Co. (The)(a) | 22,024 | 3,312,630 | ||||||
Colgate-Palmolive Co.† | 147,089 | 9,847,609 | ||||||
Estee Lauder Cos., Inc. (The), | 6,540 | 950,393 | ||||||
Kimberly-Clark Corp.(b) | 33,628 | 3,821,486 | ||||||
Procter & Gamble Co. (The)† | 180,574 | 15,029,174 | ||||||
|
| |||||||
35,464,806 | ||||||||
|
| |||||||
Insurance — 2.8% | ||||||||
Aflac, Inc.† | 20,038 | 943,189 | ||||||
Arthur J Gallagher & Co.† | 31,425 | 2,339,277 | ||||||
Loews Corp.† | 54,495 | 2,737,284 | ||||||
Marsh & McLennan Cos., Inc.† | 42,448 | 3,511,299 | ||||||
Progressive Corp. (The)† | 100,245 | 7,121,405 |
The accompanying notes are an integral part of the financial statements.
22
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) |
| |||||||
Prudential Financial, Inc. | 2,798 | $ | 283,493 | |||||
Torchmark Corp.† | 13,102 | 1,135,812 | ||||||
|
| |||||||
18,071,759 | ||||||||
|
| |||||||
Materials — 4.3% |
| |||||||
Avery Dennison Corp.† | 7,071 | 766,143 | ||||||
CF Industries Holdings, Inc.(a) | 40,177 | 2,187,236 | ||||||
DowDuPont, Inc.† | 12,048 | 774,807 | ||||||
Eastman Chemical Co.† | 9,365 | 896,418 | ||||||
FMC Corp.† | 23,168 | 2,019,786 | ||||||
Freeport-McMoRan, Inc.† | 117,783 | 1,639,539 | ||||||
International Paper Co.† | 16,426 | 807,338 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 41,672 | 4,271,797 | ||||||
Nucor Corp.(a) | 9,515 | 603,727 | ||||||
Packaging Corp. of America | 3,071 | 336,858 | ||||||
Praxair, Inc.(b) | 40,561 | 6,519,370 | ||||||
Sealed Air Corp. | 27,516 | 1,104,767 | ||||||
Sherwin-Williams Co. (The) | 7,931 | 3,610,271 | ||||||
WestRock Co.† | 43,901 | 2,346,069 | ||||||
|
| |||||||
27,884,126 | ||||||||
|
| |||||||
Media — 6.5% |
| |||||||
CBS Corp., Class B, non-voting shares† | 28,682 | 1,647,781 | ||||||
Comcast Corp., Class A† | 114,078 | 4,039,502 | ||||||
DISH Network Corp., Class A(a)(b)* | 80,455 | 2,877,071 | ||||||
Interpublic Group of Cos., Inc. | 33,596 | 768,341 | ||||||
News Corp., Class A† | 34,561 | 455,860 | ||||||
Omnicom Group, Inc.(a) | 8,156 | 554,771 | ||||||
Twenty-First Century Fox, Inc., Class A | 318,808 | 14,770,375 | ||||||
Viacom, Inc., Class B | 9,796 | 330,713 | ||||||
Walt Disney Co. (The)† | 139,960 | 16,366,922 | ||||||
|
| |||||||
41,811,336 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 12.2% |
| |||||||
AbbVie, Inc.†(b) | 111,448 | 10,540,752 | ||||||
Amgen, Inc.† | 37,324 | 7,736,892 | ||||||
Biogen, Inc.†* | 25,341 | 8,953,229 | ||||||
Bristol-Myers Squibb Co.† | 39,661 | 2,462,155 | ||||||
Celgene Corp.(b)* | 82,786 | 7,408,519 | ||||||
Eli Lilly & Co.† | 26,102 | 2,801,006 | ||||||
Gilead Sciences, Inc.† | 66,036 | 5,098,640 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Johnson & Johnson†(b) | 154,274 | $ | 21,316,039 | |||||
Merck & Co., Inc.† | 58,239 | 4,131,475 | ||||||
Nektar Therapeutics(a)* | 27,178 | 1,656,771 | ||||||
Pfizer, Inc.† | 114,210 | 5,033,235 | ||||||
Regeneron Pharmaceuticals, Inc.(b)* | 960 | 387,878 | ||||||
Zoetis, Inc.† | 11,419 | 1,045,524 | ||||||
|
| |||||||
78,572,115 | ||||||||
|
| |||||||
Real Estate — 0.8% | ||||||||
Alexandria Real Estate Equities, Inc., REIT | 2,512 | 315,984 | ||||||
AvalonBay Communities, Inc., | 2,063 | 373,712 | ||||||
Equity Residential, REIT | 8,950 | 593,027 | ||||||
Extra Space Storage, Inc., REIT | 263 | 22,786 | ||||||
Public Storage, REIT | 272 | 54,843 | ||||||
Realty Income Corp., REIT(a) | 13,781 | 784,001 | ||||||
UDR, Inc., REIT(a) | 6,620 | 267,647 | ||||||
Ventas, Inc., REIT | 5,884 | 319,972 | ||||||
Welltower, Inc., REIT(a) | 6,977 | 448,761 | ||||||
Weyerhaeuser Co., REIT† | 61,678 | 1,990,349 | ||||||
|
| |||||||
5,171,082 | ||||||||
|
| |||||||
Retailing — 13.0% | ||||||||
Advance Auto Parts, Inc. | 12,748 | 2,145,871 | ||||||
Amazon.com, Inc.†* | 5,793 | 11,603,379 | ||||||
AutoZone, Inc.†* | 4,420 | 3,428,594 | ||||||
Best Buy Co., Inc. | 7,330 | 581,709 | ||||||
Booking Holdings, Inc.†(b)* | 2,532 | 5,023,488 | ||||||
CarMax, Inc.(a)* | 9,190 | 686,217 | ||||||
Dollar General Corp.†(a)(b) | 45,695 | 4,994,464 | ||||||
Foot Locker, Inc.(a) | 17,977 | 916,467 | ||||||
Genuine Parts Co.†(a) | 25,255 | 2,510,347 | ||||||
Home Depot, Inc. (The)†(a) | 102,733 | 21,281,141 | ||||||
Kohl’s Corp.(a) | 19,217 | 1,432,627 | ||||||
Lowe’s Cos., Inc.(a)(b) | 139,566 | 16,024,968 | ||||||
Macy’s, Inc.(a) | 1,616 | 56,124 | ||||||
Nordstrom, Inc. | 4,070 | 243,427 | ||||||
O’Reilly Automotive, Inc.* | 1,968 | 683,526 | ||||||
Ross Stores, Inc.† | 27,323 | 2,707,709 | ||||||
Target Corp. | 22,793 | 2,010,571 | ||||||
Tiffany & Co.(b) | 15,160 | 1,955,185 | ||||||
TJX Cos., Inc. (The)(b) | 47,251 | 5,293,057 | ||||||
|
| |||||||
83,578,871 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
23
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — 2.3% |
| |||||||
Analog Devices, Inc.(a) | 9,004 | $ | 832,510 | |||||
KLA-Tencor Corp.(a) | 12,578 | 1,279,308 | ||||||
Lam Research Corp.(a) | 3,816 | 578,887 | ||||||
Micron Technology, Inc.†(a)* | 146,954 | 6,646,729 | ||||||
QUALCOMM, Inc.†(a) | 32,497 | 2,340,759 | ||||||
Texas Instruments, Inc.†(a) | 29,254 | 3,138,662 | ||||||
|
| |||||||
14,816,855 | ||||||||
|
| |||||||
Software & Services — 20.7% | ||||||||
Accenture PLC, Class A | 106,472 | 18,121,534 | ||||||
Alliance Data Systems Corp.† | 9,514 | 2,246,826 | ||||||
Alphabet, Inc., Class A†* | 3,955 | 4,774,001 | ||||||
Automatic Data Processing, Inc.(b) | 75,514 | 11,376,939 | ||||||
Broadridge Financial Solutions, Inc.† | 20,015 | 2,640,979 | ||||||
CA, Inc.† | 71,114 | 3,139,683 | ||||||
Citrix Systems, Inc.†* | 20,089 | 2,233,093 | ||||||
Cognizant Technology Solutions Corp., Class A† | 14,097 | 1,087,584 | ||||||
DXC Technology Co.(b) | 48,530 | 4,538,526 | ||||||
eBay, Inc.†* | 52,533 | 1,734,640 | ||||||
Fiserv, Inc.* | 9,867 | 812,843 | ||||||
FleetCor Technologies, Inc.(a)* | 2,367 | 539,297 | ||||||
International Business Machines Corp.† | 35,811 | 5,414,981 | ||||||
Intuit, Inc.(b) | 44,506 | 10,120,664 | ||||||
Mastercard, Inc., Class A†(a) | 38,252 | 8,515,278 | ||||||
Microsoft Corp.† | 216,783 | 24,793,472 | ||||||
Oracle Corp.† | 222,316 | 11,462,613 | ||||||
Paychex, Inc.(a)(b) | 61,781 | 4,550,171 | ||||||
VeriSign, Inc.* | 2,448 | 391,974 | ||||||
Visa, Inc., Class A(a)(b) | 100,986 | 15,156,989 | ||||||
|
| |||||||
133,652,087 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 14.5% |
| |||||||
Amphenol Corp., Class A† | 10,589 | 995,578 | ||||||
Apple, Inc.† | 181,654 | 41,006,574 | ||||||
Cisco Systems, Inc.† | 433,456 | 21,087,634 | ||||||
F5 Networks, Inc.†* | 10,466 | 2,087,130 | ||||||
FLIR Systems, Inc. | 23,751 | 1,459,974 | ||||||
Hewlett Packard Enterprise Co.†(a) | 255,038 | 4,159,670 | ||||||
HP, Inc.†(a) | 272,318 | 7,017,635 | ||||||
Motorola Solutions, Inc.† | 14,755 | 1,920,216 | ||||||
NetApp, Inc.†(a) | 44,743 | 3,842,976 | ||||||
Seagate Technology PLC | 23,464 | 1,111,020 | ||||||
TE Connectivity Ltd. (Switzerland)† | 59,959 | 5,272,195 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Western Digital Corp.† | 39,862 | $ | 2,333,521 | |||||
Xerox Corp.† | 43,900 | 1,184,422 | ||||||
|
| |||||||
93,478,545 | ||||||||
|
| |||||||
Telecommunication Services — 3.2% |
| |||||||
CenturyLink, Inc.(a) | 30,233 | 640,940 | ||||||
Verizon Communications, | 378,920 | 20,230,539 | ||||||
|
| |||||||
20,871,479 | ||||||||
|
| |||||||
Transportation — 6.5% | ||||||||
CH Robinson Worldwide, | 3,029 | 296,600 | ||||||
CSX Corp.(a)(b) | 76,709 | 5,680,301 | ||||||
Expeditors International of Washington, Inc.(a) | 29,872 | 2,196,488 | ||||||
FedEx Corp.†(b) | 37,379 | 9,000,489 | ||||||
Norfolk Southern Corp.†(b) | 47,937 | 8,652,628 | ||||||
Union Pacific Corp.†(a) | 55,501 | 9,037,228 | ||||||
United Parcel Service, Inc., Class B† | 62,395 | 7,284,616 | ||||||
|
| |||||||
42,148,350 | ||||||||
|
| |||||||
Utilities — 3.9% | ||||||||
AES Corp.†(a) | 16,077 | 225,078 | ||||||
American Electric Power Co., Inc. | 2,168 | 153,668 | ||||||
CMS Energy Corp.†(a) | 48,736 | 2,388,064 | ||||||
Dominion Energy, Inc.(a) | 46,848 | 3,292,477 | ||||||
DTE Energy Co.(a) | 14,614 | 1,594,826 | ||||||
Evergy, Inc. | 2,268 | 124,559 | ||||||
Exelon Corp. | 23,476 | 1,024,962 | ||||||
FirstEnergy Corp.(a) | 82,175 | 3,054,445 | ||||||
NRG Energy, Inc.†(a) | 52,218 | 1,952,953 | ||||||
PPL Corp.(a) | 118,755 | 3,474,771 | ||||||
Southern Co. (The)† | 99,964 | 4,358,430 | ||||||
WEC Energy Group, Inc.†(a) | 54,301 | 3,625,135 | ||||||
|
| |||||||
25,269,368 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost $1,066,941,149) | 1,165,298,668 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 180.5% |
| 1,165,298,668 | ||||||
|
| |||||||
(Cost $1,066,941,149) |
| |||||||
SHORT POSITIONS — (82.1)% | ||||||||
COMMON STOCKS — (82.1)% | ||||||||
Automobiles & Components — (2.1)% |
| |||||||
Aptiv PLC (Jersey) | (32,661 | ) | (2,740,258 | ) | ||||
Ford Motor Co. | (490,539 | ) | (4,537,486 | ) | ||||
General Motors Co. | (173,916 | ) | (5,855,752 | ) |
The accompanying notes are an integral part of the financial statements.
24
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Automobiles & Components — (Continued) |
| |||||||
Goodyear Tire & Rubber Co. (The) | (29,232 | ) | $ | (683,736 | ) | |||
|
| |||||||
(13,817,232 | ) | |||||||
|
| |||||||
Banks — (5.0)% | ||||||||
BB&T Corp. | (95,524 | ) | (4,636,735 | ) | ||||
Citigroup, Inc. | (153,439 | ) | (11,007,714 | ) | ||||
Citizens Financial Group, Inc. | (59,706 | ) | (2,302,860 | ) | ||||
Fifth Third Bancorp | (83,648 | ) | (2,335,452 | ) | ||||
Huntington Bancshares, Inc. | (136,200 | ) | (2,032,104 | ) | ||||
KeyCorp | (130,614 | ) | (2,597,912 | ) | ||||
M&T Bank Corp. | (17,791 | ) | (2,927,331 | ) | ||||
People’s United Financial, Inc. | (42,134 | ) | (721,334 | ) | ||||
Regions Financial Corp. | (137,453 | ) | (2,522,263 | ) | ||||
Wells Fargo & Co. | (18,102 | ) | (951,441 | ) | ||||
|
| |||||||
(32,035,146 | ) | |||||||
|
| |||||||
Capital Goods — (6.6)% | ||||||||
Allegion PLC (Ireland) | (2,091 | ) | (189,382 | ) | ||||
AO Smith Corp. | (20,359 | ) | (1,086,560 | ) | ||||
Cummins, Inc. | (20,142 | ) | (2,942,142 | ) | ||||
Flowserve Corp. | (793 | ) | (43,369 | ) | ||||
Fortune Brands Home & Security, Inc. | (17,567 | ) | (919,808 | ) | ||||
General Dynamics Corp. | (36,544 | ) | (7,481,288 | ) | ||||
General Electric Co. | (385,625 | ) | (4,353,706 | ) | ||||
Huntington Ingalls Industries, Inc. | (647 | ) | (165,684 | ) | ||||
Ingersoll-Rand PLC (Ireland) | (297 | ) | (30,383 | ) | ||||
Johnson Controls International PLC (Ireland) | (114,084 | ) | (3,992,940 | ) | ||||
L3 Technologies, Inc. | (2,361 | ) | (501,996 | ) | ||||
Lockheed Martin Corp. | (10,319 | ) | (3,569,961 | ) | ||||
Masco Corp. | (37,619 | ) | (1,376,855 | ) | ||||
Northrop Grumman Corp. | (21,493 | ) | (6,821,233 | ) | ||||
PACCAR, Inc. | (43,257 | ) | (2,949,695 | ) | ||||
Quanta Services, Inc.* | (18,450 | ) | (615,861 | ) | ||||
Rockwell Collins, Inc. | (20,098 | ) | (2,823,166 | ) | ||||
Stanley Black & Decker, Inc. | (18,872 | ) | (2,763,616 | ) | ||||
|
| |||||||
(42,627,645 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.6)% |
| |||||||
Equifax, Inc. | (14,851 | ) | (1,939,095 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (12,787 | ) | (689,987 | ) | ||||
Nielsen Holdings PLC (United Kingdom) | (38,844 | ) | (1,074,425 | ) | ||||
|
| |||||||
(3,703,507 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.3)% |
| |||||||
DR Horton, Inc. | (46,499 | ) | (1,961,328 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Hanesbrands, Inc. | (44,466 | ) | $ | (819,508 | ) | |||
Hasbro, Inc. | (15,705 | ) | (1,650,910 | ) | ||||
Leggett & Platt, Inc. | (16,054 | ) | (703,005 | ) | ||||
Mattel, Inc.* | (42,455 | ) | (666,544 | ) | ||||
Newell Brands, Inc. | (59,945 | ) | (1,216,884 | ) | ||||
PulteGroup, Inc. | (35,075 | ) | (868,808 | ) | ||||
PVH Corp. | (9,463 | ) | (1,366,457 | ) | ||||
Under Armour, Inc., Class C* | (54,842 | ) | (1,067,225 | ) | ||||
VF Corp. | (48,784 | ) | (4,558,865 | ) | ||||
|
| |||||||
(14,879,534 | ) | |||||||
|
| |||||||
Consumer Services — (2.2)% | ||||||||
Carnival Corp. (Panama) | (76,114 | ) | (4,853,790 | ) | ||||
Chipotle Mexican Grill, Inc.* | (618 | ) | (280,893 | ) | ||||
Hilton Worldwide Holdings, Inc. | (7,476 | ) | (603,911 | ) | ||||
MGM Resorts International | (66,342 | ) | (1,851,605 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (24,701 | ) | (1,418,578 | ) | ||||
Royal Caribbean Cruises Ltd. (Liberia) | (1,844 | ) | (239,609 | ) | ||||
Starbucks Corp. | (61,996 | ) | (3,523,853 | ) | ||||
Wynn Resorts Ltd. | (13,400 | ) | (1,702,604 | ) | ||||
|
| |||||||
(14,474,843 | ) | |||||||
|
| |||||||
Diversified Financials — (4.0)% | ||||||||
Ameriprise Financial, Inc. | (17,543 | ) | (2,590,399 | ) | ||||
Bank of New York Mellon Corp. (The) | (123,338 | ) | (6,289,005 | ) | ||||
Cboe Global Markets, Inc. | (1,103 | ) | (105,844 | ) | ||||
Goldman Sachs Group, Inc. (The) | (16,876 | ) | (3,784,274 | ) | ||||
Jefferies Financial Group, Inc. | (41,112 | ) | (902,820 | ) | ||||
Morgan Stanley | (124,508 | ) | (5,798,338 | ) | ||||
Northern Trust Corp. | (27,541 | ) | (2,812,762 | ) | ||||
State Street Corp. | (6,710 | ) | (562,164 | ) | ||||
Synchrony Financial | (92,089 | ) | (2,862,126 | ) | ||||
|
| |||||||
(25,707,732 | ) | |||||||
|
| |||||||
Energy — (7.6)% | ||||||||
Anadarko Petroleum Corp. | (61,869 | ) | (4,170,589 | ) | ||||
Andeavor | (18,552 | ) | (2,847,732 | ) | ||||
Apache Corp. | (9,653 | ) | (460,159 | ) | ||||
Cabot Oil & Gas Corp. | (54,416 | ) | (1,225,448 | ) | ||||
Cimarex Energy Co. | (11,766 | ) | (1,093,532 | ) | ||||
Concho Resources, Inc.* | (12,476 | ) | (1,905,709 | ) | ||||
EOG Resources, Inc. | (36,425 | ) | (4,646,737 | ) | ||||
EQT Corp. | (32,727 | ) | (1,447,515 | ) | ||||
Halliburton Co. | (108,420 | ) | (4,394,263 | ) |
The accompanying notes are an integral part of the financial statements.
25
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Helmerich & Payne, Inc. | (11,265 | ) | $ | (774,694 | ) | |||
Kinder Morgan, Inc. | (279,008 | ) | (4,946,812 | ) | ||||
National Oilwell Varco, Inc. | (47,182 | ) | (2,032,601 | ) | ||||
Newfield Exploration Co.* | (22,428 | ) | (646,599 | ) | ||||
Noble Energy, Inc. | (60,068 | ) | (1,873,521 | ) | ||||
Pioneer Natural Resources Co. | (18,892 | ) | (3,290,797 | ) | ||||
Schlumberger Ltd. (Curacao) | (170,722 | ) | (10,400,384 | ) | ||||
Williams Cos., Inc. (The) | (102,005 | ) | (2,773,516 | ) | ||||
|
| |||||||
(48,930,608 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (2.9)% |
| |||||||
Brown-Forman Corp., Class B | (59,325 | ) | (2,998,879 | ) | ||||
Campbell Soup Co. | (8,368 | ) | (306,520 | ) | ||||
Constellation Brands, Inc., Class A | (23,558 | ) | (5,079,576 | ) | ||||
General Mills, Inc. | (15,059 | ) | (646,332 | ) | ||||
Hormel Foods Corp. | (65,386 | ) | (2,576,208 | ) | ||||
JM Smucker Co. (The) | (14,037 | ) | (1,440,337 | ) | ||||
McCormick & Co., Inc., non-voting shares | (16,232 | ) | (2,138,566 | ) | ||||
Monster Beverage Corp.* | (37,438 | ) | (2,181,887 | ) | ||||
Tyson Foods, Inc., Class A | (20,557 | ) | (1,223,758 | ) | ||||
|
| |||||||
(18,592,063 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (3.7)% |
| |||||||
ABIOMED, Inc.* | (432 | ) | (194,292 | ) | ||||
Align Technology, Inc.* | (1,453 | ) | (568,443 | ) | ||||
Baxter International, Inc. | (66,236 | ) | (5,106,133 | ) | ||||
Boston Scientific Corp.* | (29,311 | ) | (1,128,474 | ) | ||||
Cerner Corp.* | (42,092 | ) | (2,711,146 | ) | ||||
Cooper Cos., Inc. (The) | (1,068 | ) | (295,996 | ) | ||||
DENTSPLY SIRONA, Inc. | (27,408 | ) | (1,034,378 | ) | ||||
Edwards Lifesciences Corp.* | (1,939 | ) | (337,580 | ) | ||||
Henry Schein, Inc.* | (10,969 | ) | (932,694 | ) | ||||
Hologic, Inc.* | (33,533 | ) | (1,374,182 | ) | ||||
IDEXX Laboratories, Inc.* | (1,562 | ) | (389,969 | ) | ||||
Intuitive Surgical, Inc.* | (2,147 | ) | (1,232,378 | ) | ||||
Stryker Corp. | (13,011 | ) | (2,311,794 | ) | ||||
Universal Health Services, Inc., Class B | (11,514 | ) | (1,471,950 | ) | ||||
Varian Medical Systems, Inc.* | (11,348 | ) | (1,270,182 | ) | ||||
Zimmer Biomet Holdings, Inc. | (25,088 | ) | (3,298,319 | ) | ||||
|
| |||||||
(23,657,910 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.2)% |
| |||||||
Coty, Inc., Class A | (92,582 | ) | (1,162,830 | ) | ||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (4.6)% |
| |||||||
Allstate Corp. (The) | (35,343 | ) | $ | (3,488,354 | ) | |||
American International Group, Inc. | (109,927 | ) | (5,852,513 | ) | ||||
Aon PLC (United Kingdom) | (29,972 | ) | (4,609,094 | ) | ||||
Assurant, Inc. | (7,783 | ) | (840,175 | ) | ||||
Brighthouse Financial, Inc.* | (14,774 | ) | (653,602 | ) | ||||
Chubb Ltd. (Switzerland) | (8,310 | ) | (1,110,548 | ) | ||||
Cincinnati Financial Corp. | (20,056 | ) | (1,540,501 | ) | ||||
Everest Re Group Ltd. (Bermuda) | (5,040 | ) | (1,151,489 | ) | ||||
Hartford Financial Services Group, Inc. (The) | (22,582 | ) | (1,128,197 | ) | ||||
Lincoln National Corp. | (26,677 | ) | (1,804,966 | ) | ||||
MetLife, Inc. | (2,429 | ) | (113,483 | ) | ||||
Principal Financial Group, Inc. | (35,104 | ) | (2,056,743 | ) | ||||
Travelers Cos., Inc. (The) | (19,434 | ) | (2,520,784 | ) | ||||
Unum Group | (19,284 | ) | (753,426 | ) | ||||
Willis Towers Watson PLC (Ireland) | (16,124 | ) | (2,272,517 | ) | ||||
|
| |||||||
(29,896,392 | ) | |||||||
|
| |||||||
Materials — (3.0)% | ||||||||
Air Products & Chemicals, Inc. | (27,046 | ) | (4,518,034 | ) | ||||
Albemarle Corp. | (13,375 | ) | (1,334,558 | ) | ||||
Ball Corp. | (3,853 | ) | (169,493 | ) | ||||
Ecolab, Inc. | (22,525 | ) | (3,531,470 | ) | ||||
International Flavors & Fragrances, Inc. | (9,750 | ) | (1,356,420 | ) | ||||
Martin Marietta Materials, Inc. | (7,772 | ) | (1,414,115 | ) | ||||
Mosaic Co. (The) | (14,052 | ) | (456,409 | ) | ||||
Newmont Mining Corp. | (57,048 | ) | (1,722,850 | ) | ||||
PPG Industries, Inc. | (29,851 | ) | (3,257,640 | ) | ||||
Vulcan Materials Co. | (16,314 | ) | (1,814,117 | ) | ||||
|
| |||||||
(19,575,106 | ) | |||||||
|
| |||||||
Media — (0.8)% | ||||||||
Charter Communications, Inc., | (15,080 | ) | (4,914,270 | ) | ||||
Discovery, Inc., Class A* | (2,137 | ) | (68,384 | ) | ||||
|
| |||||||
(4,982,654 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (3.9)% |
| |||||||
Agilent Technologies, Inc. | (39,347 | ) | (2,775,537 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (27,481 | ) | (3,820,134 | ) | ||||
Allergan PLC (Ireland) | (7,762 | ) | (1,478,506 | ) | ||||
Illumina, Inc.* | (2,134 | ) | (783,306 | ) | ||||
Incyte Corp.* | (27,062 | ) | (1,869,443 | ) | ||||
IQVIA Holdings, Inc.* | (2,884 | ) | (374,170 | ) | ||||
Mettler-Toledo International, Inc.* | (3,109 | ) | (1,893,319 | ) |
The accompanying notes are an integral part of the financial statements.
26
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Mylan NV (Netherlands)* | (63,546 | ) | $ | (2,325,784 | ) | |||
PerkinElmer, Inc. | (505 | ) | (49,121 | ) | ||||
Perrigo Co. PLC (Ireland) | (16,877 | ) | (1,194,892 | ) | ||||
Thermo Fisher Scientific, Inc. | (21,043 | ) | (5,136,175 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (8,546 | ) | (1,647,156 | ) | ||||
Waters Corp.* | (9,502 | ) | (1,849,849 | ) | ||||
|
| |||||||
(25,197,392 | ) | |||||||
|
| |||||||
Real Estate — (7.8)% | ||||||||
American Tower Corp., REIT | (52,392 | ) | (7,612,558 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (19,409 | ) | (856,519 | ) | ||||
Boston Properties, Inc., REIT | (19,046 | ) | (2,344,372 | ) | ||||
CBRE Group, Inc., Class A* | (41,911 | ) | (1,848,275 | ) | ||||
Crown Castle International Corp., REIT | (32,319 | ) | (3,598,074 | ) | ||||
Digital Realty Trust, Inc., REIT | (10,629 | ) | (1,195,550 | ) | ||||
Duke Realty Corp., REIT | (44,055 | ) | (1,249,840 | ) | ||||
Equinix, Inc., REIT | (9,806 | ) | (4,244,919 | ) | ||||
Essex Property Trust, Inc., REIT | (8,147 | ) | (2,009,946 | ) | ||||
Federal Realty Investment Trust, REIT | (9,058 | ) | (1,145,565 | ) | ||||
HCP, Inc., REIT | (57,951 | ) | (1,525,270 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (91,251 | ) | (1,925,396 | ) | ||||
Iron Mountain, Inc., REIT | (35,288 | ) | (1,218,142 | ) | ||||
Kimco Realty Corp., REIT | (51,976 | ) | (870,078 | ) | ||||
Macerich Co. (The), REIT | (17,415 | ) | (962,875 | ) | ||||
Mid-America Apartment Communities, Inc., REIT | (928 | ) | (92,967 | ) | ||||
Prologis, Inc., REIT | (65,780 | ) | (4,459,226 | ) | ||||
Regency Centers Corp., REIT | (20,852 | ) | (1,348,499 | ) | ||||
SBA Communications Corp., REIT* | (14,163 | ) | (2,275,003 | ) | ||||
Simon Property Group, Inc., REIT | (38,141 | ) | (6,741,422 | ) | ||||
SL Green Realty Corp., REIT | (10,574 | ) | (1,031,282 | ) | ||||
Vornado Realty Trust, REIT | (23,465 | ) | (1,712,945 | ) | ||||
|
| |||||||
(50,268,723 | ) | |||||||
|
| |||||||
Retailing — (1.9)% | ||||||||
Dollar Tree, Inc.* | (29,344 | ) | (2,393,003 | ) | ||||
Expedia Group, Inc. | (2,231 | ) | (291,101 | ) | ||||
Gap, Inc. (The) | (47,488 | ) | (1,370,029 | ) | ||||
L Brands, Inc. | (33,919 | ) | (1,027,746 | ) | ||||
LKQ Corp.* | (39,201 | ) | (1,241,496 | ) | ||||
Netflix, Inc.* | (8,835 | ) | (3,305,439 | ) | ||||
Tractor Supply Co. | (164 | ) | (14,904 | ) |
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
TripAdvisor, Inc.* | (8,715 | ) | $ | (445,075 | ) | |||
Ulta Beauty, Inc.* | (7,385 | ) | (2,083,456 | ) | ||||
|
| |||||||
(12,172,249 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (5.6)% |
| |||||||
Advanced Micro Devices, Inc.* | (1,779 | ) | (54,953 | ) | ||||
Applied Materials, Inc. | (16,630 | ) | (642,750 | ) | ||||
Broadcom, Inc. | (48,336 | ) | (11,925,941 | ) | ||||
Intel Corp. | (69,125 | ) | (3,268,921 | ) | ||||
Microchip Technology, Inc. | (32,416 | ) | (2,557,947 | ) | ||||
NVIDIA Corp. | (43,822 | ) | (12,314,858 | ) | ||||
Qorvo, Inc.* | (15,492 | ) | (1,191,180 | ) | ||||
Skyworks Solutions, Inc. | (22,165 | ) | (2,010,587 | ) | ||||
Xilinx, Inc. | (30,577 | ) | (2,451,358 | ) | ||||
|
| |||||||
(36,418,495 | ) | |||||||
|
| |||||||
Software & Services — (5.9)% |
| |||||||
Activision Blizzard, Inc. | (16,540 | ) | (1,375,963 | ) | ||||
Adobe, Inc.* | (16,342 | ) | (4,411,523 | ) | ||||
Akamai Technologies, Inc.* | (20,796 | ) | (1,521,228 | ) | ||||
ANSYS, Inc.* | (1,969 | ) | (367,573 | ) | ||||
Autodesk, Inc.* | (1,122 | ) | (175,156 | ) | ||||
Cadence Design Systems, Inc.* | (14,268 | ) | (646,626 | ) | ||||
Electronic Arts, Inc.* | (5,047 | ) | (608,113 | ) | ||||
Facebook, Inc., Class A* | (8,414 | ) | (1,383,766 | ) | ||||
Fidelity National Information Services, Inc. | (40,827 | ) | (4,453,001 | ) | ||||
Gartner, Inc.* | (152 | ) | (24,092 | ) | ||||
Global Payments, Inc. | (850 | ) | (108,290 | ) | ||||
PayPal Holdings, Inc.* | (144,577 | ) | (12,699,644 | ) | ||||
Red Hat, Inc.* | (22,421 | ) | (3,055,534 | ) | ||||
salesforce.com, Inc.* | (7,506 | ) | (1,193,679 | ) | ||||
Symantec Corp. | (76,640 | ) | (1,630,899 | ) | ||||
Synopsys, Inc.* | (2,564 | ) | (252,836 | ) | ||||
Take-Two Interactive Software, Inc.* | (2,080 | ) | (287,019 | ) | ||||
Total System Services, Inc. | (3,415 | ) | (337,197 | ) | ||||
Twitter, Inc.* | (93,858 | ) | (2,671,199 | ) | ||||
Western Union Co. (The) | (55,345 | ) | (1,054,876 | ) | ||||
|
| |||||||
(38,258,214 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.8)% |
| |||||||
Arista Networks, Inc.* | (9,573 | ) | (2,545,078 | ) | ||||
Corning, Inc. | (11,547 | ) | (407,609 | ) | ||||
IPG Photonics Corp.* | (6,627 | ) | (1,034,276 | ) | ||||
Juniper Networks, Inc. | (43,097 | ) | (1,291,617 | ) | ||||
|
| |||||||
(5,278,580 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
27
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Concluded)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Telecommunication Services — (1.5)% |
| |||||||
AT&T, Inc. | (284,641 | ) | $ | (9,558,245 | ) | |||
|
| |||||||
Transportation — (2.3)% | ||||||||
Alaska Air Group, Inc. | (15,196 | ) | (1,046,397 | ) | ||||
American Airlines Group, Inc. | (38,974 | ) | (1,610,795 | ) | ||||
Delta Air Lines, Inc. | (85,271 | ) | (4,931,222 | ) | ||||
JB Hunt Transport Services, Inc. | (13,486 | ) | (1,604,025 | ) | ||||
Kansas City Southern | (12,593 | ) | (1,426,535 | ) | ||||
Southwest Airlines Co. | (70,679 | ) | (4,413,904 | ) | ||||
United Continental Holdings, Inc.* | (1,283 | ) | (114,264 | ) | ||||
|
| |||||||
(15,147,142 | ) | |||||||
|
| |||||||
Utilities — (6.8)% | ||||||||
Alliant Energy Corp. | (28,834 | ) | (1,227,463 | ) | ||||
Ameren Corp. | (7,042 | ) | (445,195 | ) | ||||
American Water Works Co., Inc. | (22,262 | ) | (1,958,388 | ) | ||||
CenterPoint Energy, Inc. | (53,228 | ) | (1,471,754 | ) | ||||
Consolidated Edison, Inc. | (38,360 | ) | (2,922,648 | ) | ||||
Duke Energy Corp. | (59,479 | ) | (4,759,510 | ) | ||||
Edison International | (40,186 | ) | (2,719,788 | ) | ||||
Entergy Corp. | (22,305 | ) | (1,809,605 | ) | ||||
Eversource Energy | (39,086 | ) | (2,401,444 | ) | ||||
NextEra Energy, Inc. | (55,746 | ) | (9,343,030 | ) | ||||
NiSource, Inc. | (44,763 | ) | (1,115,494 | ) | ||||
PG&E Corp. | (39,944 | ) | (1,837,823 | ) | ||||
Pinnacle West Capital Corp. | (13,811 | ) | (1,093,555 | ) | ||||
Public Service Enterprise Group, Inc. | (62,165 | ) | (3,281,690 | ) | ||||
SCANA Corp. | (17,638 | ) | (685,942 | ) | ||||
Sempra Energy | (33,549 | ) | (3,816,199 | ) | ||||
Xcel Energy, Inc. | (62,769 | ) | (2,963,324 | ) | ||||
|
| |||||||
(43,852,852 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $535,330,603) | (530,195,094 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (82.1)% |
| (530,195,094 | ) | |||||
|
| |||||||
(Proceeds $535,330,603) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.6% | 10,359,084 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 645,462,658 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
(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. (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.
28
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
LONG POSITIONS — 169.5% | ||||||||
COMMON STOCKS — 169.5% | ||||||||
Automobiles & Components — 2.0% |
| |||||||
Adient PLC (Ireland)† | 223 | $ | 8,766 | |||||
Aptiv PLC (Jersey) | 25 | 2,097 | ||||||
BorgWarner, Inc.† | 20 | 856 | ||||||
Dana, Inc. | 233 | 4,350 | ||||||
Delphi Technologies PLC (Jersey)† | 138 | 4,328 | ||||||
Fiat Chrysler Automobiles NV (Netherlands)†* | 143 | 2,504 | ||||||
Ford Motor Co.† | 371 | 3,432 | ||||||
General Motors Co.† | 132 | 4,444 | ||||||
Gentex Corp. | 21 | 451 | ||||||
Goodyear Tire & Rubber Co. (The)† | 23 | 538 | ||||||
Harley-Davidson, Inc.† | 16 | 725 | ||||||
Lear Corp.† | 6 | 870 | ||||||
Tenneco, Inc., Class A† | 158 | 6,658 | ||||||
Thor Industries, Inc. | 62 | 5,189 | ||||||
Visteon Corp.* | 37 | 3,437 | ||||||
|
| |||||||
48,645 | ||||||||
|
| |||||||
Banks — 5.7% | ||||||||
Bank of America Corp.† | 933 | 27,486 | ||||||
BB&T Corp.† | 72 | 3,495 | ||||||
Citigroup, Inc.† | 235 | 16,859 | ||||||
Citizens Financial Group, Inc.† | 45 | 1,736 | ||||||
Comerica, Inc.† | 16 | 1,443 | ||||||
Fifth Third Bancorp† | 64 | 1,787 | ||||||
Huntington Bancshares, Inc.† | 103 | 1,537 | ||||||
JPMorgan Chase & Co.† | 314 | 35,432 | ||||||
KeyCorp.† | 98 | 1,949 | ||||||
M&T Bank Corp.† | 14 | 2,304 | ||||||
People’s United Financial, Inc.† | 31 | 531 | ||||||
PNC Financial Services Group, Inc. (The)† | 43 | 5,856 | ||||||
Regions Financial Corp.† | 104 | 1,908 | ||||||
SunTrust Banks, Inc.† | 43 | 2,872 | ||||||
SVB Financial Group* | 5 | 1,554 | ||||||
US Bancorp† | 153 | 8,080 | ||||||
Wells Fargo & Co.† | 451 | 23,705 | ||||||
Zions Bancorp NA† | 18 | 903 | ||||||
|
| |||||||
139,437 | ||||||||
|
| |||||||
Capital Goods — 17.5% | ||||||||
3M Co.† | 57 | 12,010 | ||||||
Actuant Corp., Class A† | 194 | 5,413 | ||||||
AECOM* | 197 | 6,434 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Capital Goods — (Continued) | ||||||||
Aerovironment, Inc.* | 18 | $ | 2,019 | |||||
Allegion PLC (Ireland) | 9 | 815 | ||||||
Allison Transmission Holdings, Inc.† | 183 | 9,518 | ||||||
Altra Industrial Motion Corp.† | 125 | 5,162 | ||||||
American Railcar Industries, Inc. | 33 | 1,521 | ||||||
AMETEK, Inc.† | 22 | 1,741 | ||||||
AO Smith Corp.† | 15 | 800 | ||||||
Apogee Enterprises, Inc.† | 51 | 2,107 | ||||||
Applied Industrial Technologies, Inc.† | 120 | 9,390 | ||||||
Arconic, Inc.† | 45 | 990 | ||||||
Argan, Inc. | 36 | 1,548 | ||||||
Armstrong World Industries, Inc.†* | 122 | 8,491 | ||||||
Atkore International Group, Inc.†* | 342 | �� | 9,073 | |||||
AZZ, Inc. | 78 | 3,939 | ||||||
Boeing Co. (The)† | 54 | 20,083 | ||||||
Briggs & Stratton Corp. | 189 | 3,634 | ||||||
Caterpillar, Inc.† | 56 | 8,539 | ||||||
Colfax Corp.†* | 165 | 5,950 | ||||||
Columbus McKinnon Corp.† | 93 | 3,677 | ||||||
Comfort Systems USA, Inc.† | 132 | 7,445 | ||||||
Continental Building Products, Inc.†* | 170 | 6,384 | ||||||
Cubic Corp. | 14 | 1,023 | ||||||
Cummins, Inc.† | 16 | 2,337 | ||||||
Deere & Co.† | 30 | 4,510 | ||||||
Donaldson Co., Inc.† | 99 | 5,768 | ||||||
Dover Corp.† | 14 | 1,239 | ||||||
Eaton Corp. PLC (Ireland)† | 41 | 3,556 | ||||||
Emerson Electric Co.† | 59 | 4,518 | ||||||
EnPro Industries, Inc.† | 100 | 7,293 | ||||||
Esterline Technologies Corp.* | 15 | 1,364 | ||||||
Fastenal Co.† | 27 | 1,567 | ||||||
Federal Signal Corp.† | 141 | 3,776 | ||||||
Flowserve Corp.† | 13 | 711 | ||||||
Fluor Corp.† | 14 | 813 | ||||||
Fortive Corp.† | 34 | 2,863 | ||||||
Fortune Brands Home & Security, Inc.† | 14 | 733 | ||||||
Gardner Denver Holdings, Inc.†* | 167 | 4,733 | ||||||
General Dynamics Corp.† | 28 | 5,732 | ||||||
General Electric Co.† | 811 | 9,156 | ||||||
Global Brass & Copper Holdings, Inc. | 62 | 2,288 | ||||||
GrafTech International Ltd.† | 422 | 8,233 | ||||||
Harris Corp.† | 12 | 2,031 |
The accompanying notes are an integral part of the financial statements.
29
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Capital Goods — (Continued) | ||||||||
HD Supply Holdings, Inc.* | 161 | $ | 6,889 | |||||
Hexcel Corp.† | 102 | 6,839 | ||||||
Hillenbrand, Inc.† | 146 | 7,636 | ||||||
Honeywell International, Inc.† | 70 | 11,648 | ||||||
Huntington Ingalls Industries, Inc. | 4 | 1,024 | ||||||
Illinois Tool Works, Inc.† | 32 | 4,516 | ||||||
Ingersoll-Rand PLC (Ireland)† | 23 | 2,353 | ||||||
Insteel Industries, Inc. | 42 | 1,507 | ||||||
ITT, Inc.† | 102 | 6,249 | ||||||
Jacobs Engineering Group, Inc.† | 14 | 1,071 | ||||||
Johnson Controls International PLC (Ireland)† | 87 | 3,045 | ||||||
Kadant, Inc. | 28 | 3,020 | ||||||
Kaman Corp.† | 109 | 7,279 | ||||||
KBR, Inc. | 69 | 1,458 | ||||||
Kennametal, Inc.† | 225 | 9,801 | ||||||
KLX, Inc.†* | 91 | 5,713 | ||||||
L3 Technologies, Inc. | 7 | 1,488 | ||||||
Lincoln Electric Holdings, Inc.† | 43 | 4,018 | ||||||
Lockheed Martin Corp.† | 27 | 9,341 | ||||||
Masco Corp.† | 29 | 1,061 | ||||||
Masonite International Corp. (Canada)* | 3 | 192 | ||||||
Meritor, Inc.†* | 525 | 10,164 | ||||||
Milacron Holdings Corp.†* | 34 | 688 | ||||||
MSC Industrial Direct Co., Inc., Class A† | 64 | 5,639 | ||||||
National Presto Industries, Inc.† | 29 | 3,760 | ||||||
NCI Building Systems, Inc.* | 53 | 803 | ||||||
Nexeo Solutions, Inc.* | 130 | 1,592 | ||||||
Nordson Corp. | 5 | 694 | ||||||
Northrop Grumman Corp.† | 16 | 5,078 | ||||||
NV5 Global, Inc.* | 24 | 2,081 | ||||||
nVent Electric PLC (Ireland) | 31 | 842 | ||||||
Oshkosh Corp.† | 120 | 8,549 | ||||||
Owens Corning | 1 | 54 | ||||||
PACCAR, Inc.† | 32 | 2,182 | ||||||
Parker-Hannifin Corp.† | 12 | 2,207 | ||||||
Pentair PLC (Ireland)† | 16 | 694 | ||||||
PGT Innovations, Inc.* | 131 | 2,830 | ||||||
Quanex Building Products Corp. | 78 | 1,420 | ||||||
Quanta Services, Inc.†* | 14 | 467 | ||||||
Raytheon Co.† | 26 | 5,373 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Capital Goods — (Continued) | ||||||||
Regal Beloit Corp. | 27 | $ | 2,226 | |||||
Rockwell Automation, Inc.† | 11 | 2,063 | ||||||
Rockwell Collins, Inc. | 15 | 2,107 | ||||||
Roper Technologies, Inc. | 9 | 2,666 | ||||||
Rush Enterprises, Inc., Class A | 1 | 39 | ||||||
Simpson Manufacturing Co., Inc. | 28 | 2,029 | ||||||
Snap-on, Inc. | 5 | 918 | ||||||
Spirit AeroSystems Holdings, Inc., Class A† | 43 | 3,942 | ||||||
Standex International Corp. | 24 | 2,502 | ||||||
Stanley Black & Decker, Inc.† | 14 | 2,050 | ||||||
Systemax, Inc.† | 29 | 955 | ||||||
Textron, Inc.† | 23 | 1,644 | ||||||
Toro Co. (The) | 61 | 3,658 | ||||||
TransDigm Group, Inc.* | 5 | 1,862 | ||||||
TriMas Corp.†* | 68 | 2,067 | ||||||
United Rentals, Inc.* | 8 | 1,309 | ||||||
United Technologies Corp. | 74 | 10,346 | ||||||
Valmont Industries, Inc.† | 62 | 8,587 | ||||||
Wabash National Corp.† | 294 | 5,360 | ||||||
WABCO Holdings, Inc.* | 19 | 2,241 | ||||||
WESCO International, Inc.†* | 96 | 5,899 | ||||||
WW Grainger, Inc. | 6 | 2,144 | ||||||
Xylem, Inc.† | 17 | 1,358 | ||||||
|
| |||||||
430,164 | ||||||||
|
| |||||||
Commercial & Professional Services — 3.6% |
| |||||||
ABM Industries, Inc.† | 213 | 6,869 | ||||||
Brink’s Co. (The) | 27 | 1,883 | ||||||
CBIZ, Inc.* | 144 | 3,413 | ||||||
Cintas Corp. | 10 | 1,978 | ||||||
Copart, Inc.†* | 23 | 1,185 | ||||||
Covanta Holding Corp.† | 159 | 2,584 | ||||||
Deluxe Corp.† | 96 | 5,466 | ||||||
Dun & Bradstreet Corp. (The)† | 34 | 4,845 | ||||||
Equifax, Inc.† | 12 | 1,567 | ||||||
FTI Consulting, Inc.†* | 30 | 2,196 | ||||||
Heidrick & Struggles International, Inc. | 3 | 102 | ||||||
IHS Markit Ltd. (Bermuda)†* | 37 | 1,997 | ||||||
KAR Auction Services, Inc.† | 115 | 6,864 | ||||||
Kelly Services, Inc., Class A | 14 | 336 | ||||||
Kforce, Inc. | 43 | 1,617 | ||||||
Kimball International, Inc., Class B | 5 | 84 | ||||||
ManpowerGroup, Inc.† | 89 | 7,650 |
The accompanying notes are an integral part of the financial statements.
30
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Matthews International Corp., Class A | 66 | $ | 3,310 | |||||
Navigant Consulting, Inc. | 199 | 4,589 | ||||||
Nielsen Holdings PLC (United Kingdom)† | 33 | 913 | ||||||
Pitney Bowes, Inc. | 575 | 4,071 | ||||||
Republic Services, Inc.† | 30 | 2,180 | ||||||
Ritchie Bros Auctioneers, Inc. (Canada) | 118 | 4,263 | ||||||
Robert Half International, Inc.† | 12 | 845 | ||||||
SP Plus Corp.†* | 59 | 2,154 | ||||||
Tetra Tech, Inc.† | 152 | 10,382 | ||||||
Verisk Analytics, Inc.†* | 16 | 1,929 | ||||||
Waste Management, Inc.† | 40 | 3,614 | ||||||
|
| |||||||
88,886 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 3.7% |
| |||||||
Acushnet Holdings Corp. | 52 | 1,426 | ||||||
American Outdoor Brands Corp.†* | 309 | 4,799 | ||||||
Carter’s, Inc.† | 44 | 4,338 | ||||||
Cavco Industries, Inc.†* | 34 | 8,602 | ||||||
DR Horton, Inc.† | 35 | 1,476 | ||||||
Fossil Group, Inc.†* | 95 | 2,212 | ||||||
Garmin Ltd. (Switzerland)† | 18 | 1,261 | ||||||
G-III Apparel Group Ltd.†* | 66 | 3,181 | ||||||
Hanesbrands, Inc. | 34 | 627 | ||||||
Hasbro, Inc.† | 12 | 1,261 | ||||||
Helen of Troy Ltd. (Bermuda)†* | 38 | 4,974 | ||||||
Installed Building Products, Inc.* | 38 | 1,482 | ||||||
Johnson Outdoors, Inc., Class A | 18 | 1,674 | ||||||
La-Z-Boy, Inc. | 64 | 2,022 | ||||||
Leggett & Platt, Inc.† | 13 | 569 | ||||||
Lennar Corp., Class A† | 31 | 1,447 | ||||||
Malibu Boats, Inc., Class A†* | 18 | 985 | ||||||
Mattel, Inc.†* | 33 | 518 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 14 | 960 | ||||||
Mohawk Industries, Inc.* | 7 | 1,227 | ||||||
Movado Group, Inc. | 19 | 796 | ||||||
Newell Brands, Inc.† | 45 | 914 | ||||||
NIKE, Inc., Class B† | 148 | 12,539 | ||||||
Oxford Industries, Inc. | 35 | 3,157 | ||||||
PulteGroup, Inc.† | 26 | 644 | ||||||
PVH Corp. | 7 | 1,011 | ||||||
Ralph Lauren Corp. | 7 | 963 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Roku, Inc.†* | 124 | $ | 9,056 | |||||
Skechers U.S.A., Inc., Class A†* | 289 | 8,072 | ||||||
Sturm Ruger & Co., Inc. | 7 | 483 | ||||||
Tapestry, Inc.† | 27 | 1,357 | ||||||
Under Armour, Inc., Class C†* | 41 | 798 | ||||||
Universal Electronics, Inc.* | 9 | 354 | ||||||
VF Corp.† | 37 | 3,458 | ||||||
Vista Outdoor, Inc.* | 40 | 716 | ||||||
Whirlpool Corp. | 6 | 712 | ||||||
|
| |||||||
90,071 | ||||||||
|
| |||||||
Consumer Services — 5.2% | ||||||||
Adtalem Global Education, Inc.* | 27 | 1,301 | ||||||
BJ’s Restaurants, Inc.† | 82 | 5,920 | ||||||
Bloomin’ Brands, Inc. | 20 | 396 | ||||||
Bojangles’, Inc.†* | 160 | 2,512 | ||||||
Brinker International, Inc.† | 90 | 4,206 | ||||||
Career Education Corp.* | 84 | 1,254 | ||||||
Carnival Corp. (Panama)† | 66 | 4,209 | ||||||
Chipotle Mexican Grill, Inc.* | 2 | 909 | ||||||
Churchill Downs, Inc. | 6 | 1,666 | ||||||
Darden Restaurants, Inc.† | 11 | 1,223 | ||||||
Denny’s Corp.* | 143 | 2,105 | ||||||
Eldorado Resorts, Inc.* | 51 | 2,479 | ||||||
Graham Holdings Co., Class B† | 13 | 7,531 | ||||||
H&R Block, Inc.† | 20 | 515 | ||||||
Hilton Worldwide Holdings, Inc.† | 28 | 2,262 | ||||||
Hyatt Hotels Corp., Class A† | 131 | 10,426 | ||||||
Jack in the Box, Inc.† | 59 | 4,946 | ||||||
K12, Inc.* | 116 | 2,053 | ||||||
Las Vegas Sands Corp. | 6 | 356 | ||||||
Laureate Education, Inc., Class A†* | 347 | 5,358 | ||||||
Marriott International, Inc., Class A† | 33 | 4,357 | ||||||
McDonald’s Corp.† | 73 | 12,212 | ||||||
MGM Resorts International† | 50 | 1,396 | ||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)†* | 21 | 1,206 | ||||||
Papa John’s International, Inc.† | 145 | 7,436 | ||||||
Regis Corp.†* | 26 | 531 | ||||||
Restaurant Brands International, Inc. (Canada) | 43 | 2,549 | ||||||
Royal Caribbean Cruises Ltd. | 20 | 2,599 | ||||||
Ruth’s Hospitality Group, Inc.† | 73 | 2,303 |
The accompanying notes are an integral part of the financial statements.
31
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Consumer Services — (Continued) | ||||||||
Sonic Corp. | 2 | $ | 87 | |||||
Starbucks Corp.† | 127 | 7,219 | ||||||
Stars Group, Inc. (The) (Canada)†* | 287 | 7,146 | ||||||
Vail Resorts, Inc.† | 32 | 8,781 | ||||||
Weight Watchers International, Inc.†* | 65 | 4,679 | ||||||
Wyndham Hotels & Resorts, Inc. | 10 | 556 | ||||||
Wynn Resorts Ltd. | 10 | 1,271 | ||||||
Yum! Brands, Inc.† | 31 | 2,818 | ||||||
|
| |||||||
128,773 | ||||||||
|
| |||||||
Diversified Financials — 5.6% | ||||||||
Affiliated Managers Group, Inc. | 5 | 684 | ||||||
American Express Co.† | 81 | 8,626 | ||||||
Ameriprise Financial, Inc.† | 14 | 2,067 | ||||||
Bank of New York Mellon Corp. | 94 | 4,793 | ||||||
Berkshire Hathaway, Inc., Class B†* | 231 | 49,459 | ||||||
BlackRock, Inc.† | 15 | 7,070 | ||||||
Capital One Financial Corp.† | 44 | 4,177 | ||||||
Cboe Global Markets, Inc. | 10 | 960 | ||||||
Charles Schwab Corp. (The)† | 125 | 6,144 | ||||||
CME Group, Inc.† | 32 | 5,447 | ||||||
Discover Financial Services† | 32 | 2,446 | ||||||
E*TRADE Financial Corp.†* | 25 | 1,310 | ||||||
Franklin Resources, Inc.† | 50 | 1,520 | ||||||
Goldman Sachs Group, Inc. (The)† | 36 | 8,073 | ||||||
Intercontinental Exchange, Inc.† | 53 | 3,969 | ||||||
Invesco Ltd. (Bermuda)† | 38 | 869 | ||||||
Jefferies Financial Group, Inc.† | 32 | 703 | ||||||
Moody’s Corp.† | 18 | 3,010 | ||||||
Morgan Stanley† | 163 | 7,591 | ||||||
MSCI, Inc. | 8 | 1,419 | ||||||
Nasdaq, Inc.† | 16 | 1,373 | ||||||
Northern Trust Corp.† | 20 | 2,043 | ||||||
Raymond James Financial, Inc.† | 13 | 1,197 | ||||||
S&P Global, Inc.† | 24 | 4,689 | ||||||
State Street Corp.† | 34 | 2,849 | ||||||
Synchrony Financial† | 69 | 2,145 | ||||||
T Rowe Price Group, Inc.† | 23 | 2,511 | ||||||
|
| |||||||
137,144 | ||||||||
|
| |||||||
Energy — 9.8% | ||||||||
Anadarko Petroleum Corp.† | 47 | 3,168 | ||||||
Andeavor | 14 | 2,149 | ||||||
Apache Corp.† | 36 | 1,716 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Energy — (Continued) | ||||||||
Cabot Oil & Gas Corp.† | 41 | $ | 923 | |||||
Cameco Corp. (Canada)† | 184 | 2,098 | ||||||
Cenovus Energy, Inc. (Canada) | 33 | 331 | ||||||
Chevron Corp.† | 179 | 21,888 | ||||||
Cimarex Energy Co. | 9 | 836 | ||||||
Concho Resources, Inc.†* | 14 | 2,138 | ||||||
ConocoPhillips† | 108 | 8,359 | ||||||
CONSOL Energy, Inc.* | 54 | 2,204 | ||||||
CVR Energy, Inc.† | 299 | 12,026 | ||||||
Devon Energy Corp.† | 48 | 1,917 | ||||||
Enbridge, Inc. (Canada)† | 188 | 6,071 | ||||||
EOG Resources, Inc.† | 54 | 6,889 | ||||||
EQT Corp.† | 25 | 1,106 | ||||||
Exxon Mobil Corp.† | 395 | 33,583 | ||||||
FTS International, Inc.†* | 88 | 1,038 | ||||||
Halliburton Co.† | 82 | 3,323 | ||||||
Helix Energy Solutions Group, Inc.* | 128 | 1,265 | ||||||
Helmerich & Payne, Inc. | 11 | 756 | ||||||
Hess Corp.† | 28 | 2,004 | ||||||
HollyFrontier Corp.† | 17 | 1,188 | ||||||
Imperial Oil Ltd. (Canada)† | 138 | 4,467 | ||||||
Keane Group, Inc.* | 74 | 915 | ||||||
Kinder Morgan, Inc.† | 211 | 3,741 | ||||||
Mammoth Energy Services, Inc.† | 132 | 3,841 | ||||||
Marathon Oil Corp.† | 80 | 1,862 | ||||||
Marathon Petroleum Corp. | 42 | 3,359 | ||||||
Matrix Service Co.* | 116 | 2,859 | ||||||
McDermott International, Inc. (Panama)* | 126 | 2,322 | ||||||
Nabors Industries Ltd. (Bermuda)† | 1,774 | 10,928 | ||||||
National Oilwell Varco, Inc.† | 36 | 1,551 | ||||||
NCS Multistage Holdings, Inc.* | 51 | 842 | ||||||
Newfield Exploration Co.†* | 19 | 548 | ||||||
Noble Corp. PLC (United Kingdom)†* | 1,268 | 8,914 | ||||||
Noble Energy, Inc.† | 45 | 1,404 | ||||||
Occidental Petroleum Corp.† | 71 | 5,834 | ||||||
ONEOK, Inc.† | 38 | 2,576 | ||||||
Pembina Pipeline Corp. (Canada) | 97 | 3,297 | ||||||
Phillips 66† | 43 | 4,847 | ||||||
Pioneer Natural Resources Co.† | 16 | 2,787 | ||||||
Precision Drilling Corp. (Canada)†* | 1,087 | 3,761 | ||||||
ProPetro Holding Corp.* | 126 | 2,078 | ||||||
Renewable Energy Group, Inc.†* | 447 | 12,874 |
The accompanying notes are an integral part of the financial statements.
32
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Energy — (Continued) | ||||||||
RPC, Inc.† | 516 | $ | 7,988 | |||||
Schlumberger Ltd. (Curacao)† | 129 | 7,859 | ||||||
SEACOR Holdings, Inc.†* | 29 | 1,433 | ||||||
SemGroup Corp., Class A | 80 | 1,764 | ||||||
TechnipFMC PLC (United Kingdom)† | 43 | 1,344 | ||||||
Tidewater, Inc.†* | 132 | 4,117 | ||||||
Valero Energy Corp.† | 40 | 4,550 | ||||||
Weatherford International PLC (Ireland)* | 1,709 | 4,631 | ||||||
Williams Cos., Inc. (The)† | 77 | 2,094 | ||||||
World Fuel Services Corp.† | 37 | 1,024 | ||||||
|
| |||||||
239,387 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.7% | ||||||||
BJ’s Wholesale Club Holdings, Inc.†* | 193 | 5,169 | ||||||
Costco Wholesale Corp.† | 41 | 9,630 | ||||||
Kroger Co. (The)† | 74 | 2,154 | ||||||
SpartanNash Co. | 61 | 1,224 | ||||||
SUPERVALU, Inc.†* | 160 | 5,155 | ||||||
Sysco Corp.† | 48 | 3,516 | ||||||
US Foods Holding Corp.†* | 111 | 3,421 | ||||||
Walgreens Boots Alliance, Inc.† | 93 | 6,780 | ||||||
Walmart, Inc.† | 273 | 25,637 | ||||||
Weis Markets, Inc.† | 75 | 3,255 | ||||||
|
| |||||||
65,941 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 6.0% | ||||||||
Altria Group, Inc.† | 175 | 10,554 | ||||||
Archer-Daniels-Midland Co.† | 53 | 2,664 | ||||||
B&G Foods, Inc.† | 209 | 5,737 | ||||||
Brown-Forman Corp., Class B | 45 | 2,275 | ||||||
Campbell Soup Co.† | 29 | 1,062 | ||||||
Coca-Cola Co. (The)† | 410 | 18,938 | ||||||
Conagra Brands, Inc.† | 37 | 1,257 | ||||||
Constellation Brands, Inc., Class A† | 18 | 3,881 | ||||||
Dean Foods Co.† | 14 | 99 | ||||||
Flowers Foods, Inc. | 237 | 4,422 | ||||||
Fresh Del Monte Produce, Inc. (Cayman Islands) | 33 | 1,118 | ||||||
General Mills, Inc.† | 56 | 2,404 | ||||||
Hain Celestial Group, Inc. (The)†* | 415 | 11,255 | ||||||
Hershey Co. (The)† | 20 | 2,040 | ||||||
Hormel Foods Corp. | 50 | 1,970 | ||||||
Hostess Brands, Inc.* | 35 | 387 | ||||||
Ingredion, Inc.† | 38 | 3,988 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
JM Smucker Co. (The)† | 10 | $ | 1,026 | |||||
Kellogg Co.† | 33 | 2,311 | ||||||
Kraft Heinz Co. (The)† | 114 | 6,283 | ||||||
McCormick & Co., Inc., non-voting shares† | 13 | 1,713 | ||||||
Molson Coors Brewing Co., Class B† | 21 | 1,292 | ||||||
Mondelez International, Inc., Class A† | 136 | 5,843 | ||||||
Monster Beverage Corp.†* | 51 | 2,972 | ||||||
National Beverage Corp.* | 12 | 1,399 | ||||||
PepsiCo, Inc.† | 131 | 14,646 | ||||||
Philip Morris International, Inc.† | 144 | 11,742 | ||||||
Pilgrim’s Pride Corp.†* | 695 | 12,573 | ||||||
Post Holdings, Inc.* | 37 | 3,627 | ||||||
TreeHouse Foods, Inc.†* | 52 | 2,488 | ||||||
Tyson Foods, Inc., Class A† | 34 | 2,024 | ||||||
Vector Group Ltd. | 315 | 4,341 | ||||||
|
| |||||||
148,331 | ||||||||
|
| |||||||
Health Care Equipment & Services — 13.1% |
| |||||||
Abbott Laboratories† | 164 | 12,031 | ||||||
ABIOMED, Inc.* | 5 | 2,249 | ||||||
Acadia Healthcare Co., Inc.* | 58 | 2,042 | ||||||
Aetna, Inc.† | 31 | 6,288 | ||||||
Align Technology, Inc.* | 7 | 2,739 | ||||||
Allscripts Healthcare Solutions, Inc.†* | 713 | 10,160 | ||||||
Amedisys, Inc.* | 13 | 1,624 | ||||||
AmerisourceBergen Corp.† | 20 | 1,844 | ||||||
AMN Healthcare Services, Inc.†* | 110 | 6,017 | ||||||
AngioDynamics, Inc.* | 84 | 1,826 | ||||||
Anthem, Inc.† | 24 | 6,577 | ||||||
athenahealth, Inc.†* | 14 | 1,870 | ||||||
Avanos Medical, Inc.†* | 147 | 10,070 | ||||||
Baxter International, Inc.† | 51 | 3,932 | ||||||
Becton Dickinson and Co.† | 25 | 6,525 | ||||||
Boston Scientific Corp.†* | 128 | 4,928 | ||||||
Cantel Medical Corp.† | 21 | 1,933 | ||||||
Cardinal Health, Inc.† | 29 | 1,566 | ||||||
Cardiovascular Systems, Inc.* | 40 | 1,566 | ||||||
Centene Corp.†* | 19 | 2,751 | ||||||
Cerner Corp.†* | 32 | 2,061 | ||||||
Chemed Corp.† | 21 | 6,711 | ||||||
Cigna Corp.† | 23 | 4,790 | ||||||
CONMED Corp.† | 109 | 8,635 | ||||||
Cooper Cos., Inc. (The) | 5 | 1,386 |
The accompanying notes are an integral part of the financial statements.
33
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
CryoLife, Inc.* | 60 | $ | 2,112 | |||||
CVS Health Corp.† | 95 | 7,478 | ||||||
Danaher Corp.† | 66 | 7,172 | ||||||
DaVita, Inc.†* | 16 | 1,146 | ||||||
DENTSPLY SIRONA, Inc.† | 21 | 793 | ||||||
Edwards Lifesciences Corp.†* | 20 | 3,482 | ||||||
Encompass Health Corp. | 46 | 3,586 | ||||||
Envision Healthcare Corp.* | 11 | 503 | ||||||
Express Scripts Holding Co.†* | 52 | 4,941 | ||||||
Globus Medical, Inc., Class A†* | 56 | 3,179 | ||||||
HCA Healthcare, Inc.† | 32 | 4,452 | ||||||
HealthStream, Inc. | 96 | 2,977 | ||||||
Henry Schein, Inc.†* | 14 | 1,190 | ||||||
Hill-Rom Holdings, Inc.† | 103 | 9,723 | ||||||
HMS Holdings Corp.†* | 227 | 7,448 | ||||||
Hologic, Inc.†* | 25 | 1,024 | ||||||
Humana, Inc.† | 13 | 4,401 | ||||||
IDEXX Laboratories, Inc.* | 8 | 1,997 | ||||||
Integer Holdings Corp.†* | 92 | 7,631 | ||||||
Integra LifeSciences Holdings Corp.†* | 51 | 3,359 | ||||||
Intuitive Surgical, Inc.†* | 10 | 5,740 | ||||||
Laboratory Corp. of America Holdings* | 10 | 1,737 | ||||||
LeMaitre Vascular, Inc. | 2 | 77 | ||||||
LifePoint Health, Inc.†* | 84 | 5,410 | ||||||
Masimo Corp.†* | 48 | 5,978 | ||||||
McKesson Corp.† | 19 | 2,520 | ||||||
Medtronic PLC (Ireland)† | 126 | 12,395 | ||||||
Meridian Bioscience, Inc. | 21 | 313 | ||||||
NextGen Healthcare, Inc.†* | 124 | 2,490 | ||||||
NuVasive, Inc.* | 20 | 1,420 | ||||||
NxStage Medical, Inc.†* | 168 | 4,686 | ||||||
Omnicell, Inc.* | 44 | 3,164 | ||||||
Patterson Cos., Inc.† | 354 | 8,655 | ||||||
Penumbra, Inc.* | 1 | 150 | ||||||
PetIQ, Inc.* | 23 | 904 | ||||||
Quest Diagnostics, Inc.† | 13 | 1,403 | ||||||
Quidel Corp.†* | 119 | 7,755 | ||||||
ResMed, Inc.† | 13 | 1,499 | ||||||
STERIS PLC (United Kingdom)† | 98 | 11,211 | ||||||
Stryker Corp.† | 34 | 6,041 | ||||||
Tabula Rasa HealthCare, Inc.†* | 19 | 1,543 | ||||||
Teleflex, Inc.† | 17 | 4,524 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Tenet Healthcare Corp.†* | 54 | $ | 1,537 | |||||
Tivity Health, Inc.†* | 150 | 4,822 | ||||||
UnitedHealth Group, Inc.† | 89 | 23,678 | ||||||
Universal Health Services, Inc., | 8 | 1,023 | ||||||
Varex Imaging Corp.†* | 63 | 1,806 | ||||||
Varian Medical Systems, Inc.* | 9 | 1,007 | ||||||
WellCare Health Plans, Inc.* | 4 | 1,282 | ||||||
West Pharmaceutical Services, Inc.† | 36 | 4,445 | ||||||
Zimmer Biomet Holdings, Inc.† | 19 | 2,498 | ||||||
|
| |||||||
322,428 | ||||||||
|
| |||||||
Household & Personal Products — 2.0% |
| |||||||
Church & Dwight Co., Inc.† | 23 | 1,366 | ||||||
Clorox Co. (The)† | 12 | 1,805 | ||||||
Colgate-Palmolive Co.† | 81 | 5,423 | ||||||
Coty, Inc., Class A† | 69 | 867 | ||||||
Edgewell Personal Care Co.†* | 37 | 1,711 | ||||||
Energizer Holdings, Inc.† | 162 | 9,501 | ||||||
Estee Lauder Cos., Inc. (The), | 35 | 5,086 | ||||||
Kimberly-Clark Corp.† | 33 | 3,750 | ||||||
Procter & Gamble Co. (The)† | 234 | 19,476 | ||||||
Spectrum Brands Holdings, Inc. | 4 | 299 | ||||||
|
| |||||||
49,284 | ||||||||
|
| |||||||
Insurance — 2.2% | ||||||||
Aflac, Inc.† | 72 | 3,389 | ||||||
Allstate Corp. (The)† | 32 | 3,158 | ||||||
American International Group, Inc.† | 84 | 4,472 | ||||||
Aon PLC (United Kingdom)† | 23 | 3,537 | ||||||
Arthur J Gallagher & Co.† | 18 | 1,340 | ||||||
Assurant, Inc. | 5 | 540 | ||||||
Brighthouse Financial, Inc.* | 11 | 487 | ||||||
Chubb Ltd. (Switzerland)† | 43 | 5,747 | ||||||
Cincinnati Financial Corp.† | 15 | 1,152 | ||||||
Everest Re Group Ltd. (Bermuda) | 3 | 685 | ||||||
Hartford Financial Services Group, Inc. (The)† | 33 | 1,649 | ||||||
Lincoln National Corp.† | 21 | 1,421 | ||||||
Loews Corp.† | 30 | 1,507 | ||||||
Marsh & McLennan Cos., Inc.† | 48 | 3,971 | ||||||
MetLife, Inc.† | 93 | 4,345 | ||||||
Principal Financial Group, Inc.† | 27 | 1,582 | ||||||
Progressive Corp. (The)† | 54 | 3,836 |
The accompanying notes are an integral part of the financial statements.
34
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Insurance — (Continued) | ||||||||
Prudential Financial, Inc.† | 39 | $ | 3,951 | |||||
Torchmark Corp.† | 10 | 867 | ||||||
Travelers Cos., Inc. (The)† | 25 | 3,243 | ||||||
Unum Group† | 21 | 820 | ||||||
Willis Towers Watson PLC (Ireland)† | 12 | 1,691 | ||||||
|
| |||||||
53,390 | ||||||||
|
| |||||||
Materials — 7.8% | ||||||||
A. Schulman, Inc. CVR†(b)* | 136 | 272 | ||||||
Air Products & Chemicals, Inc.† | 21 | 3,508 | ||||||
Albemarle Corp. | 10 | 998 | ||||||
AptarGroup, Inc.† | 41 | 4,417 | ||||||
Ashland Global Holdings, Inc. | 19 | 1,593 | ||||||
Avery Dennison Corp. | 9 | 975 | ||||||
Balchem Corp.† | 18 | 2,018 | ||||||
Ball Corp.† | 33 | 1,452 | ||||||
Bemis Co., Inc.† | 175 | 8,505 | ||||||
Celanese Corp.† | 108 | 12,312 | ||||||
CF Industries Holdings, Inc.† | 22 | 1,198 | ||||||
Chemours Co. (The)† | 60 | 2,366 | ||||||
Domtar Corp.† | 225 | 11,738 | ||||||
DowDuPont, Inc.† | 216 | 13,891 | ||||||
Eagle Materials, Inc.† | 81 | 6,904 | ||||||
Eastman Chemical Co.† | 13 | 1,244 | ||||||
Ecolab, Inc.† | 27 | 4,233 | ||||||
FMC Corp.† | 13 | 1,133 | ||||||
Freeport-McMoRan, Inc.† | 136 | 1,893 | ||||||
FutureFuel Corp. | 38 | 705 | ||||||
Greif, Inc., Class A | 91 | 4,883 | ||||||
HB Fuller Co. | 47 | 2,428 | ||||||
International Flavors & Fragrances, Inc. | 8 | 1,113 | ||||||
International Paper Co.† | 39 | 1,917 | ||||||
KMG Chemicals, Inc.† | 45 | 3,400 | ||||||
Kraton Corp.†* | 18 | 849 | ||||||
Kronos Worldwide, Inc.† | 30 | 488 | ||||||
Louisiana-Pacific Corp. | 284 | 7,523 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 36 | 3,690 | ||||||
Martin Marietta Materials, Inc. | 6 | 1,092 | ||||||
Methanex Corp. (Canada)† | 101 | 7,989 | ||||||
Mosaic Co. (The)† | 36 | 1,169 | ||||||
Myers Industries, Inc. | 5 | 116 | ||||||
NewMarket Corp. | 9 | 3,650 | ||||||
Newmont Mining Corp.† | 49 | 1,480 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Materials — (Continued) | ||||||||
Norbord, Inc. (Canada)† | 72 | $ | 2,388 | |||||
Nucor Corp.† | 29 | 1,840 | ||||||
Owens-Illinois, Inc.* | 10 | 188 | ||||||
Packaging Corp. of America | 9 | 987 | ||||||
PolyOne Corp.† | 96 | 4,197 | ||||||
PPG Industries, Inc.† | 22 | 2,401 | ||||||
Praxair, Inc.† | 27 | 4,340 | ||||||
Rayonier Advanced Materials, Inc.† | 449 | 8,275 | ||||||
RPM International, Inc.† | 161 | 10,455 | ||||||
Schweitzer-Mauduit International, Inc. | 50 | 1,916 | ||||||
Scotts Miracle-Gro Co. (The)† | 105 | 8,267 | ||||||
Sealed Air Corp.† | 14 | 562 | ||||||
Sherwin-Williams Co. (The) | 8 | 3,642 | ||||||
Stepan Co. | 4 | 348 | ||||||
Tredegar Corp. | 72 | 1,559 | ||||||
US Concrete, Inc.* | 73 | 3,347 | ||||||
Verso Corp., Class A†* | 235 | 7,912 | ||||||
Vulcan Materials Co.† | 13 | 1,446 | ||||||
Westlake Chemical Corp. | 35 | 2,909 | ||||||
WestRock Co.† | 24 | 1,283 | ||||||
|
| |||||||
191,404 | ||||||||
|
| |||||||
Media — 4.1% | ||||||||
AMC Entertainment Holdings, Inc., Class A† | 312 | 6,396 | ||||||
CBS Corp., Class B, non-voting shares† | 35 | 2,011 | ||||||
Charter Communications, Inc., | 22 | 7,169 | ||||||
Cinemark Holdings, Inc.† | 308 | 12,382 | ||||||
Comcast Corp., Class A† | 428 | 15,155 | ||||||
Discovery, Inc., Class A†* | 65 | 2,080 | ||||||
DISH Network Corp., Class A†* | 43 | 1,538 | ||||||
Emerald Expositions Events, Inc. | 2 | 33 | ||||||
Gannett Co., Inc.† | 308 | 3,083 | ||||||
Interpublic Group of Cos., Inc. (The)† | 36 | 823 | ||||||
Loral Space & Communications, Inc.†* | 10 | 454 | ||||||
Marcus Corp. (The) | 73 | 3,070 | ||||||
MSG Networks, Inc., Class A* | 148 | 3,818 | ||||||
New Media Investment Group, Inc. | 227 | 3,562 | ||||||
News Corp., Class A† | 55 | 725 | ||||||
Omnicom Group, Inc.† | 21 | 1,428 | ||||||
Scholastic Corp. | 34 | 1,587 |
The accompanying notes are an integral part of the financial statements.
35
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Media — (Continued) | ||||||||
Shaw Communications, Inc., Class B (Canada) | 117 | $ | 2,280 | |||||
Sinclair Broadcast Group, Inc., | 197 | 5,585 | ||||||
Tribune Media Co., Class A† | 55 | 2,114 | ||||||
Twenty-First Century Fox, Inc., | 172 | 7,969 | ||||||
Viacom, Inc., Class B† | 38 | 1,283 | ||||||
Walt Disney Co. (The)† | 139 | 16,255 | ||||||
|
| |||||||
100,800 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 10.3% |
| |||||||
AbbVie, Inc.† | 141 | 13,336 | ||||||
Agilent Technologies, Inc.† | 30 | 2,116 | ||||||
Alexion Pharmaceuticals, Inc.†* | 21 | 2,919 | ||||||
Allergan PLC (Ireland)† | 32 | 6,095 | ||||||
Amgen, Inc.† | 62 | 12,852 | ||||||
Biogen, Inc.†* | 19 | 6,713 | ||||||
Bio-Rad Laboratories, Inc., Class A* | 10 | 3,130 | ||||||
Bristol-Myers Squibb Co.† | 153 | 9,498 | ||||||
Bruker Corp.† | 251 | 8,396 | ||||||
Catalent, Inc.* | 23 | 1,048 | ||||||
Celgene Corp.†* | 65 | 5,817 | ||||||
Corcept Therapeutics, Inc.* | 77 | 1,080 | ||||||
Eli Lilly & Co.† | 101 | 10,838 | ||||||
Enanta Pharmaceuticals, Inc.†* | 30 | 2,564 | ||||||
Exelixis, Inc.* | 31 | 549 | ||||||
Genomic Health, Inc.* | 2 | 140 | ||||||
Gilead Sciences, Inc.† | 120 | 9,265 | ||||||
Illumina, Inc.†* | 14 | 5,139 | ||||||
Incyte Corp.†* | 21 | 1,451 | ||||||
Innoviva, Inc.†* | 71 | 1,082 | ||||||
IQVIA Holdings, Inc.†* | 19 | 2,465 | ||||||
Jazz Pharmaceuticals PLC | 29 | 4,876 | ||||||
Johnson & Johnson† | 251 | 34,681 | ||||||
Ligand Pharmaceuticals, Inc.* | 10 | 2,745 | ||||||
Loxo Oncology, Inc.* | 1 | 171 | ||||||
Mallinckrodt PLC (Ireland)* | 10 | 293 | ||||||
Medpace Holdings, Inc.* | 18 | 1,078 | ||||||
Merck & Co., Inc.† | 249 | 17,664 | ||||||
Mettler-Toledo International, Inc.* | 2 | 1,218 | ||||||
Mylan NV (Netherlands)†* | 49 | 1,793 | ||||||
Nektar Therapeutics* | 16 | 975 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Neurocrine Biosciences, Inc.* | 18 | $ | 2,213 | |||||
PerkinElmer, Inc. | 11 | 1,070 | ||||||
Perrigo Co. PLC (Ireland)† | 13 | 920 | ||||||
Pfizer, Inc.† | 546 | 24,062 | ||||||
Phibro Animal Health Corp., Class A | 14 | 601 | ||||||
PRA Health Sciences, Inc.†* | 115 | 12,672 | ||||||
Prestige Consumer Healthcare, Inc.†* | 13 | 493 | ||||||
QIAGEN NV (Netherlands)†* | 310 | 11,743 | ||||||
Regeneron Pharmaceuticals, Inc.†* | 12 | 4,848 | ||||||
REGENXBIO, Inc.* | 31 | 2,340 | ||||||
Sarepta Therapeutics, Inc.* | 9 | 1,454 | ||||||
Seattle Genetics, Inc.* | 1 | 77 | ||||||
Supernus Pharmaceuticals, Inc.* | 1 | 50 | ||||||
Syneos Health, Inc.* | 4 | 206 | ||||||
Thermo Fisher Scientific, Inc.† | 37 | 9,031 | ||||||
Vertex Pharmaceuticals, Inc.†* | 24 | 4,626 | ||||||
Waters Corp.* | 7 | 1,363 | ||||||
Zoetis, Inc.† | 45 | 4,120 | ||||||
|
| |||||||
253,876 | ||||||||
|
| |||||||
Real Estate — 2.5% | ||||||||
Alexandria Real Estate Equities, Inc., REIT | 9 | 1,132 | ||||||
American Tower Corp., REIT† | 41 | 5,957 | ||||||
Apartment Investment & Management Co., Class A, REIT† | 15 | 662 | ||||||
AvalonBay Communities, Inc., REIT† | 13 | 2,355 | ||||||
Boston Properties, Inc., REIT† | 14 | 1,723 | ||||||
CBRE Group, Inc., Class A†* | 32 | 1,411 | ||||||
Crown Castle International Corp., REIT† | 39 | 4,342 | ||||||
Digital Realty Trust, Inc., REIT† | 19 | 2,137 | ||||||
Duke Realty Corp., REIT† | 33 | 936 | ||||||
Equinix, Inc., REIT | 7 | 3,030 | ||||||
Equity Residential, REIT† | 34 | 2,253 | ||||||
Essex Property Trust, Inc., REIT | 6 | 1,480 | ||||||
Extra Space Storage, Inc., REIT† | 12 | 1,040 | ||||||
Federal Realty Investment Trust, REIT | 7 | 885 | ||||||
HCP, Inc., REIT† | 43 | 1,132 | ||||||
Host Hotels & Resorts, Inc., REIT† | 69 | 1,456 | ||||||
Iron Mountain, Inc., REIT† | 27 | 932 | ||||||
Kimco Realty Corp., REIT† | 39 | 653 | ||||||
Macerich Co. (The), REIT† | 13 | 719 |
The accompanying notes are an integral part of the financial statements.
36
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Real Estate — (Continued) | ||||||||
Mid-America Apartment Communities, Inc., REIT | 10 | $ | 1,002 | |||||
Prologis, Inc., REIT† | 50 | 3,390 | ||||||
Public Storage, REIT† | 16 | 3,226 | ||||||
Realty Income Corp., REIT† | 27 | 1,536 | ||||||
Regency Centers Corp., REIT† | 16 | 1,035 | ||||||
SBA Communications Corp., REIT* | 11 | 1,767 | ||||||
Simon Property Group, Inc., REIT† | 29 | 5,126 | ||||||
SL Green Realty Corp., REIT | 8 | 780 | ||||||
UDR, Inc., REIT† | 24 | 970 | ||||||
Ventas, Inc., REIT† | 33 | 1,795 | ||||||
Vornado Realty Trust, REIT† | 18 | 1,314 | ||||||
Welltower, Inc., REIT† | 35 | 2,251 | ||||||
Weyerhaeuser Co., REIT† | 70 | 2,259 | ||||||
|
| |||||||
60,686 | ||||||||
|
| |||||||
Retailing — 12.0% | ||||||||
Aaron’s, Inc. | 87 | 4,738 | ||||||
Advance Auto Parts, Inc. | 7 | 1,178 | ||||||
Amazon.com, Inc.†* | 45 | 90,135 | ||||||
American Eagle Outfitters, Inc. | 250 | 6,208 | ||||||
Asbury Automotive Group, Inc.†* | 134 | 9,212 | ||||||
Ascena Retail Group, Inc.* | 302 | 1,380 | ||||||
AutoNation, Inc.* | 29 | 1,205 | ||||||
AutoZone, Inc.* | 3 | 2,327 | ||||||
Bed Bath & Beyond, Inc.† | 368 | 5,520 | ||||||
Best Buy Co., Inc.† | 26 | 2,063 | ||||||
Booking Holdings, Inc.†* | 4 | 7,936 | ||||||
Buckle, Inc. (The) | 13 | 300 | ||||||
CarMax, Inc.†* | 17 | 1,269 | ||||||
Chico’s FAS, Inc. | 222 | 1,925 | ||||||
Core-Mark Holding Co., Inc.† | 270 | 9,169 | ||||||
Dick’s Sporting Goods, Inc. | 96 | 3,406 | ||||||
Dollar General Corp.† | 25 | 2,732 | ||||||
Dollar Tree, Inc.†* | 22 | 1,794 | ||||||
Duluth Holdings, Inc., Class B* | 5 | 157 | ||||||
Expedia Group, Inc.† | 14 | 1,827 | ||||||
Foot Locker, Inc.† | 11 | 561 | ||||||
Gap, Inc. (The)† | 36 | 1,039 | ||||||
Genesco, Inc.* | 68 | 3,203 | ||||||
Genuine Parts Co.† | 14 | 1,392 | ||||||
Group 1 Automotive, Inc. | 2 | 130 | ||||||
Home Depot, Inc. (The)† | 107 | 22,165 | ||||||
Kohl’s Corp.† | 16 | 1,193 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Retailing — (Continued) | ||||||||
L Brands, Inc.† | 26 | $ | 788 | |||||
Lithia Motors, Inc., Class A† | 75 | 6,124 | ||||||
LKQ Corp.†* | 30 | 950 | ||||||
Lowe’s Cos., Inc.† | 76 | 8,726 | ||||||
Macy’s, Inc.† | 29 | 1,007 | ||||||
Netflix, Inc.†* | 40 | 14,965 | ||||||
Nordstrom, Inc.† | 15 | 897 | ||||||
Nutrisystem, Inc.† | 229 | 8,484 | ||||||
Office Depot, Inc. | 963 | 3,091 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 34 | 3,267 | ||||||
O’Reilly Automotive, Inc.* | 8 | 2,779 | ||||||
Penske Automotive Group, Inc.† | 20 | 948 | ||||||
PetMed Express, Inc.† | 182 | 6,008 | ||||||
Qurate Retail, Inc.†* | 562 | 12,482 | ||||||
Ross Stores, Inc.† | 35 | 3,468 | ||||||
Signet Jewelers Ltd. (Bermuda)† | 168 | 11,076 | ||||||
Sonic Automotive, Inc., Class A | 53 | 1,026 | ||||||
Tailored Brands, Inc.† | 161 | 4,056 | ||||||
Target Corp.† | 50 | 4,410 | ||||||
Tiffany & Co.† | 12 | 1,548 | ||||||
TJX Cos., Inc. (The)† | 57 | 6,385 | ||||||
Tractor Supply Co.† | 12 | 1,091 | ||||||
TripAdvisor, Inc.†* | 13 | 664 | ||||||
Ulta Beauty, Inc.* | 5 | 1,411 | ||||||
Urban Outfitters, Inc.†* | 90 | 3,681 | ||||||
|
| |||||||
293,496 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.5% |
| |||||||
Advanced Energy Industries, Inc.†* | 78 | 4,029 | ||||||
Advanced Micro Devices, Inc.†* | 101 | 3,120 | ||||||
Analog Devices, Inc.† | 35 | 3,236 | ||||||
Applied Materials, Inc.† | 92 | 3,556 | ||||||
Axcelis Technologies, Inc.* | 39 | 766 | ||||||
Broadcom, Inc.† | 38 | 9,376 | ||||||
Cabot Microelectronics Corp.† | 77 | 7,944 | ||||||
Cirrus Logic, Inc.* | 67 | 2,586 | ||||||
Diodes, Inc.†* | 51 | 1,698 | ||||||
Integrated Device Technology, Inc.* | 24 | 1,128 | ||||||
Intel Corp.† | 430 | 20,335 | ||||||
KLA-Tencor Corp.† | 15 | 1,526 | ||||||
Lam Research Corp.† | 16 | 2,427 | ||||||
Lattice Semiconductor Corp.* | 664 | 5,312 | ||||||
Maxim Integrated Products, Inc.† | 220 | 12,406 | ||||||
MaxLinear, Inc.* | 151 | 3,002 | ||||||
Microchip Technology, Inc.† | 25 | 1,973 |
The accompanying notes are an integral part of the financial statements.
37
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Micron Technology, Inc.†* | 114 | $ | 5,156 | |||||
MKS Instruments, Inc.† | 51 | 4,088 | ||||||
Monolithic Power Systems, Inc. | 25 | 3,138 | ||||||
Nanometrics, Inc.†* | 146 | 5,478 | ||||||
NVIDIA Corp.† | 58 | 16,299 | ||||||
ON Semiconductor Corp.* | 312 | 5,750 | ||||||
Photronics, Inc.* | 189 | 1,862 | ||||||
Power Integrations, Inc. | 21 | 1,327 | ||||||
Qorvo, Inc.†* | 12 | 923 | ||||||
QUALCOMM, Inc.† | 136 | 9,796 | ||||||
Skyworks Solutions, Inc.† | 17 | 1,542 | ||||||
SMART Global Holdings, Inc. (Cayman Islands)†* | 73 | 2,098 | ||||||
Texas Instruments, Inc.† | 92 | 9,871 | ||||||
Versum Materials, Inc. | 8 | 288 | ||||||
Xcerra Corp.†* | 307 | 4,381 | ||||||
Xilinx, Inc.† | 23 | 1,844 | ||||||
|
| |||||||
158,261 | ||||||||
|
| |||||||
Software & Services — 25.8% | ||||||||
Accenture PLC, Class A (Ireland)† | 59 | 10,042 | ||||||
Activision Blizzard, Inc.† | 71 | 5,906 | ||||||
Adobe, Inc.†* | 45 | 12,148 | ||||||
Akamai Technologies, Inc.†* | 16 | 1,170 | ||||||
Alliance Data Systems Corp. | 5 | 1,181 | ||||||
Alphabet, Inc., Class A†* | 64 | 77,253 | ||||||
ANGI Homeservices, Inc., Class A†* | 329 | 7,725 | ||||||
ANSYS, Inc.* | 8 | 1,493 | ||||||
Appfolio, Inc., Class A†* | 71 | 5,566 | ||||||
Aspen Technology, Inc.†* | 51 | 5,809 | ||||||
Autodesk, Inc.†* | 21 | 3,278 | ||||||
Automatic Data Processing, Inc.† | 41 | 6,177 | ||||||
Avaya Holdings Corp.†* | 92 | 2,037 | ||||||
Bandwidth, Inc.* | 20 | 1,071 | ||||||
Bottomline Technologies DE, Inc.* | 16 | 1,163 | ||||||
Broadridge Financial Solutions, Inc. | 11 | 1,451 | ||||||
CA, Inc.† | 39 | 1,722 | ||||||
Cadence Design Systems, Inc.†* | 26 | 1,178 | ||||||
Carbonite, Inc.* | 6 | 214 | ||||||
Cardtronics PLC, Class A (United Kingdom)†* | 22 | 696 | ||||||
Cars.com, Inc.†* | 162 | 4,473 | ||||||
CDK Global, Inc.† | 125 | 7,820 | ||||||
CGI Group, Inc., Class A | 107 | 6,899 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Software & Services — (Continued) | ||||||||
Cision Ltd. (Cayman Islands)†* | 320 | $ | 5,376 | |||||
Citrix Systems, Inc.†* | 13 | 1,445 | ||||||
Cognizant Technology Solutions Corp., Class A† | 54 | 4,166 | ||||||
CommVault Systems, Inc.†* | 90 | 6,300 | ||||||
Conduent, Inc.†* | 308 | 6,936 | ||||||
Convergys Corp. | 36 | 855 | ||||||
Cornerstone OnDemand, Inc.* | 6 | 340 | ||||||
Descartes Systems Group, Inc. (The) (Canada)* | 56 | 1,898 | ||||||
DXC Technology Co.† | 27 | 2,525 | ||||||
eBay, Inc.†* | 92 | 3,038 | ||||||
Electronic Arts, Inc.†* | 29 | 3,494 | ||||||
Endurance International Group Holdings, Inc.†* | 415 | 3,652 | ||||||
Envestnet, Inc.* | 5 | 305 | ||||||
Etsy, Inc.†* | 263 | 13,513 | ||||||
Facebook, Inc., Class A†* | 269 | 44,240 | ||||||
Fair Isaac Corp.†* | 37 | 8,456 | ||||||
Fidelity National Information Services, Inc.† | 31 | 3,381 | ||||||
Fiserv, Inc.†* | 38 | 3,130 | ||||||
Five9, Inc.* | 3 | 131 | ||||||
FleetCor Technologies, Inc.* | 8 | 1,823 | ||||||
Fortinet, Inc.†* | 147 | 13,564 | ||||||
Gartner, Inc.* | 9 | 1,426 | ||||||
Global Payments, Inc.† | 15 | 1,911 | ||||||
Globant SA (Luxembourg)* | 35 | 2,065 | ||||||
GoDaddy, Inc., Class A†* | 121 | 10,090 | ||||||
GrubHub, Inc.†* | 14 | 1,941 | ||||||
Guidewire Software, Inc.* | 24 | 2,424 | ||||||
IAC/InterActiveCorp.†* | 44 | 9,536 | ||||||
Imperva, Inc.* | 17 | 790 | ||||||
International Business Machines Corp.† | 85 | 12,853 | ||||||
Intuit, Inc.† | 24 | 5,458 | ||||||
j2 Global, Inc.† | 32 | 2,651 | ||||||
LogMeIn, Inc.† | 44 | 3,920 | ||||||
Mastercard, Inc., Class A† | 96 | 21,371 | ||||||
MAXIMUS, Inc. | 7 | 455 | ||||||
Microsoft Corp.† | 715 | 81,775 | ||||||
Monotype Imaging Holdings, Inc. | 138 | 2,788 | ||||||
New Relic, Inc.* | 2 | 188 |
The accompanying notes are an integral part of the financial statements.
38
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Software & Services — (Continued) | ||||||||
NIC, Inc. | 42 | $ | 622 | |||||
Open Text Corp. (Canada)† | 191 | 7,266 | ||||||
Oracle Corp.† | 373 | 19,232 | ||||||
Paychex, Inc.† | 33 | 2,430 | ||||||
Paycom Software, Inc.†* | 56 | 8,703 | ||||||
PayPal Holdings, Inc.†* | 110 | 9,662 | ||||||
Perficient, Inc.* | 104 | 2,772 | ||||||
Progress Software Corp.† | 82 | 2,894 | ||||||
PTC, Inc.* | 11 | 1,168 | ||||||
QAD, Inc., Class A | 1 | 57 | ||||||
Qualys, Inc.†* | 101 | 8,999 | ||||||
QuinStreet, Inc.* | 306 | 4,152 | ||||||
RealPage, Inc.†* | 66 | 4,349 | ||||||
Red Hat, Inc.†* | 17 | 2,317 | ||||||
SailPoint Technologies Holding, Inc.* | 52 | 1,769 | ||||||
salesforce.com, Inc.†* | 70 | 11,132 | ||||||
ServiceNow, Inc.†* | 47 | 9,195 | ||||||
Shutterstock, Inc.† | 102 | 5,567 | ||||||
SPS Commerce, Inc.†* | 66 | 6,550 | ||||||
Stamps.com, Inc.†* | 9 | 2,036 | ||||||
Symantec Corp.† | 58 | 1,234 | ||||||
Synopsys, Inc.†* | 14 | 1,381 | ||||||
Tableau Software, Inc., Class A* | 18 | 2,011 | ||||||
Take-Two Interactive Software, Inc.* | 10 | 1,380 | ||||||
TechTarget, Inc.†* | 58 | 1,126 | ||||||
Total System Services, Inc.† | 17 | 1,679 | ||||||
TTEC Holdings, Inc. | 18 | 466 | ||||||
Twitter, Inc.* | 70 | 1,992 | ||||||
Tyler Technologies, Inc.†* | 23 | 5,636 | ||||||
Upland Software, Inc.* | 73 | 2,359 | ||||||
Verint Systems, Inc.* | 68 | 3,407 | ||||||
VeriSign, Inc.†* | 12 | 1,921 | ||||||
Visa, Inc., Class A† | 207 | 31,069 | ||||||
VMware, Inc., Class A†* | 30 | 4,682 | ||||||
Web.com Group, Inc.* | 6 | �� | 167 | |||||
Western Union Co. (The)† | 42 | 801 | ||||||
XO Group, Inc.* | 89 | 3,069 | ||||||
|
| |||||||
631,934 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 10.7% |
| |||||||
ADTRAN, Inc. | 214 | 3,777 | ||||||
Amphenol Corp., Class A† | 30 | 2,821 | ||||||
Apple, Inc.† | 452 | 102,034 | ||||||
Arista Networks, Inc.* | 7 | 1,861 | ||||||
Avnet, Inc.† | 202 | 9,044 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
AVX Corp.† | 230 | $ | 4,152 | |||||
Casa Systems, Inc.†* | 77 | 1,136 | ||||||
Ciena Corp.†* | 391 | 12,215 | ||||||
Cisco Systems, Inc.† | 430 | 20,920 | ||||||
Coherent, Inc.* | 2 | 344 | ||||||
CommScope Holding Co., Inc.†* | 295 | 9,074 | ||||||
Comtech Telecommunications Corp. | 65 | 2,358 | ||||||
Corning, Inc.† | 76 | 2,683 | ||||||
CTS Corp. | 24 | 823 | ||||||
Dolby Laboratories, Inc., Class A† | 23 | 1,609 | ||||||
EchoStar Corp., Class A†* | 180 | 8,347 | ||||||
Electronics For Imaging, Inc.* | 36 | 1,227 | ||||||
F5 Networks, Inc.* | 5 | 997 | ||||||
FLIR Systems, Inc.† | 13 | 799 | ||||||
Hewlett Packard Enterprise Co.† | 138 | 2,251 | ||||||
HP, Inc.† | 148 | 3,814 | ||||||
Insight Enterprises, Inc.†* | 163 | 8,817 | ||||||
IPG Photonics Corp.* | 5 | 780 | ||||||
Itron, Inc.* | 58 | 3,724 | ||||||
Jabil, Inc.† | 100 | 2,708 | ||||||
Juniper Networks, Inc.† | 33 | 989 | ||||||
Keysight Technologies, Inc.†* | 20 | 1,326 | ||||||
Lumentum Holdings, Inc.†* | 25 | 1,499 | ||||||
Mesa Laboratories, Inc. | 7 | 1,299 | ||||||
Methode Electronics, Inc. | 94 | 3,403 | ||||||
Motorola Solutions, Inc.† | 15 | 1,952 | ||||||
MTS Systems Corp. | 46 | 2,518 | ||||||
NCR Corp.* | 146 | 4,148 | ||||||
NetApp, Inc.† | 24 | 2,061 | ||||||
Novanta, Inc. (Canada)* | 42 | 2,873 | ||||||
Oclaro, Inc.* | 35 | 313 | ||||||
OSI Systems, Inc.†* | 57 | 4,350 | ||||||
Palo Alto Networks, Inc.* | 14 | 3,154 | ||||||
Plantronics, Inc.† | 31 | 1,869 | ||||||
Plexus Corp.* | 2 | 117 | ||||||
Sanmina Corp.* | 35 | 966 | ||||||
ScanSource, Inc.* | 20 | 798 | ||||||
Seagate Technology PLC (Ireland)† | 27 | 1,278 | ||||||
Stratasys Ltd. (Israel)* | 76 | 1,756 | ||||||
TE Connectivity Ltd. (Switzerland)† | 33 | 2,902 | ||||||
Tech Data Corp.* | 57 | 4,079 | ||||||
Trimble, Inc.* | 40 | 1,738 | ||||||
Ubiquiti Networks, Inc.† | 10 | 989 | ||||||
Vishay Intertechnology, Inc.† | 163 | 3,317 |
The accompanying notes are an integral part of the financial statements.
39
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Western Digital Corp.† | 28 | $ | 1,639 | |||||
Xerox Corp.† | 24 | 648 | ||||||
Zebra Technologies Corp., Class A†* | 15 | 2,652 | ||||||
|
| |||||||
262,948 | ||||||||
|
| |||||||
Telecommunication Services — 3.1% |
| |||||||
AT&T, Inc.† | 676 | 22,700 | ||||||
BCE, Inc. (Canada)† | 149 | 6,037 | ||||||
CenturyLink, Inc.† | 101 | 2,141 | ||||||
Globalstar, Inc.* | 2,048 | 1,040 | ||||||
Intelsat SA (Luxembourg)†* | 197 | 5,910 | ||||||
Rogers Communications, Inc., Class B (Canada)† | 123 | 6,323 | ||||||
TELUS Corp. (Canada) | 55 | 2,026 | ||||||
United States Cellular Corp.* | 26 | 1,164 | ||||||
Verizon Communications, Inc.† | 386 | 20,609 | ||||||
Vonage Holdings Corp.†* | 614 | 8,694 | ||||||
|
| |||||||
76,644 | ||||||||
|
| |||||||
Transportation — 5.0% | ||||||||
Alaska Air Group, Inc.† | 12 | 826 | ||||||
American Airlines Group, Inc.† | 43 | 1,777 | ||||||
ArcBest Corp.† | 174 | 8,448 | ||||||
CH Robinson Worldwide, Inc.† | 13 | 1,273 | ||||||
Covenant Transportation Group, Inc., Class A* | 30 | 872 | ||||||
CSX Corp.† | 81 | 5,998 | ||||||
Delta Air Lines, Inc.† | 65 | 3,759 | ||||||
Echo Global Logistics, Inc.†* | 270 | 8,356 | ||||||
Expeditors International of Washington, Inc.† | 17 | 1,250 | ||||||
FedEx Corp.† | 25 | 6,020 | ||||||
Forward Air Corp.† | 115 | 8,246 | ||||||
Genesee & Wyoming, Inc., Class A†* | 59 | 5,368 | ||||||
Golden Ocean Group Ltd. (Bermuda) | 16 | 158 | ||||||
Heartland Express, Inc. | 211 | 4,163 | ||||||
JB Hunt Transport Services, Inc. | 11 | 1,308 | ||||||
JetBlue Airways Corp.†* | 527 | 10,203 | ||||||
Kansas City Southern | 10 | 1,133 | ||||||
Knight-Swift Transportation Holdings, Inc. | 70 | 2,414 | ||||||
Landstar System, Inc.† | 65 | 7,930 | ||||||
Norfolk Southern Corp.† | 26 | 4,693 | ||||||
Schneider National, Inc., Class B† | 348 | 8,693 | ||||||
Southwest Airlines Co.† | 53 | 3,310 | ||||||
Union Pacific Corp.† | 68 | 11,072 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Transportation — (Continued) | ||||||||
United Continental Holdings, Inc.†* | 25 | $ | 2,226 | |||||
United Parcel Service, Inc., Class B† | 80 | 9,340 | ||||||
XPO Logistics, Inc.†* | 38 | 4,338 | ||||||
|
| |||||||
123,174 | ||||||||
|
| |||||||
Utilities — 2.6% | ||||||||
AES Corp.† | 61 | 854 | ||||||
Alliant Energy Corp.† | 21 | 894 | ||||||
Ameren Corp.† | 22 | 1,391 | ||||||
American Electric Power Co., Inc.† | 46 | 3,260 | ||||||
American Water Works Co., Inc.† | 17 | 1,495 | ||||||
CenterPoint Energy, Inc.† | 41 | 1,134 | ||||||
CMS Energy Corp.† | 27 | 1,323 | ||||||
Consolidated Edison, Inc.† | 29 | 2,210 | ||||||
Dominion Energy, Inc.† | 61 | 4,287 | ||||||
DTE Energy Co.† | 17 | 1,855 | ||||||
Duke Energy Corp.† | 67 | 5,361 | ||||||
Edison International† | 30 | 2,030 | ||||||
Entergy Corp.† | 16 | 1,298 | ||||||
Evergy, Inc. | 26 | 1,428 | ||||||
Eversource Energy† | 29 | 1,782 | ||||||
Exelon Corp.† | 90 | 3,929 | ||||||
FirstEnergy Corp.† | 44 | 1,635 | ||||||
NextEra Energy, Inc.† | 44 | 7,374 | ||||||
NiSource, Inc.† | 33 | 822 | ||||||
NRG Energy, Inc.† | 28 | 1,047 | ||||||
PG&E Corp.† | 48 | 2,208 | ||||||
Pinnacle West Capital Corp. | 11 | 871 | ||||||
PPL Corp.† | 65 | 1,902 | ||||||
Public Service Enterprise Group, Inc.† | 46 | 2,428 | ||||||
SCANA Corp.† | 13 | 506 | ||||||
Sempra Energy† | 25 | 2,844 | ||||||
Southern Co. (The)† | 94 | 4,098 | ||||||
WEC Energy Group, Inc.† | 30 | 2,003 | ||||||
Xcel Energy, Inc.† | 47 | 2,219 | ||||||
|
| |||||||
64,488 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 4,159,592 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 169.5% | 4,159,592 | |||||||
|
| |||||||
(Cost $3,879,003) |
The accompanying notes are an integral part of the financial statements.
40
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
SHORT POSITIONS — (70.2)% |
| |||||||
COMMON STOCKS — (70.2)% |
| |||||||
Automobiles & Components — (1.4)% |
| |||||||
American Axle & Manufacturing Holdings, Inc.* | (23 | ) | $ | (401 | ) | |||
Dorman Products, Inc.* | (88 | ) | (6,769 | ) | ||||
Fox Factory Holding Corp.* | (10 | ) | (700 | ) | ||||
Gentherm, Inc.* | (2 | ) | (91 | ) | ||||
LCI Industries | (107 | ) | (8,860 | ) | ||||
Magna International, Inc. (Canada) | (6 | ) | (315 | ) | ||||
Modine Manufacturing Co.* | (159 | ) | (2,369 | ) | ||||
Standard Motor Products, Inc. | (4 | ) | (197 | ) | ||||
Tesla, Inc.* | (45 | ) | (11,915 | ) | ||||
Tower International, Inc. | (67 | ) | (2,027 | ) | ||||
Winnebago Industries, Inc. | (15 | ) | (497 | ) | ||||
|
| |||||||
(34,141 | ) | |||||||
|
| |||||||
Capital Goods — (10.7)% | ||||||||
AAON, Inc. | (90 | ) | (3,402 | ) | ||||
Advanced Drainage Systems, Inc. | (8 | ) | (247 | ) | ||||
Aegion Corp.* | (31 | ) | (787 | ) | ||||
AerCap Holdings NV (Netherlands)* | (15 | ) | (863 | ) | ||||
Aircastle Ltd. (Bermuda) | (11 | ) | (241 | ) | ||||
Alamo Group, Inc. | (41 | ) | (3,756 | ) | ||||
Ameresco, Inc., Class A* | (77 | ) | (1,051 | ) | ||||
American Woodmark Corp.* | (30 | ) | (2,353 | ) | ||||
Astec Industries, Inc. | (79 | ) | (3,982 | ) | ||||
Astronics Corp.* | (67 | ) | (2,914 | ) | ||||
Axon Enterprise, Inc.* | (40 | ) | (2,737 | ) | ||||
Beacon Roofing Supply, Inc.* | (180 | ) | (6,514 | ) | ||||
Blue Bird Corp.* | (75 | ) | (1,837 | ) | ||||
Builders FirstSource, Inc.* | (767 | ) | (11,260 | ) | ||||
BWX Technologies, Inc. | (113 | ) | (7,067 | ) | ||||
CAE, Inc. (Canada) | (92 | ) | (1,869 | ) | ||||
CAI International, Inc.* | (126 | ) | (2,882 | ) | ||||
CIRCOR International, Inc. | (93 | ) | (4,417 | ) | ||||
Construction Partners, Inc., Class A* | (56 | ) | (678 | ) | ||||
Crane Co. | (49 | ) | (4,819 | ) | ||||
Curtiss-Wright Corp. | (43 | ) | (5,909 | ) | ||||
DMC Global, Inc. | (5 | ) | (204 | ) | ||||
Douglas Dynamics, Inc. | (47 | ) | (2,063 | ) | ||||
DXP Enterprises, Inc.* | (6 | ) | (240 | ) | ||||
Dycom Industries, Inc.* | (124 | ) | (10,490 | ) | ||||
EMCOR Group, Inc. | (31 | ) | (2,328 | ) | ||||
Encore Wire Corp. | (45 | ) | (2,254 | ) | ||||
ESCO Technologies, Inc. | (4 | ) | (272 | ) | ||||
Evoqua Water Technologies Corp.* | (436 | ) | (7,752 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Capital Goods — (Continued) | ||||||||
Foundation Building Materials, Inc.* | (65 | ) | $ | (811 | ) | |||
Franklin Electric Co., Inc. | (9 | ) | (425 | ) | ||||
Gates Industrial Corp. PLC (United Kingdom)* | (83 | ) | (1,618 | ) | ||||
Gibraltar Industries, Inc.* | (14 | ) | (638 | ) | ||||
GMS, Inc.* | (281 | ) | (6,519 | ) | ||||
Granite Construction, Inc. | (255 | ) | (11,654 | ) | ||||
Griffon Corp. | (44 | ) | (711 | ) | ||||
Harsco Corp.* | (60 | ) | (1,713 | ) | ||||
HEICO Corp. | (25 | ) | (2,315 | ) | ||||
Herc Holdings, Inc.* | (88 | ) | (4,506 | ) | ||||
Hyster-Yale Materials Handling, Inc. | (8 | ) | (492 | ) | ||||
JELD-WEN Holding, Inc.* | (2 | ) | (49 | ) | ||||
John Bean Technologies Corp. | (52 | ) | (6,204 | ) | ||||
Lindsay Corp. | (13 | ) | (1,303 | ) | ||||
Lydall, Inc.* | (49 | ) | (2,112 | ) | ||||
MasTec, Inc.* | (117 | ) | (5,224 | ) | ||||
Maxar Technologies Ltd. (Canada) | (149 | ) | (4,927 | ) | ||||
Mercury Systems, Inc.* | (51 | ) | (2,821 | ) | ||||
Middleby Corp. (The)* | (63 | ) | (8,149 | ) | ||||
MRC Global, Inc.* | (486 | ) | (9,122 | ) | ||||
Navistar International Corp.* | (199 | ) | (7,662 | ) | ||||
NN, Inc. | (98 | ) | (1,529 | ) | ||||
NOW, Inc.* | (1 | ) | (17 | ) | ||||
Patrick Industries, Inc.* | (138 | ) | (8,170 | ) | ||||
Primoris Services Corp. | (174 | ) | (4,319 | ) | ||||
Proto Labs, Inc.* | (2 | ) | (324 | ) | ||||
RBC Bearings, Inc.* | (20 | ) | (3,007 | ) | ||||
REV Group, Inc. | (324 | ) | (5,087 | ) | ||||
SiteOne Landscape Supply, Inc.* | (35 | ) | (2,637 | ) | ||||
SPX Corp.* | (147 | ) | (4,897 | ) | ||||
SPX FLOW, Inc.* | (46 | ) | (2,392 | ) | ||||
Sun Hydraulics Corp. | (5 | ) | (274 | ) | ||||
Sunrun, Inc.* | (123 | ) | (1,530 | ) | ||||
Textainer Group Holdings Ltd. (Bermuda)* | (117 | ) | (1,498 | ) | ||||
Titan International, Inc. | (158 | ) | (1,172 | ) | ||||
TPI Composites, Inc.* | (212 | ) | (6,053 | ) | ||||
Trex Co., Inc.* | (3 | ) | (231 | ) | ||||
Tutor Perini Corp.* | (112 | ) | (2,106 | ) | ||||
Univar, Inc.* | (2 | ) | (61 | ) | ||||
Universal Forest Products, Inc. | (185 | ) | (6,536 | ) | ||||
USG Corp. | (245 | ) | (10,611 | ) | ||||
Veritiv Corp.* | (3 | ) | (109 | ) |
The accompanying notes are an integral part of the financial statements.
41
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Vivint Solar, Inc.* | (299 | ) | $ | (1,555 | ) | |||
Watts Water Technologies, Inc., Class A | (6 | ) | (498 | ) | ||||
Welbilt, Inc.* | (515 | ) | (10,753 | ) | ||||
Woodward, Inc. | (153 | ) | (12,372 | ) | ||||
|
| |||||||
(261,901 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (2.9)% |
| |||||||
ACCO Brands Corp. | (291 | ) | (3,288 | ) | ||||
ADT, Inc. | (519 | ) | (4,873 | ) | ||||
Advanced Disposal Services, Inc.* | (154 | ) | (4,170 | ) | ||||
ASGN, Inc.* | (47 | ) | (3,710 | ) | ||||
Barrett Business Services, Inc. | (28 | ) | (1,870 | ) | ||||
BrightView Holdings, Inc.* | (4 | ) | (64 | ) | ||||
Cimpress NV (Netherlands)* | (48 | ) | (6,557 | ) | ||||
Civeo Corp. (Canada)* | (272 | ) | (1,129 | ) | ||||
Clean Harbors, Inc.* | (28 | ) | (2,004 | ) | ||||
Healthcare Services Group, Inc. | (160 | ) | (6,499 | ) | ||||
Herman Miller, Inc. | (42 | ) | (1,613 | ) | ||||
HNI Corp. | (6 | ) | (265 | ) | ||||
Huron Consulting Group, Inc.* | (13 | ) | (642 | ) | ||||
ICF International, Inc. | (74 | ) | (5,583 | ) | ||||
Knoll, Inc. | (16 | ) | (375 | ) | ||||
Korn/Ferry International | (120 | ) | (5,909 | ) | ||||
Mistras Group, Inc.* | (1 | ) | (22 | ) | ||||
Multi-Color Corp. | (56 | ) | (3,486 | ) | ||||
Quad/Graphics, Inc. | (103 | ) | (2,147 | ) | ||||
Rollins, Inc. | (7 | ) | (425 | ) | ||||
Team, Inc.* | (285 | ) | (6,412 | ) | ||||
TransUnion | (31 | ) | (2,281 | ) | ||||
TrueBlue, Inc.* | (28 | ) | (729 | ) | ||||
UniFirst Corp. | (6 | ) | (1,042 | ) | ||||
Waste Connections, Inc. (Canada) | (61 | ) | (4,866 | ) | ||||
|
| |||||||
(69,961 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.5)% |
| |||||||
Canada Goose Holdings, Inc. (Canada)* | (127 | ) | (8,197 | ) | ||||
Deckers Outdoor Corp.* | (60 | ) | (7,115 | ) | ||||
Gildan Activewear, Inc. (Canada) | (212 | ) | (6,451 | ) | ||||
GoPro, Inc., Class A* | (373 | ) | (2,686 | ) | ||||
iRobot Corp.* | (18 | ) | (1,979 | ) | ||||
Marine Products Corp. | (12 | ) | (275 | ) | ||||
Polaris Industries, Inc. | (119 | ) | (12,013 | ) | ||||
Steven Madden Ltd. | (19 | ) | (1,005 | ) | ||||
Tempur Sealy International, Inc.* | (106 | ) | (5,607 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
TopBuild Corp.* | (171 | ) | $ | (9,716 | ) | |||
Tupperware Brands Corp. | (70 | ) | (2,342 | ) | ||||
Wolverine World Wide, Inc. | (79 | ) | (3,085 | ) | ||||
|
| |||||||
(60,471 | ) | |||||||
|
| |||||||
Consumer Services — (3.9)% | ||||||||
Aramark | (265 | ) | (11,400 | ) | ||||
Belmond Ltd., Class A (Bermuda)* | (47 | ) | (858 | ) | ||||
Cambium Learning Group, Inc.* | (91 | ) | (1,077 | ) | ||||
Cheesecake Factory, Inc. (The) | (27 | ) | (1,446 | ) | ||||
Chegg, Inc.* | (84 | ) | (2,388 | ) | ||||
Cracker Barrel Old Country Store, Inc. | (2 | ) | (294 | ) | ||||
Dave & Buster’s Entertainment, Inc. | (92 | ) | (6,092 | ) | ||||
Domino’s Pizza, Inc. | (12 | ) | (3,538 | ) | ||||
Dunkin’ Brands Group, Inc. | (54 | ) | (3,981 | ) | ||||
Fiesta Restaurant Group, Inc.* | (19 | ) | (508 | ) | ||||
Golden Entertainment, Inc.* | (6 | ) | (144 | ) | ||||
Grand Canyon Education, Inc.* | (49 | ) | (5,527 | ) | ||||
Houghton Mifflin Harcourt Co.* | (426 | ) | (2,982 | ) | ||||
International Speedway Corp., | (87 | ) | (3,811 | ) | ||||
Monarch Casino & Resort, Inc.* | (35 | ) | (1,591 | ) | ||||
PlayAGS, Inc.* | (58 | ) | (1,709 | ) | ||||
Red Rock Resorts, Inc., Class A | (351 | ) | (9,354 | ) | ||||
SeaWorld Entertainment, Inc.* | (4 | ) | (126 | ) | ||||
Service Corp. International | (237 | ) | (10,475 | ) | ||||
ServiceMaster Global Holdings, Inc.* | (45 | ) | (2,791 | ) | ||||
Shake Shack, Inc., Class A* | (122 | ) | (7,687 | ) | ||||
Six Flags Entertainment Corp. | (126 | ) | (8,797 | ) | ||||
Strategic Education, Inc. | (10 | ) | (1,319 | ) | ||||
Wingstop, Inc. | (113 | ) | (7,715 | ) | ||||
|
| |||||||
(95,610 | ) | |||||||
|
| |||||||
Energy — (4.5)% | ||||||||
Cactus, Inc., Class A* | (31 | ) | (1,187 | ) | ||||
Cheniere Energy, Inc.* | (77 | ) | (5,351 | ) | ||||
DHT Holdings, Inc. (Marshall Islands) | (471 | ) | (2,214 | ) | ||||
Diamond Offshore Drilling, Inc.* | (281 | ) | (5,620 | ) | ||||
Dril-Quip, Inc.* | (7 | ) | (366 | ) | ||||
Exterran Corp.* | (95 | ) | (2,520 | ) | ||||
Forum Energy Technologies, Inc.* | (648 | ) | (6,707 | ) | ||||
Frank’s International NV (Netherlands)* | (595 | ) | (5,165 | ) | ||||
Green Plains, Inc. | (485 | ) | (8,342 | ) | ||||
KLX Energy Services Holdings, Inc.* | (19 | ) | (608 | ) |
The accompanying notes are an integral part of the financial statements.
42
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Energy — (Continued) | ||||||||
Liberty Oilfield Services, Inc., Class A | (69 | ) | $ | (1,488 | ) | |||
Newpark Resources, Inc.* | (413 | ) | (4,275 | ) | ||||
NexGen Energy Ltd. (Canada)* | (200 | ) | (410 | ) | ||||
Nine Energy Service, Inc.* | (119 | ) | (3,639 | ) | ||||
Par Pacific Holdings, Inc.* | (62 | ) | (1,265 | ) | ||||
Patterson-UTI Energy, Inc. | (95 | ) | (1,625 | ) | ||||
REX American Resources Corp.* | (16 | ) | (1,209 | ) | ||||
Select Energy Services, Inc., | (107 | ) | (1,267 | ) | ||||
Ship Finance International Ltd. (Bermuda) | (533 | ) | (7,409 | ) | ||||
Solaris Oilfield Infrastructure, Inc., Class A* | (378 | ) | (7,140 | ) | ||||
Suncor Energy, Inc. (Canada) | (72 | ) | (2,786 | ) | ||||
Superior Energy Services, Inc.* | (675 | ) | (6,574 | ) | ||||
Targa Resources Corp. | (139 | ) | (7,827 | ) | ||||
Transocean Ltd. (Switzerland)* | (808 | ) | (11,272 | ) | ||||
Unit Corp.* | (19 | ) | (495 | ) | ||||
US Silica Holdings, Inc. | (666 | ) | (12,541 | ) | ||||
|
| |||||||
(109,302 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.9)% | ||||||||
Chefs’ Warehouse, Inc. (The)* | (20 | ) | (727 | ) | ||||
Ingles Markets, Inc., Class A | (66 | ) | (2,260 | ) | ||||
Performance Food Group Co.* | (111 | ) | (3,696 | ) | ||||
PriceSmart, Inc. | (88 | ) | (7,124 | ) | ||||
Rite Aid Corp.* | (223 | ) | (285 | ) | ||||
Sprouts Farmers Market, Inc.* | (21 | ) | (576 | ) | ||||
United Natural Foods, Inc.* | (258 | ) | (7,727 | ) | ||||
|
| |||||||
(22,395 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (2.3)% |
| |||||||
Boston Beer Co., Inc. (The), Class A* | (9 | ) | (2,588 | ) | ||||
Bunge Ltd. (Bermuda) | (173 | ) | (11,887 | ) | ||||
Calavo Growers, Inc. | (30 | ) | (2,898 | ) | ||||
Coca-Cola Bottling Co. Consolidated | (1 | ) | (182 | ) | ||||
Darling Ingredients, Inc.* | (258 | ) | (4,985 | ) | ||||
Farmer Brothers Co.* | (31 | ) | (818 | ) | ||||
Freshpet, Inc.* | (4 | ) | (147 | ) | ||||
J&J Snack Foods Corp. | (8 | ) | (1,207 | ) | ||||
John B Sanfilippo & Son, Inc. | (41 | ) | (2,927 | ) | ||||
MGP Ingredients, Inc. | (25 | ) | (1,974 | ) | ||||
Primo Water Corp.* | (195 | ) | (3,520 | ) | ||||
Sanderson Farms, Inc. | (126 | ) | (13,025 | ) | ||||
SunOpta, Inc. (Canada)* | (136 | ) | (1,000 | ) | ||||
Tootsie Roll Industries, Inc. | (12 | ) | (351 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Turning Point Brands, Inc. | (9 | ) | $ | (373 | ) | |||
Universal Corp. | (135 | ) | (8,775 | ) | ||||
|
| |||||||
(56,657 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (6.4)% |
| |||||||
Addus HomeCare Corp.* | (63 | ) | (4,419 | ) | ||||
Anika Therapeutics, Inc.* | (3 | ) | (127 | ) | ||||
AxoGen, Inc.* | (157 | ) | (5,785 | ) | ||||
BioTelemetry, Inc.* | (16 | ) | (1,031 | ) | ||||
Brookdale Senior Living, Inc.* | (477 | ) | (4,689 | ) | ||||
Castlight Health, Inc., Class B* | (300 | ) | (810 | ) | ||||
CorVel Corp.* | (20 | ) | (1,205 | ) | ||||
Cutera, Inc.* | (100 | ) | (3,255 | ) | ||||
Diplomat Pharmacy, Inc.* | (426 | ) | (8,269 | ) | ||||
Ensign Group, Inc. (The) | (169 | ) | (6,408 | ) | ||||
Evolent Health, Inc., Class A* | (7 | ) | (199 | ) | ||||
Haemonetics Corp.* | (74 | ) | (8,479 | ) | ||||
Hanger, Inc.* | (23 | ) | (479 | ) | ||||
Heska Corp.* | (11 | ) | (1,246 | ) | ||||
Inovalon Holdings, Inc., Class A* | (52 | ) | (523 | ) | ||||
Inspire Medical Systems, Inc.* | (106 | ) | (4,460 | ) | ||||
Insulet Corp.* | (74 | ) | (7,840 | ) | ||||
Invacare Corp. | (5 | ) | (73 | ) | ||||
iRhythm Technologies, Inc.* | (54 | ) | (5,112 | ) | ||||
K2M Group Holdings, Inc.* | (16 | ) | (438 | ) | ||||
Lantheus Holdings, Inc.* | (16 | ) | (239 | ) | ||||
LHC Group, Inc.* | (115 | ) | (11,844 | ) | ||||
Medidata Solutions, Inc.* | (170 | ) | (12,463 | ) | ||||
MEDNAX, Inc.* | (3 | ) | (140 | ) | ||||
Merit Medical Systems, Inc.* | (148 | ) | (9,095 | ) | ||||
National HealthCare Corp. | (8 | ) | (603 | ) | ||||
National Research Corp. | (21 | ) | (811 | ) | ||||
Natus Medical, Inc.* | (9 | ) | (321 | ) | ||||
Neogen Corp.* | (36 | ) | (2,575 | ) | ||||
Neuronetics, Inc.* | (9 | ) | (289 | ) | ||||
Nevro Corp.* | (218 | ) | (12,426 | ) | ||||
OraSure Technologies, Inc.* | (295 | ) | (4,558 | ) | ||||
Owens & Minor, Inc. | (524 | ) | (8,656 | ) | ||||
Providence Service Corp. (The)* | (9 | ) | (606 | ) | ||||
Select Medical Holdings Corp.* | (146 | ) | (2,686 | ) | ||||
Senseonics Holdings, Inc.* | (147 | ) | (701 | ) | ||||
Sientra, Inc.* | (199 | ) | (4,752 | ) | ||||
STAAR Surgical Co.* | (5 | ) | (240 | ) | ||||
Surgery Partners, Inc.* | (207 | ) | (3,416 | ) | ||||
US Physical Therapy, Inc. | (37 | ) | (4,388 | ) |
The accompanying notes are an integral part of the financial statements.
43
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
ViewRay, Inc.* | (845 | ) | $ | (7,909 | ) | |||
Vocera Communications, Inc.* | (15 | ) | (549 | ) | ||||
Wright Medical Group NV (Netherlands)* | (141 | ) | (4,092 | ) | ||||
|
| |||||||
(158,206 | ) | |||||||
|
| |||||||
Household & Personal Products �� (0.5)% |
| |||||||
Avon Products, Inc.* | (205 | ) | (451 | ) | ||||
Central Garden & Pet Co., Class A* | (173 | ) | (5,733 | ) | ||||
elf Beauty, Inc.* | (187 | ) | (2,381 | ) | ||||
Inter Parfums, Inc. | (2 | ) | (129 | ) | ||||
WD-40 Co. | (23 | ) | (3,958 | ) | ||||
|
| |||||||
(12,652 | ) | |||||||
|
| |||||||
Materials — (5.7)% | ||||||||
AdvanSix, Inc.* | (37 | ) | (1,256 | ) | ||||
American Vanguard Corp. | (44 | ) | (792 | ) | ||||
Axalta Coating Systems Ltd. (Bermuda)* | (130 | ) | (3,791 | ) | ||||
Boise Cascade Co. | (58 | ) | (2,134 | ) | ||||
Cabot Corp. | (194 | ) | (12,168 | ) | ||||
Chase Corp. | (12 | ) | (1,442 | ) | ||||
Crown Holdings, Inc.* | (210 | ) | (10,080 | ) | ||||
Ferro Corp.* | (299 | ) | (6,943 | ) | ||||
Forterra, Inc.* | (44 | ) | (328 | ) | ||||
GCP Applied Technologies, Inc.* | (298 | ) | (7,912 | ) | ||||
Graphic Packaging Holding Co. | (495 | ) | (6,935 | ) | ||||
Huntsman Corp. | (244 | ) | (6,644 | ) | ||||
Ingevity Corp.* | (10 | ) | (1,019 | ) | ||||
Innophos Holdings, Inc. | (53 | ) | (2,353 | ) | ||||
Innospec, Inc. | (53 | ) | (4,068 | ) | ||||
KapStone Paper and Packaging Corp. | (200 | ) | (6,782 | ) | ||||
Koppers Holdings, Inc.* | (104 | ) | (3,240 | ) | ||||
Minerals Technologies, Inc. | (82 | ) | (5,543 | ) | ||||
Nutrien Ltd. (Canada) | (83 | ) | (4,789 | ) | ||||
Olin Corp. | (67 | ) | (1,721 | ) | ||||
PH Glatfelter Co. | (154 | ) | (2,943 | ) | ||||
PQ Group Holdings, Inc.* | (126 | ) | (2,201 | ) | ||||
Quaker Chemical Corp. | (9 | ) | (1,820 | ) | ||||
Sensient Technologies Corp. | (136 | ) | (10,405 | ) | ||||
Silgan Holdings, Inc. | (284 | ) | (7,895 | ) | ||||
Sonoco Products Co. | (8 | ) | (444 | ) | ||||
Summit Materials, Inc., Class A* | (276 | ) | (5,018 | ) | ||||
Tronox Ltd., Class A (Australia) | (246 | ) | (2,940 | ) | ||||
Valvoline, Inc. | (223 | ) | (4,797 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Materials — (Continued) | ||||||||
WR Grace & Co. | (170 | ) | $ | (12,148 | ) | |||
|
| |||||||
(140,551 | ) | |||||||
|
| |||||||
Media — (1.8)% | ||||||||
Altice USA, Inc., Class A | (143 | ) | (2,594 | ) | ||||
Boston Omaha Corp., Class A* | (20 | ) | (598 | ) | ||||
Entercom Communications Corp., Class A | (805 | ) | (6,360 | ) | ||||
EW Scripps Co. (The), Class A | (149 | ) | (2,458 | ) | ||||
Gray Television, Inc.* | (89 | ) | (1,558 | ) | ||||
Lions Gate Entertainment Corp., Class B (Canada) | (236 | ) | (5,499 | ) | ||||
Live Nation Entertainment, Inc.* | (73 | ) | (3,976 | ) | ||||
Madison Square Garden Co. (The), Class A* | (27 | ) | (8,514 | ) | ||||
New York Times Co. (The), Class A | (48 | ) | (1,111 | ) | ||||
Nexstar Media Group, Inc., Class A | (37 | ) | (3,012 | ) | ||||
Sirius XM Holdings, Inc. | (668 | ) | (4,222 | ) | ||||
tronc, Inc.* | (79 | ) | (1,290 | ) | ||||
WideOpenWest, Inc.* | (268 | ) | (3,004 | ) | ||||
|
| |||||||
(44,196 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (2.2)% |
| |||||||
Accelerate Diagnostics, Inc.* | (140 | ) | (3,213 | ) | ||||
Achillion Pharmaceuticals, Inc.* | (55 | ) | (202 | ) | ||||
Aclaris Therapeutics, Inc.* | (6 | ) | (87 | ) | ||||
Aimmune Therapeutics, Inc.* | (30 | ) | (818 | ) | ||||
Alder Biopharmaceuticals, Inc.* | (61 | ) | (1,016 | ) | ||||
Apellis Pharmaceuticals, Inc.* | (7 | ) | (124 | ) | ||||
Bio-Techne Corp. | (3 | ) | (612 | ) | ||||
Cambrex Corp.* | (142 | ) | (9,713 | ) | ||||
Charles River Laboratories International, Inc.* | (55 | ) | (7,400 | ) | ||||
Codexis, Inc.* | (38 | ) | (652 | ) | ||||
Coherus Biosciences, Inc.* | (9 | ) | (148 | ) | ||||
Cymabay Therapeutics, Inc.* | (63 | ) | (698 | ) | ||||
Dermira, Inc.* | (1 | ) | (11 | ) | ||||
Dova Pharmaceuticals, Inc.* | (106 | ) | (2,223 | ) | ||||
Epizyme, Inc.* | (113 | ) | (1,198 | ) | ||||
Flexion Therapeutics, Inc.* | (118 | ) | (2,208 | ) | ||||
Insmed, Inc.* | (83 | ) | (1,678 | ) | ||||
Intra-Cellular Therapies, Inc.* | (164 | ) | (3,559 | ) | ||||
La Jolla Pharmaceutical Co.* | (58 | ) | (1,168 | ) | ||||
Luminex Corp. | (210 | ) | (6,365 | ) | ||||
NeoGenomics, Inc.* | (235 | ) | (3,607 | ) | ||||
Odonate Therapeutics, Inc.* | (1 | ) | (19 | ) |
The accompanying notes are an integral part of the financial statements.
44
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Optinose, Inc.* | (43 | ) | $ | (534 | ) | |||
Pacific Biosciences of California, Inc.* | (158 | ) | (855 | ) | ||||
Portola Pharmaceuticals, Inc.* | (56 | ) | (1,491 | ) | ||||
Revance Therapeutics, Inc.* | (72 | ) | (1,789 | ) | ||||
Rigel Pharmaceuticals, Inc.* | (490 | ) | (1,573 | ) | ||||
Sorrento Therapeutics, Inc.* | (51 | ) | (224 | ) | ||||
TG Therapeutics, Inc.* | (192 | ) | (1,075 | ) | ||||
Zogenix, Inc.* | (16 | ) | (794 | ) | ||||
|
| |||||||
(55,054 | ) | |||||||
|
| |||||||
Retailing — (4.5)% | ||||||||
1-800-Flowers.com, Inc., Class A* | (111 | ) | (1,310 | ) | ||||
Abercrombie & Fitch Co., Class A | (96 | ) | (2,028 | ) | ||||
At Home Group, Inc.* | (285 | ) | (8,986 | ) | ||||
Big Lots, Inc. | (238 | ) | (9,946 | ) | ||||
Boot Barn Holdings, Inc.* | (137 | ) | (3,892 | ) | ||||
Camping World Holdings, Inc., | (293 | ) | (6,247 | ) | ||||
Children’s Place, Inc. (The) | (15 | ) | (1,917 | ) | ||||
Dillard’s, Inc., Class A | (16 | ) | (1,221 | ) | ||||
DSW, Inc., Class A | (95 | ) | (3,219 | ) | ||||
Express, Inc.* | (131 | ) | (1,449 | ) | ||||
Five Below, Inc.* | (50 | ) | (6,503 | ) | ||||
Groupon, Inc.* | (32 | ) | (121 | ) | ||||
Guess?, Inc. | (325 | ) | (7,345 | ) | ||||
Michaels Cos., Inc. (The)* | (653 | ) | (10,598 | ) | ||||
Monro, Inc. | (90 | ) | (6,264 | ) | ||||
Murphy USA, Inc.* | (18 | ) | (1,538 | ) | ||||
National Vision Holdings, Inc.* | (21 | ) | (948 | ) | ||||
Overstock.com, Inc.* | (198 | ) | (5,485 | ) | ||||
Party City Holdco, Inc.* | (617 | ) | (8,360 | ) | ||||
Pool Corp. | (41 | ) | (6,842 | ) | ||||
RH* | (55 | ) | (7,206 | ) | ||||
Sally Beauty Holdings, Inc.* | (87 | ) | (1,600 | ) | ||||
Shutterfly, Inc.* | (9 | ) | (593 | ) | ||||
Sleep Number Corp.* | (137 | ) | (5,039 | ) | ||||
Williams-Sonoma, Inc. | (27 | ) | (1,774 | ) | ||||
|
| |||||||
(110,431 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (2.8)% |
| |||||||
Ambarella, Inc. (Cayman Islands)* | (284 | ) | (10,985 | ) | ||||
Amkor Technology, Inc.* | (243 | ) | (1,796 | ) | ||||
Brooks Automation, Inc. | (148 | ) | (5,184 | ) | ||||
CEVA, Inc.* | (82 | ) | (2,358 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Cree, Inc.* | (54 | ) | $ | (2,045 | ) | |||
FormFactor, Inc.* | (383 | ) | (5,266 | ) | ||||
Inphi Corp.* | (188 | ) | (7,140 | ) | ||||
MACOM Technology Solutions Holdings, Inc.* | (32 | ) | (659 | ) | ||||
Marvell Technology Group Ltd. (Bermuda) | (556 | ) | (10,731 | ) | ||||
Rambus, Inc.* | (511 | ) | (5,575 | ) | ||||
Rudolph Technologies, Inc.* | (7 | ) | (171 | ) | ||||
Synaptics, Inc.* | (261 | ) | (11,907 | ) | ||||
Teradyne, Inc. | (5 | ) | (185 | ) | ||||
Veeco Instruments, Inc.* | (131 | ) | (1,343 | ) | ||||
Xperi Corp. | (242 | ) | (3,594 | ) | ||||
|
| |||||||
(68,939 | ) | |||||||
|
| |||||||
Software & Services — (8.4)% | ||||||||
2U, Inc.* | (32 | ) | (2,406 | ) | ||||
8x8, Inc.* | (379 | ) | (8,054 | ) | ||||
ACI Worldwide, Inc.* | (10 | ) | (281 | ) | ||||
Avalara, Inc.* | (161 | ) | (5,624 | ) | ||||
Black Knight, Inc.* | (65 | ) | (3,377 | ) | ||||
BlackBerry Ltd. (Canada)* | (556 | ) | (6,327 | ) | ||||
Box, Inc., Class A* | (509 | ) | (12,170 | ) | ||||
Carbon Black, Inc.* | (180 | ) | (3,812 | ) | ||||
Care.Com, Inc.* | (16 | ) | (354 | ) | ||||
Cloudera, Inc.* | (465 | ) | (8,207 | ) | ||||
comScore, Inc.* | (113 | ) | (2,060 | ) | ||||
ConvergeOne Holdings, Inc. | (3 | ) | (28 | ) | ||||
CoreLogic, Inc.* | (17 | ) | (840 | ) | ||||
CSG Systems International, Inc. | (139 | ) | (5,579 | ) | ||||
DocuSign, Inc.* | (87 | ) | (4,574 | ) | ||||
Ellie Mae, Inc.* | (100 | ) | (9,477 | ) | ||||
Everbridge, Inc.* | (10 | ) | (576 | ) | ||||
Everi Holdings, Inc.* | (234 | ) | (2,146 | ) | ||||
FireEye, Inc.* | (785 | ) | (13,345 | ) | ||||
First Data Corp., Class A* | (129 | ) | (3,157 | ) | ||||
ForeScout Technologies, Inc.* | (21 | ) | (793 | ) | ||||
Hortonworks, Inc.* | (32 | ) | (730 | ) | ||||
Instructure, Inc.* | (236 | ) | (8,354 | ) | ||||
Jack Henry & Associates, Inc. | (16 | ) | (2,561 | ) | ||||
Leidos Holdings, Inc. | (53 | ) | (3,665 | ) | ||||
MicroStrategy, Inc., Class A* | (40 | ) | (5,625 | ) | ||||
MINDBODY, Inc., Class A* | (128 | ) | (5,203 | ) | ||||
Model N, Inc.* | (19 | ) | (301 | ) | ||||
Nutanix, Inc., Class A* | (94 | ) | (4,016 | ) |
The accompanying notes are an integral part of the financial statements.
45
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
OneSpan, Inc.* | (128 | ) | $ | (2,438 | ) | |||
Pandora Media, Inc.* | (193 | ) | (1,835 | ) | ||||
Pivotal Software, Inc., Class A* | (223 | ) | (4,366 | ) | ||||
Pluralsight, Inc., Class A* | (25 | ) | (800 | ) | ||||
Presidio, Inc. | (27 | ) | (412 | ) | ||||
PROS Holdings, Inc.* | (5 | ) | (175 | ) | ||||
Science Applications International Corp. | (3 | ) | (242 | ) | ||||
SecureWorks Corp., Class A* | (12 | ) | (176 | ) | ||||
Smartsheet, Inc., Class A* | (25 | ) | (782 | ) | ||||
Snap, Inc., Class A* | (1,094 | ) | (9,277 | ) | ||||
Splunk, Inc.* | (26 | ) | (3,144 | ) | ||||
SS&C Technologies Holdings, Inc. | (181 | ) | (10,286 | ) | ||||
Switch, Inc., Class A | (635 | ) | (6,858 | ) | ||||
Tenable Holdings, Inc.* | (164 | ) | (6,376 | ) | ||||
Teradata Corp.* | (136 | ) | (5,129 | ) | ||||
TiVo Corp. | (557 | ) | (6,935 | ) | ||||
Travelport Worldwide Ltd. (Bermuda) . | (573 | ) | (9,666 | ) | ||||
TrueCar, Inc.* | (19 | ) | (268 | ) | ||||
Worldpay, Inc., Class A* | (41 | ) | (4,152 | ) | ||||
Yelp, Inc.* | (161 | ) | (7,921 | ) | ||||
Zuora, Inc.* | (3 | ) | (69 | ) | ||||
Zynga, Inc., Class A* | (458 | ) | (1,837 | ) | ||||
|
| |||||||
(206,786 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (4.6)% |
| |||||||
Acacia Communications, Inc.* | (189 | ) | (7,819 | ) | ||||
Applied Optoelectronics, Inc.* | (1 | ) | (25 | ) | ||||
Arlo Technologies, Inc.* | (108 | ) | (1,567 | ) | ||||
Arrow Electronics, Inc.* | (120 | ) | (8,846 | ) | ||||
Benchmark Electronics, Inc. | (221 | ) | (5,171 | ) | ||||
CalAmp Corp.* | (21 | ) | (503 | ) | ||||
CDW Corp. | (3 | ) | (267 | ) | ||||
Celestica, Inc. (Canada)* | (223 | ) | (2,415 | ) | ||||
Cognex Corp. | (79 | ) | (4,410 | ) | ||||
Control4 Corp.* | (39 | ) | (1,339 | ) | ||||
Cray, Inc.* | (145 | ) | (3,118 | ) | ||||
ePlus, Inc.* | (44 | ) | (4,079 | ) | ||||
FARO Technologies, Inc.* | (10 | ) | (644 | ) | ||||
Finisar Corp.* | (565 | ) | (10,763 | ) | ||||
Fitbit, Inc., Class A* | (941 | ) | (5,034 | ) | ||||
Infinera Corp.* | (1,114 | ) | (8,132 | ) | ||||
Knowles Corp.* | (306 | ) | (5,086 | ) | ||||
Littelfuse, Inc. | (2 | ) | (396 | ) | ||||
National Instruments Corp. | (123 | ) | (5,945 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
NetScout Systems, Inc.* | (418 | ) | $ | (10,554 | ) | |||
nLight, Inc.* | (110 | ) | (2,443 | ) | ||||
Quantenna Communications, Inc.* | (174 | ) | (3,210 | ) | ||||
Ribbon Communications, Inc.* | (151 | ) | (1,031 | ) | ||||
TTM Technologies, Inc.* | (496 | ) | (7,891 | ) | ||||
ViaSat, Inc.* | (178 | ) | (11,383 | ) | ||||
|
| |||||||
(112,071 | ) | |||||||
|
| |||||||
Telecommunication Services — (1.3)% |
| |||||||
Boingo Wireless, Inc.* | (19 | ) | (663 | ) | ||||
Cincinnati Bell, Inc.* | (194 | ) | (3,094 | ) | ||||
Cogent Communications Holdings, Inc. | (5 | ) | (279 | ) | ||||
Consolidated Communications Holdings, Inc. | (75 | ) | (978 | ) | ||||
Iridium Communications, Inc.* | (75 | ) | (1,688 | ) | ||||
ORBCOMM, Inc.* | (368 | ) | (3,996 | ) | ||||
Shenandoah Telecommunications Co. | (97 | ) | (3,759 | ) | ||||
Sprint Corp.* | (1,943 | ) | (12,707 | ) | ||||
T-Mobile US, Inc.* | (41 | ) | (2,877 | ) | ||||
Zayo Group Holdings, Inc.* | (65 | ) | (2,257 | ) | ||||
|
| |||||||
(32,298 | ) | |||||||
|
| |||||||
Transportation — (2.9)% | ||||||||
Air Transport Services Group, Inc.* | (239 | ) | (5,131 | ) | ||||
Atlas Air Worldwide Holdings, Inc.* | (164 | ) | (10,455 | ) | ||||
Canadian National Railway Co. (Canada) | (43 | ) | (3,861 | ) | ||||
Canadian Pacific Railway Ltd. (Canada) | (20 | ) | (4,239 | ) | ||||
Hawaiian Holdings, Inc. | (173 | ) | (6,937 | ) | ||||
Hub Group, Inc., Class A* | (11 | ) | (502 | ) | ||||
Kirby Corp.* | (20 | ) | (1,645 | ) | ||||
Ryder System, Inc. | (152 | ) | (11,107 | ) | ||||
Saia, Inc.* | (92 | ) | (7,033 | ) | ||||
SkyWest, Inc. | (62 | ) | (3,652 | ) | ||||
Spirit Airlines, Inc.* | (81 | ) | (3,805 | ) | ||||
US Xpress Enterprises, Inc.* | (160 | ) | (2,208 | ) | ||||
Werner Enterprises, Inc. | (325 | ) | (11,489 | ) | ||||
|
| |||||||
(72,064 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $1,795,375) | (1,723,686 | ) | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
46
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Concluded)
September 30, 2018
Value | ||||
TOTAL SECURITIES SOLD SHORT - (70.2)% | $ | (1,723,686 | ) | |
|
| |||
(Proceeds $1,795,375) | ||||
OTHER ASSETS IN EXCESS OF | $ | 18,090 | ||
|
| |||
NET ASSETS - 100.0% | $ | 2,453,996 | ||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
(See | Note 1 of the Notes to Financial Statements) |
(b) | Security is fair valued by the Advisor under direction of the Board of Trustees. |
* | Non-income producing. |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
47
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
LONG POSITIONS — 140.1% | ||||||||
COMMON STOCKS — 140.1% | ||||||||
Automobiles & Components — 0.8% |
| |||||||
Adient PLC (Ireland)(a) | 54 | $ | 2,123 | |||||
Aptiv PLC (Jersey)† | 5 | 419 | ||||||
BorgWarner, Inc. | 3 | 128 | ||||||
Dana, Inc. | 204 | 3,809 | ||||||
Delphi Technologies PLC (Jersey) | 56 | 1,756 | ||||||
Fiat Chrysler Automobiles NV (Netherlands)†* | 108 | 1,891 | ||||||
Ford Motor Co. | 50 | 462 | ||||||
General Motors Co.† | 25 | 842 | ||||||
Gentex Corp. | 100 | 2,146 | ||||||
Goodyear Tire & Rubber Co. (The) | 5 | 117 | ||||||
Harley-Davidson, Inc.(a) | 3 | 136 | ||||||
Tenneco, Inc., Class A | 129 | 5,436 | ||||||
Thor Industries, Inc.(a) | 78 | 6,529 | ||||||
Visteon Corp.(a) * | 3 | 279 | ||||||
|
| |||||||
26,073 | ||||||||
|
| |||||||
Banks — 0.8% | ||||||||
Bank of America Corp.† | 176 | 5,185 | ||||||
BB&T Corp. | 14 | 680 | ||||||
Citigroup, Inc.† | 44 | 3,157 | ||||||
Citizens Financial Group, Inc. | 8 | 309 | ||||||
Comerica, Inc. | 2 | 180 | ||||||
Fifth Third Bancorp | 9 | 251 | ||||||
Huntington Bancshares, Inc.† | 18 | 269 | ||||||
JPMorgan Chase & Co.† | 62 | 6,996 | ||||||
KeyCorp. | 14 | 278 | ||||||
M&T Bank Corp. | 1 | 165 | ||||||
People’s United Financial, Inc.(a) | 5 | 86 | ||||||
PNC Financial Services Group, Inc. (The) | 8 | 1,090 | ||||||
Regions Financial Corp. | 14 | 257 | ||||||
SunTrust Banks, Inc. | 9 | 601 | ||||||
SVB Financial Group* | 1 | 311 | ||||||
US Bancorp† | 28 | 1,479 | ||||||
Wells Fargo & Co.† | 84 | 4,415 | ||||||
Zions Bancorp NA(a) | 4 | 201 | ||||||
|
| |||||||
25,910 | ||||||||
|
| |||||||
Capital Goods — 16.4% | ||||||||
3M Co.† | 65 | 13,696 | ||||||
Actuant Corp., Class A(a) | 148 | 4,129 | ||||||
AECOM* | 151 | 4,932 | ||||||
Aerovironment, Inc.(a) * | 4 | 449 | ||||||
Allegion PLC (Ireland)(a) | 2 | 181 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Capital Goods — (Continued) | ||||||||
Allison Transmission Holdings, Inc.† | 121 | $ | 6,293 | |||||
Altra Industrial Motion Corp.(a) | 115 | 4,750 | ||||||
American Railcar Industries, Inc. | 31 | 1,429 | ||||||
AMETEK, Inc.† | 5 | 396 | ||||||
AO Smith Corp. | 2 | 107 | ||||||
Apogee Enterprises, Inc.(a) | 10 | 413 | ||||||
Applied Industrial Technologies, Inc. | 106 | 8,294 | ||||||
Arconic, Inc. | 8 | 176 | ||||||
Argan, Inc. | 21 | 903 | ||||||
Armstrong World Industries, Inc.* | 87 | 6,055 | ||||||
Atkore International Group, Inc.* | 342 | 9,073 | ||||||
AZZ, Inc. | 90 | 4,545 | ||||||
Boeing Co. (The)† | 247 | 91,859 | ||||||
Briggs & Stratton Corp. | 226 | 4,346 | ||||||
Caterpillar, Inc.† | 11 | 1,677 | ||||||
Colfax Corp.(a) * | 112 | 4,039 | ||||||
Columbus McKinnon Corp. | 83 | 3,282 | ||||||
Comfort Systems USA, Inc. | 106 | 5,978 | ||||||
Continental Building Products, Inc.* | 139 | 5,219 | ||||||
Cubic Corp. | 9 | 657 | ||||||
Cummins, Inc.† | 3 | 438 | ||||||
Deere & Co. | 6 | 902 | ||||||
Donaldson Co., Inc.(a) | 76 | 4,428 | ||||||
Dover Corp. | 76 | 6,728 | ||||||
Eaton Corp. PLC (Ireland) | 7 | 607 | ||||||
Emerson Electric Co.† | 311 | 23,816 | ||||||
EnPro Industries, Inc. | 107 | 7,804 | ||||||
Esterline Technologies Corp.* | 9 | 819 | ||||||
Fastenal Co.(a) | 6 | 348 | ||||||
Federal Signal Corp. | 107 | 2,865 | ||||||
Flowserve Corp.(a) | 2 | 109 | ||||||
Fluor Corp. | 2 | 116 | ||||||
Fortive Corp.(a) | 45 | 3,789 | ||||||
Fortune Brands Home & Security, Inc. | 3 | 157 | ||||||
Gardner Denver Holdings, Inc.* | 106 | 3,004 | ||||||
General Dynamics Corp. | 6 | 1,228 | ||||||
General Electric Co. | 108 | 1,219 | ||||||
Global Brass & Copper Holdings, Inc. | 82 | 3,026 | ||||||
GrafTech International Ltd. | 244 | 4,760 | ||||||
Harris Corp.† | 59 | 9,983 | ||||||
HD Supply Holdings, Inc.* | 102 | 4,365 | ||||||
Hexcel Corp. | 73 | 4,895 | ||||||
Hillenbrand, Inc. | 146 | 7,636 | ||||||
Honeywell International, Inc.† | 368 | 61,235 |
The accompanying notes are an integral part of the financial statements.
48
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Capital Goods — (Continued) | ||||||||
Huntington Ingalls Industries, Inc. | 2 | $ | 512 | |||||
Illinois Tool Works, Inc.† | 41 | 5,786 | ||||||
Ingersoll-Rand PLC (Ireland) | 5 | 512 | ||||||
Insteel Industries, Inc. | 13 | 466 | ||||||
ITT, Inc. | 62 | 3,798 | ||||||
Jacobs Engineering Group, Inc. | 70 | 5,355 | ||||||
Johnson Controls International PLC (Ireland)† | 16 | 560 | ||||||
Kadant, Inc. | 24 | 2,588 | ||||||
Kaman Corp. | 86 | 5,743 | ||||||
KBR, Inc. | 44 | 930 | ||||||
Kennametal, Inc. | 153 | 6,665 | ||||||
KLX, Inc.* | 73 | 4,583 | ||||||
L3 Technologies, Inc. | 2 | 425 | ||||||
Lincoln Electric Holdings, Inc. | 29 | 2,710 | ||||||
Lockheed Martin Corp. | 5 | 1,730 | ||||||
Masco Corp. | 5 | 183 | ||||||
Masonite International Corp. (Canada)* | 2 | 128 | ||||||
Meritor, Inc.* | 285 | 5,518 | ||||||
Milacron Holdings Corp.* | 21 | 425 | ||||||
MSC Industrial Direct Co., Inc., | 37 | 3,260 | ||||||
National Presto Industries, Inc.(a) | 39 | 5,056 | ||||||
NCI Building Systems, Inc.* | 27 | 409 | ||||||
Nexeo Solutions, Inc.* | 172 | 2,107 | ||||||
Northrop Grumman Corp. | 3 | 952 | ||||||
NV5 Global, Inc.* | 19 | 1,647 | ||||||
nVent Electric PLC (Ireland) | 31 | 842 | ||||||
Oshkosh Corp. | 87 | 6,198 | ||||||
PACCAR, Inc. | 6 | 409 | ||||||
Parker-Hannifin Corp.† | 66 | 12,139 | ||||||
Pentair PLC (Ireland)† | 3 | 130 | ||||||
PGT Innovations, Inc.* | 120 | 2,592 | ||||||
Quanex Building Products Corp. | 89 | 1,620 | ||||||
Quanta Services, Inc.* | 2 | 67 | ||||||
Raytheon Co.† | 6 | 1,240 | ||||||
Regal Beloit Corp. | 21 | 1,731 | ||||||
Rockwell Automation, Inc. | 3 | 563 | ||||||
Rockwell Collins, Inc. | 3 | 421 | ||||||
Roper Technologies, Inc. | 2 | 592 | ||||||
Simpson Manufacturing Co., Inc.(a) | 10 | 725 | ||||||
Snap-on, Inc.(a) | 29 | 5,324 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Capital Goods — (Continued) | ||||||||
Spirit AeroSystems Holdings, Inc., | ||||||||
Class A | 29 | $ | 2,658 | |||||
Standex International Corp. | 25 | 2,606 | ||||||
Stanley Black & Decker, Inc. | 3 | 439 | ||||||
Systemax, Inc.(a) | 13 | 428 | ||||||
Textron, Inc. | 5 | 357 | ||||||
Toro Co. (The) | 55 | 3,298 | ||||||
TransDigm Group, Inc.* | 2 | 745 | ||||||
TriMas Corp.* | 71 | 2,158 | ||||||
United Rentals, Inc.* | 15 | 2,454 | ||||||
United Technologies Corp. | 394 | 55,085 | ||||||
Valmont Industries, Inc.(a) | 46 | 6,371 | ||||||
Wabash National Corp.(a) | 315 | 5,742 | ||||||
WABCO Holdings, Inc.* | 13 | 1,533 | ||||||
WESCO International, Inc.* | 57 | 3,503 | ||||||
WW Grainger, Inc.†(a) | 30 | 10,722 | ||||||
Xylem, Inc. | 4 | 319 | ||||||
|
| |||||||
532,214 | ||||||||
|
| |||||||
Commercial & Professional Services — 2.5% |
| |||||||
ABM Industries, Inc.(a) | 162 | 5,224 | ||||||
Brink’s Co. (The)(a) | 18 | 1,256 | ||||||
CBIZ, Inc.* | 191 | 4,527 | ||||||
Cintas Corp. | 2 | 396 | ||||||
Copart, Inc.* | 7 | 361 | ||||||
Covanta Holding Corp.(a) | 118 | 1,918 | ||||||
Deluxe Corp.(a) | 74 | 4,214 | ||||||
Dun & Bradstreet Corp. (The) | 22 | 3,135 | ||||||
Equifax, Inc. | 1 | 131 | ||||||
Heidrick & Struggles International, Inc. | 2 | 68 | ||||||
IHS Markit Ltd. (Bermuda)* | 4 | 216 | ||||||
KAR Auction Services, Inc. | 82 | 4,895 | ||||||
Kelly Services, Inc., Class A | 6 | 144 | ||||||
Kforce, Inc. | 40 | 1,504 | ||||||
Kimball International, Inc., Class B | 6 | 100 | ||||||
ManpowerGroup, Inc. | 64 | 5,501 | ||||||
Matthews International Corp., | 81 | 4,062 | ||||||
Navigant Consulting, Inc. | 189 | 4,358 | ||||||
Nielsen Holdings PLC (United Kingdom)(a) | 6 | 166 | ||||||
Pitney Bowes, Inc. | 464 | 3,285 | ||||||
Republic Services, Inc. | 5 | 363 |
The accompanying notes are an integral part of the financial statements.
49
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Ritchie Bros Auctioneers, Inc. (Canada) | 94 | $ | 3,396 | |||||
Robert Half International, Inc. | 61 | 4,293 | ||||||
SP Plus Corp.* | 61 | 2,226 | ||||||
Tetra Tech, Inc. | 120 | 8,196 | ||||||
Verisk Analytics, Inc.* | 2 | 241 | ||||||
Waste Management, Inc.† | 189 | 17,078 | ||||||
|
| |||||||
81,254 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.9% |
| |||||||
Acushnet Holdings Corp.(a) | 28 | 768 | ||||||
American Outdoor Brands Corp.* | 288 | 4,473 | ||||||
Carter’s, Inc.(a) | 34 | 3,352 | ||||||
Cavco Industries, Inc.* | 24 | 6,072 | ||||||
DR Horton, Inc. | 6 | 253 | ||||||
Fossil Group, Inc.(a)* | 140 | 3,259 | ||||||
Garmin Ltd. (Switzerland) | 94 | 6,585 | ||||||
G-III Apparel Group Ltd.(a)* | 35 | 1,687 | ||||||
Hanesbrands, Inc.(a) | 6 | 111 | ||||||
Hasbro, Inc.(a) | 3 | 315 | ||||||
Helen of Troy Ltd. (Bermuda)* | 29 | 3,796 | ||||||
Johnson Outdoors, Inc., Class A | 18 | 1,674 | ||||||
La-Z-Boy, Inc. | 31 | 980 | ||||||
Leggett & Platt, Inc.(a) | 2 | 88 | ||||||
Lennar Corp., Class A† | 40 | 1,868 | ||||||
Mattel, Inc.(a)* | 5 | 78 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 3 | 206 | ||||||
Mohawk Industries, Inc* | 1 | 175 | ||||||
Movado Group, Inc.(a) | 18 | 754 | ||||||
Newell Brands, Inc.(a) | 8 | 162 | ||||||
NIKE, Inc., Class B | 20 | 1,694 | ||||||
Oxford Industries, Inc. | 34 | 3,067 | ||||||
PulteGroup, Inc.(a) | 5 | 124 | ||||||
PVH Corp. | 2 | 289 | ||||||
Ralph Lauren Corp. | 3 | 413 | ||||||
Roku, Inc.(a)* | 102 | 7,449 | ||||||
Skechers U.S.A., Inc., Class A(a)* | 210 | 5,865 | ||||||
Tapestry, Inc. | 6 | 302 | ||||||
Under Armour, Inc., Class C(a)* | 7 | 136 | ||||||
VF Corp. | 8 | 748 | ||||||
Vista Outdoor, Inc.* | 28 | 501 | ||||||
Whirlpool Corp. | 31 | 3,681 | ||||||
|
| |||||||
60,925 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Consumer Services — 2.3% | ||||||||
Adtalem Global Education, Inc.(a) * | 17 | $ | 819 | |||||
BJ’s Restaurants, Inc.(a) | 62 | 4,476 | ||||||
Bojangles’, Inc.(a)* | 96 | 1,507 | ||||||
Brinker International, Inc. | 59 | 2,757 | ||||||
Career Education Corp.* | 68 | 1,015 | ||||||
Carnival Corp. (Panama)† | 13 | 829 | ||||||
Chipotle Mexican Grill, Inc.* | 1 | 455 | ||||||
Churchill Downs, Inc. | 5 | 1,388 | ||||||
Darden Restaurants, Inc. | 3 | 334 | ||||||
Denny’s Corp.* | 180 | 2,650 | ||||||
Eldorado Resorts, Inc.(a) * | 41 | 1,993 | ||||||
Graham Holdings Co., Class B | 11 | 6,372 | ||||||
H&R Block, Inc.†(a) | 25 | 644 | ||||||
Hilton Worldwide Holdings, Inc.† | 6 | 485 | ||||||
Hyatt Hotels Corp., Class A† | 92 | 7,322 | ||||||
Jack in the Box, Inc. | 41 | 3,437 | ||||||
K12, Inc.* | 149 | 2,637 | ||||||
Las Vegas Sands Corp. | 4 | 237 | ||||||
Laureate Education, Inc., Class A* | 283 | 4,370 | ||||||
Marriott International, Inc., Class A | 7 | 924 | ||||||
McDonald’s Corp.† | 15 | 2,509 | ||||||
MGM Resorts International | 7 | 195 | ||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | 2 | 115 | ||||||
Papa John’s International, Inc.(a) | 122 | 6,256 | ||||||
Regis Corp.* | 17 | 347 | ||||||
Restaurant Brands International, Inc. (Canada) | 27 | 1,601 | ||||||
Royal Caribbean Cruises Ltd. (Liberia) | 4 | 520 | ||||||
Ruth’s Hospitality Group, Inc. | 53 | 1,672 | ||||||
Starbucks Corp. | 17 | 966 | ||||||
Stars Group, Inc. (The) (Canada)†* | 200 | 4,980 | ||||||
Vail Resorts, Inc. | 22 | 6,037 | ||||||
Weight Watchers International, Inc.(a)* | 57 | 4,103 | ||||||
Wyndham Hotels & Resorts, Inc. | 1 | 56 | ||||||
Wynn Resorts Ltd. | 1 | 127 | ||||||
Yum! Brands, Inc.† | 7 | 636 | ||||||
|
| |||||||
74,771 | ||||||||
|
| |||||||
Diversified Financials — 4.6% | ||||||||
Affiliated Managers Group, Inc. | 16 | 2,188 | ||||||
American Express Co. | 14 | 1,491 | ||||||
Ameriprise Financial, Inc. | 1 | 148 |
The accompanying notes are an integral part of the financial statements.
50
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Diversified Financials — (Continued) |
| |||||||
Bank of New York Mellon | 17 | $ | 867 | |||||
Berkshire Hathaway, Inc., Class B†* | 219 | 46,890 | ||||||
BlackRock, Inc.† | 54 | 25,452 | ||||||
Capital One Financial Corp. | 9 | 854 | ||||||
Cboe Global Markets, Inc. | 3 | 288 | ||||||
Charles Schwab Corp. (The)† | 23 | 1,130 | ||||||
CME Group, Inc.† | 7 | 1,191 | ||||||
Discover Financial Services | 7 | 535 | ||||||
E*TRADE Financial Corp.* | 5 | 262 | ||||||
Franklin Resources, Inc.† | 10 | 304 | ||||||
Goldman Sachs Group, Inc. (The) | 6 | 1,345 | ||||||
Intercontinental Exchange, Inc.† | 11 | 824 | ||||||
Invesco Ltd. (Bermuda)† | 8 | 183 | ||||||
Jefferies Financial Group, Inc. | 6 | 132 | ||||||
Moody’s Corp.† | 96 | 16,051 | ||||||
Morgan Stanley† | 31 | 1,444 | ||||||
MSCI, Inc. | 1 | 177 | ||||||
Nasdaq, Inc.† | 83 | 7,121 | ||||||
Northern Trust Corp. | 3 | 306 | ||||||
Raymond James Financial, Inc. | 3 | 276 | ||||||
S&P Global, Inc.† | 125 | 24,424 | ||||||
State Street Corp. | 7 | 586 | ||||||
Synchrony Financial† | 13 | 404 | ||||||
T Rowe Price Group, Inc.† | 124 | 13,538 | ||||||
|
| |||||||
148,411 | ||||||||
|
| |||||||
Energy — 8.6% | ||||||||
Anadarko Petroleum Corp. | 6 | 404 | ||||||
Andeavor | 3 | 460 | ||||||
Apache Corp.(a) | 6 | 286 | ||||||
Archrock, Inc. | 1 | 12 | ||||||
Cabot Oil & Gas Corp. | 8 | 180 | ||||||
Cameco Corp. (Canada)† | 24 | 274 | ||||||
Cenovus Energy, Inc. (Canada) | 37 | 371 | ||||||
Chevron Corp.† | 289 | 35,339 | ||||||
Cimarex Energy Co.(a) | 1 | 93 | ||||||
Concho Resources, Inc.* | 1 | 153 | ||||||
ConocoPhillips† | 607 | 46,982 | ||||||
CONSOL Energy, Inc.* | 64 | 2,612 | ||||||
CVR Energy, Inc. | 226 | 9,090 | ||||||
Devon Energy Corp. | 45 | 1,797 | ||||||
Enbridge, Inc. (Canada) | 86 | 2,777 | ||||||
EOG Resources, Inc. | 7 | 893 | ||||||
EQT Corp. | 3 | 133 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Energy — (Continued) | ||||||||
Exxon Mobil Corp.† | 606 | $ | 51,522 | |||||
FTS International, Inc.* | 127 | 1,497 | ||||||
Halliburton Co. | 15 | 608 | ||||||
Helix Energy Solutions Group, Inc.* | 103 | 1,018 | ||||||
Helmerich & Payne, Inc. | 1 | 69 | ||||||
Hess Corp.† | 132 | 9,449 | ||||||
HollyFrontier Corp. | 88 | 6,151 | ||||||
Imperial Oil Ltd. (Canada) | 138 | 4,467 | ||||||
Keane Group, Inc.* | 38 | 470 | ||||||
Kinder Morgan, Inc. | 28 | 496 | ||||||
Mammoth Energy Services, Inc.† | 161 | 4,685 | ||||||
Marathon Oil Corp.† | 423 | 9,847 | ||||||
Marathon Petroleum Corp. | 9 | 720 | ||||||
Matrix Service Co.* | 152 | 3,747 | ||||||
McDermott International, Inc. (Panama)(a)* | 112 | 2,064 | ||||||
Nabors Industries Ltd. (Bermuda)(a) | 618 | 3,807 | ||||||
National Oilwell Varco, Inc. | 7 | 302 | ||||||
NCS Multistage Holdings, Inc.(a)* | 67 | 1,106 | ||||||
Newfield Exploration Co.* | 3 | 86 | ||||||
Noble Corp. PLC (United Kingdom)(a)* | 963 | 6,770 | ||||||
Noble Energy, Inc.†(a) | 9 | 281 | ||||||
Occidental Petroleum Corp. | 15 | 1,233 | ||||||
Oil States International, Inc.* | 2 | 66 | ||||||
ONEOK, Inc. | 7 | 475 | ||||||
Pembina Pipeline Corp. (Canada) | 62 | 2,107 | ||||||
Phillips 66† | 249 | 28,067 | ||||||
Pioneer Natural Resources Co. | 2 | 348 | ||||||
Precision Drilling Corp. (Canada)* | 1,361 | 4,709 | ||||||
ProPetro Holding Corp.(a)* | 54 | 890 | ||||||
Renewable Energy Group, Inc.†* | 357 | 10,282 | ||||||
RPC, Inc.† | 455 | 7,043 | ||||||
Schlumberger Ltd. (Curacao)† | 24 | 1,462 | ||||||
SEACOR Holdings, Inc.(a)* | 12 | 593 | ||||||
TechnipFMC PLC (United Kingdom) | 8 | 250 | ||||||
Tidewater, Inc.(a)* | 160 | 4,990 | ||||||
TransCanada Corp. (Canada) | 1 | 40 | ||||||
Valero Energy Corp.† | 8 | 910 | ||||||
Weatherford International PLC (Ireland)(a)* | 1,194 | 3,236 | ||||||
Williams Cos., Inc. (The) | 11 | 299 | ||||||
|
| |||||||
278,018 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
51
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Food & Staples Retailing — 4.7% | ||||||||
BJ’s Wholesale Club Holdings, Inc.* | 83 | $ | 2,223 | |||||
Costco Wholesale Corp. | 5 | 1,174 | ||||||
Kroger Co. (The)† | 439 | 12,779 | ||||||
SpartanNash Co. | 56 | 1,123 | ||||||
SUPERVALU, Inc.(a)* | 121 | 3,899 | ||||||
Sysco Corp.† | 258 | 18,898 | ||||||
US Foods Holding Corp.* | 72 | 2,219 | ||||||
Walgreens Boots Alliance, Inc.† | 20 | 1,458 | ||||||
Walmart, Inc.† | 1,107 | 103,958 | ||||||
Weis Markets, Inc.(a) | 84 | 3,646 | ||||||
|
| |||||||
151,377 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 6.6% | ||||||||
Altria Group, Inc.† | 724 | 43,664 | ||||||
Archer-Daniels-Midland Co.† | 280 | 14,076 | ||||||
B&G Foods, Inc.(a) | 59 | 1,620 | ||||||
Brown-Forman Corp., Class B | 6 | 303 | ||||||
Campbell Soup Co.(a) | 5 | 183 | ||||||
Coca-Cola Co. (The)† | 74 | 3,418 | ||||||
Conagra Brands, Inc. | 8 | 272 | ||||||
Constellation Brands, Inc., Class A | 2 | 431 | ||||||
Dean Foods Co.(a) | 202 | 1,434 | ||||||
Flowers Foods, Inc. | 159 | 2,967 | ||||||
Fresh Del Monte Produce, Inc. (Cayman Islands) | 12 | 407 | ||||||
General Mills, Inc.† | 11 | 472 | ||||||
Hain Celestial Group, Inc. (The)(a)* | 318 | 8,624 | ||||||
Hershey Co. (The)† | 4 | 408 | ||||||
Hormel Foods Corp.(a) | 9 | 355 | ||||||
Hostess Brands, Inc.* | 41 | 454 | ||||||
Ingredion, Inc.† | 36 | 3,779 | ||||||
JM Smucker Co. (The)(a) | 3 | 308 | ||||||
Kellogg Co. | 5 | 350 | ||||||
Kraft Heinz Co. (The)† | 206 | 11,353 | ||||||
Lamb Weston Holdings, Inc. | 5 | 333 | ||||||
Lancaster Colony Corp. | 1 | 149 | ||||||
McCormick & Co., Inc., non-voting shares(a) | 2 | 264 | ||||||
Molson Coors Brewing Co., Class B | 3 | 184 | ||||||
Mondelez International, Inc., Class A . | 19 | 816 | ||||||
Monster Beverage Corp.* | 10 | 583 | ||||||
National Beverage Corp.(a)* | 11 | 1,283 | ||||||
PepsiCo, Inc.† | 311 | 34,770 | ||||||
Philip Morris International, Inc.† | 770 | 62,786 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Pilgrim’s Pride Corp.* | 532 | $ | 9,624 | |||||
Pinnacle Foods, Inc. | 2 | 130 | ||||||
Post Holdings, Inc.* | 28 | 2,745 | ||||||
TreeHouse Foods, Inc.* | 31 | 1,483 | ||||||
Tyson Foods, Inc., Class A† | 7 | 417 | ||||||
Vector Group Ltd.(a) | 148 | 2,039 | ||||||
|
| |||||||
212,484 | ||||||||
|
| |||||||
Health Care Equipment & Services — 13.1% |
| |||||||
Abbott Laboratories† | 31 | 2,274 | ||||||
ABIOMED, Inc.* | 2 | 900 | ||||||
Acadia Healthcare Co., Inc.(a)* | 34 | 1,197 | ||||||
Aetna, Inc.† | 163 | 33,065 | ||||||
Align Technology, Inc.* | 1 | 391 | ||||||
Allscripts Healthcare Solutions, Inc.* | 555 | 7,909 | ||||||
Amedisys, Inc.* | 11 | 1,375 | ||||||
AmerisourceBergen Corp. | 4 | 369 | ||||||
AMN Healthcare Services, Inc.(a)* | 91 | 4,978 | ||||||
AngioDynamics, Inc.* | 90 | 1,957 | ||||||
Anthem, Inc.† | 126 | 34,530 | ||||||
Avanos Medical, Inc.* | 115 | 7,878 | ||||||
Baxter International, Inc. | 7 | 540 | ||||||
Becton Dickinson and Co. | 3 | 783 | ||||||
Boston Scientific Corp.* | 18 | 693 | ||||||
Cantel Medical Corp. | 15 | 1,381 | ||||||
Cardinal Health, Inc. | 155 | 8,370 | ||||||
Cardiovascular Systems, Inc.* | 29 | 1,135 | ||||||
Centene Corp.†* | 75 | 10,858 | ||||||
Cerner Corp.* | 4 | 258 | ||||||
Chemed Corp. | 15 | 4,794 | ||||||
Cigna Corp.† | 126 | 26,240 | ||||||
CONMED Corp. | 103 | 8,160 | ||||||
Cooper Cos., Inc. (The) | 2 | 554 | ||||||
CryoLife, Inc.(a)* | 55 | 1,936 | ||||||
CVS Health Corp.† | 30 | 2,362 | ||||||
Danaher Corp.† | 86 | 9,345 | ||||||
DaVita, Inc.* | 4 | 287 | ||||||
DENTSPLY SIRONA, Inc. | 3 | 113 | ||||||
Edwards Lifesciences Corp.* | 2 | 348 | ||||||
Encompass Health Corp. | 41 | 3,196 | ||||||
Envision Healthcare Corp.* | 61 | 2,790 | ||||||
Express Scripts Holding Co.* | 10 | 950 | ||||||
Globus Medical, Inc., Class A* | 28 | 1,589 | ||||||
Haemonetics Corp.* | 2 | 229 |
The accompanying notes are an integral part of the financial statements.
52
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
HCA Healthcare, Inc.† | 138 | $ | 19,199 | |||||
HealthStream, Inc. | 112 | 3,473 | ||||||
Henry Schein, Inc.(a)* | 1 | 85 | ||||||
Hill-Rom Holdings, Inc.† | 77 | 7,269 | ||||||
HMS Holdings Corp.* | 169 | 5,545 | ||||||
Hologic, Inc.* | 3 | 123 | ||||||
Humana, Inc.† | 69 | 23,358 | ||||||
IDEXX Laboratories, Inc.* | 1 | 250 | ||||||
Integer Holdings Corp.* | 70 | 5,806 | ||||||
Integra LifeSciences Holdings Corp.* | 35 | 2,305 | ||||||
Intuitive Surgical, Inc.* | 1 | 574 | ||||||
Laboratory Corp. of America Holdings†* | 52 | 9,031 | ||||||
LeMaitre Vascular, Inc.(a) | 2 | 77 | ||||||
Masimo Corp.* | 38 | 4,733 | ||||||
McKesson Corp. | 3 | 398 | ||||||
Medtronic PLC (Ireland)† | 669 | 65,810 | ||||||
Meridian Bioscience, Inc. | 26 | 387 | ||||||
NextGen Healthcare, Inc.* | 59 | 1,185 | ||||||
NuVasive, Inc.* | 15 | 1,065 | ||||||
NxStage Medical, Inc.* | 137 | 3,821 | ||||||
Omnicell, Inc.(a)* | 33 | 2,373 | ||||||
Patterson Cos., Inc.(a) | 269 | 6,577 | ||||||
PetIQ, Inc.* | 22 | 865 | ||||||
Quest Diagnostics, Inc. | 3 | 324 | ||||||
Quidel Corp.* | 85 | 5,539 | ||||||
ResMed, Inc. | 1 | 115 | ||||||
STERIS PLC (United Kingdom)† | 72 | 8,237 | ||||||
Stryker Corp. | 4 | 711 | ||||||
Tabula Rasa HealthCare, Inc.(a)* | 6 | 487 | ||||||
Teleflex, Inc. | 12 | 3,193 | ||||||
Tenet Healthcare Corp.(a)* | 15 | 427 | ||||||
Tivity Health, Inc.(a)* | 117 | 3,762 | ||||||
UnitedHealth Group, Inc.† | 155 | 41,236 | ||||||
Universal Health Services, Inc., | 2 | 256 | ||||||
Varex Imaging Corp.(a)* | 59 | 1,691 | ||||||
Varian Medical Systems, Inc.* | 2 | 224 | ||||||
WellCare Health Plans, Inc.* | 23 | 7,371 | ||||||
West Pharmaceutical Services, Inc. | 34 | 4,198 | ||||||
Zimmer Biomet Holdings, Inc. | 4 | 526 | ||||||
|
| |||||||
426,340 | ||||||||
|
| |||||||
Household & Personal Products — 3.9% |
| |||||||
Church & Dwight Co., Inc.(a) | 53 | 3,147 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — (Continued) |
| |||||||
Clorox Co. (The) | 4 | $ | 602 | |||||
Colgate-Palmolive Co.† | 433 | 28,989 | ||||||
Coty, Inc., Class A(a) | 10 | 126 | ||||||
Edgewell Personal Care Co.(a)* | 30 | 1,387 | ||||||
Energizer Holdings, Inc.(a) | 133 | 7,800 | ||||||
Estee Lauder Cos., Inc. (The), | 7 | 1,017 | ||||||
Kimberly-Clark Corp.† | 149 | 16,932 | ||||||
Procter & Gamble Co. (The)† | 815 | 67,832 | ||||||
|
| |||||||
127,832 | ||||||||
|
| |||||||
Insurance — 0.9% | ||||||||
Aflac, Inc. | 10 | 471 | ||||||
Allstate Corp. (The) | 6 | 592 | ||||||
American International Group, Inc. | 12 | 639 | ||||||
Aon PLC (United Kingdom) | 5 | 769 | ||||||
Arthur J Gallagher & Co. | 91 | 6,774 | ||||||
Assurant, Inc. | 1 | 108 | ||||||
Brighthouse Financial, Inc.* | 3 | 133 | ||||||
Chubb Ltd. (Switzerland) | 5 | 668 | ||||||
Cincinnati Financial Corp. | 2 | 154 | ||||||
Everest Re Group Ltd. (Bermuda) | 2 | 457 | ||||||
Hartford Financial Services Group, Inc. (The) | 5 | 250 | ||||||
Lincoln National Corp. | 2 | 135 | ||||||
Loews Corp. | 5 | 251 | ||||||
Marsh & McLennan Cos., Inc. | 9 | 744 | ||||||
MetLife, Inc. | 13 | 607 | ||||||
Principal Financial Group, Inc. | 5 | 293 | ||||||
Progressive Corp. (The)† | 189 | 13,427 | ||||||
Prudential Financial, Inc. | 5 | 507 | ||||||
Torchmark Corp. | 2 | 173 | ||||||
Travelers Cos., Inc. (The) | 5 | 649 | ||||||
Unum Group | 3 | 117 | ||||||
Willis Towers Watson PLC (Ireland) | 1 | 141 | ||||||
|
| |||||||
28,059 | ||||||||
|
| |||||||
Materials — 4.6% | ||||||||
A. Schulman, Inc. CVR(b)* | 141 | 282 | ||||||
Air Products & Chemicals, Inc. | 4 | 668 | ||||||
Albemarle Corp.(a) | 1 | 100 | ||||||
AptarGroup, Inc. | 32 | 3,448 | ||||||
Ashland Global Holdings, Inc. | 15 | 1,258 | ||||||
Avery Dennison Corp. | 10 | 1,084 | ||||||
Balchem Corp. | 3 | 336 |
The accompanying notes are an integral part of the financial statements.
53
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Materials — (Continued) | ||||||||
Ball Corp.(a) | 6 | $ | 264 | |||||
Bemis Co., Inc. | 139 | 6,755 | ||||||
Celanese Corp.† | 82 | 9,348 | ||||||
CF Industries Holdings, Inc. | 5 | 272 | ||||||
Chemours Co. (The) | 32 | 1,262 | ||||||
Domtar Corp. | 167 | 8,712 | ||||||
DowDuPont, Inc. | 43 | 2,765 | ||||||
Eagle Materials, Inc. | 61 | 5,200 | ||||||
Eastman Chemical Co. | 3 | 287 | ||||||
Ecolab, Inc. | 6 | 941 | ||||||
FMC Corp. | 67 | 5,841 | ||||||
Freeport-McMoRan, Inc.† | 179 | 2,492 | ||||||
FutureFuel Corp. | 49 | 908 | ||||||
Greif, Inc., Class A | 93 | 4,990 | ||||||
HB Fuller Co.(a) | 30 | 1,550 | ||||||
International Flavors & Fragrances, Inc.(a) | 2 | 278 | ||||||
International Paper Co.† | 8 | 393 | ||||||
KMG Chemicals, Inc. | 22 | 1,662 | ||||||
Kraton Corp.†* | 20 | 943 | ||||||
Kronos Worldwide, Inc. | 64 | 1,040 | ||||||
Louisiana-Pacific Corp. | 250 | 6,622 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 200 | 20,502 | ||||||
Martin Marietta Materials, Inc.(a) | 1 | 182 | ||||||
Methanex Corp. (Canada)† | 62 | 4,904 | ||||||
Mosaic Co. (The) | 5 | 162 | ||||||
Myers Industries, Inc. | 7 | 163 | ||||||
Neenah Paper, Inc.(a) | 4 | 345 | ||||||
NewMarket Corp.(a) | 8 | 3,244 | ||||||
Newmont Mining Corp.† | 9 | 272 | ||||||
Norbord, Inc. (Canada) | 53 | 1,758 | ||||||
Nucor Corp. | 6 | 381 | ||||||
Owens-Illinois, Inc.* | 4 | 75 | ||||||
Packaging Corp. of America | 2 | 219 | ||||||
PolyOne Corp. | 64 | 2,798 | ||||||
PPG Industries, Inc. | 5 | 546 | ||||||
Praxair, Inc.† | 6 | 964 | ||||||
Rayonier Advanced Materials, Inc.(a) | 326 | 6,008 | ||||||
RPM International, Inc. | 127 | 8,247 | ||||||
Schweitzer-Mauduit International, Inc. | 37 | 1,417 | ||||||
Scotts Miracle-Gro Co. (The)(a) | 81 | 6,377 | ||||||
Sealed Air Corp. | 52 | 2,088 | ||||||
Sherwin-Williams Co. (The) | 2 | 910 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Materials — (Continued) | ||||||||
Stepan Co. | 5 | $ | 435 | |||||
Tredegar Corp. | 96 | 2,078 | ||||||
US Concrete, Inc.* | 49 | 2,247 | ||||||
Verso Corp., Class A†* | 155 | 5,219 | ||||||
Vulcan Materials Co. | 1 | 111 | ||||||
Westlake Chemical Corp. | 26 | 2,161 | ||||||
WestRock Co. | 124 | 6,627 | ||||||
|
| |||||||
150,141 | ||||||||
|
| |||||||
Media — 5.1% | ||||||||
AMC Entertainment Holdings, Inc., | ||||||||
Class A | 227 | 4,654 | ||||||
CBS Corp., Class B, non-voting shares | 6 | 345 | ||||||
Charter Communications, Inc., | 2 | 652 | ||||||
Cinemark Holdings, Inc.†(a) | 230 | 9,246 | ||||||
Comcast Corp., Class A† | 84 | 2,974 | ||||||
Discovery, Inc., Class A†* | 13 | 416 | ||||||
DISH Network Corp., Class A* | 157 | 5,614 | ||||||
Emerald Expositions Events, Inc. | 2 | 33 | ||||||
Gannett Co., Inc.(a) | 246 | 2,462 | ||||||
Interpublic Group of Cos., Inc. (The) | 193 | 4,414 | ||||||
Loral Space & Communications, Inc.* | 12 | 545 | ||||||
Marcus Corp. (The) | 81 | 3,406 | ||||||
MSG Networks, Inc., Class A* | 125 | 3,225 | ||||||
New Media Investment Group, Inc. | 197 | 3,091 | ||||||
News Corp., Class A† | 289 | 3,812 | ||||||
Omnicom Group, Inc. | 4 | 272 | ||||||
Scholastic Corp. | 49 | 2,288 | ||||||
Shaw Communications, Inc., Class B (Canada) | 103 | 2,007 | ||||||
Sinclair Broadcast Group, Inc., Class A | 166 | 4,706 | ||||||
Tribune Media Co., Class A | 56 | 2,152 | ||||||
Twenty-First Century Fox, Inc., | 918 | 42,531 | ||||||
Viacom, Inc., Class B | 7 | 236 | ||||||
Walt Disney Co. (The)† | 563 | 65,837 | ||||||
|
| |||||||
164,918 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 6.7% |
| |||||||
AbbVie, Inc.† | 146 | 13,809 | ||||||
Agilent Technologies, Inc. | 3 | 212 | ||||||
Alexion Pharmaceuticals, Inc.* | 2 | 278 |
The accompanying notes are an integral part of the financial statements.
54
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Allergan PLC (Ireland) | 4 | $ | 762 | |||||
Amgen, Inc.† | 61 | 12,645 | ||||||
Biogen, Inc.†* | 6 | 2,120 | ||||||
Bio-Rad Laboratories, Inc., Class A* | 7 | 2,191 | ||||||
Bristol-Myers Squibb Co.† | 29 | 1,800 | ||||||
Bruker Corp.† | 171 | 5,720 | ||||||
Catalent, Inc.* | 15 | 683 | ||||||
Celgene Corp.†* | 331 | 29,621 | ||||||
Corcept Therapeutics, Inc.(a)* | 57 | 799 | ||||||
Eli Lilly & Co.† | 19 | 2,039 | ||||||
Enanta Pharmaceuticals, Inc.* | 12 | 1,026 | ||||||
Exelixis, Inc.* | 40 | 709 | ||||||
Genomic Health, Inc.* | 2 | 140 | ||||||
Gilead Sciences, Inc.† | 82 | 6,331 | ||||||
Illumina, Inc.* | 1 | 367 | ||||||
Incyte Corp.* | 2 | 138 | ||||||
Innoviva, Inc.(a)* | 41 | 625 | ||||||
IQVIA Holdings, Inc.* | 2 | 259 | ||||||
Jazz Pharmaceuticals PLC | 22 | 3,699 | ||||||
Johnson & Johnson† | 615 | 84,975 | ||||||
Ligand Pharmaceuticals, Inc.(a)* | 7 | 1,921 | ||||||
Loxo Oncology, Inc.(a)* | 1 | 171 | ||||||
Mallinckrodt PLC (Ireland)* | 6 | 176 | ||||||
Medpace Holdings, Inc.* | 19 | 1,138 | ||||||
Merck & Co., Inc.† | 50 | 3,547 | ||||||
Mettler-Toledo International, Inc.* | 1 | 609 | ||||||
Mylan NV (Netherlands)* | 9 | 329 | ||||||
Nektar Therapeutics(a)* | 84 | 5,121 | ||||||
Neurocrine Biosciences, Inc.(a)* | 13 | 1,598 | ||||||
PerkinElmer, Inc.(a) | 1 | 97 | ||||||
Perrigo Co. PLC (Ireland)(a) | 1 | 71 | ||||||
Pfizer, Inc.† | 129 | 5,685 | ||||||
Phibro Animal Health Corp., Class A | 15 | 644 | ||||||
PRA Health Sciences, Inc.†* | 86 | 9,476 | ||||||
Prestige Consumer Healthcare, | 13 | 493 | ||||||
QIAGEN NV (Netherlands)* | 246 | 9,318 | ||||||
Regeneron Pharmaceuticals, Inc.* | 3 | 1,212 | ||||||
REGENXBIO, Inc.* | 26 | 1,963 | ||||||
Repligen Corp.(a) * | 4 | 222 | ||||||
Sarepta Therapeutics, Inc.(a)* | 8 | 1,292 | ||||||
Seattle Genetics, Inc.* | 2 | 154 | ||||||
Thermo Fisher Scientific, Inc. | 4 | 976 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Vertex Pharmaceuticals, Inc.* | 3 | $ | 578 | |||||
Waters Corp.* | 2 | 389 | ||||||
Zoetis, Inc.† | 9 | 824 | ||||||
|
| |||||||
218,952 | ||||||||
|
| |||||||
Real Estate — 0.3% | ||||||||
Alexandria Real Estate Equities, Inc., REIT | 2 | 252 | ||||||
American Tower Corp., REIT | 5 | 726 | ||||||
Apartment Investment & Management Co., Class A, REIT | 2 | 88 | ||||||
AvalonBay Communities, Inc., REIT | 3 | 543 | ||||||
Boston Properties, Inc., REIT | 1 | 123 | ||||||
CBRE Group, Inc., Class A* | 7 | 309 | ||||||
Crown Castle International Corp., REIT | 5 | 557 | ||||||
Digital Realty Trust, Inc., REIT | 4 | 450 | ||||||
Duke Realty Corp., REIT | 5 | 142 | ||||||
Equinix, Inc., REIT | 1 | 433 | ||||||
Equity Residential, REIT | 5 | 331 | ||||||
Essex Property Trust, Inc., REIT | 2 | 493 | ||||||
Extra Space Storage, Inc., REIT | 3 | 260 | ||||||
Federal Realty Investment Trust, REIT | 1 | 126 | ||||||
HCP, Inc., REIT | 6 | 158 | ||||||
Host Hotels & Resorts, Inc., REIT | 13 | 274 | ||||||
Iron Mountain, Inc., REIT(a) | 4 | 138 | ||||||
Kimco Realty Corp., REIT | 7 | 117 | ||||||
Macerich Co. (The), REIT | 3 | 166 | ||||||
Mid-America Apartment Communities, Inc., REIT | 2 | 200 | ||||||
Prologis, Inc., REIT | 6 | 407 | ||||||
Public Storage, REIT | 2 | 403 | ||||||
Realty Income Corp., REIT(a) | 5 | 284 | ||||||
Regency Centers Corp., REIT | 3 | 194 | ||||||
SBA Communications Corp., REIT* | 1 | 161 | ||||||
Simon Property Group, Inc., REIT | 6 | 1,060 | ||||||
SL Green Realty Corp., REIT | 2 | 195 | ||||||
UDR, Inc., REIT | 4 | 162 | ||||||
Ventas, Inc., REIT | 5 | 272 | ||||||
Vornado Realty Trust, REIT | 2 | 146 | ||||||
Welltower, Inc., REIT | 5 | 322 | ||||||
Weyerhaeuser Co., REIT† | 13 | 420 | ||||||
|
| |||||||
9,912 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
55
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Retailing — 14.1% | ||||||||
Aaron’s, Inc. | 80 | $ | 4,357 | |||||
Advance Auto Parts, Inc.† | 38 | 6,397 | ||||||
Amazon.com, Inc.†* | 56 | 112,168 | ||||||
American Eagle Outfitters, Inc. | 198 | 4,916 | ||||||
Asbury Automotive Group, Inc.(a)* | 102 | 7,012 | ||||||
Ascena Retail Group, Inc.* | 365 | 1,668 | ||||||
AutoNation, Inc.* | 27 | 1,122 | ||||||
AutoZone, Inc.* | 2 | 1,551 | ||||||
Best Buy Co., Inc. | 8 | 635 | ||||||
Booking Holdings, Inc.†* | 24 | 47,616 | ||||||
Buckle, Inc. (The)(a) | 4 | 92 | ||||||
CarMax, Inc.(a)* | 3 | 224 | ||||||
Chico’s FAS, Inc.(a) | 175 | 1,517 | ||||||
Core-Mark Holding Co., Inc. | 217 | 7,369 | ||||||
Dick’s Sporting Goods, Inc.(a) | 68 | 2,413 | ||||||
Dollar General Corp.† | 132 | 14,428 | ||||||
Dollar Tree, Inc.* | 5 | 408 | ||||||
Duluth Holdings, Inc., Class B* | 3 | 94 | ||||||
Expedia Group, Inc. | 3 | 391 | ||||||
Foot Locker, Inc. | 57 | 2,906 | ||||||
Gap, Inc. (The)† | 7 | 202 | ||||||
Genesco, Inc.(a)* | 58 | 2,732 | ||||||
Genuine Parts Co. | 73 | 7,256 | ||||||
Group 1 Automotive, Inc. | 3 | 195 | ||||||
Groupon, Inc.* | 227 | 856 | ||||||
Home Depot, Inc. (The)† | 467 | 96,739 | ||||||
Kohl’s Corp. | 86 | 6,411 | ||||||
L Brands, Inc.(a) | 5 | 152 | ||||||
Lithia Motors, Inc., Class A(a) | 62 | 5,063 | ||||||
LKQ Corp.* | 4 | 127 | ||||||
Lowe’s Cos., Inc.† | 402 | 46,158 | ||||||
Macy’s, Inc.(a) | 6 | 208 | ||||||
Netflix, Inc.* | 5 | 1,871 | ||||||
Nordstrom, Inc.(a) | 4 | 239 | ||||||
Nutrisystem, Inc.(a) | 183 | 6,780 | ||||||
Office Depot, Inc. | 644 | 2,067 | ||||||
Ollie’s Bargain Outlet Holdings, | 25 | 2,402 | ||||||
O’Reilly Automotive, Inc.†* | 2 | 695 | ||||||
Penske Automotive Group, Inc. | 18 | 853 | ||||||
PetMed Express, Inc.(a) | 150 | 4,952 | ||||||
Qurate Retail, Inc.* | 428 | 9,506 | ||||||
Ross Stores, Inc.† | 47 | 4,658 | ||||||
Signet Jewelers Ltd. (Bermuda)(a) | 131 | 8,637 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Retailing — (Continued) | ||||||||
Sonic Automotive, Inc., Class A(a) | 8 | $ | 155 | |||||
Tailored Brands, Inc. | 111 | 2,796 | ||||||
Target Corp.† | 15 | 1,323 | ||||||
Tiffany & Co. | 38 | 4,901 | ||||||
TJX Cos., Inc. (The)† | 159 | 17,811 | ||||||
Tractor Supply Co. | 3 | 273 | ||||||
TripAdvisor, Inc.* | 1 | 51 | ||||||
Ulta Beauty, Inc.* | 2 | 564 | ||||||
Urban Outfitters, Inc.* | 71 | 2,904 | ||||||
|
| |||||||
456,821 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.0% |
| |||||||
Advanced Energy Industries, Inc.* | 50 | 2,582 | ||||||
Advanced Micro Devices, Inc.(a)* | 18 | 556 | ||||||
Analog Devices, Inc. | 7 | 647 | ||||||
Applied Materials, Inc.† | 18 | 696 | ||||||
Axcelis Technologies, Inc.* | 41 | 806 | ||||||
Broadcom, Inc. | 7 | 1,727 | ||||||
Cabot Microelectronics Corp. | 44 | 4,539 | ||||||
Cirrus Logic, Inc.* | 71 | 2,741 | ||||||
Diodes, Inc.* | 51 | 1,698 | ||||||
Integrated Device Technology, Inc.* | 15 | 705 | ||||||
Intel Corp.† | 85 | 4,020 | ||||||
KLA-Tencor Corp. | 4 | 407 | ||||||
Lam Research Corp.† | 4 | 607 | ||||||
Lattice Semiconductor Corp.* | 560 | 4,480 | ||||||
Maxim Integrated Products, Inc. | 161 | 9,079 | ||||||
MaxLinear, Inc.(a)* | 128 | 2,545 | ||||||
Microchip Technology, Inc.(a) | 5 | 395 | ||||||
Micron Technology, Inc.†* | 643 | 29,083 | ||||||
MKS Instruments, Inc. | 32 | 2,565 | ||||||
Monolithic Power Systems, Inc. | 9 | 1,130 | ||||||
Nanometrics, Inc.†* | 185 | 6,941 | ||||||
NVIDIA Corp. | 7 | 1,967 | ||||||
ON Semiconductor Corp.* | 208 | 3,833 | ||||||
Photronics, Inc.* | 163 | 1,606 | ||||||
Qorvo, Inc.* | 3 | 231 | ||||||
QUALCOMM, Inc.† | 26 | 1,873 | ||||||
Semtech Corp.* | 2 | 111 | ||||||
Skyworks Solutions, Inc. | 3 | 272 | ||||||
SMART Global Holdings, Inc. (Cayman Islands)* | 25 | 718 | ||||||
Texas Instruments, Inc.† | 19 | 2,039 | ||||||
Versum Materials, Inc. | 14 | 504 |
The accompanying notes are an integral part of the financial statements.
56
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Xcerra Corp.†* | 398 | $ | 5,679 | |||||
Xilinx, Inc. | 3 | 241 | ||||||
|
| |||||||
97,023 | ||||||||
|
| |||||||
Software & Services — 18.6% | ||||||||
Accenture PLC, Class A (Ireland)† | 318 | 54,124 | ||||||
Activision Blizzard, Inc. | 9 | 749 | ||||||
Adobe, Inc.* | 6 | 1,620 | ||||||
Akamai Technologies, Inc.* | 3 | 219 | ||||||
Alliance Data Systems Corp. | 28 | 6,612 | ||||||
Alphabet, Inc., Class A†* | 79 | 95,359 | ||||||
ANGI Homeservices, Inc., Class A* | 245 | 5,753 | ||||||
ANSYS, Inc.* | 1 | 187 | ||||||
Appfolio, Inc., Class A(a)* | 48 | 3,763 | ||||||
Aspen Technology, Inc.* | 36 | 4,101 | ||||||
Autodesk, Inc.* | 2 | 312 | ||||||
Automatic Data Processing, Inc.† | 219 | 32,995 | ||||||
Avaya Holdings Corp.* | 56 | 1,240 | ||||||
Bandwidth, Inc.* | 17 | 911 | ||||||
Bottomline Technologies DE, Inc.* | 13 | 945 | ||||||
Broadridge Financial Solutions, Inc. | 58 | 7,653 | ||||||
CA, Inc.† | 205 | 9,051 | ||||||
Cadence Design Systems, Inc.* | 3 | 136 | ||||||
Cars.com, Inc.(a)* | 158 | 4,362 | ||||||
CDK Global, Inc. | 94 | 5,881 | ||||||
CGI Group, Inc., Class A (Canada)* | 73 | 4,707 | ||||||
Cision Ltd. (Cayman Islands)* | 372 | 6,250 | ||||||
Citrix Systems, Inc.* | 4 | 445 | ||||||
Cognizant Technology Solutions Corp., Class A† | 71 | 5,478 | ||||||
CommVault Systems, Inc.* | 63 | 4,410 | ||||||
Conduent, Inc.(a)* | 225 | 5,067 | ||||||
Convergys Corp. | 24 | 570 | ||||||
Cornerstone OnDemand, Inc.* | 6 | 340 | ||||||
Descartes Systems Group, Inc. (The) (Canada)* | 62 | 2,102 | ||||||
DXC Technology Co.† | 142 | 13,280 | ||||||
eBay, Inc.†* | 177 | 5,845 | ||||||
Electronic Arts, Inc.* | 6 | 723 | ||||||
Endurance International Group Holdings, Inc.* | 414 | 3,643 | ||||||
Etsy, Inc.†* | 185 | 9,505 | ||||||
Facebook, Inc., Class A†* | 315 | 51,805 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Software & Services — (Continued) | ||||||||
Fair Isaac Corp.* | 26 | $ | 5,942 | |||||
Fidelity National Information Services, Inc. | 5 | 545 | ||||||
Fiserv, Inc.* | 6 | 494 | ||||||
Five9, Inc.* | 1 | 44 | ||||||
FleetCor Technologies, Inc.* | 1 | 228 | ||||||
Fortinet, Inc.†* | 104 | 9,596 | ||||||
Gartner, Inc.(a)* | 1 | 158 | ||||||
Global Payments, Inc. | 1 | 127 | ||||||
Globant SA (Luxembourg)* | 23 | 1,357 | ||||||
GoDaddy, Inc., Class A* | 86 | 7,172 | ||||||
GrubHub, Inc.(a)* | 9 | 1,248 | ||||||
Guidewire Software, Inc.* | 16 | 1,616 | ||||||
IAC/InterActiveCorp.* | 29 | 6,285 | ||||||
Imperva, Inc.* | 10 | 464 | ||||||
International Business Machines Corp.† | 17 | 2,571 | ||||||
Intuit, Inc.† | 128 | 29,107 | ||||||
j2 Global, Inc.(a) | 25 | 2,071 | ||||||
LogMeIn, Inc. | 40 | 3,564 | ||||||
Mastercard, Inc., Class A† | 19 | 4,230 | ||||||
MAXIMUS, Inc. | 6 | 390 | ||||||
Microsoft Corp.† | 351 | 40,144 | ||||||
Monotype Imaging Holdings, Inc. | 167 | 3,373 | ||||||
NIC, Inc. | 40 | 592 | ||||||
Open Text Corp. (Canada) | 140 | 5,326 | ||||||
Oracle Corp.† | 773 | 39,856 | ||||||
Paychex, Inc.† | 180 | 13,257 | ||||||
Paycom Software, Inc.(a)* | 39 | 6,061 | ||||||
PayPal Holdings, Inc.* | 14 | 1,230 | ||||||
Perficient, Inc.* | 116 | 3,091 | ||||||
Progress Software Corp. | 76 | 2,682 | ||||||
PTC, Inc.* | 7 | 743 | ||||||
QAD, Inc., Class A | 1 | 57 | ||||||
Qualys, Inc.* | 73 | 6,504 | ||||||
QuinStreet, Inc.* | 322 | 4,370 | ||||||
RealPage, Inc.* | 39 | 2,570 | ||||||
Red Hat, Inc.* | 2 | 273 | ||||||
SailPoint Technologies Holding, Inc.* | 36 | 1,225 | ||||||
salesforce.com, Inc.* | 9 | 1,431 | ||||||
ServiceNow, Inc.* | 33 | 6,456 | ||||||
Shutterstock, Inc. | 75 | 4,094 | ||||||
SPS Commerce, Inc.* | 48 | 4,764 | ||||||
Stamps.com, Inc.(a)* | 5 | 1,131 |
The accompanying notes are an integral part of the financial statements.
57
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Software & Services — (Continued) |
| |||||||
Symantec Corp. | 11 | $ | 234 | |||||
Synopsys, Inc.* | 1 | 99 | ||||||
Tableau Software, Inc., Class A* | 10 | 1,117 | ||||||
Take-Two Interactive Software, Inc.* | 1 | 138 | ||||||
TechTarget, Inc.* | 60 | 1,165 | ||||||
Total System Services, Inc. | 4 | 395 | ||||||
TTEC Holdings, Inc. | 23 | 596 | ||||||
Twitter, Inc.* | 10 | 285 | ||||||
Tyler Technologies, Inc.* | 14 | 3,431 | ||||||
Upland Software, Inc.* | 17 | 549 | ||||||
Verint Systems, Inc.* | 56 | 2,806 | ||||||
VeriSign, Inc.* | 1 | 160 | ||||||
Visa, Inc., Class A† | 45 | 6,754 | ||||||
VMware, Inc., Class A* | 22 | 3,433 | ||||||
Web.com Group, Inc.* | 3 | 84 | ||||||
Western Union Co. (The)(a) | 8 | 152 | ||||||
XO Group, Inc.* | 112 | 3,862 | ||||||
|
| |||||||
601,842 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 13.6% |
| |||||||
ADTRAN, Inc. | 262 | 4,624 | ||||||
Amphenol Corp., Class A | 4 | 376 | ||||||
Apple, Inc.† | 812 | 183,301 | ||||||
Arista Networks, Inc.* | 1 | 266 | ||||||
Avnet, Inc. | 160 | 7,163 | ||||||
AVX Corp. | 65 | 1,173 | ||||||
Casa Systems, Inc.(a)* | 88 | 1,298 | ||||||
Ciena Corp.(a)* | 301 | 9,403 | ||||||
Cisco Systems, Inc.† | 2,068 | 100,608 | ||||||
Coherent, Inc.* | 6 | 1,033 | ||||||
CommScope Holding Co., Inc.* | 230 | 7,075 | ||||||
Comtech Telecommunications Corp. | 50 | 1,814 | ||||||
Corning, Inc. | 11 | 388 | ||||||
CTS Corp. | 18 | 617 | ||||||
EchoStar Corp., Class A* | 178 | 8,254 | ||||||
Electronics For Imaging, Inc.(a)* | 34 | 1,159 | ||||||
Extreme Networks, Inc.* | 13 | 71 | ||||||
F5 Networks, Inc.* | 3 | 598 | ||||||
FLIR Systems, Inc. | 3 | 184 | ||||||
Hewlett Packard Enterprise Co.† | 155 | 2,528 | ||||||
HP, Inc.† | 809 | 20,848 | ||||||
Insight Enterprises, Inc.* | 146 | 7,897 | ||||||
IPG Photonics Corp.* | 1 | 156 | ||||||
Itron, Inc.* | 53 | 3,403 | ||||||
Jabil, Inc.† | 76 | 2,058 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Juniper Networks, Inc. | 5 | $ | 150 | |||||
Keysight Technologies, Inc.* | 3 | 199 | ||||||
Lumentum Holdings, Inc.(a) * | 3 | 180 | ||||||
Mesa Laboratories, Inc. | 11 | 2,042 | ||||||
Methode Electronics, Inc. | 65 | 2,353 | ||||||
Motorola Solutions, Inc.† | 4 | 521 | ||||||
MTS Systems Corp. | 60 | 3,285 | ||||||
NCR Corp.(a)* | 113 | 3,210 | ||||||
NetApp, Inc.† | 134 | 11,509 | ||||||
Novanta, Inc. (Canada)* | 17 | 1,163 | ||||||
Oclaro, Inc.* | 20 | 179 | ||||||
OSI Systems, Inc.(a)* | 45 | 3,434 | ||||||
Palo Alto Networks, Inc.* | 10 | 2,253 | ||||||
Plantronics, Inc. | 21 | 1,266 | ||||||
Sanmina Corp.* | 37 | 1,021 | ||||||
ScanSource, Inc.* | 21 | 838 | ||||||
Seagate Technology PLC (Ireland)† | 129 | 6,108 | ||||||
Stratasys Ltd. (Israel)* | 63 | 1,456 | ||||||
TE Connectivity Ltd. (Switzerland)† | 173 | 15,212 | ||||||
Tech Data Corp.* | 47 | 3,364 | ||||||
Trimble, Inc.* | 30 | 1,304 | ||||||
Vishay Intertechnology, Inc. | 32 | 651 | ||||||
Western Digital Corp. | 141 | 8,254 | ||||||
Xerox Corp. | 63 | 1,700 | ||||||
Zebra Technologies Corp., Class A* | 12 | 2,122 | ||||||
|
| |||||||
440,069 | ||||||||
|
| |||||||
Telecommunication Services — 3.8% |
| |||||||
AT&T, Inc.† | 113 | 3,795 | ||||||
BCE, Inc. (Canada) | 103 | 4,174 | ||||||
CenturyLink, Inc. | 239 | 5,067 | ||||||
Globalstar, Inc.* | 2,703 | 1,373 | ||||||
Intelsat SA (Luxembourg)* | 149 | 4,470 | ||||||
Rogers Communications, Inc., Class B (Canada)† | 92 | 4,730 | ||||||
TELUS Corp. (Canada) | 41 | 1,510 | ||||||
United States Cellular Corp.* | 33 | 1,478 | ||||||
Verizon Communications, Inc.† | 1,722 | 91,938 | ||||||
Vonage Holdings Corp.* | 316 | 4,475 | ||||||
|
| |||||||
123,010 | ||||||||
|
| |||||||
Transportation — 2.1% | ||||||||
Alaska Air Group, Inc.(a) | 3 | 207 | ||||||
American Airlines Group, Inc.(a) | 9 | 372 | ||||||
ArcBest Corp. | 143 | 6,943 |
The accompanying notes are an integral part of the financial statements.
58
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Transportation — (Continued) | ||||||||
CH Robinson Worldwide, Inc. | 3 | $ | 294 | |||||
Covenant Transportation Group, Inc., Class A* | 18 | 523 | ||||||
CSX Corp.† | 16 | 1,185 | ||||||
Delta Air Lines, Inc.† | 13 | 752 | ||||||
Echo Global Logistics, Inc.(a)* | 262 | 8,109 | ||||||
Expeditors International of Washington, Inc.† | 87 | 6,397 | ||||||
FedEx Corp.† | 6 | 1,445 | ||||||
Forward Air Corp. | 77 | 5,521 | ||||||
Genesee & Wyoming, Inc., Class A* | 37 | 3,367 | ||||||
Golden Ocean Group Ltd. (Bermuda) | 11 | 108 | ||||||
Heartland Express, Inc.(a) | 194 | 3,828 | ||||||
JB Hunt Transport Services, Inc. | 3 | 357 | ||||||
JetBlue Airways Corp.* | 379 | 7,337 | ||||||
Kansas City Southern | 2 | 227 | ||||||
Knight-Swift Transportation Holdings, Inc.(a) | 33 | 1,138 | ||||||
Landstar System, Inc. | 38 | 4,636 | ||||||
Norfolk Southern Corp.† | 20 | 3,610 | ||||||
Schneider National, Inc., Class B | 192 | 4,796 | ||||||
Southwest Airlines Co. | 8 | 500 | ||||||
Union Pacific Corp.† | 15 | 2,442 | ||||||
United Continental Holdings, Inc.* | 3 | 267 | ||||||
United Parcel Service, Inc., Class B | 10 | 1,168 | ||||||
XPO Logistics, Inc.* | 24 | 2,740 | ||||||
|
| |||||||
68,269 | ||||||||
|
| |||||||
Utilities — 1.1% | ||||||||
AES Corp.† | 82 | 1,148 | ||||||
Alliant Energy Corp. | 3 | 128 | ||||||
Ameren Corp. | 5 | 316 | ||||||
American Electric Power Co., Inc. | 6 | 425 | ||||||
American Water Works Co., Inc. | 2 | 176 | ||||||
CenterPoint Energy, Inc. | 7 | 194 | ||||||
CMS Energy Corp. | 4 | 196 | ||||||
Consolidated Edison, Inc. | 3 | 229 | ||||||
Dominion Energy, Inc. | 8 | 562 | ||||||
DTE Energy Co. | 4 | 437 | ||||||
Duke Energy Corp.† | 12 | 960 | ||||||
Edison International | 4 | 271 | ||||||
Entergy Corp.(a) | 2 | 162 | ||||||
Evergy, Inc. | 3 | 165 | ||||||
Eversource Energy | 3 | 184 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Utilities — (Continued) | ||||||||
Exelon Corp.† | 17 | $ | 742 | |||||
FirstEnergy Corp.† | 211 | 7,843 | ||||||
NextEra Energy, Inc. | 9 | 1,508 | ||||||
NiSource, Inc. | 5 | 125 | ||||||
NRG Energy, Inc. | 155 | 5,797 | ||||||
PG&E Corp. | 9 | 414 | ||||||
Pinnacle West Capital Corp. | 2 | 158 | ||||||
PPL Corp.(a) | 9 | 263 | ||||||
Public Service Enterprise Group, Inc. | 6 | 317 | ||||||
SCANA Corp. | 3 | 117 | ||||||
Sempra Energy(a) | 3 | 341 | ||||||
Southern Co. (The) | 18 | 785 | ||||||
WEC Energy Group, Inc.† | 157 | 10,481 | ||||||
Xcel Energy, Inc. | 6 | 283 | ||||||
|
| |||||||
34,727 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 4,539,352 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 140.1% | 4,539,352 | |||||||
|
| |||||||
(Cost $4,073,027) | ||||||||
SHORT POSITIONS — (40.3)% | ||||||||
COMMON STOCKS — (40.3)% | ||||||||
Automobiles & Components — (0.8)% |
| |||||||
Dorman Products, Inc.* | (90 | ) | (6,923 | ) | ||||
Fox Factory Holding Corp.* | (3 | ) | (210 | ) | ||||
Gentherm, Inc.* | (2 | ) | (91 | ) | ||||
LCI Industries | (69 | ) | (5,713 | ) | ||||
Modine Manufacturing Co.* | (135 | ) | (2,012 | ) | ||||
Standard Motor Products, Inc. | (6 | ) | (295 | ) | ||||
Tesla, Inc.* | (29 | ) | (7,678 | ) | ||||
Tower International, Inc. | (68 | ) | (2,057 | ) | ||||
|
| |||||||
(24,979 | ) | |||||||
|
| |||||||
Capital Goods — (6.2)% | ||||||||
AAON, Inc. | (35 | ) | (1,323 | ) | ||||
AAR Corp. | (24 | ) | (1,149 | ) | ||||
Aegion Corp.* | (9 | ) | (228 | ) | ||||
Alamo Group, Inc. | (35 | ) | (3,206 | ) | ||||
Ameresco, Inc., Class A* | (95 | ) | (1,297 | ) | ||||
American Woodmark Corp.* | (12 | ) | (941 | ) | ||||
Astec Industries, Inc. | (59 | ) | (2,974 | ) | ||||
Astronics Corp.* | (44 | ) | (1,914 | ) | ||||
Axon Enterprise, Inc.* | (4 | ) | (274 | ) | ||||
Beacon Roofing Supply, Inc.* | (122 | ) | (4,415 | ) |
The accompanying notes are an integral part of the financial statements.
59
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Capital Goods — (Continued) | ||||||||
Blue Bird Corp.* | (98 | ) | $ | (2,401 | ) | |||
Builders FirstSource, Inc.* | (631 | ) | (9,263 | ) | ||||
BWX Technologies, Inc. | (67 | ) | (4,190 | ) | ||||
CAE, Inc. (Canada) | (116 | ) | (2,357 | ) | ||||
CIRCOR International, Inc. | (123 | ) | (5,843 | ) | ||||
Construction Partners, Inc., Class A* | (74 | ) | (895 | ) | ||||
Crane Co. | (30 | ) | (2,951 | ) | ||||
Curtiss-Wright Corp. | (25 | ) | (3,436 | ) | ||||
Douglas Dynamics, Inc. | (63 | ) | (2,766 | ) | ||||
DXP Enterprises, Inc.* | (31 | ) | (1,242 | ) | ||||
Dycom Industries, Inc.* | (80 | ) | (6,768 | ) | ||||
EMCOR Group, Inc. | (14 | ) | (1,052 | ) | ||||
Encore Wire Corp. | (60 | ) | (3,006 | ) | ||||
Evoqua Water Technologies Corp.* | (330 | ) | (5,867 | ) | ||||
Foundation Building Materials, Inc.* | (81 | ) | (1,010 | ) | ||||
Franklin Electric Co., Inc. | (3 | ) | (142 | ) | ||||
Gates Industrial Corp. PLC (United Kingdom)* | (144 | ) | (2,808 | ) | ||||
Gibraltar Industries, Inc.* | (23 | ) | (1,049 | ) | ||||
GMS, Inc.* | (350 | ) | (8,120 | ) | ||||
Granite Construction, Inc. | (212 | ) | (9,688 | ) | ||||
Griffon Corp. | (8 | ) | (129 | ) | ||||
Harsco Corp.* | (1 | ) | (29 | ) | ||||
Herc Holdings, Inc.* | (78 | ) | (3,994 | ) | ||||
John Bean Technologies Corp. | (37 | ) | (4,414 | ) | ||||
Lindsay Corp. | (10 | ) | (1,002 | ) | ||||
Lydall, Inc.* | (33 | ) | (1,422 | ) | ||||
MasTec, Inc.* | (68 | ) | (3,036 | ) | ||||
Maxar Technologies Ltd. (Canada) | (85 | ) | (2,811 | ) | ||||
Mercury Systems, Inc.* | (11 | ) | (609 | ) | ||||
Middleby Corp. (The)* | (39 | ) | (5,045 | ) | ||||
MRC Global, Inc.* | (370 | ) | (6,945 | ) | ||||
Navistar International Corp.* | (133 | ) | (5,120 | ) | ||||
NN, Inc. | (89 | ) | (1,388 | ) | ||||
Patrick Industries, Inc.* | (132 | ) | (7,814 | ) | ||||
Primoris Services Corp. | (226 | ) | (5,609 | ) | ||||
Proto Labs, Inc.* | (4 | ) | (647 | ) | ||||
RBC Bearings, Inc.* | (12 | ) | (1,804 | ) | ||||
REV Group, Inc. | (270 | ) | (4,239 | ) | ||||
SiteOne Landscape Supply, Inc.* | (27 | ) | (2,034 | ) | ||||
SPX Corp.* | (160 | ) | (5,330 | ) | ||||
SPX FLOW, Inc.* | (33 | ) | (1,716 | ) | ||||
Sun Hydraulics Corp. | (5 | ) | (274 | ) | ||||
Sunrun, Inc.* | (25 | ) | (311 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Capital Goods — (Continued) | ||||||||
Textainer Group Holdings Ltd. (Bermuda)* | (155 | ) | $ | (1,984 | ) | |||
Titan International, Inc. | (138 | ) | (1,024 | ) | ||||
TPI Composites, Inc.* | (248 | ) | (7,080 | ) | ||||
Tutor Perini Corp.* | (53 | ) | (996 | ) | ||||
Universal Forest Products, Inc. | (210 | ) | (7,419 | ) | ||||
USG Corp. | (169 | ) | (7,319 | ) | ||||
Vivint Solar, Inc.* | (396 | ) | (2,059 | ) | ||||
Welbilt, Inc.* | (344 | ) | (7,183 | ) | ||||
Woodward, Inc. | (116 | ) | (9,380 | ) | ||||
|
| |||||||
(202,741 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (1.7)% |
| |||||||
ACCO Brands Corp. | (387 | ) | (4,373 | ) | ||||
ADT, Inc. | (323 | ) | (3,033 | ) | ||||
Advanced Disposal Services, Inc.* | (106 | ) | (2,870 | ) | ||||
ASGN, Inc.* | (29 | ) | (2,289 | ) | ||||
Barrett Business Services, Inc. | (36 | ) | (2,404 | ) | ||||
Cimpress NV (Netherlands)* | (34 | ) | (4,645 | ) | ||||
Civeo Corp. (Canada)* | (357 | ) | (1,482 | ) | ||||
Clean Harbors, Inc.* | (40 | ) | (2,863 | ) | ||||
Healthcare Services Group, Inc. | (102 | ) | (4,143 | ) | ||||
Herman Miller, Inc. | (30 | ) | (1,152 | ) | ||||
HNI Corp. | (3 | ) | (133 | ) | ||||
Huron Consulting Group, Inc.* | (10 | ) | (494 | ) | ||||
ICF International, Inc. | (85 | ) | (6,413 | ) | ||||
Knoll, Inc. | (10 | ) | (234 | ) | ||||
Korn/Ferry International | (84 | ) | (4,136 | ) | ||||
Multi-Color Corp. | (38 | ) | (2,366 | ) | ||||
Quad/Graphics, Inc. | (91 | ) | (1,896 | ) | ||||
Team, Inc.* | (306 | ) | (6,885 | ) | ||||
TransUnion | (5 | ) | (368 | ) | ||||
Waste Connections, Inc. (Canada) | (37 | ) | (2,951 | ) | ||||
|
| |||||||
(55,130 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (1.4)% |
| |||||||
Canada Goose Holdings, Inc. (Canada)* | (92 | ) | (5,938 | ) | ||||
Deckers Outdoor Corp.* | (51 | ) | (6,048 | ) | ||||
Gildan Activewear, Inc. (Canada) | (159 | ) | (4,838 | ) | ||||
iRobot Corp.* | (8 | ) | (879 | ) | ||||
Malibu Boats, Inc., Class A* | (2 | ) | (109 | ) | ||||
Marine Products Corp. | (11 | ) | (252 | ) | ||||
Polaris Industries, Inc. | (90 | ) | (9,086 | ) | ||||
Steven Madden Ltd. | (13 | ) | (688 | ) | ||||
Tempur Sealy International, Inc.* | (77 | ) | (4,073 | ) |
The accompanying notes are an integral part of the financial statements.
60
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
TopBuild Corp.* | (139 | ) | $ | (7,898 | ) | |||
Tupperware Brands Corp. | (70 | ) | (2,342 | ) | ||||
Wolverine World Wide, Inc. | (65 | ) | (2,538 | ) | ||||
|
| |||||||
(44,689 | ) | |||||||
|
| |||||||
Consumer Services — (2.1)% | ||||||||
Aramark | (206 | ) | (8,862 | ) | ||||
Belmond Ltd., Class A (Bermuda)* | (28 | ) | (511 | ) | ||||
Cambium Learning Group, Inc.* | (97 | ) | (1,148 | ) | ||||
Cheesecake Factory, Inc. (The) | (31 | ) | (1,660 | ) | ||||
Chegg, Inc.* | (95 | ) | (2,701 | ) | ||||
Cracker Barrel Old Country Store, Inc. | (2 | ) | (294 | ) | ||||
Domino’s Pizza, Inc. | (10 | ) | (2,948 | ) | ||||
Dunkin’ Brands Group, Inc. | (45 | ) | (3,317 | ) | ||||
Fiesta Restaurant Group, Inc.* | (32 | ) | (856 | ) | ||||
Golden Entertainment, Inc.* | (7 | ) | (168 | ) | ||||
Grand Canyon Education, Inc.* | (36 | ) | (4,061 | ) | ||||
Houghton Mifflin Harcourt Co.* | (232 | ) | (1,624 | ) | ||||
International Speedway Corp., | (99 | ) | (4,336 | ) | ||||
Monarch Casino & Resort, Inc.* | (47 | ) | (2,136 | ) | ||||
PlayAGS, Inc.* | (20 | ) | (589 | ) | ||||
Red Rock Resorts, Inc., Class A | (284 | ) | (7,569 | ) | ||||
SeaWorld Entertainment, Inc.* | (9 | ) | (283 | ) | ||||
Service Corp. International | (186 | ) | (8,221 | ) | ||||
ServiceMaster Global Holdings, Inc.* | (46 | ) | (2,853 | ) | ||||
Shake Shack, Inc., Class A* | (100 | ) | (6,301 | ) | ||||
Six Flags Entertainment Corp. | (100 | ) | (6,982 | ) | ||||
Sonic Corp. | (8 | ) | (347 | ) | ||||
Strategic Education, Inc. | (8 | ) | (1,062 | ) | ||||
Wingstop, Inc. | (21 | ) | (1,434 | ) | ||||
|
| |||||||
(70,263 | ) | |||||||
|
| |||||||
Energy — (2.6)% | ||||||||
Cactus, Inc., Class A* | (6 | ) | (230 | ) | ||||
Cheniere Energy, Inc.* | (49 | ) | (3,405 | ) | ||||
DHT Holdings, Inc. (Marshall Islands) | (573 | ) | (2,693 | ) | ||||
Diamond Offshore Drilling, Inc.* | (228 | ) | (4,560 | ) | ||||
Exterran Corp.* | (121 | ) | (3,210 | ) | ||||
Forum Energy Technologies, Inc.* | (679 | ) | (7,028 | ) | ||||
Frank’s International NV (Netherlands)* | (771 | ) | (6,692 | ) | ||||
Green Plains, Inc. | (469 | ) | (8,067 | ) | ||||
KLX Energy Services Holdings, Inc.* | (16 | ) | (512 | ) | ||||
Liberty Oilfield Services, Inc., Class A | (29 | ) | (626 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Energy — (Continued) | ||||||||
Newpark Resources, Inc.* | (301 | ) | $ | (3,115 | ) | |||
NexGen Energy Ltd. (Canada)* | (258 | ) | (529 | ) | ||||
Nine Energy Service, Inc.* | (79 | ) | (2,416 | ) | ||||
Par Pacific Holdings, Inc.* | (97 | ) | (1,979 | ) | ||||
Patterson-UTI Energy, Inc. | (69 | ) | (1,181 | ) | ||||
REX American Resources Corp.* | (9 | ) | (680 | ) | ||||
Select Energy Services, Inc., Class A* | (5 | ) | (59 | ) | ||||
Ship Finance International Ltd. (Bermuda) | (682 | ) | (9,480 | ) | ||||
Solaris Oilfield Infrastructure, Inc., Class A* | (97 | ) | (1,832 | ) | ||||
Suncor Energy, Inc. (Canada) | (40 | ) | (1,548 | ) | ||||
Superior Energy Services, Inc.* | (474 | ) | (4,617 | ) | ||||
Targa Resources Corp. | (56 | ) | (3,153 | ) | ||||
Transocean Ltd. (Switzerland)* | (464 | ) | (6,473 | ) | ||||
Unit Corp.* | (5 | ) | (130 | ) | ||||
US Silica Holdings, Inc. | (496 | ) | (9,340 | ) | ||||
|
| |||||||
(83,555 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.5)% | ||||||||
Chefs’ Warehouse, Inc. (The)* | (18 | ) | (654 | ) | ||||
Ingles Markets, Inc., Class A | (2 | ) | (69 | ) | ||||
Performance Food Group Co.* | (100 | ) | (3,330 | ) | ||||
PriceSmart, Inc. | (70 | ) | (5,666 | ) | ||||
Rite Aid Corp.* | (256 | ) | (328 | ) | ||||
United Natural Foods, Inc.* | (197 | ) | (5,900 | ) | ||||
|
| |||||||
(15,947 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (1.3)% |
| |||||||
Boston Beer Co., Inc. (The), Class A* | (5 | ) | (1,438 | ) | ||||
Bunge Ltd. (Bermuda) | (122 | ) | (8,383 | ) | ||||
Calavo Growers, Inc. | (11 | ) | (1,063 | ) | ||||
Darling Ingredients, Inc.* | (181 | ) | (3,497 | ) | ||||
Farmer Brothers Co.* | (41 | ) | (1,082 | ) | ||||
Freshpet, Inc.* | (33 | ) | (1,211 | ) | ||||
J&J Snack Foods Corp. | (6 | ) | (905 | ) | ||||
John B Sanfilippo & Son, Inc. | (47 | ) | (3,355 | ) | ||||
MGP Ingredients, Inc. | (14 | ) | (1,106 | ) | ||||
Primo Water Corp.* | (235 | ) | (4,242 | ) | ||||
Sanderson Farms, Inc. | (94 | ) | (9,717 | ) | ||||
SunOpta, Inc. (Canada)* | (181 | ) | (1,330 | ) | ||||
Tootsie Roll Industries, Inc. | (7 | ) | (205 | ) | ||||
Turning Point Brands, Inc. | (6 | ) | (249 | ) | ||||
Universal Corp. | (69 | ) | (4,485 | ) | ||||
|
| |||||||
(42,268 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
61
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Health Care Equipment & Services — (3.6)% |
| |||||||
Addus HomeCare Corp.* | (53 | ) | $ | (3,718 | ) | |||
Anika Therapeutics, Inc.* | (5 | ) | (211 | ) | ||||
AtriCure, Inc.* | (5 | ) | (175 | ) | ||||
AxoGen, Inc.* | (130 | ) | (4,791 | ) | ||||
BioTelemetry, Inc.* | (26 | ) | (1,676 | ) | ||||
Brookdale Senior Living, Inc.* | (255 | ) | (2,507 | ) | ||||
Castlight Health, Inc., Class B* | (387 | ) | (1,045 | ) | ||||
CorVel Corp.* | (18 | ) | (1,085 | ) | ||||
Cutera, Inc.* | (81 | ) | (2,637 | ) | ||||
Diplomat Pharmacy, Inc.* | (313 | ) | (6,075 | ) | ||||
Ensign Group, Inc. (The) | (185 | ) | (7,015 | ) | ||||
Evolent Health, Inc., Class A* | (9 | ) | (256 | ) | ||||
Hanger, Inc.* | (31 | ) | (646 | ) | ||||
Heska Corp.* | (12 | ) | (1,360 | ) | ||||
Inspire Medical Systems, Inc.* | (132 | ) | (5,555 | ) | ||||
Insulet Corp.* | (36 | ) | (3,814 | ) | ||||
Invacare Corp. | (2 | ) | (29 | ) | ||||
iRhythm Technologies, Inc.* | (40 | ) | (3,786 | ) | ||||
LHC Group, Inc.* | (87 | ) | (8,960 | ) | ||||
LifePoint Health, Inc.* | (52 | ) | (3,349 | ) | ||||
Medidata Solutions, Inc.* | (128 | ) | (9,384 | ) | ||||
Merit Medical Systems, Inc.* | (31 | ) | (1,905 | ) | ||||
National HealthCare Corp. | (3 | ) | (226 | ) | ||||
National Research Corp. | (27 | ) | (1,042 | ) | ||||
Natus Medical, Inc.* | (1 | ) | (36 | ) | ||||
Neogen Corp.* | (13 | ) | (930 | ) | ||||
Neuronetics, Inc.* | (11 | ) | (353 | ) | ||||
Nevro Corp.* | (165 | ) | (9,405 | ) | ||||
OraSure Technologies, Inc.* | (285 | ) | (4,403 | ) | ||||
Owens & Minor, Inc. | (184 | ) | (3,040 | ) | ||||
Providence Service Corp. (The)* | (6 | ) | (404 | ) | ||||
Select Medical Holdings Corp.* | (71 | ) | (1,306 | ) | ||||
Senseonics Holdings, Inc.* | (268 | ) | (1,278 | ) | ||||
Sientra, Inc.* | (197 | ) | (4,704 | ) | ||||
STAAR Surgical Co.* | (5 | ) | (240 | ) | ||||
Surgery Partners, Inc.* | (274 | ) | (4,521 | ) | ||||
US Physical Therapy, Inc. | (40 | ) | (4,744 | ) | ||||
ViewRay, Inc.* | (934 | ) | (8,742 | ) | ||||
Vocera Communications, Inc.* | (7 | ) | (256 | ) | ||||
Wright Medical Group NV (Netherlands)* | (21 | ) | (609 | ) | ||||
|
| |||||||
(116,218 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.3)% |
| |||||||
Avon Products, Inc.* | (88 | ) | (194 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — (Continued) |
| |||||||
Central Garden & Pet Co., Class A* | (174 | ) | $ | (5,766 | ) | |||
elf Beauty, Inc.* | (102 | ) | (1,298 | ) | ||||
Inter Parfums, Inc. | (5 | ) | (322 | ) | ||||
WD-40 Co. | (14 | ) | (2,409 | ) | ||||
|
| |||||||
(9,989 | ) | |||||||
|
| |||||||
Materials — (3.3)% | ||||||||
AdvanSix, Inc.* | (19 | ) | (645 | ) | ||||
American Vanguard Corp. | (63 | ) | (1,134 | ) | ||||
Axalta Coating Systems Ltd. (Bermuda)* | (75 | ) | (2,187 | ) | ||||
Boise Cascade Co. | (27 | ) | (994 | ) | ||||
Cabot Corp. | (146 | ) | (9,157 | ) | ||||
Chase Corp. | (16 | ) | (1,922 | ) | ||||
Crown Holdings, Inc.* | (119 | ) | (5,712 | ) | ||||
Ferro Corp.* | (338 | ) | (7,848 | ) | ||||
Forterra, Inc.* | (26 | ) | (194 | ) | ||||
GCP Applied Technologies, Inc.* | (197 | ) | (5,230 | ) | ||||
Graphic Packaging Holding Co. | (353 | ) | (4,946 | ) | ||||
Huntsman Corp. | (186 | ) | (5,065 | ) | ||||
Ingevity Corp.* | (20 | ) | (2,038 | ) | ||||
Innophos Holdings, Inc. | (69 | ) | (3,064 | ) | ||||
Innospec, Inc. | (53 | ) | (4,068 | ) | ||||
KapStone Paper and Packaging Corp. | (140 | ) | (4,747 | ) | ||||
Koppers Holdings, Inc.* | (138 | ) | (4,299 | ) | ||||
Minerals Technologies, Inc. | (103 | ) | (6,963 | ) | ||||
Nutrien Ltd. (Canada) | (58 | ) | (3,347 | ) | ||||
Olin Corp. | (22 | ) | (565 | ) | ||||
PH Glatfelter Co. | (79 | ) | (1,510 | ) | ||||
PQ Group Holdings, Inc.* | (167 | ) | (2,917 | ) | ||||
Quaker Chemical Corp. | (7 | ) | (1,415 | ) | ||||
Sensient Technologies Corp. | (21 | ) | (1,607 | ) | ||||
Silgan Holdings, Inc. | (313 | ) | (8,701 | ) | ||||
Summit Materials, Inc., Class A* | (180 | ) | (3,272 | ) | ||||
Tronox Ltd., Class A (Australia) | (82 | ) | (980 | ) | ||||
Valvoline, Inc. | (162 | ) | (3,485 | ) | ||||
WR Grace & Co. | (122 | ) | (8,718 | ) | ||||
|
| |||||||
(106,730 | ) | |||||||
|
| |||||||
Media — (1.2)% | ||||||||
Altice USA, Inc., Class A | (108 | ) | (1,959 | ) | ||||
Boston Omaha Corp., Class A* | (25 | ) | (748 | ) | ||||
Entercom Communications Corp., Class A | (724 | ) | (5,720 | ) | ||||
EW Scripps Co. (The), Class A | (125 | ) | (2,062 | ) |
The accompanying notes are an integral part of the financial statements.
62
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Media — (Continued) | ||||||||
Gray Television, Inc.* | (76 | ) | $ | (1,330 | ) | |||
Lions Gate Entertainment Corp., Class B (Canada) | (183 | ) | (4,264 | ) | ||||
Live Nation Entertainment, Inc.* | (90 | ) | (4,902 | ) | ||||
Madison Square Garden Co. (The), Class A* | (20 | ) | (6,306 | ) | ||||
New York Times Co. (The), Class A | (26 | ) | (602 | ) | ||||
Nexstar Media Group, Inc., Class A | (23 | ) | (1,872 | ) | ||||
Sirius XM Holdings, Inc. | (362 | ) | (2,288 | ) | ||||
tronc, Inc.* | (102 | ) | (1,666 | ) | ||||
WideOpenWest, Inc.* | (356 | ) | (3,991 | ) | ||||
World Wrestling Entertainment, Inc., Class A | (3 | ) | (290 | ) | ||||
|
| |||||||
(38,000 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (1.4)% |
| |||||||
Accelerate Diagnostics, Inc.* | (183 | ) | (4,200 | ) | ||||
Achillion Pharmaceuticals, Inc.* | (39 | ) | (144 | ) | ||||
Aimmune Therapeutics, Inc.* | (25 | ) | (682 | ) | ||||
Alder Biopharmaceuticals, Inc.* | (47 | ) | (783 | ) | ||||
Apellis Pharmaceuticals, Inc.* | (7 | ) | (124 | ) | ||||
Cambrex Corp.* | (99 | ) | (6,772 | ) | ||||
Charles River Laboratories International, Inc.* | (33 | ) | (4,440 | ) | ||||
Codexis, Inc.* | (47 | ) | (806 | ) | ||||
Coherus Biosciences, Inc.* | (4 | ) | (66 | ) | ||||
Cymabay Therapeutics, Inc.* | (86 | ) | (953 | ) | ||||
Dova Pharmaceuticals, Inc.* | (95 | ) | (1,992 | ) | ||||
Epizyme, Inc.* | (92 | ) | (975 | ) | ||||
Flexion Therapeutics, Inc.* | (91 | ) | (1,703 | ) | ||||
Insmed, Inc.* | (45 | ) | (910 | ) | ||||
Intra-Cellular Therapies, Inc.* | (50 | ) | (1,085 | ) | ||||
La Jolla Pharmaceutical Co.* | (46 | ) | (926 | ) | ||||
Luminex Corp. | (261 | ) | (7,911 | ) | ||||
NeoGenomics, Inc.* | (204 | ) | (3,131 | ) | ||||
Odonate Therapeutics, Inc.* | (1 | ) | (19 | ) | ||||
Optinose, Inc.* | (53 | ) | (659 | ) | ||||
Pacific Biosciences of California, Inc.* | (84 | ) | (454 | ) | ||||
Portola Pharmaceuticals, Inc.* | (37 | ) | (985 | ) | ||||
Revance Therapeutics, Inc.* | (56 | ) | (1,392 | ) | ||||
Rigel Pharmaceuticals, Inc.* | (391 | ) | (1,255 | ) | ||||
Sorrento Therapeutics, Inc.* | (54 | ) | (238 | ) | ||||
TG Therapeutics, Inc.* | (148 | ) | (829 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Zogenix, Inc.* | (23 | ) | $ | (1,141 | ) | |||
|
| |||||||
(44,575 | ) | |||||||
|
| |||||||
Retailing — (2.6)% | ||||||||
1-800-Flowers.com, Inc., Class A* | (147 | ) | (1,735 | ) | ||||
Abercrombie & Fitch Co., Class A | (88 | ) | (1,859 | ) | ||||
At Home Group, Inc.* | (235 | ) | (7,410 | ) | ||||
Big Lots, Inc. | (179 | ) | (7,480 | ) | ||||
Boot Barn Holdings, Inc.* | (94 | ) | (2,671 | ) | ||||
Camping World Holdings, Inc., | (223 | ) | (4,754 | ) | ||||
Carvana Co.* | (7 | ) | (414 | ) | ||||
Children’s Place, Inc. (The) | (14 | ) | (1,789 | ) | ||||
Dillard’s, Inc., Class A | (16 | ) | (1,221 | ) | ||||
DSW, Inc., Class A | (89 | ) | (3,015 | ) | ||||
Express, Inc.* | (99 | ) | (1,095 | ) | ||||
Five Below, Inc.* | (39 | ) | (5,072 | ) | ||||
Guess?, Inc. | (248 | ) | (5,605 | ) | ||||
Michaels Cos., Inc. (The)* | (501 | ) | (8,131 | ) | ||||
Monro, Inc. | (68 | ) | (4,733 | ) | ||||
Murphy USA, Inc.* | (14 | ) | (1,196 | ) | ||||
National Vision Holdings, Inc.* | (22 | ) | (993 | ) | ||||
Overstock.com, Inc.* | (150 | ) | (4,155 | ) | ||||
Party City Holdco, Inc.* | (490 | ) | (6,640 | ) | ||||
Pool Corp. | (30 | ) | (5,006 | ) | ||||
RH* | (43 | ) | (5,633 | ) | ||||
Sally Beauty Holdings, Inc.* | (60 | ) | (1,103 | ) | ||||
Shutterfly, Inc.* | (9 | ) | (593 | ) | ||||
Sleep Number Corp.* | (6 | ) | (221 | ) | ||||
Williams-Sonoma, Inc. | (18 | ) | (1,183 | ) | ||||
|
| |||||||
(83,707 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (1.6)% |
| |||||||
Ambarella, Inc. (Cayman Islands)* | (201 | ) | (7,775 | ) | ||||
Amkor Technology, Inc.* | (135 | ) | (998 | ) | ||||
Brooks Automation, Inc. | (115 | ) | (4,028 | ) | ||||
CEVA, Inc.* | (83 | ) | (2,386 | ) | ||||
Cree, Inc.* | (41 | ) | (1,553 | ) | ||||
FormFactor, Inc.* | (402 | ) | (5,528 | ) | ||||
Inphi Corp.* | (95 | ) | (3,608 | ) | ||||
MACOM Technology Solutions Holdings, Inc.* | (8 | ) | (165 | ) | ||||
Marvell Technology Group Ltd. (Bermuda) | (388 | ) | (7,488 | ) | ||||
Rambus, Inc.* | (621 | ) | (6,775 | ) |
The accompanying notes are an integral part of the financial statements.
63
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Rudolph Technologies, Inc.* | (8 | ) | $ | (196 | ) | |||
Synaptics, Inc.* | (191 | ) | (8,713 | ) | ||||
Teradyne, Inc. | (8 | ) | (296 | ) | ||||
Veeco Instruments, Inc.* | (98 | ) | (1,004 | ) | ||||
Xperi Corp. | (209 | ) | (3,104 | ) | ||||
|
| |||||||
(53,617 | ) | |||||||
|
| |||||||
Software & Services — (4.7)% | ||||||||
2U, Inc.* | (26 | ) | (1,955 | ) | ||||
8x8, Inc.* | (123 | ) | (2,614 | ) | ||||
ACI Worldwide, Inc.* | (20 | ) | (563 | ) | ||||
Avalara, Inc.* | (133 | ) | (4,646 | ) | ||||
Benefitfocus, Inc.* | (12 | ) | (485 | ) | ||||
Black Knight, Inc.* | (41 | ) | (2,130 | ) | ||||
BlackBerry Ltd. (Canada)* | (439 | ) | (4,996 | ) | ||||
Box, Inc., Class A* | (384 | ) | (9,181 | ) | ||||
Carbon Black, Inc.* | (145 | ) | (3,071 | ) | ||||
Care.Com, Inc.* | (15 | ) | (332 | ) | ||||
Cloudera, Inc.* | (354 | ) | (6,248 | ) | ||||
comScore, Inc.* | (150 | ) | (2,735 | ) | ||||
CSG Systems International, Inc. | (154 | ) | (6,182 | ) | ||||
DocuSign, Inc.* | (65 | ) | (3,417 | ) | ||||
Ellie Mae, Inc.* | (78 | ) | (7,392 | ) | ||||
Everbridge, Inc.* | (7 | ) | (403 | ) | ||||
Everi Holdings, Inc.* | (246 | ) | (2,256 | ) | ||||
FireEye, Inc.* | (565 | ) | (9,605 | ) | ||||
First Data Corp., Class A* | (71 | ) | (1,737 | ) | ||||
ForeScout Technologies, Inc.* | (7 | ) | (264 | ) | ||||
Hortonworks, Inc.* | (39 | ) | (890 | ) | ||||
Instructure, Inc.* | (198 | ) | (7,009 | ) | ||||
Jack Henry & Associates, Inc. | (10 | ) | (1,601 | ) | ||||
Leidos Holdings, Inc. | (34 | ) | (2,351 | ) | ||||
LiveRamp Holdings, Inc.* | (5 | ) | (247 | ) | ||||
MicroStrategy, Inc., Class A* | (32 | ) | (4,500 | ) | ||||
MINDBODY, Inc., Class A* | (15 | ) | (610 | ) | ||||
Model N, Inc.* | (16 | ) | (254 | ) | ||||
Nutanix, Inc., Class A* | (72 | ) | (3,076 | ) | ||||
OneSpan, Inc.* | (36 | ) | (686 | ) | ||||
Pandora Media, Inc.* | (139 | ) | (1,322 | ) | ||||
Pivotal Software, Inc., Class A* | (181 | ) | (3,544 | ) | ||||
Pluralsight, Inc., Class A* | (21 | ) | (672 | ) | ||||
Presidio, Inc. | (8 | ) | (122 | ) | ||||
PROS Holdings, Inc.* | (48 | ) | (1,681 | ) | ||||
Science Applications International Corp. | (3 | ) | (242 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Software & Services — (Continued) | ||||||||
SecureWorks Corp., Class A* | (7 | ) | $ | (103 | ) | |||
Smartsheet, Inc., Class A* | (15 | ) | (469 | ) | ||||
Snap, Inc., Class A* | (783 | ) | (6,640 | ) | ||||
Splunk, Inc.* | (21 | ) | (2,539 | ) | ||||
SS&C Technologies Holdings, Inc. | (135 | ) | (7,672 | ) | ||||
Switch, Inc., Class A | (699 | ) | (7,549 | ) | ||||
Tenable Holdings, Inc.* | (89 | ) | (3,460 | ) | ||||
Teradata Corp.* | (103 | ) | (3,884 | ) | ||||
TiVo Corp. | (432 | ) | (5,378 | ) | ||||
Travelport Worldwide Ltd. (Bermuda) | (431 | ) | (7,271 | ) | ||||
TrueCar, Inc.* | (33 | ) | (465 | ) | ||||
Worldpay, Inc., Class A* | (33 | ) | (3,342 | ) | ||||
Yelp, Inc.* | (99 | ) | (4,871 | ) | ||||
Zynga, Inc., Class A* | (287 | ) | (1,151 | ) | ||||
|
| |||||||
(153,813 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (2.7)% |
| |||||||
Acacia Communications, Inc.* | (132 | ) | (5,461 | ) | ||||
Arlo Technologies, Inc.* | (75 | ) | (1,088 | ) | ||||
Arrow Electronics, Inc.* | (85 | ) | (6,266 | ) | ||||
Benchmark Electronics, Inc. | (157 | ) | (3,674 | ) | ||||
CalAmp Corp.* | (25 | ) | (599 | ) | ||||
Celestica, Inc. (Canada)* | (223 | ) | (2,415 | ) | ||||
Cognex Corp. | (48 | ) | (2,679 | ) | ||||
Control4 Corp.* | (49 | ) | (1,682 | ) | ||||
Cray, Inc.* | (105 | ) | (2,258 | ) | ||||
ePlus, Inc.* | (55 | ) | (5,099 | ) | ||||
FARO Technologies, Inc.* | (11 | ) | (708 | ) | ||||
Finisar Corp.* | (403 | ) | (7,677 | ) | ||||
Fitbit, Inc., Class A* | (713 | ) | (3,815 | ) | ||||
Infinera Corp.* | (856 | ) | (6,249 | ) | ||||
Knowles Corp.* | (214 | ) | (3,557 | ) | ||||
National Instruments Corp. | (83 | ) | (4,011 | ) | ||||
NetScout Systems, Inc.* | (297 | ) | (7,499 | ) | ||||
nLight, Inc.* | (91 | ) | (2,021 | ) | ||||
Quantenna Communications, Inc.* | (195 | ) | (3,598 | ) | ||||
Ribbon Communications, Inc.* | (182 | ) | (1,243 | ) | ||||
TTM Technologies, Inc.* | (439 | ) | (6,984 | ) | ||||
ViaSat, Inc.* | (128 | ) | (8,186 | ) | ||||
|
| |||||||
(86,769 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.7)% |
| |||||||
Boingo Wireless, Inc.* | (8 | ) | (279 | ) | ||||
Cincinnati Bell, Inc.* | (194 | ) | (3,094 | ) | ||||
Consolidated Communications Holdings, Inc. | (33 | ) | (430 | ) |
The accompanying notes are an integral part of the financial statements.
64
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Concluded)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Telecommunication Services — (Continued) |
| |||||||
Iridium Communications, Inc.* | (69 | ) | $ | (1,552 | ) | |||
ORBCOMM, Inc.* | (398 | ) | (4,322 | ) | ||||
Shenandoah Telecommunications Co. | (123 | ) | (4,766 | ) | ||||
Sprint Corp.* | (824 | ) | (5,389 | ) | ||||
T-Mobile US, Inc.* | (22 | ) | (1,544 | ) | ||||
Zayo Group Holdings, Inc.* | (35 | ) | (1,215 | ) | ||||
|
| |||||||
(22,591 | ) | |||||||
|
| |||||||
Transportation — (1.6)% | ||||||||
Air Transport Services Group, Inc.* | (310 | ) | (6,656 | ) | ||||
Atlas Air Worldwide Holdings, Inc.* | (123 | ) | (7,841 | ) | ||||
Canadian National Railway Co. (Canada) | (24 | ) | (2,155 | ) | ||||
Canadian Pacific Railway Ltd. (Canada) | (13 | ) | (2,755 | ) | ||||
Hawaiian Holdings, Inc. | (113 | ) | (4,531 | ) | ||||
Hub Group, Inc., Class A* | (8 | ) | (365 | ) | ||||
Kirby Corp.* | (5 | ) | (411 | ) | ||||
Ryder System, Inc. | (107 | ) | (7,818 | ) | ||||
Saia, Inc.* | (61 | ) | (4,663 | ) | ||||
SkyWest, Inc. | (37 | ) | (2,179 | ) | ||||
Spirit Airlines, Inc.* | (49 | ) | (2,302 | ) | ||||
US Xpress Enterprises, Inc.* | (87 | ) | (1,201 | ) |
COMMON STOCKS — (Continued) | ||||||||
Transportation — (Continued) | ||||||||
Werner Enterprises, Inc. | (235 | ) | $ | (8,307 | ) | |||
|
| |||||||
(51,184 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $1,367,699) | (1,306,765 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (40.3)% |
| (1,306,765 | ) | |||||
|
| |||||||
(Proceeds $1,367,699) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2% | 7,732 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 3,240,319 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
(a) | All or portion of the security is on loan. (See Note 5 of the Notes to Financial Statements) |
(b) | Security is fair valued by the Advisor under direction of the Board of Trustees. |
* | 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 ENHANCED S&P 500 INDEX FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — 100.5% | ||||||||
Automobiles & Components — 0.1% |
| |||||||
Aptiv PLC (Jersey) | 6 | $ | 503 | |||||
BorgWarner, Inc. | 4 | 171 | ||||||
Ford Motor Co. | 56 | 518 | ||||||
General Motors Co. | 28 | 943 | ||||||
Goodyear Tire & Rubber Co. (The) | 4 | 94 | ||||||
Harley-Davidson, Inc. | 3 | 136 | ||||||
|
| |||||||
2,365 | ||||||||
|
| |||||||
Banks — 0.7% | ||||||||
Bank of America Corp. | 142 | 4,183 | ||||||
BB&T Corp. | 12 | 582 | ||||||
Citigroup, Inc. | 34 | 2,439 | ||||||
Citizens Financial Group, Inc. | 10 | 386 | ||||||
Comerica, Inc. | 3 | 271 | ||||||
Fifth Third Bancorp | 10 | 279 | ||||||
Huntington Bancshares, Inc. | 20 | 298 | ||||||
JPMorgan Chase & Co. | 68 | 7,673 | ||||||
KeyCorp. | 15 | 298 | ||||||
M&T Bank Corp. | 2 | 329 | ||||||
People’s United Financial, Inc. | 5 | 86 | ||||||
PNC Financial Services Group, Inc. (The) | 6 | 817 | ||||||
Regions Financial Corp. | 17 | 312 | ||||||
SunTrust Banks, Inc. | 7 | 468 | ||||||
SVB Financial Group* | 1 | 311 | ||||||
US Bancorp | 24 | 1,267 | ||||||
Wells Fargo & Co. | 71 | 3,732 | ||||||
Zions Bancorp NA | 3 | 150 | ||||||
|
| |||||||
23,881 | ||||||||
|
| |||||||
Capital Goods — 9.9% | ||||||||
3M Co. | 68 | 14,328 | ||||||
Allegion PLC (Ireland) | 2 | 181 | ||||||
AMETEK, Inc. | 5 | 396 | ||||||
AO Smith Corp. | 3 | 160 | ||||||
Arconic, Inc. | 9 | 198 | ||||||
Boeing Co. (The) | 272 | 101,157 | ||||||
Caterpillar, Inc. | 13 | 1,982 | ||||||
Cummins, Inc. | 4 | 584 | ||||||
Deere & Co. | 5 | 752 | ||||||
Dover Corp. | 84 | 7,437 | ||||||
Eaton Corp. PLC (Ireland) | 8 | 694 | ||||||
Emerson Electric Co. | 340 | 26,037 | ||||||
Fastenal Co. | 6 | 348 | ||||||
Flowserve Corp. | 2 | 109 | ||||||
Fluor Corp. | 2 | 116 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Capital Goods — (Continued) | ||||||||
Fortive Corp. | 49 | $ | 4,126 | |||||
Fortune Brands Home & Security, Inc. | 3 | 157 | ||||||
General Dynamics Corp. | 6 | 1,228 | ||||||
General Electric Co. | 124 | 1,400 | ||||||
Harris Corp. | 65 | 10,999 | ||||||
Honeywell International, Inc. | 403 | 67,059 | ||||||
Huntington Ingalls Industries, Inc. | 1 | 256 | ||||||
Illinois Tool Works, Inc. | 44 | 6,209 | ||||||
Ingersoll-Rand PLC (Ireland) | 5 | 512 | ||||||
Jacobs Engineering Group, Inc. | 76 | 5,814 | ||||||
Johnson Controls International PLC (Ireland) | 17 | 595 | ||||||
L3 Technologies, Inc. | 2 | 425 | ||||||
Lockheed Martin Corp. | 5 | 1,730 | ||||||
Masco Corp. | 6 | 220 | ||||||
Northrop Grumman Corp. | 3 | 952 | ||||||
PACCAR, Inc. | 5 | 341 | ||||||
Parker-Hannifin Corp. | 72 | 13,243 | ||||||
Pentair PLC (Ireland) | 3 | 130 | ||||||
Quanta Services, Inc.* | 3 | 100 | ||||||
Raytheon Co. | 6 | 1,240 | ||||||
Rockwell Automation, Inc. | 3 | 563 | ||||||
Rockwell Collins, Inc. | 3 | 421 | ||||||
Roper Technologies, Inc. | 1 | 296 | ||||||
Snap-on, Inc. | 31 | 5,692 | ||||||
Stanley Black & Decker, Inc. | 3 | 439 | ||||||
Textron, Inc. | 4 | 286 | ||||||
TransDigm Group, Inc.* | 2 | 745 | ||||||
United Rentals, Inc.* | 2 | 327 | ||||||
United Technologies Corp. | 433 | 60,538 | ||||||
WW Grainger, Inc. | 26 | 9,293 | ||||||
Xylem, Inc. | 3 | 240 | ||||||
|
| |||||||
350,055 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.8% |
| |||||||
Cintas Corp. | 2 | 396 | ||||||
Copart, Inc.* | 4 | 206 | ||||||
Equifax, Inc. | 2 | 261 | ||||||
IHS Markit Ltd. (Bermuda)* | 6 | 324 | ||||||
Nielsen Holdings PLC (United Kingdom) | 7 | 194 | ||||||
Republic Services, Inc. | 7 | 509 | ||||||
Robert Half International, Inc. | 67 | 4,715 | ||||||
Verisk Analytics, Inc.* | 3 | 362 |
The accompanying notes are an integral part of the financial statements.
66
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Waste Management, Inc. | 215 | $ | 19,427 | |||||
|
| |||||||
26,394 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 0.5% |
| |||||||
DR Horton, Inc. | 6 | 253 | ||||||
Garmin Ltd. (Switzerland) | 103 | 7,215 | ||||||
Hanesbrands, Inc. | 7 | 129 | ||||||
Hasbro, Inc. | 3 | 315 | ||||||
Leggett & Platt, Inc. | 2 | 88 | ||||||
Lennar Corp., Class A | 44 | 2,054 | ||||||
Mattel, Inc.* | 6 | 94 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)* | 4 | 274 | ||||||
Mohawk Industries, Inc.* | 2 | 351 | ||||||
Newell Brands, Inc. | 9 | 183 | ||||||
NIKE, Inc., Class B | 21 | 1,779 | ||||||
PulteGroup, Inc. | 5 | 124 | ||||||
PVH Corp. | 1 | 144 | ||||||
Ralph Lauren Corp. | 2 | 275 | ||||||
Tapestry, Inc. | 6 | 302 | ||||||
Under Armour, Inc., Class C* | 8 | 156 | ||||||
VF Corp. | 8 | 748 | ||||||
Whirlpool Corp. | 35 | 4,156 | ||||||
|
| |||||||
18,640 | ||||||||
|
| |||||||
Consumer Services — 0.3% | ||||||||
Carnival Corp. (Panama) | 14 | 893 | ||||||
Chipotle Mexican Grill, Inc.* | 2 | 909 | ||||||
Darden Restaurants, Inc. | 3 | 334 | ||||||
H&R Block, Inc. | 27 | 695 | ||||||
Hilton Worldwide Holdings, Inc. | 6 | 485 | ||||||
Marriott International, Inc., Class A | 8 | 1,056 | ||||||
McDonald’s Corp. | 16 | 2,677 | ||||||
MGM Resorts International | 8 | 223 | ||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | 3 | 172 | ||||||
Royal Caribbean Cruises Ltd. (Liberia) | 5 | 650 | ||||||
Starbucks Corp. | 18 | 1,023 | ||||||
Wynn Resorts Ltd. | 2 | 254 | ||||||
Yum! Brands, Inc. | 7 | 636 | ||||||
|
| |||||||
10,007 | ||||||||
|
| |||||||
Diversified Financials — 4.9% | ||||||||
Affiliated Managers Group, Inc. | 28 | 3,828 | ||||||
American Express Co. | 12 | 1,278 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Diversified Financials — (Continued) |
| |||||||
Ameriprise Financial, Inc. | 2 | $ | 295 | |||||
Bank of New York Mellon Corp. (The) | 14 | 714 | ||||||
Berkshire Hathaway, Inc., Class B* | 240 | 51,386 | ||||||
BlackRock, Inc. | 83 | 39,120 | ||||||
Capital One Financial Corp. | 7 | 665 | ||||||
Cboe Global Markets, Inc. | 2 | 192 | ||||||
Charles Schwab Corp. (The) | 19 | 934 | ||||||
CME Group, Inc. | 7 | 1,191 | ||||||
Discover Financial Services | 6 | 459 | ||||||
E*TRADE Financial Corp.* | 4 | 210 | ||||||
Franklin Resources, Inc. | 11 | 335 | ||||||
Goldman Sachs Group, Inc. (The) | 6 | 1,345 | ||||||
Intercontinental Exchange, Inc. | 12 | 899 | ||||||
Invesco Ltd. (Bermuda) | 56 | 1,281 | ||||||
Jefferies Financial Group, Inc. | 5 | 110 | ||||||
Moody’s Corp. | 105 | 17,556 | ||||||
Morgan Stanley | 26 | 1,211 | ||||||
MSCI, Inc. | 1 | 177 | ||||||
Nasdaq, Inc. | 90 | 7,722 | ||||||
Northern Trust Corp. | 3 | 306 | ||||||
Raymond James Financial, Inc. | 2 | 184 | ||||||
S&P Global, Inc. | 136 | 26,573 | ||||||
State Street Corp. | 5 | 419 | ||||||
Synchrony Financial | 14 | 435 | ||||||
T Rowe Price Group, Inc. | 134 | 14,630 | ||||||
|
| |||||||
173,455 | ||||||||
|
| |||||||
Energy — 6.6% | ||||||||
Anadarko Petroleum Corp. | 10 | 674 | ||||||
Andeavor | 4 | 614 | ||||||
Apache Corp. | 7 | 334 | ||||||
Cabot Oil & Gas Corp. | 8 | 180 | ||||||
Chevron Corp. | 317 | 38,763 | ||||||
Cimarex Energy Co. | 1 | 93 | ||||||
Concho Resources, Inc.* | 2 | 306 | ||||||
ConocoPhillips | 651 | 50,387 | ||||||
Devon Energy Corp. | 9 | 359 | ||||||
EOG Resources, Inc. | 7 | 893 | ||||||
EQT Corp. | 4 | 177 | ||||||
Exxon Mobil Corp. | 662 | 56,283 | ||||||
Halliburton Co. | 16 | 648 | ||||||
Helmerich & Payne, Inc. | 1 | 69 | ||||||
Hess Corp. | 163 | 11,668 | ||||||
HollyFrontier Corp. | 95 | 6,640 | ||||||
Kinder Morgan, Inc. | 32 | 567 |
The accompanying notes are an integral part of the financial statements.
67
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Energy — (Continued) | ||||||||
Marathon Oil Corp. | 464 | $ | 10,802 | |||||
Marathon Petroleum Corp. | 249 | 19,913 | ||||||
National Oilwell Varco, Inc. | 7 | 302 | ||||||
Newfield Exploration Co.* | 3 | 86 | ||||||
Noble Energy, Inc. | 9 | 281 | ||||||
Occidental Petroleum Corp. | 15 | 1,233 | ||||||
ONEOK, Inc. | 5 | 339 | ||||||
Phillips 66 | 260 | 29,307 | ||||||
Pioneer Natural Resources Co. | 2 | 348 | ||||||
Schlumberger Ltd. (Curacao) | 27 | 1,645 | ||||||
TechnipFMC PLC (United Kingdom) | 8 | 250 | ||||||
Valero Energy Corp. | 9 | 1,024 | ||||||
Williams Cos., Inc. (The) | 12 | 326 | ||||||
|
| |||||||
234,511 | ||||||||
|
| |||||||
Food & Staples Retailing — 4.2% | ||||||||
Costco Wholesale Corp. | 6 | 1,409 | ||||||
Kroger Co. (The) | 430 | 12,517 | ||||||
Sysco Corp. | 283 | 20,730 | ||||||
Walgreens Boots Alliance, Inc. | 24 | 1,750 | ||||||
Walmart, Inc. | 1,196 | 112,316 | ||||||
|
| |||||||
148,722 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 5.7% | ||||||||
Altria Group, Inc. | 943 | 56,872 | ||||||
Archer-Daniels-Midland Co. | 305 | 15,332 | ||||||
Brown-Forman Corp., Class B | 7 | 354 | ||||||
Campbell Soup Co. | 5 | 183 | ||||||
Coca-Cola Co. (The) | 83 | 3,834 | ||||||
Conagra Brands, Inc. | 8 | 272 | ||||||
Constellation Brands, Inc., Class A | 3 | 647 | ||||||
General Mills, Inc. | 12 | 515 | ||||||
Hershey Co. (The) | 5 | 510 | ||||||
Hormel Foods Corp. | 10 | 394 | ||||||
JM Smucker Co. (The) | 3 | 308 | ||||||
Kellogg Co. | 5 | 350 | ||||||
Kraft Heinz Co. (The) | 191 | 10,526 | ||||||
McCormick & Co., Inc., non-voting shares | 2 | 264 | ||||||
Molson Coors Brewing Co., Class B | 4 | 246 | ||||||
Mondelez International, Inc., Class A | 27 | 1,160 | ||||||
Monster Beverage Corp.* | 8 | 466 | ||||||
PepsiCo, Inc. | 339 | 37,900 | ||||||
Philip Morris International, Inc. | 844 | 68,820 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Tyson Foods, Inc., Class A | 8 | $ | 476 | |||||
|
| |||||||
199,429 | ||||||||
|
| |||||||
Health Care Equipment & Services — 9.5% |
| |||||||
Abbott Laboratories | 34 | 2,494 | ||||||
ABIOMED, Inc.* | 1 | 450 | ||||||
Aetna, Inc. | 178 | 36,107 | ||||||
Align Technology, Inc.* | 1 | 391 | ||||||
AmerisourceBergen Corp. | 4 | 369 | ||||||
Anthem, Inc. | 138 | 37,819 | ||||||
Baxter International, Inc. | 10 | 771 | ||||||
Becton Dickinson and Co. | 4 | 1,044 | ||||||
Boston Scientific Corp.* | 22 | 847 | ||||||
Cardinal Health, Inc. | 164 | 8,856 | ||||||
Centene Corp.* | 81 | 11,727 | ||||||
Cerner Corp.* | 5 | 322 | ||||||
Cigna Corp. | 132 | 27,489 | ||||||
Cooper Cos., Inc. (The) | 1 | 277 | ||||||
CVS Health Corp. | 31 | 2,440 | ||||||
Danaher Corp. | 94 | 10,214 | ||||||
DaVita, Inc.* | 3 | 215 | ||||||
DENTSPLY SIRONA, Inc. | 3 | 113 | ||||||
Edwards Lifesciences Corp.* | 3 | 522 | ||||||
Envision Healthcare Corp.* | 66 | 3,018 | ||||||
Express Scripts Holding Co.* | 11 | 1,045 | ||||||
HCA Healthcare, Inc. | 158 | 21,981 | ||||||
Henry Schein, Inc.* | 2 | 170 | ||||||
Hologic, Inc.* | 4 | 164 | ||||||
Humana, Inc. | 75 | 25,389 | ||||||
IDEXX Laboratories, Inc.* | 1 | 250 | ||||||
Intuitive Surgical, Inc.* | 3 | 1,722 | ||||||
Laboratory Corp. of America Holdings* | 56 | 9,726 | ||||||
McKesson Corp. | 4 | 531 | ||||||
Medtronic PLC (Ireland) | 734 | 72,204 | ||||||
Quest Diagnostics, Inc. | 2 | 216 | ||||||
ResMed, Inc. | 2 | 231 | ||||||
Stryker Corp. | 5 | 888 | ||||||
UnitedHealth Group, Inc. | 170 | 45,227 | ||||||
Universal Health Services, Inc., | 1 | 128 | ||||||
Varian Medical Systems, Inc.* | 2 | 224 | ||||||
WellCare Health Plans, Inc.* | 25 | 8,012 | ||||||
Zimmer Biomet Holdings, Inc. | 4 | 526 | ||||||
|
| |||||||
334,119 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
68
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Household & Personal Products — 3.7% |
| |||||||
Church & Dwight Co., Inc. | 8 | $ | 475 | |||||
Clorox Co. (The) | 6 | 902 | ||||||
Colgate-Palmolive Co. | 471 | 31,533 | ||||||
Coty, Inc., Class A | 11 | 138 | ||||||
Estee Lauder Cos., Inc. (The), | 8 | 1,163 | ||||||
Kimberly-Clark Corp. | 154 | 17,501 | ||||||
Procter & Gamble Co. (The) | 933 | 77,654 | ||||||
|
| |||||||
129,366 | ||||||||
|
| |||||||
Insurance — 0.9% | ||||||||
Aflac, Inc. | 11 | 518 | ||||||
Allstate Corp. (The) | 5 | 494 | ||||||
American International Group, Inc. | 14 | 745 | ||||||
Aon PLC (United Kingdom) | 5 | 769 | ||||||
Arthur J Gallagher & Co. | 99 | 7,370 | ||||||
Assurant, Inc. | 1 | 108 | ||||||
Brighthouse Financial, Inc.* | 2 | 88 | ||||||
Chubb Ltd. (Switzerland) | 7 | 935 | ||||||
Cincinnati Financial Corp. | 3 | 230 | ||||||
Everest Re Group Ltd. (Bermuda) | 1 | 228 | ||||||
Hartford Financial Services Group, Inc. (The) | 5 | 250 | ||||||
Lincoln National Corp. | 3 | 203 | ||||||
Loews Corp. | 5 | 251 | ||||||
Marsh & McLennan Cos., Inc. | 10 | 827 | ||||||
MetLife, Inc. | 14 | 654 | ||||||
Principal Financial Group, Inc. | 4 | 234 | ||||||
Progressive Corp. (The) | 217 | 15,416 | ||||||
Prudential Financial, Inc. | 7 | 709 | ||||||
Torchmark Corp. | 2 | 173 | ||||||
Travelers Cos., Inc. (The) | 4 | 519 | ||||||
Unum Group | 3 | 117 | ||||||
Willis Towers Watson PLC (Ireland) | 2 | 282 | ||||||
|
| |||||||
31,120 | ||||||||
|
| |||||||
Materials — 1.5% | ||||||||
Air Products & Chemicals, Inc. | 5 | 835 | ||||||
Albemarle Corp. | 3 | 299 | ||||||
Avery Dennison Corp. | 11 | 1,192 | ||||||
Ball Corp. | 6 | 264 | ||||||
CF Industries Holdings, Inc. | 5 | 272 | ||||||
DowDuPont, Inc. | 47 | 3,023 | ||||||
Eastman Chemical Co. | 3 | 287 | ||||||
Ecolab, Inc. | 6 | 941 | ||||||
FMC Corp. | 73 | 6,364 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Materials — (Continued) | ||||||||
Freeport-McMoRan, Inc. | 224 | $ | 3,118 | |||||
International Flavors & Fragrances, Inc. | 2 | 278 | ||||||
International Paper Co. | 55 | 2,703 | ||||||
LyondellBasell Industries NV, Class A (Netherlands) | 208 | 21,322 | ||||||
Martin Marietta Materials, Inc. | 1 | 182 | ||||||
Mosaic Co. (The) | 6 | 195 | ||||||
Newmont Mining Corp. | 10 | 302 | ||||||
Nucor Corp. | 7 | 444 | ||||||
Packaging Corp. of America | 1 | 110 | ||||||
PPG Industries, Inc. | 5 | 546 | ||||||
Praxair, Inc. | 6 | 964 | ||||||
Sealed Air Corp. | 51 | 2,048 | ||||||
Sherwin-Williams Co. (The) | 2 | 910 | ||||||
Vulcan Materials Co. | 1 | 111 | ||||||
WestRock Co. | 139 | 7,428 | ||||||
|
| |||||||
54,138 | ||||||||
|
| |||||||
Media — 4.1% | ||||||||
CBS Corp., Class B, non-voting shares | 7 | 402 | ||||||
Charter Communications, Inc., | 4 | 1,304 | ||||||
Comcast Corp., Class A | 92 | 3,258 | ||||||
Discovery, Inc., Class A* | 14 | 448 | ||||||
DISH Network Corp., Class A* | 195 | 6,973 | ||||||
Interpublic Group of Cos., Inc. (The) | 197 | 4,505 | ||||||
News Corp., Class A | 316 | 4,168 | ||||||
Omnicom Group, Inc. | 5 | 340 | ||||||
Twenty-First Century Fox, Inc., | 1,005 | 46,562 | ||||||
Viacom, Inc., Class B | 156 | 5,267 | ||||||
Walt Disney Co. (The) | 616 | 72,035 | ||||||
|
| |||||||
145,262 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 5.1% |
| |||||||
AbbVie, Inc. | 155 | 14,660 | ||||||
Agilent Technologies, Inc. | 5 | 353 | ||||||
Alexion Pharmaceuticals, Inc.* | 3 | 417 | ||||||
Allergan PLC (Ireland) | 6 | 1,143 | ||||||
Amgen, Inc. | 19 | 3,939 | ||||||
Biogen, Inc.* | 7 | 2,473 | ||||||
Bristol-Myers Squibb Co. | 23 | 1,428 | ||||||
Celgene Corp.* | 363 | 32,485 | ||||||
Eli Lilly & Co. | 20 | 2,146 |
The accompanying notes are an integral part of the financial statements.
69
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Gilead Sciences, Inc. | 83 | $ | 6,408 | |||||
Illumina, Inc.* | 1 | 367 | ||||||
Incyte Corp.* | 2 | 138 | ||||||
IQVIA Holdings, Inc.* | 3 | 389 | ||||||
Johnson & Johnson | 675 | 93,265 | ||||||
Merck & Co., Inc. | 54 | 3,831 | ||||||
Mettler-Toledo International, Inc.* | 1 | 609 | ||||||
Mylan NV (Netherlands)* | 9 | 329 | ||||||
Nektar Therapeutics* | 92 | 5,608 | ||||||
PerkinElmer, Inc. | 2 | 195 | ||||||
Perrigo Co. PLC (Ireland) | 3 | 212 | ||||||
Pfizer, Inc. | 118 | 5,200 | ||||||
Regeneron Pharmaceuticals, Inc.* | 2 | 808 | ||||||
Thermo Fisher Scientific, Inc. | 5 | 1,220 | ||||||
Vertex Pharmaceuticals, Inc.* | 3 | 578 | ||||||
Waters Corp.* | 2 | 389 | ||||||
Zoetis, Inc. | 10 | 916 | ||||||
|
| |||||||
179,506 | ||||||||
|
| |||||||
Real Estate — 0.3% | ||||||||
Alexandria Real Estate Equities, Inc., REIT | 2 | 252 | ||||||
American Tower Corp., REIT | 6 | 872 | ||||||
Apartment Investment & Management, Class A, REIT | 3 | 132 | ||||||
AvalonBay Communities, Inc., REIT | 2 | 362 | ||||||
Boston Properties, Inc., REIT | 2 | 246 | ||||||
CBRE Group, Inc., Class A* | 6 | 265 | ||||||
Crown Castle International Corp., REIT | 5 | 557 | ||||||
Digital Realty Trust, Inc., REIT | 4 | 450 | ||||||
Duke Realty Corp., REIT | 5 | 142 | ||||||
Equinix, Inc., REIT | 1 | 433 | ||||||
Equity Residential, REIT | 5 | 331 | ||||||
Essex Property Trust, Inc., REIT | 1 | 247 | ||||||
Extra Space Storage, Inc., REIT | 3 | 260 | ||||||
Federal Realty Investment Trust, REIT | 1 | 126 | ||||||
HCP, Inc., REIT | 7 | 184 | ||||||
Host Hotels & Resorts, Inc., REIT | 14 | 295 | ||||||
Iron Mountain, Inc., REIT | 5 | 173 | ||||||
Kimco Realty Corp., REIT | 6 | 100 | ||||||
Macerich Co. (The), REIT | 3 | 166 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) |
| |||||||
Mid-America Apartment Communities, Inc., REIT | 2 | $ | 200 | |||||
Prologis, Inc., REIT | 8 | 542 | ||||||
Public Storage, REIT | 3 | 605 | ||||||
Realty Income Corp., REIT | 4 | 228 | ||||||
Regency Centers Corp., REIT | 4 | 259 | ||||||
SBA Communications Corp., REIT* | 1 | 161 | ||||||
Simon Property Group, Inc., REIT | 6 | 1,060 | ||||||
SL Green Realty Corp., REIT | 2 | 195 | ||||||
UDR, Inc., REIT | 4 | 162 | ||||||
Ventas, Inc., REIT | 5 | 272 | ||||||
Vornado Realty Trust, REIT | 3 | 219 | ||||||
Welltower, Inc., REIT | 6 | 386 | ||||||
Weyerhaeuser Co., REIT | 15 | 484 | ||||||
|
| |||||||
10,366 | ||||||||
|
| |||||||
Retailing — 11.4% | ||||||||
Advance Auto Parts, Inc. | 41 | 6,902 | ||||||
Amazon.com, Inc.* | 61 | 122,183 | ||||||
AutoZone, Inc.* | 3 | 2,327 | ||||||
Best Buy Co., Inc. | 6 | 476 | ||||||
Booking Holdings, Inc.* | 24 | 47,616 | ||||||
CarMax, Inc.* | 4 | 299 | ||||||
Dollar General Corp. | 144 | 15,739 | ||||||
Dollar Tree, Inc.* | 5 | 408 | ||||||
Expedia Group, Inc. | 2 | 261 | ||||||
Foot Locker, Inc. | 65 | 3,314 | ||||||
Gap, Inc. (The) | 7 | 202 | ||||||
Genuine Parts Co. | 80 | 7,952 | ||||||
Home Depot, Inc. (The) | 510 | 105,646 | ||||||
Kohl’s Corp. | 91 | 6,784 | ||||||
L Brands, Inc. | 6 | 182 | ||||||
LKQ Corp.* | 6 | 190 | ||||||
Lowe’s Cos., Inc. | 440 | 50,521 | ||||||
Macy’s, Inc. | 6 | 208 | ||||||
Netflix, Inc.* | 5 | 1,871 | ||||||
Nordstrom, Inc. | 4 | 239 | ||||||
O’Reilly Automotive, Inc.* | 2 | 695 | ||||||
Ross Stores, Inc. | 46 | 4,559 | ||||||
Target Corp. | 18 | 1,588 | ||||||
Tiffany & Co. | 42 | 5,417 | ||||||
TJX Cos., Inc. (The) | 145 | 16,243 | ||||||
Tractor Supply Co. | 3 | 273 | ||||||
TripAdvisor, Inc.* | 2 | 102 |
The accompanying notes are an integral part of the financial statements.
70
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Retailing — (Continued) | ||||||||
Ulta Beauty, Inc.* | 2 | $ | 564 | |||||
|
| |||||||
402,761 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.5% |
| |||||||
Advanced Micro Devices, Inc.* | 20 | 618 | ||||||
Analog Devices, Inc. | 8 | 740 | ||||||
Applied Materials, Inc. | 19 | 734 | ||||||
Broadcom, Inc. | 5 | 1,234 | ||||||
Intel Corp. | 155 | 7,330 | ||||||
KLA-Tencor Corp. | 5 | 509 | ||||||
Lam Research Corp. | 22 | 3,337 | ||||||
Microchip Technology, Inc. | 3 | 237 | ||||||
Micron Technology, Inc.* | 687 | 31,073 | ||||||
NVIDIA Corp. | 8 | 2,248 | ||||||
Qorvo, Inc.* | 2 | 154 | ||||||
QUALCOMM, Inc. | 28 | 2,017 | ||||||
Skyworks Solutions, Inc. | 3 | 272 | ||||||
Texas Instruments, Inc. | 21 | 2,253 | ||||||
Xilinx, Inc. | 4 | 321 | ||||||
|
| |||||||
53,077 | ||||||||
|
| |||||||
Software & Services — 13.2% | ||||||||
Accenture PLC, Class A (Ireland) | 348 | 59,230 | ||||||
Activision Blizzard, Inc. | 10 | 832 | ||||||
Adobe, Inc.* | 7 | 1,890 | ||||||
Akamai Technologies, Inc.* | 3 | 219 | ||||||
Alliance Data Systems Corp. | 31 | 7,321 | ||||||
Alphabet, Inc., Class A* | 87 | 105,016 | ||||||
ANSYS, Inc.* | 2 | 373 | ||||||
Autodesk, Inc.* | 2 | 312 | ||||||
Automatic Data Processing, Inc. | 238 | 35,857 | ||||||
Broadridge Financial Solutions, Inc. | 64 | 8,445 | ||||||
CA, Inc. | 225 | 9,934 | ||||||
Cadence Design Systems, Inc.* | 4 | 181 | ||||||
Citrix Systems, Inc.* | 3 | 333 | ||||||
Cognizant Technology Solutions Corp., Class A | 78 | 6,018 | ||||||
DXC Technology Co. | 154 | 14,402 | ||||||
eBay, Inc.* | 19 | 627 | ||||||
Electronic Arts, Inc.* | 6 | 723 | ||||||
Facebook, Inc., Class A* | 347 | 57,068 | ||||||
Fidelity National Information Services, Inc. | 6 | 654 | ||||||
Fiserv, Inc.* | 6 | 494 | ||||||
FleetCor Technologies, Inc.* | 1 | 228 | ||||||
Gartner, Inc.* | 1 | 158 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Software & Services — (Continued) | ||||||||
Global Payments, Inc. | 2 | $ | 255 | |||||
International Business Machines Corp. | 19 | 2,873 | ||||||
Intuit, Inc. | 141 | 32,063 | ||||||
Mastercard, Inc., Class A | 16 | 3,562 | ||||||
Microsoft Corp. | 384 | 43,918 | ||||||
Oracle Corp. | 874 | 45,063 | ||||||
Paychex, Inc. | 195 | 14,362 | ||||||
PayPal Holdings, Inc.* | 16 | 1,405 | ||||||
Red Hat, Inc.* | 2 | 273 | ||||||
salesforce.com, Inc.* | 10 | 1,590 | ||||||
Symantec Corp. | 11 | 234 | ||||||
Synopsys, Inc.* | 2 | 197 | ||||||
Take-Two Interactive Software, Inc.* | 1 | 138 | ||||||
Total System Services, Inc. | 4 | 395 | ||||||
Twitter, Inc.* | 11 | 313 | ||||||
VeriSign, Inc.* | 2 | 320 | ||||||
Visa, Inc., Class A | 49 | 7,354 | ||||||
Western Union Co. (The) | 8 | 152 | ||||||
|
| |||||||
464,782 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 10.9% |
| |||||||
Amphenol Corp., Class A | 5 | 470 | ||||||
Apple, Inc. | 890 | 200,909 | ||||||
Arista Networks, Inc.* | 1 | 266 | ||||||
Cisco Systems, Inc. | 2,252 | 109,560 | ||||||
Corning, Inc. | 15 | 530 | ||||||
F5 Networks, Inc.* | 25 | 4,986 | ||||||
FLIR Systems, Inc. | 3 | 184 | ||||||
Hewlett Packard Enterprise Co. | 161 | 2,626 | ||||||
HP, Inc. | 871 | 22,446 | ||||||
IPG Photonics Corp.* | 1 | 156 | ||||||
Juniper Networks, Inc. | 6 | 180 | ||||||
Motorola Solutions, Inc. | 7 | 911 | ||||||
NetApp, Inc. | 144 | 12,368 | ||||||
Seagate Technology PLC (Ireland) | 34 | 1,610 | ||||||
TE Connectivity Ltd. (Switzerland) | 189 | 16,619 | ||||||
Western Digital Corp. | 156 | 9,132 | ||||||
Xerox Corp. | 86 | 2,320 | ||||||
|
| |||||||
385,273 | ||||||||
|
| |||||||
Telecommunication Services — 3.1% |
| |||||||
AT&T, Inc. | 122 | 4,097 | ||||||
CenturyLink, Inc. | 275 | 5,830 |
The accompanying notes are an integral part of the financial statements.
71
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Concluded)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Telecommunication Services — (Continued) |
| |||||||
Verizon Communications, Inc. | 1,893 | $ | 101,067 | |||||
|
| |||||||
110,994 | ||||||||
|
| |||||||
Transportation — 0.6% | ||||||||
Alaska Air Group, Inc. | 2 | 138 | ||||||
American Airlines Group, Inc. | 9 | 372 | ||||||
CH Robinson Worldwide, Inc. | 3 | 294 | ||||||
CSX Corp. | 16 | 1,185 | ||||||
Delta Air Lines, Inc. | 13 | 752 | ||||||
Expeditors International of Washington, Inc. | 95 | 6,985 | ||||||
FedEx Corp. | 7 | 1,686 | ||||||
JB Hunt Transport Services, Inc. | 3 | 357 | ||||||
Kansas City Southern | 1 | 113 | ||||||
Norfolk Southern Corp. | 19 | 3,430 | ||||||
Southwest Airlines Co. | 11 | 687 | ||||||
Union Pacific Corp. | 16 | 2,605 | ||||||
United Continental Holdings, Inc.* | 5 | 445 | ||||||
United Parcel Service, Inc., Class B | 16 | 1,868 | ||||||
|
| |||||||
20,917 | ||||||||
|
| |||||||
Utilities — 1.0% | ||||||||
AES Corp. | 90 | 1,260 | ||||||
Alliant Energy Corp. | 4 | 170 | ||||||
Ameren Corp. | 4 | 253 | ||||||
American Electric Power Co., Inc. | 7 | 496 | ||||||
American Water Works Co., Inc. | 2 | 176 | ||||||
CenterPoint Energy, Inc. | 6 | 166 | ||||||
CMS Energy Corp. | 4 | 196 | ||||||
Consolidated Edison, Inc. | 4 | 305 | ||||||
Dominion Energy, Inc. | 11 | 773 | ||||||
DTE Energy Co. | 3 | 327 | ||||||
Duke Energy Corp. | 9 | 720 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Utilities — (Continued) | ||||||||
Edison International | 4 | $ | 271 | |||||
Entergy Corp. | 3 | 243 | ||||||
Evergy, Inc. | 4 | 220 | ||||||
Eversource Energy | 4 | 246 | ||||||
Exelon Corp. | 14 | 611 | ||||||
FirstEnergy Corp. | 229 | 8,512 | ||||||
NextEra Energy, Inc. | 6 | 1,006 | ||||||
NiSource, Inc. | 6 | 150 | ||||||
NRG Energy, Inc. | 169 | 6,321 | ||||||
PG&E Corp. | 7 | 322 | ||||||
Pinnacle West Capital Corp. | 2 | 158 | ||||||
PPL Corp. | 10 | 293 | ||||||
Public Service Enterprise Group, Inc. | 10 | 528 | ||||||
SCANA Corp. | 2 | 78 | ||||||
Sempra Energy | 3 | 341 | ||||||
Southern Co. (The) | 20 | 872 | ||||||
WEC Energy Group, Inc. | 172 | 11,483 | ||||||
Xcel Energy, Inc. | 7 | 330 | ||||||
|
| |||||||
36,827 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS - 100.5% |
| 3,545,967 | ||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.5)% | (17,411 | ) | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 3,528,556 | ||||||
|
|
* | Non-income producing. |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
72
GOTHAM MASTER INDEX PLUS FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES(a) — 104.5% |
| |||||||
Gotham Enhanced Index Plus Fund | 24,245 | $ | 344,522 | |||||
Gotham Enhanced S&P 500 Index Fund | 25,126 | 344,221 | ||||||
Gotham Index Plus All-Cap Fund* | 32,604 | 343,972 | ||||||
Gotham Index Plus Fund | 21,897 | 344,219 | ||||||
|
| |||||||
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES | 1,376,934 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (4.5)% | (58,788 | ) | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 1,318,146 | ||||||
|
|
(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.
73
GOTHAM FUNDS
Statements of Assets and Liabilities
September 30, 2018
Gotham Index Plus Fund | Gotham Index Plus All-Cap Fund | Gotham Enhanced Index Plus Fund | |||||||||||||
Assets | |||||||||||||||
Non-affiliated investments, at value1,2,3 | $ | 1,165,298,668 | $ | 4,159,592 | $ | 4,539,352 | |||||||||
Cash | 1,261,376 | 10,372 | 3,885 | ||||||||||||
Deposits with brokers for securities sold short | 128,746,197 | 48,013 | 22,081 | ||||||||||||
Securities lending cash collateral | — | — | 23,585 | ||||||||||||
Receivables: | |||||||||||||||
Investments sold | 21,414,805 | 90,130 | 141,743 | ||||||||||||
Capital shares sold | 6,193,647 | — | — | ||||||||||||
Dividends and interest | 1,168,708 | 2,817 | 4,084 | ||||||||||||
Investment Adviser | — | 28,955 | 58,564 | ||||||||||||
Prepaid expenses and other assets | 89,124 | 456 | 586 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total assets | 1,324,172,525 | 4,340,335 | 4,793,880 | ||||||||||||
|
|
|
|
|
| ||||||||||
Liabilities | |||||||||||||||
Securities sold short, at value4 | 530,195,094 | 1,723,686 | 1,306,765 | ||||||||||||
Payables: | |||||||||||||||
Securities lending cash collateral | 122,387,188 | — | 23,585 | ||||||||||||
Investments purchased | 20,152,863 | 89,484 | 143,648 | ||||||||||||
Dividends and fees on securities sold short | 678,753 | 1,003 | 843 | ||||||||||||
Capital shares redeemed | 4,803,185 | — | — | ||||||||||||
Investment Adviser | 378,884 | — | — | ||||||||||||
Administration and accounting fees | 62,018 | 41,765 | 40,344 | ||||||||||||
Distribution fees | 2,463 | — | — | ||||||||||||
Accrued expenses | 49,419 | 30,401 | 38,376 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total liabilities | 678,709,867 | 1,886,339 | 1,553,561 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 645,462,658 | $ | 2,453,996 | $ | 3,240,319 | |||||||||
|
|
|
|
|
| ||||||||||
Net Assets Consisted of: | |||||||||||||||
Capital stock, $0.01 par value | $ | 410,449 | $ | 2,327 | $ | 2,281 | |||||||||
Paid-in capital | 554,021,221 | 2,345,020 | 2,364,961 | ||||||||||||
Accumulated net investment income | 2,617,418 | 5,406 | 25,136 | ||||||||||||
Accumulated net realized gain/(loss) from investments and securities sold short | (15,079,458 | ) | (251,035 | ) | 320,682 | ||||||||||
Net unrealized appreciation/(depreciation) on investments and securities sold short | 103,493,028 | 352,278 | 527,259 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 645,462,658 | $ | 2,453,996 | $ | 3,240,319 | |||||||||
|
|
|
|
|
| ||||||||||
Institutional Class Shares: | |||||||||||||||
Net assets | $ | 631,059,825 | $ | 2,453,996 | $ | 3,240,319 | |||||||||
|
|
|
|
|
| ||||||||||
Shares Outstanding | 40,127,401 | 232,694 | 228,101 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, offering and redemption price per share | $ | 15.73 | $ | 10.55 | $ | 14.21 | |||||||||
|
|
|
|
|
| ||||||||||
Investor Class Shares: | |||||||||||||||
Net assets | $ | 14,402,833 | N/A | N/A | |||||||||||
|
|
|
|
|
| ||||||||||
Shares Outstanding | 917,521 | N/A | N/A | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, offering and redemption price per share | $ | 15.70 | N/A | N/A | |||||||||||
|
|
|
|
|
| ||||||||||
1Non-affiliated investments, at cost | $ | 1,066,941,149 | $ | 3,879,003 | $ | 4,073,027 | |||||||||
2Includes market value of securities on loan | $ | 119,940,793 | $ | — | $ | 297,461 | |||||||||
3Includes market value of securities designated as collateral for securities on loan | $ | 151,007,104 | $ | — | $ | — | |||||||||
4Proceeds received, securities sold short | $ | 535,330,603 | $ | 1,795,375 | $ | 1,367,699 |
The accompanying notes are an integral part of the financial statements.
74
GOTHAM FUNDS
Statements of Assets and Liabilities (Concluded)
September 30, 2018
Gotham Enhanced S&P 500 Index Fund | Gotham Master Index Plus Fund | |||||||||
Assets | ||||||||||
Non-affiliated investments, at value1 | $ | 3,545,967 | $ | — | ||||||
Affiliated investments, at value2 | — | 1,376,934 | ||||||||
Cash | 12,787 | 3,751 | ||||||||
Receivables: | ||||||||||
Investments sold | 45,410 | — | ||||||||
Dividends and interest | 3,610 | — | ||||||||
Investment Adviser | 11,774 | — | ||||||||
Prepaid expenses and other assets | 197 | 42 | ||||||||
|
|
|
| |||||||
Total assets | 3,619,745 | 1,380,727 | ||||||||
|
|
|
| |||||||
Liabilities | ||||||||||
Payables: | ||||||||||
Investments purchased | 43,024 | — | ||||||||
Investment Adviser | — | 11,349 | ||||||||
Administration and accounting fees | 19,893 | 19,147 | ||||||||
Accrued expenses | 28,272 | 32,085 | ||||||||
|
|
|
| |||||||
Total liabilities | 91,189 | 62,581 | ||||||||
|
|
|
| |||||||
Net Assets | $ | 3,528,556 | $ | 1,318,146 | ||||||
|
|
|
| |||||||
Net Assets Consisted of: | ||||||||||
Capital stock, $0.01 par value | $ | 2,576 | $ | 1,054 | ||||||
Paid-in capital | 2,604,901 | 1,053,832 | ||||||||
Accumulated net investment income | 51,831 | 92 | ||||||||
Accumulated net realized gain from investments | 424,486 | 129,949 | ||||||||
Net unrealized appreciation/(depreciation) on investments | 444,762 | 133,219 | ||||||||
|
|
|
| |||||||
Net Assets | $ | 3,528,556 | $ | 1,318,146 | ||||||
|
|
|
| |||||||
Institutional Class Shares: | ||||||||||
Net assets | $ | 3,528,556 | $ | 1,318,146 | ||||||
|
|
|
| |||||||
Shares Outstanding | 257,574 | 105,386 | ||||||||
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 13.70 | $ | 12.51 | ||||||
|
|
|
| |||||||
1Non-affiliated investments, at cost | $ | 3,101,205 | $ | — | ||||||
2Affiliated investments, at cost | $ | — | $ | 1,243,715 |
The accompanying notes are an integral part of the financial statements.
75
GOTHAM FUNDS
Statements of Operations
For the Period/Year Ended September 30, 2018
Gotham Index Plus Fund | Gotham Index Plus All-Cap Fund* | Gotham Enhanced Index Plus Fund | |||||||||||||
Investment Income | |||||||||||||||
Dividend income | $ | 15,688,152 | $ | 45,436 | $ | 76,579 | |||||||||
Less: taxes withheld | — | (263 | ) | (166 | ) | ||||||||||
Interest | 31,623 | 1,700 | 86 | ||||||||||||
Income from securities loaned (Note 5) | 1,451 | — | 707 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total investment income | 15,721,226 | 46,873 | 77,206 | ||||||||||||
|
|
|
|
|
| ||||||||||
Expenses | |||||||||||||||
Advisory fees (Note 2) | 3,850,533 | 17,298 | 25,832 | ||||||||||||
Administration and accounting fees (Note 2) | 114,313 | 48,178 | 53,478 | ||||||||||||
Dividends and fees on securities sold short | 6,916,912 | 23,182 | 23,788 | ||||||||||||
Fees on cash collateral (Note 5) | 1,712,726 | — | — | ||||||||||||
Distribution fees (Investor Class) | 8,596 | — | — | ||||||||||||
Transfer agent fees (Note 2) | 159,821 | 5,569 | 4,787 | ||||||||||||
Custodian fees (Note 2) | 32,379 | 130 | 219 | ||||||||||||
Trustees’ and officers’ fees (Note 2) | 84,016 | 1,947 | 688 | ||||||||||||
Printing and shareholder reporting fees | 32,641 | 7,169 | 5,351 | ||||||||||||
Registration and filing fees | 4,145 | 1,870 | 339 | ||||||||||||
Legal fees | 120,869 | 743 | 35,616 | ||||||||||||
Audit fees | 17,239 | 18,300 | 27,904 | ||||||||||||
Other expenses | 21,330 | 2,253 | 2,577 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total expenses before waivers and reimbursements | 13,075,520 | 126,639 | 180,579 | ||||||||||||
|
|
|
|
|
| ||||||||||
Recoupments and/or waivers, reimbursements (Note 2) | (9,187 | ) | (83,564 | ) | (126,683 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net expenses after waivers and reimbursements | 13,066,333 | 43,075 | 53,896 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net investment income | 2,654,893 | 3,798 | 23,310 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain/(loss) from investments: | |||||||||||||||
Net realized gain from non-affiliated investments | 34,432,978 | 19,689 | 682,681 | ||||||||||||
Net realized loss from securities sold short | (44,259,767 | ) | (269,116 | ) | (325,154 | ) | |||||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | 68,189,419 | 280,589 | 13,191 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on securities sold short | 6,141,175 | 71,689 | 90,604 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain on investments | 64,503,805 | 102,851 | 461,322 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net increase in net assets resulting from operations | $ | 67,158,698 | $ | 106,649 | $ | 484,632 | |||||||||
|
|
|
|
|
|
* | The Fund incepted on December 29, 2017. |
The accompanying notes are an integral part of the financial statements.
76
GOTHAM FUNDS
Statements of Operations (Concluded)
For the Period/Year Ended September 30, 2018
Gotham Enhanced S&P 500 Index Fund | Gotham Master Index Plus Fund | |||||||||
Investment Income | ||||||||||
Dividends from non-affiliated securities | $ | 67,527 | $ | — | ||||||
Dividends from affiliated securities | — | 7,829 | ||||||||
Interest | 57 | 103 | ||||||||
|
|
|
| |||||||
Total investment income | 67,584 | 7,932 | ||||||||
|
|
|
| |||||||
Expenses | ||||||||||
Advisory fees (Note 2) | 16,181 | — | ||||||||
Administration and accounting fees (Note 2) | 30,182 | 38,770 | ||||||||
Transfer agent fees (Note 2) | 5,881 | 186 | ||||||||
Custodian fees (Note 2) | 243 | 6,783 | ||||||||
Trustees’ and officers’ fees (Note 2) | 635 | 2,282 | ||||||||
Printing and shareholder reporting fees | 6,492 | 4,693 | ||||||||
Registration and filing fees | 504 | 3,207 | ||||||||
Legal fees | 399 | 20,389 | ||||||||
Audit fees | 20,305 | 21,268 | ||||||||
Other expenses | 1,585 | 20 | ||||||||
|
|
|
| |||||||
Total expenses before waivers and reimbursements | 82,407 | 97,598 | ||||||||
|
|
|
| |||||||
Recoupments and/or waivers, reimbursements (Note 2) | (66,226 | ) | (97,598 | ) | ||||||
|
|
|
| |||||||
Net expenses after waivers and reimbursements | 16,181 | — | ||||||||
|
|
|
| |||||||
Net investment income | 51,403 | 7,932 | ||||||||
|
|
|
| |||||||
Net realized and unrealized gain/(loss) from investments: | ||||||||||
Net realized gain from non-affiliated investments | 445,804 | — | ||||||||
Net realized gain from affiliated investments | — | 118,019 | ||||||||
Capital gain distribution from affiliated investments | — | 20,706 | ||||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | 169,692 | — | ||||||||
Net change in unrealized appreciation/(depreciation) on affiliated investments | — | 70,212 | ||||||||
|
|
|
| |||||||
Net realized and unrealized gain on investments | 615,496 | 208,937 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | $ | 666,899 | $ | 216,869 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
77
GOTHAM FUNDS
Statements of Changes in Net Assets
Gotham Index Plus Fund | Gotham Index Plus All-Cap Fund | ||||||||||||||
For the Year | For the Year | For the Period | |||||||||||||
Ended | Ended | Ended | |||||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018* | |||||||||||||
Net increase/(decrease) in net assets from operations: | |||||||||||||||
Net investment income | $ | 2,654,893 | $ | 624,251 | $ | 3,798 | |||||||||
Net realized loss from investments and securities sold short | (9,826,789 | ) | (3,733,519 | ) | (249,427 | ) | |||||||||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | 74,330,594 | 26,228,188 | 352,278 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net increase in net assets resulting from operations | 67,158,698 | 23,118,920 | 106,649 | ||||||||||||
|
|
|
|
|
| ||||||||||
Less Dividends and Distributions to Shareholders from: | |||||||||||||||
Institutional Class Shares: | |||||||||||||||
Net investment income | (898,482 | ) | (316,257 | ) | — | ||||||||||
Investor Class Shares: | |||||||||||||||
Net investment income | — | — | N/A | ||||||||||||
|
|
|
|
|
| ||||||||||
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) | 379,406,424 | 132,803,527 | 2,347,347 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total increase in net assets | 445,666,640 | 155,606,190 | 2,453,996 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net assets | |||||||||||||||
Beginning of period | 199,796,018 | 44,189,828 | — | ||||||||||||
|
|
|
|
|
| ||||||||||
End of period | $ | 645,462,658 | $ | 199,796,018 | $ | 2,453,996 | |||||||||
|
|
|
|
|
| ||||||||||
Accumulated net investment income, end of period | $ | 2,617,418 | $ | 574,523 | $ | 5,406 | |||||||||
|
|
|
|
|
|
* | The Fund incepted on December 29, 2017. |
The accompanying notes are an integral part of the financial statements.
78
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Enhanced Index Plus Fund | Gotham Enhanced S&P 500 Index Fund | |||||||||||||||||||
For the Year | For the Year | For the Year | For the Period | |||||||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017* | |||||||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||||||
Net investment income | $ | 23,310 | $ | 23,945 | $ | 51,403 | $ | 30,452 | ||||||||||||
Net realized gain/(loss) from investments and securities sold short | 357,527 | (22,214 | ) | 445,804 | 44,334 | |||||||||||||||
Net change in unrealized appreciation/ (depreciation) on investments and securities sold short | 103,795 | 424,964 | 169,692 | 275,070 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 484,632 | 426,695 | 666,899 | 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 | ) | — | (65,652 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease in net assets from dividends and distributions to shareholders | (49,413 | ) | — | (105,813 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase in Net Assets from Capital Share Transactions (Note 4) | 354,905 | 25,000 | 36,441 | 2,581,173 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total increase in net assets | 790,124 | 451,695 | 597,527 | 2,931,029 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | ||||||||||||||||||||
Beginning of period | 2,450,195 | 1,998,500 | 2,931,029 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 3,240,319 | $ | 2,450,195 | $ | 3,528,556 | $ | 2,931,029 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Accumulated net investment income, end of period | $ | 25,136 | $ | 37,267 | $ | 51,831 | $ | 38,386 | ||||||||||||
|
|
|
|
|
|
|
|
* | The Fund incepted on December 30, 2016. |
The accompanying notes are an integral part of the financial statements.
79
GOTHAM FUNDS
Statements of Changes in Net Assets (Concluded)
Gotham Master Index Plus Fund | ||||||||||
For the Year | For the Period | |||||||||
Ended | Ended | |||||||||
September 30, 2018 | September 30, 2017* | |||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||
Net investment income | $ | 7,932 | $ | 6 | ||||||
Net realized gain from investments | 138,725 | — | ||||||||
Net change in unrealized appreciation/(depreciation) on investments | 70,212 | 63,007 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 216,869 | 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 | 208,558 | 1,109,588 | ||||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 1,109,588 | — | ||||||||
|
|
|
| |||||||
End of period | $ | 1,318,146 | $ | 1,109,588 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss), end of period | $ | 92 | $ | 6 | ||||||
|
|
|
|
* | The Fund incepted on April 28, 2017. |
The accompanying notes are an integral part of the financial statements.
80
GOTHAM FUNDS
Statements of Cash Flow
Gotham Index | Gotham Index | Gotham Enhanced | |||||||||||||
Plus Fund | Plus All-Cap Fund | Index Plus Fund | |||||||||||||
For the Year | For the Period | For the Year | |||||||||||||
Ended | Ended | Ended | |||||||||||||
September 30, 2018 | September 30, 2018* | September 30, 2018 | |||||||||||||
Cash flows provided by/(used in) operating activities: | |||||||||||||||
Net increase in net assets resulting from operations | $ | 67,158,698 | $ | 106,649 | $ | 484,632 | |||||||||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by/(used in) operating activities: | |||||||||||||||
Purchases of long-term portfolio investments | (2,297,167,770 | ) | (13,339,503 | ) | (14,655,962 | ) | |||||||||
Proceeds from disposition of long-term portfolio investments | 1,607,110,235 | 9,480,189 | 14,241,861 | ||||||||||||
Purchases to cover securities sold short | (816,876,702 | ) | (6,389,682 | ) | (7,131,813 | ) | |||||||||
Proceeds from securities sold short | 1,133,097,317 | 7,915,941 | 7,216,963 | ||||||||||||
Net realized gain/(loss) on investments and securities sold short | 9,826,789 | 249,427 | (357,527 | ) | |||||||||||
Net change in unrealized (appreciation)/depreciation on investments and securities sold short | (74,330,594 | ) | (352,278 | ) | (103,795 | ) | |||||||||
Increase/(decrease) in deposits with brokers for securities sold short | (104,205,877 | ) | (48,013 | ) | 13,276 | ||||||||||
Increase in receivable for securities sold | (12,833,081 | ) | (90,130 | ) | (98,087 | ) | |||||||||
Increase in cash collateral for securities lending | — | — | (15,953 | ) | |||||||||||
Increase in dividend and interest receivable | (808,265 | ) | (2,817 | ) | (856 | ) | |||||||||
Increase in receivable from investment advisor | — | (28,955 | ) | (54,515 | ) | ||||||||||
Increase/(decrease) in prepaid expenses and other assets | (66,283 | ) | (456 | ) | 235 | ||||||||||
Increase in payable for investments purchased | 11,288,587 | 89,484 | 100,734 | ||||||||||||
Increase in use of cash collateral from securities lending | 83,851,327 | — | 15,953 | ||||||||||||
Increase/(decrease) in dividends and fees payable for securities sold short | 471,229 | 1,003 | (412 | ) | |||||||||||
Increase in payable for investment advisor | 236,213 | — | — | ||||||||||||
Increase in accrued expense payable | 62,803 | 72,166 | 39,317 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net cash provided by/(used in) operating activities | (393,185,374 | ) | (2,336,975 | ) | (305,949 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Cash flows from financing activities: | |||||||||||||||
Proceeds from shares sold | 424,006,296 | 2,349,574 | 336,796 | ||||||||||||
Payment of shares redeemed | (45,845,095 | ) | (2,227 | ) | (31,304 | ) | |||||||||
Dividends and Distributions to Shareholders | (48,582 | ) | — | — | |||||||||||
|
|
|
|
|
| ||||||||||
Net cash provided by financing activities | 378,112,619 | 2,347,347 | 305,492 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net increase/(decrease) in cash | (15,072,755 | ) | 10,372 | (457 | ) | ||||||||||
Cash at beginning of period | 16,334,131 | — | 4,342 | ||||||||||||
|
|
|
|
|
| ||||||||||
Cash at end of period | $ | 1,261,376 | $ | 10,372 | $ | 3,885 | |||||||||
|
|
|
|
|
| ||||||||||
Supplemental disclosure of cash flow information: | |||||||||||||||
Cash paid during the period for financing charges | $ | 2,573,828 | $ | 12,817 | $ | 11,405 |
* | The Fund incepted on December 29, 2017. |
The accompanying notes are an integral part of the financial statements.
81
GOTHAM FUNDS
Financial Highlights
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Index Plus Fund Institutional Class Shares | ||||||||||||||||||||
For the | For the | For the | For the | |||||||||||||||||
Year | Year | Year | Period | |||||||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2016 | September 30, 2015* | |||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of year/period | $ | 13.00 | $ | 10.59 | $ | 9.28 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income(1) | 0.10 | 0.06 | 0.07 | 0.03 | ||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 2.68 | 2.41 | 1.42 | (0.75 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 2.78 | 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 | $ | 15.73 | $ | 13.00 | $ | 10.59 | $ | 9.28 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment return(3) | 21.45 | % | 23.25 | % | 16.14 | % | (7.20 | )% | ||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||
Net assets, end of year/period (in 000s) | $ | 631,060 | $ | 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) | 3.39 | % | 3.61 | % | 3.41 | % | 3.63 | %(5) | ||||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4)(6) | 3.39 | % | 3.62 | % | 3.80 | % | 4.75 | %(5) | ||||||||||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.69 | % | 0.46 | % | 0.72 | % | 0.62 | %(5) | ||||||||||||
Portfolio turnover rate | 218.46 | % | 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 fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers, reimbursement, and recoupments for the Fund’s Institutional Class Shares would be 1.15%, 1.15%, 1.18% and 1.50% for the years ended September 30, 2018, 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.
82
GOTHAM FUNDS
Financial Highlights (Continued)
Contained below is per share operating performance data for Investor Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Index Plus Fund Investor Class Shares | |||||
For the | |||||
Period | |||||
Ended | |||||
September 30, | |||||
2018* | |||||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ | 14.48 | |||
|
| ||||
Net investment income(1) | 0.05 | ||||
Net realized and unrealized gain on investments | 1.17 | ||||
|
| ||||
Total from investment operations | 1.22 | ||||
|
| ||||
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 | $ | 15.70 | |||
|
| ||||
Total investment return(3) | 8.43 | % | |||
Ratio/Supplemental Data | |||||
Net assets, end of period (in 000s) | $ | 14,403 | |||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(4) | 3.64 | %(5) | |||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4)(6) | | 3.64 | %(5) | ||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.49 | %(5) | |||
Portfolio turnover rate | 218.46 | % |
* | Investor class commenced operations on January 2, 2018. Total return is calculated based on inception date of December 29, 2017, when 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 fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers, reimbursement, and recoupments for the Fund’s Investor Class Shares would be 1.40% for the period ended September 30, 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). |
The accompanying notes are an integral part of the financial statements.
83
GOTHAM FUNDS
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Index Plus All-Cap Fund Institutional Class Shares | |||||
For the | |||||
Period | |||||
Ended | |||||
September 30, | |||||
2018* | |||||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ | 10.00 | |||
|
| ||||
Net investment income(1) | 0.02 | ||||
Net realized and unrealized gain on investments | 0.53 | ||||
|
| ||||
Total from investment operations | 0.55 | ||||
|
| ||||
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 | $ | 10.55 | |||
|
| ||||
Total investment return(3) | 5.50 | % | |||
Ratio/Supplemental Data | |||||
Net assets, end of period (in 000s) | $ | 2,454 | |||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(4) | 2.49 | %(5) | |||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4)(6) | 7.32 | %(5) | |||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.22 | %(5) | |||
Portfolio turnover rate | 236.04 | %(7) |
* | Institutional class commenced operations on January 2, 2018. Total return is calculated based on inception date of December 29, 2017, when initial seed capital was issued at $10.00 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 fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers, reimbursement, and recoupments for the Fund would be 1.15% for the period ended September 30, 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.
84
GOTHAM FUNDS
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Enhanced Index Plus Fund Institutional Class Shares | |||||||||||||||
For the | For the | For the | |||||||||||||
Year | Year | Period | |||||||||||||
Ended | Ended | Ended | |||||||||||||
September 30, | September 30, | September 30, | |||||||||||||
2018 | 2017 | 2016* | |||||||||||||
Per Share Operating Performance | |||||||||||||||
Net asset value, beginning of year/period | $ | 12.12 | $ | 9.99 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
Net investment income(1) | 0.11 | 0.12 | — | ||||||||||||
Net realized and unrealized gain/(loss) on investments | 2.22 | 2.01 | (0.01 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 2.33 | 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 | 0.00 | (2) | — | — | |||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, end of year/period | $ | 14.21 | $ | 12.12 | $ | 9.99 | |||||||||
|
|
|
|
|
| ||||||||||
Total investment return(3) | 19.46 | % | 21.20 | % | (0.10 | )% | |||||||||
Ratio/Supplemental Data | |||||||||||||||
Net assets, end of year/period (in 000s) | $ | 3,240 | $ | 2,450 | $ | 1,999 | |||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(4) | 1.84 | % | 1.91 | % | — | ||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4)(5) | 6.18 | % | 5.23 | % | — | ||||||||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.80 | % | 1.08 | % | — | ||||||||||
Portfolio turnover rate | 347.10 | % | 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) | 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 fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers, reimbursement, and recoupments for the Fund would be 1.03% and 0.85% for the years ended September 30, 2018 and 2017, respectively. |
(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). |
The accompanying notes are an integral part of the financial statements.
85
GOTHAM FUNDS
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Enhanced S&P 500 Index Fund Institutional Class Shares | ||||||||||
For the | For the | |||||||||
Year | Period | |||||||||
Ended | Ended | |||||||||
September 30, | September 30, | |||||||||
2018 | 2017* | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of period | $ | 11.53 | $ | 10.00 | ||||||
|
|
|
| |||||||
Net investment income(1) | 0.20 | 0.13 | ||||||||
Net realized and unrealized gain on investments | 2.39 | 1.40 | ||||||||
|
|
|
| |||||||
Total from investment operations | 2.59 | 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 | $ | 13.70 | $ | 11.53 | ||||||
|
|
|
| |||||||
Total investment return(2) | 22.97 | % | 15.30 | % | ||||||
Ratio/Supplemental Data | ||||||||||
Net assets, end of period (in 000s) | $ | 3,529 | $ | 2,931 | ||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any | 0.50 | % | 0.50 | %(3) | ||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4) | 2.55 | % | 3.61 | %(3) | ||||||
Ratio of net investment income to average net assets | 1.59 | % | 1.66 | %(3) | ||||||
Portfolio turnover rate | 229.59 | % | 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.
86
GOTHAM FUNDS
Financial Highlights (Concluded)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Master Index Plus Fund Institutional Class Shares | ||||||||||
For the | For the | |||||||||
Year | Period | |||||||||
Ended | Ended | |||||||||
September 30, | September 30, | |||||||||
2018 | 2017* | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of period | $ | 10.60 | $ | 10.00 | ||||||
|
|
|
| |||||||
Net investment income(1) | 0.08 | 0.00 | (2) | |||||||
Net realized and unrealized gain on investments | 1.99 | 0.60 | ||||||||
|
|
|
| |||||||
Total from investment operations | 2.07 | 0.60 | ||||||||
|
|
|
| |||||||
Dividends and distributions to shareholders from: | ||||||||||
Net investment income | (0.16 | ) | — | |||||||
|
|
|
| |||||||
Net asset value, end of period | $ | 12.51 | $ | 10.60 | ||||||
|
|
|
| |||||||
Total investment return(3) | 19.66 | % | 6.00 | % | ||||||
Ratio/Supplemental Data | ||||||||||
Net assets, end of period (in 000s) | $ | 1,318 | $ | 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(6)(7) | 7.96 | % | 10.31 | %(5) | ||||||
Ratio of net investment income to average net assets | 0.65 | % | 0.00 | %(4)(5) | ||||||
Portfolio turnover rate | 62.03 | % | 0.00 | %(8) |
* | 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) | Amount is less than 0.005%. |
(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) | The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
(8) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
87
GOTHAM FUNDS
Notes to Financial Statements
September 30, 2018
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 Funds’ 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; |
88
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
• 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 a common stock security with end of period value of $272 and $282, held by Index Plus All-Cap and Enhanced Index Plus, respectively. These securities are considered Level 2 as of and for the period ended September 30, 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. 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 Level 3 are disclosed when the Funds had an amount of transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the period ended September 30, 2018, there were no transfers in or out of Level 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 service fees relating to a specific class are charged directly to that class. The Fund records as dividend income the amount characterized as ordinary income and records as realized gain the amount characterized by a REIT as long-term capital gain in the Statement of Operations. The amount characterized as return of capital is a reduction to the cost of investments in the Statement of Assets and Liabilities if the security is still held; otherwise it is recorded as an adjustment to realized gain/(loss) from investment transactions in the Statement of Operations. These characterizations are reflected in the accompanying financial statements. 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.
89
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Code, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. A Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Recent Accounting Pronouncement — In November 2016, the Financial Accounting Standards Board issued Accounting Standards Update, Statement of Cash Flows (Topic 230): Restricted Cash, which requires entities to include the total of cash, cash equivalents, restricted cash and restricted cash equivalents in the beginning and ended cash balances in the statement of cash flows. The guidance applies retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within fiscal years beginning after December 15, 2017. Management is currently evaluating the impact of this guidance to the Funds’ presentation in the statement of cash flows.
Effective November 5, 2018, the SEC amended existing rules intended to modernize reporting and disclosure of information. These amendments relate to Regulation S-X which sets forth the form and content of financial statements. Management is evaluating the implications of adopting these amendments and their impact on the financial statements and accompanying notes.
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 September 30, 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 | |||||||||||||
Index Plus | $ | 530,195,094 | $ | 642,363,410 | $ | 128,746,197 | |||||||||
Index Plus All-Cap | 1,723,686 | 3,179,057 | 48,013 | ||||||||||||
Enhanced Index Plus | 1,306,765 | 2,739,765 | 22,081 |
In accordance with the terms of its prime brokerage agreements, the Funds may receive rebate income or be charged fees on securities sold short. Such income or fee is calculated on a daily basis based upon the market value of securities sold short and a variable rate that is dependent upon the availability of such security. These amounts are included in dividends and fees on securities sold short on the Statement of Operations. On the ex-dividend date, dividends on short sales are recorded as an expense to the Fund. The following Funds had net charges as shown in the table below for the period ended September 30, 2018:
90
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
Rebate (Income)/Fees | |||||
Index Plus | $ | (4,699,403 | ) | ||
Index Plus All-Cap | (12,710 | ) | |||
Enhanced Index Plus | (12,155 | ) |
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 on the Statement of Operations and are as follows for the period ended September 30, 2018:
Short Sales Proceeds | Financing Charges | |||||||||
Index Plus | $ | 395,220,407 | $ | 5,560,505 | ||||||
Index Plus All-Cap | 1,667,267 | 25,527 | ||||||||
Enhanced Index Plus | 1,272,945 | 23,560 |
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 incepted 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. |
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 management fees, if any), do not exceed the percentages set forth in the table below (on an annual basis) of each Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until the termination date set forth below, unless the Board approves its earlier termination. The table below reflects the Expense Limitation amounts, as a percentage of average daily net assets, in effect during the period ended September 30, 2018.
Institutional Class | Investor Class | Termination 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 |
91
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
(1) | The Fund incepted 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 management fees, if any. |
For the period ended September 30, 2018, investment advisory fees accrued and waivers were as follows:
Gross Advisory Fee | Waiver/ Reimbursements | Net Advisory Fee/ (Reimbursement) | |||||||||||||
Index Plus | $ | 3,850,533 | $ | (9,187 | ) | $ | 3,841,346 | ||||||||
Index Plus All-Cap | 17,298 | (83,564 | ) | (66,266 | ) | ||||||||||
Enhanced Index Plus | 25,832 | (126,683 | ) | (100,851 | ) | ||||||||||
Enhanced S&P 500 Index | 16,181 | (66,226 | ) | (50,045 | ) | ||||||||||
Master Index Plus | — | (97,598 | ) | (97,598 | ) |
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 September 30, 2018, the amount of potential reimbursement from the Funds to the Adviser are as follows:
Expiration 09/30/2019 | Expiration 09/30/2020 | Expiration 09/30/2021 | |||||||||||||
Index Plus | |||||||||||||||
Institutional Class | $ | 89,405 | $ | 18,635 | $ | 9,077 | |||||||||
Investor Class | N/A | N/A | 110 | ||||||||||||
Index Plus All-Cap | N/A | N/A | 83,564 | ||||||||||||
Enhanced Index Plus | N/A | 73,429 | 126,683 | ||||||||||||
Enhanced S&P 500 Index | N/A | 56,928 | 66,226 | ||||||||||||
Master Index Plus | N/A | — | 97,598 |
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.
92
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. The remuneration paid to the Trustees by the Funds during the period ended September 30, 2018 was $39,713. 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. Duff & Phelps, LLC (“D&P”) provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and D&P are compensated for their services provided to the Trust.
Investment in Affiliated Funds
The following table lists 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 September 30, 2018:
Master Index Plus | ||||||||||||||||||||||||||||||||||||||||
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 9/30/18 | Shares Held at 9/30/18 | ||||||||||||||||||||||||||||||||
Defensive Long 500 | $ | 219,516 | $ | 1,498 | $ | 1,498 | $ | (249,584 | ) | $ | 39,817 | $ | (11,247 | ) | — | — | ||||||||||||||||||||||||
Enhanced 500 | 165,419 | 10,533 | 281 | (193,648 | ) | 26,915 | (9,219 | ) | — | — | ||||||||||||||||||||||||||||||
Enhanced Index Plus Fund | — | 335,896 | — | (2,250 | ) | (5 | ) | 10,881 | 344,522 | 24,245 | ||||||||||||||||||||||||||||||
Enhanced Return | 160,904 | 1,678 | — | (188,857 | ) | 30,980 | (4,705 | ) | — | — | ||||||||||||||||||||||||||||||
Enhanced S&P 500 Index | 391,640 | 14,514 | 5,368 | (129,721 | ) | 20,339 | 47,449 | 344,221 | 25,126 | |||||||||||||||||||||||||||||||
Index Plus | 166,857 | 140,126 | 682 | (2,242 | ) | (1 | ) | 39,479 | 344,219 | 21,897 | ||||||||||||||||||||||||||||||
Index Plus All-Cap Fund | — | 348,673 | — | (2,249 | ) | (26 | ) | (2,426 | ) | 343,972 | 32,604 |
3. Investment in Securities
For the year ended September 30, 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 September 30, 2018, aggregated purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
Purchases | Sales | |||||||||
Index Plus | $ | 2,290,389,679 | $ | 1,600,145,900 | ||||||
Index Plus All-Cap | 13,303,438 | 9,444,105 | ||||||||
Enhanced Index Plus | 14,620,471 | 14,204,517 | ||||||||
Enhanced S&P 500 Index | 7,429,580 | 7,439,456 | ||||||||
Master Index Plus | 852,918 | 768,551 |
For the period ended September 30, 2018, the Funds had no purchases or sales of U.S. Government securities.
93
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
4. Capital Share Transactions
For the periods ended September 30, 2018 and September 30, 2017, transactions in capital shares of the Funds (authorized shares unlimited) were as follows:
For the Period Ended September 30, 2018 | For the Period Ended September 30, 2017 | |||||||||||||||||||
Shares | Value | Shares | Value | |||||||||||||||||
Index Plus: | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Sales | 27,933,405 | $ | 412,950,184 | 12,320,198 | $ | 146,364,160 | ||||||||||||||
Reinvestments. | 59,642 | 849,900 | 27,088 | 315,027 | ||||||||||||||||
Redemption Fees* | — | 3,805 | — | 2,944 | ||||||||||||||||
Redemptions | (3,240,329 | ) | (48,158,489 | ) | (1,146,409 | ) | (13,878,604 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase | 24,752,718 | $ | 365,645,400 | 11,200,877 | $ | 132,803,527 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Investor Class Shares:(1) | ||||||||||||||||||||
Sales | 1,080,138 | $ | 16,232,854 | — | $ | — | ||||||||||||||
Reinvestments. | — | — | — | — | ||||||||||||||||
Redemption Fees* | — | 33 | — | — | ||||||||||||||||
Redemptions | (162,617 | ) | (2,471,863 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase | 917,521 | $ | 13,761,024 | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Index Plus All-Cap:(2) | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Sales | 232,907 | $ | 2,349,574 | — | $ | — | ||||||||||||||
Reinvestments. | — | — | — | — | ||||||||||||||||
Redemption Fees* | — | 22 | — | — | ||||||||||||||||
Redemptions | (213 | ) | (2,249 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase | 232,694 | $ | 2,347,347 | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Enhanced Index Plus: | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Sales | 24,471 | $ | 336,796 | 2,238 | $ | 25,000 | ||||||||||||||
Reinvestments. | 3,831 | 49,413 | — | — | ||||||||||||||||
Redemption Fees* | — | 22 | — | — | ||||||||||||||||
Redemptions | (2,439 | ) | (31,326 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase | 25,863 | $ | 354,905 | 2,238 | $ | 25,000 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Enhanced S&P 500 Index:(3) | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Sales | 4,654 | $ | 60,369 | 254,107 | $ | 2,581,173 | ||||||||||||||
Reinvestments. | 8,869 | 105,813 | — | — | ||||||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||||||
Redemptions | (10,056 | ) | (129,741 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase | 3,467 | $ | 36,441 | 254,107 | $ | 2,581,173 | ||||||||||||||
|
|
|
|
|
|
|
|
94
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
For the Period Ended September 30, 2018 | For the Period Ended September 30, 2017 | |||||||||||||||||||
Shares | Value | Shares | Value | |||||||||||||||||
Master Index Plus:(4) | ||||||||||||||||||||
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 incepted on December 29, 2017. The Class commenced operations on January 2, 2018. |
(2) | The Fund incepted on December 29, 2017. The Fund commenced operations on January 2, 2018. |
(3) | The Fund incepted on December 30, 2016. The Fund commenced operations on January 2, 2017. |
(4) | The Fund incepted on April 28, 2017. The Fund commenced operations on May 1, 2017. |
As of September 30, 2018, the following Funds had shareholders that held 10% or more of the outstanding shares of the Fund:
Index Plus All-Cap | ||||
Affiliated Shareholders | 43 | % | ||
Affiliated Fund | 13 | % | ||
Enhanced Index Plus | ||||
Affiliated Fund | 10 | % | ||
Enhanced S&P 500 Index | ||||
Affiliated Fund | 10 | % |
5. Securities Lending
All Funds except for Gotham Enhanced S&P 500 Index Fund may lend securities to financial institutions, such as broker-dealers, and are required to be secured continuously by collateral in cash, cash equivalents, letter of credit or U.S. Government securities maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral received, pursuant to investment guidelines established by the Funds and approved by the Board, is invested in short-term investments and/or securities consistent with the Fund’s investment objective. Securities purchased with cash collateral are included in market value of securities designated as collateral for securities on loan on the Statements of Assets and Liabilities. All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses. The Funds pay a fee on the cash collateral received 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 Statements of Operations. Such loans would involve risks of delay in receiving additional collateral in the event the value of the collateral decreased below the value of the securities loaned or of delay in recovering the securities loaned or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers deemed by the Adviser to be of good standing and only when, in the Adviser’s judgment, the income to be earned from the loans justifies the attendant risks. Any loans of a Fund’s securities will be fully collateralized and marked to market daily. When the collateral falls below specified amounts, the lending agent will use its best effort to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. During the period ended September 30, 2018, the Funds listed below each had securities lending programs. The market value of securities on loan and cash collateral received as of September 30, 2018 and the income generated from the programs during the period ended September 30, 2018, with respect to such loans are as follows:
95
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
Market Value of Securities Loaned | Cash Collateral Received | Market Value of Non-cash Collateral | Income Received from Securities Lending | |||||||||||||||||
Index Plus | $ | 119,940,793 | $ | 122,387,188 | $ | — | $ | 1,451 | ||||||||||||
Enhanced Index Plus | 297,461 | 23,585 | 280,381 | 707 |
Securities lending transactions are entered into by the Funds under a Master Securities Lending Agreement (“MSLA”) which permits the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Funds to the same counterparty against amounts to be received from that counterparty and create one single net payment due to or from the Funds. The following table is a summary of each of the Fund’s open securities lending transactions which are subject to a MSLA as of September 30, 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 | $ | 119,940,793 | $ | — | $ | 119,940,793 | $ | — | $ | (119,940,793 | ) | $ | — | |||||||||||||||||
Enhanced Index Plus | 297,461 | — | 297,461 | — | (297,461 | ) | — |
* | Amount disclosed is limited to the amount of assets presented in each Statement of Assets and Liabilities. Actual collateral received may be more than the amount shown. |
** | Net amount represents the net receivable from the counterparty in the event of a default. |
6. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds had determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
In order to present net assets components on the Statement of Assets and Liabilities that more closely represent their tax character, certain reclassifications are made to the net asset components. Net investment income, net realized gains and net assets were not affected by these adjustments. The following permanent differences as of September 30, 2018, primarily attributed to non-deductible expenses, capitalized dividends on short sales and short term capital gain distributions from registered investment companies, were reclassified among the following accounts:
Increase/(Decrease) Undistributed Net Investment Income | Increase/(Decrease) Accumulated Net Realized Loss | Increase/(Decrease) Additional Paid-In Capital | |||||||||||||
Index Plus | $ | 286,484 | $ | (286,484 | ) | $ | — | ||||||||
Index Plus All-Cap | 1,608 | (1,608 | ) | — | |||||||||||
Enhanced Index Plus | 1,826 | (1,826 | ) | — | |||||||||||
Enhanced S&P 500 Index | 2,203 | — | (2,203 | ) | |||||||||||
Master Index Plus | 8,776 | (8,776 | ) | — |
96
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
The tax character of distributions paid by the Funds during the year/period ended September 30, 2018 were as follows:
Ordinary Income Dividend | Long-Term Capital Gain Dividend | Return of Capital | |||||||||||||
Index Plus | $ | 898,482 | $ | — | $ | — | |||||||||
Enhanced Index Plus | 49,413 | — | — | ||||||||||||
Enhanced S&P 500 Index | 105,813 | — | — | ||||||||||||
Master Index Plus | 16,622 | — | — |
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.
As of September 30, 2018, 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 | $ | — | $ | 2,617,418 | $ | 10,699,746 | $ | 77,713,824 | $ | — | $ | — | ||||||||||||||||||
Index Plus All Cap | — | 5,406 | — | 225,596 | (124,353 | ) | — | |||||||||||||||||||||||
Enhanced Index Plus | — | 25,136 | 438,185 | 409,756 | — | — | ||||||||||||||||||||||||
Enhanced S&P 500 Index | — | 101,095 | 403,108 | 416,876 | — | — | ||||||||||||||||||||||||
Master Index Plus | — | 117,738 | 12,329 | 133,193 | — | — |
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. The temporary differences as of September 30, 2018 were primarily attributed to deferral of loss on unsettled trades, wash sales on unsettled short sales, wash sales, straddle losses outstanding, and qualified late-year losses. Foreign currency and short-term capital gains are reported as ordinary income for federal income tax purposes.
As of September 30, 2018, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Funds were as follows:
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Index Plus | $ | 1,092,720,353 | $ | 124,470,218 | $ | (46,756,394 | ) | $ | 77,713,824 | |||||||||||
Index Plus All-Cap | 4,005,685 | 567,259 | (341,663 | ) | 225,596 | |||||||||||||||
Enhanced Index Plus | 4,190,530 | 628,249 | (218,493 | ) | 409,756 | |||||||||||||||
Enhanced S&P 500 Index | 3,129,091 | 459,273 | (42,397 | ) | 416,876 | |||||||||||||||
Master Index Plus | 1,243,741 | 135,645 | (2,452 | ) | 133,193 |
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, 2018, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2018. For the period ended September 30, 2018, the Funds deferred to October 1, 2018 the following losses:
97
GOTHAM FUNDS
Notes to Financial Statements (Concluded)
September 30, 2018
Late-Year Ordinary Losses Deferral | Short-Term Capital Loss Deferral | Long-Term Capital Loss Deferral | |||||||||||||
Index Plus All-Cap | $ | — | $ | 124,344 | $ | 9 |
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2018 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, 2018, the Funds did not have any long-term and short-term capital loss carryforwards.
For the period ended September 30, 2018, the following Fund utilized capital losses as follows:
Capital Losses Utilized | |||||
Index Plus | $ | 39,132 |
7. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available to be issued, and has determined that there are no material subsequent events requiring recognition or disclosure in the financial statements.
98
GOTHAM FUNDS
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of FundVantage Trust and Shareholders of each of the five funds listed in the table below
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of each of the funds listed in the table below (five of the funds constituting FundVantage Trust, hereafter collectively referred to as the “Funds”) as of September 30, 2018, the related statements of operations, statements of changes in net assets, and for the three funds designated with an asterisk in the table below, the statements of cash flows for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2018, the results of each of their operations, the changes in each of their net assets, and for the three funds designated with an asterisk in the table below, each of their cash flows for the periods indicated in the table below and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Gotham Index Plus Fund* and Gotham Enhanced Index Plus Fund* | Statements of operations and cash flows for the year ended September 30, 2018 and the statement of changes in net assets for each of the two years in the period ended September 30, 2018 | |||
Gotham Index Plus All-Cap Fund* | Statements of operations, changes in net assets, and cash flows for the period December 29, 2017 (commencement of operations) through September 30, 2018 | |||
Gotham Enhanced S&P 500 Index Fund | Statement of operations for the year ended September 30, 2018 and the statement of changes in net assets for the year ended September 30, 2018 and for the period December 30, 2016 (commencement of operations) through September 30, 2017 | |||
Gotham Master Index Plus Fund | Statement of operations for the year ended September 30, 2018 and the statement of changes in net assets for the year ended September 30, 2018 and for the period April 28, 2017 (commencement of operations) through September 30, 2017 |
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
99
GOTHAM FUNDS
Report of Independent Registered Public Accounting Firm (Concluded)
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2018 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 27, 2018
We have served as the auditor of one or more investment companies in Gotham Asset Management LLC since 2011.
100
GOTHAM FUNDS
Shareholder Tax Information
(Unaudited)
Certain tax information regarding each Fund is required to be provided to shareholders based upon each fund’s income and distributions for the taxable year ended September 30, 2018. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2018. During the fiscal year ended September 30, 2018, the following dividends and distributions were paid by each of the Funds:
Ordinary Income | Long-Term Capital Gain | |||||||||
Index Plus | $ | 898,482 | $ | — | ||||||
Enhanced Index Plus | 49,413 | — | ||||||||
Enhanced S&P 500 Index | 105,813 | — | ||||||||
Master Index Plus | 16,622 | — |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
Where appropriate, all designations are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of each Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations thereunder.
Under the Jobs and Growth Tax Relief Reconciliation Act of 2003, the following percentages of ordinary dividends paid during the fiscal year ended September 30, 2018 were designated as “qualified dividend income”, as defined in the Act, and are subject to reduced tax rates:
Index Plus | 100.00 | % | |||
Enhanced Index Plus | 100.00 | % | |||
Enhanced S&P 500 Index | 33.49 | % | |||
Master Index Plus | 5.36 | % |
The percentage of total ordinary income dividends paid qualifying for the corporate dividends received deduction for each Fund is as follows:
Index Plus | 100.00 | % | |||
Enhanced Index Plus | 100.00 | % | |||
Enhanced S&P 500 Index | 34.07 | % | |||
Master Index Plus | 5.42 | % |
The percentage of qualified interest income related dividends not subject to withholding tax for non-resident aliens and foreign corporations is as follows:
Master Index Plus | 0.63 | % |
Because the Funds’ fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2018. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns will be made in conjunction with Form 1099-DIV and will be mailed in January 2019.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by a Fund, if any.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in a Fund.
101
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. Form N-Q is being rescinded. Once Form N-Q is rescinded, disclosure of the Fund’s complete holdings will be required to be made monthly on Form N-PORT, with every third month made available to the public by the Commission 60 days after the end of the Fund’s fiscal quarter.
Board Consideration of Investment Advisory Agreement
At a meeting held on June 25-26, 2018 (the “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 continuation for an additional one-year period of the advisory agreement between Gotham Asset Management, LLC (“Gotham” or the “Adviser”) and the Trust (the “Agreement”) on behalf of Gotham Index Plus Fund, Gotham Enhanced Index Plus Fund, Gotham Enhanced S&P 500 Index Fund, and Gotham Master Index Plus Fund (together, the “Funds”).
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 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 (including soft dollar arrangements, if any), (vii) the procedures for allocating investment opportunities between the Funds and other clients, (viii) results of any regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding that may have a material impact on Gotham’s ability to service the Funds, (x) compliance with the Funds’ investment objectives, policies and practices (including codes of ethics and proxy voting policies) and (xi) compliance with federal securities laws and other regulatory requirements. The Trustees noted the reports that were provided to them and discussions with management of the Adviser as provided at the Board meetings throughout the year covering matters such as the relative performance of the Funds; compliance with the investment objectives, policies, strategies and limitations for the Funds; the compliance of management personnel with the applicable code of ethics; and the adherence to the Trust’s pricing procedures as established by the Board.
Performance. The Trustees considered the investment performance for the Funds and Gotham. The Trustees reviewed historical performance charts which showed the performance of the Funds as compared to their respective benchmark indices and Lipper categories for the one year, two year, three year, five year, ten year, year-to-date, and since inception periods ended March 31, 2018, as applicable. The Trustees considered the short term and long term performance of the Funds, as applicable. The Trustees noted that they considered performance reports provided at Board meetings throughout the year.
Gotham Enhanced Index Plus Fund. The Trustees noted that the Gotham Enhanced Index Plus Fund outperformed the Lipper Large-Cap Core Funds Index and S&P 500 Daily Reinvested Index for the year-to-date, one year and since inception periods ended March 31, 2018. The Trustees concluded that the performance of the Gotham Enhanced Index Plus Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
Gotham Enhanced S&P 500 Index Fund. The Trustees noted that the Gotham Enhanced S&P 500 Index Fund outperformed the S&P 500 Daily Reinvested Index and the Lipper Large-Cap Core Funds Index for the year-to-date, one year and since inception periods
102
GOTHAM FUNDS
Other Information (Continued)
(Unaudited)
ended March 31, 2018. The Trustees concluded that the performance of the Gotham Enhanced S&P 500 Index Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
Gotham Index Plus Fund. The Trustees noted that the Institutional Class of the Gotham Index Plus Fund outperformed the S&P 500 Daily Reinvested Index and the Lipper Large-Cap Core Funds Index for the one year, two year, three year and since inception periods ended March 31, 2018 and underperformed the S&P 500 Daily Reinvested Index and the Lipper Large-Cap Core Funds Index for the year-to-date period ended March 31, 2018. The Trustees also noted that the Investor Class of the Gotham Index Plus Fund underperformed the S&P 500 Daily Reinvested Index and Lipper Large-Cap Core Funds Index for the period from January 2, 2018 (commencement of investment operations) through March 31, 2018. The Trustees concluded that the performance of the Gotham Index Plus Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
Gotham Master Index Plus Fund. The Trustees noted that the Gotham Master Index Plus Fund underperformed the HFRX Equity Hedge Index and outperformed the Lipper Alternative Long/Short Equity Funds Index for the year-to-date period ended March 31, 2018 and outperformed the HFRX Equity Hedge Index and Lipper Alternative Long/Short Equity Funds Index for the since inception period ended March 31, 2018. The Trustees concluded that the performance of the Gotham Master Index Plus Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
Fees. The Trustees noted that the representatives of Gotham had provided information regarding its advisory fees and an analysis of these fees in relation to the services provided to the Funds and any other ancillary benefit resulting from the Gotham’s relationship with the Funds.
The Trustees also reviewed information regarding the fees Gotham charges to other clients and evaluated explanations provided by Gotham as to differences in fees charged to the Funds and other similarly managed accounts. The Trustees reviewed fees charged by other advisers that manage comparable mutual funds with similar strategies. The Trustees concluded that the advisory fees and services provided by Gotham are consistent with those of other advisers that manage mutual funds with investment objectives, strategies and policies similar to those of the Funds as measured by the information provided by Gotham.
The Board considered, among other data, the specific factors and related conclusions set forth below with respect to each Fund:
Gotham Enhanced Index Plus Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were each higher than the gross advisory fee and net total expense ratio of the median of funds in the Lipper Large-Cap Core Funds Index. The Trustees also discussed the limitations of the comparative expense information of the Gotham Enhanced Index Plus Fund, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the Fund’s advisory fee was reasonable in light of the high quality of services received by the Fund from Gotham.
Gotham Enhanced S&P 500 Index Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were equal to and lower than the gross advisory fee and net total expense ratio of the median of funds in the Lipper Large-Cap Core Funds Index, respectively. The Trustees also discussed the limitations of the comparative expense information of the Gotham Enhanced S&P 500 Index Fund, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the Fund’s advisory fee was reasonable in light of the high quality of services received by the Fund from Gotham.
Gotham Index Plus Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were each higher than the gross advisory fee and net total expense ratio of the median of funds with a similar share class in the Fund’s applicable Lipper Alternative Long/Short Equity Funds Index. The Trustees also discussed the limitations of the comparative expense information of the Gotham Index Plus Fund, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the advisory fee was reasonable in light of the high quality of services received by the Fund from Gotham.
103
GOTHAM FUNDS
Other Information (Concluded)
(Unaudited)
Gotham Master Index Plus Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were each lower than the gross advisory fee and net total expense ratio of the median of funds in the Lipper Alternative Long/Short Equity Funds Index. The Trustees discussed that the Gotham Master Index Plus Fund is a “fund of funds,” and that there is no advisory fee in respect of assets invested in other funds advised by Gotham. The Trustees also discussed the limitations of the comparative expense information of the Gotham Master Index Plus Fund, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the Fund’s advisory fee was reasonable in light of the high quality of services received by the Fund from Gotham.
Nature and Quality of Services Provided by Adviser. The Trustees then considered the nature and quality of services provided by the Adviser. In evaluating the quality of services provided by Gotham, the Trustees considered the level and depth of knowledge of Gotham, including the professional experience and qualifications of 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 Compliance Officer. The Board also considered any potential conflicts of interest that may arise in a portfolio manager’s management of the Funds’ investments on the one hand, and the investments of other accounts, on the other. The Trustees reviewed the services provided to each Fund by Gotham and concluded that the nature, extent and quality of the services provided were appropriate and consistent with the terms of the Gotham Agreement, that the quality of the services appeared to be consistent with industry norms and that the Funds are likely to benefit from the continued receipt of those services. They also concluded that Gotham has sufficient personnel, with the appropriate education and experience, to serve the Funds effectively and had demonstrated their ability to attract and retain qualified personnel.
Cost and Profitability. The Trustees then considered the costs of the services provided by Gotham, the compensation and benefits received by Gotham in providing services to the Funds, as well as Gotham’s profitability. The Trustees considered any direct or indirect revenues which would be received by Gotham. The Trustees noted that the level of profitability is an appropriate factor to consider, and the Trustees should be satisfied that Gotham’s profits are sufficient to continue as a healthy concern generally and as investment adviser of the Funds. Based on the information provided, the Trustees concluded that Gotham’s advisory fee level was reasonable in relation to the nature and quality of the services provided, taking into account the current size and projected continued growth of the Funds.
Economies of Scale. In considering the reasonableness of the contractual investment advisory fees of each Fund, the Board considered whether economies of scale will be realized as a Fund grows and whether fee rate levels reflect these economies for the benefit of Fund shareholders. The Board noted that while some Funds have not achieved asset levels where economies of scale are present, certain Funds have asset levels where such economies may have a higher likelihood of being recognized sooner in the event asset growth continues. The Board noted the Adviser’s belief that breakpoints are not warranted at this time because each Fund is currently operating under a contractual expense limitation agreement whereby the Adviser waives its advisory fee and/or reimburses a Fund’s expenses to maintain a net expense ratio, that contractual advisory fees for the Funds are comparable to fees for other accounts of the Adviser using similar strategies, and that certain Funds utilizing a long-short all-cap strategy could have limited capacity for asset growth. Based on the foregoing information, the Board concluded that, it was not yet necessary to consider whether the fee structure of the funds provided an adequate mechanism for sharing the benefit of any such economies.
The Trustees determined to approve the Agreement for an additional one year period. In voting to approve the continuation of the Agreement, the Board considered all factors it deemed relevant and the information presented to the Board by Gotham. In arriving at its decision, the Board did not identify any single factor as being of paramount importance and each member of the Board gave varying weights to each factor according to his or her own judgment. The Board determined that the continuation of the Agreement would be in the best interests of the Funds and their shareholders. The Board, including a majority of the Independent Trustees, unanimously approved the Agreement for an additional one year period.
104
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.
105
GOTHAM FUNDS
Fund Management
(Unaudited)
FundVantage Trust (the “Trust”) is governed by a Board of Trustees (the “Board” or the “Trustees”). The primary responsibility of the Trustees is to represent the interest of the Trust’s shareholders and to provide oversight management of the Trust.
The following tables present certain information regarding the Board of Trustees and officers of the Trust. None of the Trustees are an “interested person” of the Trust, the Adviser, another investment adviser of a series of the Trust, or Foreside Funds Distributors LLC, the principal underwriter of the Trust (“Underwriter”), within the meaning of the 1940 Act and each Trustee is referred to as an “Independent Trustee” and is listed under such heading below. Employees of certain service providers to the Trust serve as officers of the Trust; such persons are not compensated by the Fund. The address of each Trustee and officer as it relates to the Trust’s business is 301 Bellevue Parkway, 2nd Floor, Wilmington, DE 19809.
The Statement of Additional Information for the Funds contains additional information about the Trustees and is available, without charge, upon request, by calling (877) 974-6852.
Name and Date of Birth | Position(s) with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Trustee | Other Trustee | |||||
INDEPENDENT TRUSTEES | ||||||||||
ROBERT J. CHRISTIAN Date of Birth: 2/49 | Trustee and Chairman of the Board | Shall serve until death, resignation or removal. Trustee and Chairman since 2007. | Retired since February 2006; Executive Vice President of Wilmington Trust Company from February 1996 to February 2006; President of Rodney Square Management Corporation (“RSMC”) (investment advisory firm) from 1996 to 2005; Vice President of RSMC from 2005 to 2006. | 41 | Optimum Fund Trust (registered investment company with 6 portfolios). | |||||
IQBAL MANSUR Date of Birth: 6/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2007. | University Professor, Widener University. | 41 | None. | |||||
NICHOLAS M. MARSINI, JR. Date of Birth: 8/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2016. | Retired since March 2016. President of PNC Bank Delaware from June 2011 to March 2016; Executive Vice President Finance of BNY Mellon from July 2010 to January 2011; Executive Vice President and Chief Financial Officer of PNC Global Investment Servicing from September 1997 to July 2010. | 41 | Brinker Capital Destinations Trust (registered investment company with 10 portfolios). | |||||
STEPHEN M. WYNNE Date of Birth: 1/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2009. | Retired since December 2010; Chief Executive Officer of US Funds Services, BNY Mellon Asset Servicing from July 2010 to December 2010; Chief Executive Officer of PNC Global Investment Servicing from March 2008 to July 2010; President, PNC Global Investment Servicing from 2003 to 2008. | 41 | Copeland Trust (registered investment company with 2 portfolios). |
106
GOTHAM FUNDS
Fund Management (Concluded)
(Unaudited)
Name and Date of Birth | Position(s) with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Trustee | Other Trustee | |||||
NANCY B. WOLCOTT Date of Birth: 11/54 | Trustee | Shall serve until death, resignation or removal. Trustee since 2011. | Retired since May 2014; EVP, Head of GFI Client Service Delivery, BNY Mellon from January 2012 to May 2014; EVP, Head of US Funds Services, BNY Mellon from July 2010 to January 2012; President of PNC Global Investment Servicing from 2008 to July 2010; Chief Operating Officer of PNC Global Investment Servicing from 2007 to 2008; Executive Vice President of PFPC Worldwide Inc. from 2006 to 2007. | 41 | Lincoln Variable Insurance Products Trust (registered investment company with 92 portfolios). |
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | |||
EXECUTIVE OFFICERS | ||||||
JOEL L. WEISS Date of Birth: 1/63 | President and Chief Executive Officer | Shall serve until death, resignation or removal. Officer since 2007. | President of JW Fund Management LLC since June 2016; Vice President and Managing Director of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from 1993 to June 2016. | |||
T. RICHARD KEYES Date of Birth: 1/57 | Treasurer and Chief Financial Officer | Shall serve until death, resignation or removal. Officer since 2016. | President of TRK Fund Consulting LLC since July 2016; Head of Tax - U.S. Fund Services of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from February 2006 to July 2016. | |||
VINCENZO A. SCARDUZIO Date of Birth: 4/72 | Secretary | Shall serve until death, resignation or removal. Officer since 2012. | Director and Vice President Regulatory Administration of The Bank of New York Mellon and predecessor firms since 2001. | |||
DAVID C. LEBISKY Date of Birth: 5/72 | Chief Compliance Officer and Anti-Money Laundering Officer | Shall serve until death, resignation or removal. Officer since 2015. | President of Lebisky Compliance Consulting LLC since October 2015; Consultant, Duff & Phelps, LLC since 2016; Senior Consultant, Freeh Group International Solutions, LLC (a global risk management firm) from 2015 to 2018; Scotia Institutional Investments US, LP, Director of Regulatory Administration from 2010 to 2014. |
107
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
240 Greenwich 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-0918
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 Large Value Fund
(formerly, Gotham Institutional Value Fund)
Gotham Total Return Fund
Gotham Master Neutral Fund
ANNUAL REPORT
September 30, 2018
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 Large 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 Large 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
Annual Investment Adviser’s Report
September 30, 2018
(Unaudited)
Gotham Absolute 500 Fund (GFIVX)
Gotham Absolute 500 Core Fund (GACFX)
Gotham Enhanced 500 Fund (GENFX)
Gotham Enhanced 500 Core Fund (GECFX)
Gotham Neutral 500 Fund (GONFX)
Gotham Hedged Plus Fund (GHPLX)
Gotham Hedged Core Fund (GCHDX)
Gotham Defensive Long Fund (GDLIX)
Gotham Defensive Long 500 Fund (GDLFX)
Gotham Short Strategies Fund (GSSFX)
Gotham Large Value Fund (GVALX)
Gotham Total Return Fund (GTRFX)
Gotham Master Neutral Fund (GMNFX)
Dear Shareholder,
Gotham offers value-focused mutual funds with varying market cap universes and gross and net exposures that share the same investment philosophy, process and research. Gotham offers actively managed strategies (long/short and long-only) as well as strategies that combine an index component and an actively managed long/short overlay. Gotham’s all-cap funds select long and short stock portfolios from a diverse capitalization universe of U.S. stocks. Our large-cap funds select stocks primarily from the S&P 500. This letter describes Gotham’s strategies generally and provides performance insights on the funds listed above.
Our investment process begins with a research effort that seeks to value all of the companies in a fund’s respective investment universe. Our philosophy is simple. Although stock prices react to emotion over the short term, over the long term the market is very good at finding the fair value of stocks. Therefore, we believe that if we are good at valuing businesses (a share of stock represents a percentage ownership stake in a business), the market will agree with us...eventually.
For an individual stock, we believe the waiting period for the market to get it “right” is no more than 2 or 3 years in the vast majority of cases. For a group of stocks, we believe the average waiting period can often be much shorter. In other words, for us, there is a “true north” when it comes to the stock market. If we do a good job of analyzing and valuing companies, we believe the market will agree with us — even if it takes some time. This is crucial. No investment strategy, regardless of how good or logical, works all the time.
The important thing for us is to stick to our strategy even if it is not working over shorter time periods. We have well over 50 years of combined investment experience valuing and investing in publicly traded businesses. We know how to value businesses by using various measures of absolute and relative value. So, that’s how we invest. We buy companies that are at the biggest discount to our assessment of value and sell short (where applicable) those companies that are most expensive relative to our assessment of value. We do not plan to change this strategy or adopt other methodologies when short term stock prices do not reflect the values that we see.
Together with our investment team (led by Director of Research, Adam Barth), we follow a systematic process of researching and valuing companies, investing in our long and short portfolios and adjusting positions daily to take advantage of changing stock prices and fundamental information. The funds are highly diversified and invest in hundreds of positions. Our positions are not equally weighted. The funds invest in the cheapest companies and short (where applicable) the most expensive based on our assessment of value and subject to our risk constraints.
We manage our risks by requiring substantial portfolio diversification, setting maximum limits for sector concentration and by maintaining overall gross and net exposures within carefully defined ranges.
2
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Market Observations and Performance Commentary
Market action this fiscal year continued to follow a trend we have seen for most of this bull market where stocks that are typically defined as “growth” have far outperformed traditional “value” stocks. For the 12 months ending September 30, 2018, the Russell 1000 Pure Growth Index (not market cap weighted) returned 39.9%. For the same period, the Russell 1000 Pure Value Index returned only 4.9%, almost 35% less for the 12 month period.
Although Russell or Morningstar would generally put us in the “Blend” category, which is some combination of value and growth, we are actually cash flow oriented investors and value companies similar to the way that a private equity firm might consider buying an entire company. Our definition of value is to figure out what a business is worth and buy at a discount or sell short at a premium. This is largely based on corporate cash flows. It is not low price/book or low price/sales investing. This is why we have not been punished in this market as much as many traditional “value” investors.
Having said that, our short books (where applicable) have suffered headwinds that have mostly affected medium and small cap stocks. Though many of these shorts are growing quickly, they are very richly priced. Some are currently unprofitable, and others sell at 50 or 100 times corporate free cash flows. We are pleased with how we have managed our risks during the extreme growth environment and our opportunity set on the short side remains quite robust.
On the long side, though we cannot predict short term market moves and the overall market remains expensive, we believe that there is an opportunity to nicely exceed the positive returns we expect for large cap indexes. Combining these long returns with the attractive long/short spread environment that should be available from a market that does not continue up at a 15-20% annualized clip should hopefully lead to promising returns for our portfolios over the next several years.
Important Information
This letter is intended to assist shareholders in understanding how the Gotham Funds described herein performed during the period ended September 30, 2018, and reflects the views of the investment adviser at the time of this writing. Market and index valuations are based on Gotham’s valuation methodology. The views may change and do not guarantee the future performance of the Gotham Funds or the markets.
This letter contains forward-looking statements regarding future events, forecasts and expectations regarding equity markets and certain of Gotham’s strategies. Forward-looking statements may be identified terminology such terms as “may,” “expect,” “will,” “hope,” “believe” and/or comparable terminology. No assurance, representation, or warranty is made that any of Gotham’s expectations, views and/or objectives will be achieved and actual results may be significantly different than reflected herein.
The indices referenced herein are for comparison purposes only. The performance and volatility of the funds will be different than those of the indices. It is not possible to invest in the indices directly.
3
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Performance by Fund
Gotham Absolute 500 Fund (GFIVX)
• | The Fund returned +13.91% (net) for the trailing twelve month period and the HFRX Equity Hedge Index returned +1.79% over the same time period. |
• | The spread for the period was +4.78%1. |
• | The long portfolio contributed +27.35% for the trailing twelve month period. The short portfolio detracted -11.89% for the period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Information Technology | 7.16% | 23.73% | |||||
Consumer Discretionary | 5.49% | 21.77% | ||||||
Short | Utilities | 0.03% | -3.61% | |||||
Largest Detractors | ||||||||
Long | Real Estate | -0.13% | 1.46% | |||||
Short | Information Technology | -4.00% | -14.11% | |||||
Health Care | -2.75% | -13.26% | ||||||
| ||||||||
Stock Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Apple Inc | 1.21% | 2.88% | |||||
Conocophillips | 1.18% | 2.37% | ||||||
Short | Schlumberger Ltd | 0.30% | -1.39% | |||||
General Electric Co | 0.28% | -0.49% | ||||||
Largest Detractors | ||||||||
Long | Celgene Corp | -0.32% | 1.69% | |||||
CVS Health Corp | -0.23% | 1.72% | ||||||
Short | Netflix Inc | -1.30% | -1.62% | |||||
NVIDIA Corp | -0.75% | -1.51% |
4
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Gotham Absolute 500 Core Fund (GACFX)
• | The Fund returned +12.72% (net) for the trailing twelve month period and the HFRX Equity Hedge Index returned +1.79% over the same time period. |
• | The spread for the period was +4.77%. |
• | The long portfolio contributed +20.58% for the trailing twelve month period. The short portfolio detracted -6.97% for the period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Information Technology | 5.19% | 17.49% | |||||
Consumer Discretionary | 4.34% | 17.45% | ||||||
Short | Utilities | 0.04% | -2.13% | |||||
Materials | 0.03% | -2.26% | ||||||
Largest Detractors | ||||||||
Long | Real Estate | -0.13% | 1.28% | |||||
Short | Information Technology | -2.43% | -8.69% | |||||
Health Care | -1.52% | -7.61% | ||||||
| ||||||||
Stock Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Apple Inc | 0.93% | 2.23% | |||||
Boeing Co | 0.88% | 1.54% | ||||||
Short | General Electric Co | 0.21% | -0.34% | |||||
Schlumberger Ltd | 0.19% | -0.87% | ||||||
Largest Detractors | ||||||||
Long | Tyson Foods Inc | -0.17% | 0.59% | |||||
Celgene Corp | -0.16% | 1.36% | ||||||
Short | Netflix Inc | -0.74% | -0.99% | |||||
NVIDIA Corp | -0.42% | -0.93% |
5
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Gotham Enhanced 500 Fund (GENFX)
• | The Fund returned +21.68% (net) for the trailing twelve month period and the S&P 500 Total Return Index returned +17.91% over the same time period. |
• | The spread for the period was +5.75%. |
• | The long portfolio contributed +36.04% for the trailing twelve month period. The short portfolio detracted -11.81% for the period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Information Technology | 9.53% | 30.76% | |||||
Consumer Discretionary | 7.31% | 27.99% | ||||||
Short | Utilities | 0.05% | -3.90% | |||||
Financials | 0.03% | -11.70% | ||||||
Largest Detractors | ||||||||
Long | Real Estate | -0.18% | 1.72% | |||||
Short | Information Technology | -4.24% | -14.12% | |||||
Health Care | -2.82% | -13.38% | ||||||
| ||||||||
Stock Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Boeing Co | 1.58% | 2.81% | |||||
Apple Inc | 1.57% | 3.17% | ||||||
Short | General Electric Co | 0.38% | -0.52% | |||||
Schlumberger Ltd | 0.32% | -1.37% | ||||||
Largest Detractors | ||||||||
Long | Celgene Corp | -0.54% | 2.19% | |||||
Tyson Foods Inc | -0.32% | 0.96% | ||||||
Short | Netflix Inc | -1.41% | -1.55% | |||||
NVIDIA Corp | -0.80% | -1.45% |
6
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Gotham Enhanced 500 Core Fund (GECFX)
• | The Fund returned +19.86% (net) for the trailing twelve month period and the S&P 500 Total Return Index returned +17.91% over the same time period. |
• | The spread for the period was +5.77%. |
• | The long portfolio contributed +27.02% for the trailing twelve month period. The short portfolio detracted -5.47% for the period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Information Technology | 7.06% | 22.75% | |||||
Consumer Discretionary | 5.70% | 22.11% | ||||||
Short | Materials | 0.03% | -1.79% | |||||
Utilities | 0.02% | -1.72% | ||||||
Largest Detractors | ||||||||
Long | Real Estate | -0.13% | 1.33% | |||||
Short | Information Technology | -1.92% | -6.62% | |||||
Health Care | -1.30% | -6.15% | ||||||
| ||||||||
Stock Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Boeing Co | 1.25% | 2.17% | |||||
Apple Inc | 1.23% | 2.69% | ||||||
Short | General Electric Co | 0.23% | -0.32% | |||||
Schlumberger Ltd | 0.16% | -0.69% | ||||||
Largest Detractors | ||||||||
Long | Celgene Corp | -0.24% | 1.64% | |||||
Kraft Heinz Co (The) | -0.22% | 1.19% | ||||||
Short | Netflix Inc | -0.60% | -0.75% | |||||
NVIDIA Corp | -0.34% | -0.65% |
7
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Gotham Neutral 500 Fund (GONFX)
• | The Fund returned +9.09% (net) for the trailing twelve month period and the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index returned +1.59% over the same time period. |
• | The spread for the period was +5.43%. |
• | The long portfolio contributed +22.32% for the trailing twelve month period. The short portfolio detracted -12.52% for the period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Information Technology | 5.92% | 20.46% | |||||
Consumer Discretionary | 4.34% | 17.23% | ||||||
Short | Financials | 0.18% | -10.97% | |||||
Utilities | 0.10% | -4.84% | ||||||
Largest Detractors | ||||||||
Long | Real Estate | -0.12% | 1.27% | |||||
Short | Information Technology | -4.60% | -16.55% | |||||
Health Care | -2.66% | -15.52% | ||||||
| ||||||||
Stock Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Apple Inc | 1.01% | 2.18% | |||||
Boeing Co | 0.94% | 1.68% | ||||||
Short | Schlumberger Ltd | 0.37% | -1.25% | |||||
Bristol-Myers Squibb Co | 0.34% | -1.06% | ||||||
Largest Detractors | ||||||||
Long | Celgene Corp | -0.50% | 1.56% | |||||
Schlumberger Ltd | -0.21% | 1.04% | ||||||
Short | Netflix Inc | -1.46% | -1.78% | |||||
NVIDIA Corp | -0.91% | -1.71% |
8
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Gotham Hedged Plus Fund (GHPLX)
• | The Fund returned +15.00% (net) for the trailing twelve month period and the HFRX Equity Hedge Index returned +1.79% over the same time period. |
• | The spread for the period was +5.35%. |
• | The long portfolio contributed +28.20% for the trailing twelve month period. The short portfolio detracted -12.11% for the period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Information Technology | 8.86% | 29.42% | |||||
Consumer Discretionary | 5.06% | 20.35% | ||||||
Short | Financials | 0.17% | -8.33% | |||||
Utilities | 0.10% | -5.40% | ||||||
Largest Detractors | ||||||||
Long | Real Estate | -0.09% | 1.67% | |||||
Short | Information Technology | -4.20% | -14.46% | |||||
Health Care | -2.78% | -15.05% | ||||||
| ||||||||
Stock Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Apple Inc | 1.96% | 3.90% | |||||
Boeing Co | 1.06% | 2.07% | ||||||
Short | Schlumberger Ltd | 0.36% | -1.60% | |||||
General Electric Co | 0.30% | -0.75% | ||||||
Largest Detractors | ||||||||
Long | Celgene Corp | -0.57% | 1.61% | |||||
Schlumberger Ltd | -0.24% | 0.42% | ||||||
Short | Netflix Inc | -1.52% | -1.82% | |||||
NVIDIA Corp | -0.82% | -1.42% |
9
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Gotham Hedged Core Fund (GCHDX)
• | The Fund returned +12.93% (net) for the trailing twelve month period and the HFRX Equity Hedge Index returned +1.79% over the same time period. |
• | The spread for the period was +5.23%. |
• | The long portfolio contributed +18.44% for the trailing twelve month period. The short portfolio detracted -5.14% for the period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Information Technology | 6.08% | 20.98% | |||||
Consumer Discretionary | 3.38% | 12.97% | ||||||
Short | Financials | 0.19% | -3.34% | |||||
Utilities | 0.03% | -2.20% | ||||||
Largest Detractors | ||||||||
Long | Real Estate | -0.06% | 1.09% | |||||
Short | Information Technology | -1.69% | -5.96% | |||||
Health Care | -1.24% | -6.36% | ||||||
| ||||||||
Stock Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Apple Inc | 1.51% | 3.12% | |||||
Microsoft Corp | 0.76% | 1.68% | ||||||
Short | Schlumberger Ltd | 0.16% | -0.77% | |||||
Incyte Corp | 0.10% | -0.16% | ||||||
Largest Detractors | ||||||||
Long | Celgene Corp | -0.27% | 0.88% | |||||
AT&T Inc | -0.14% | 0.69% | ||||||
Short | Netflix Inc | -0.61% | -0.74% | |||||
salesforce.com Inc | -0.31% | -0.63% |
10
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Gotham Defensive Long Fund (GDLIX)
• | The Fund returned +10.68% (net) for the trailing twelve month period and the S&P 500 Total Return Index returned +17.91% over the same time period. |
• | The spread for the period was -4.69%. |
• | The long portfolio contributed +30.25% for the trailing twelve month period. The short portfolio detracted -16.56% for the period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Consumer Discretionary | 10.31% | 41.09% | |||||
Information Technology | 8.18% | 32.44% | ||||||
Short | Materials | 0.24% | -4.92% | |||||
Largest Detractors | ||||||||
Short | Information Technology | -5.34% | -19.68% | |||||
Consumer Discretionary | -3.89% | -16.44% | ||||||
| ||||||||
Stock Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Amazon.com Inc | 0.94% | 1.59% | |||||
Twenty-First Century Fox Inc | 0.89% | 1.41% | ||||||
Short | Overstock.com Inc | 0.55% | -0.73% | |||||
Camping World Holdings Inc | 0.21% | -0.31% | ||||||
Largest Detractors | ||||||||
Long | Tyson Foods Inc | -0.37% | 1.19% | |||||
Kraft Heinz Co (The) | -0.36% | 1.20% | ||||||
Short | iRobot Corp | -0.59% | -0.88% | |||||
ENSCO Plc | -0.53% | -0.51% |
11
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Gotham Defensive Long 500 Fund (GDLFX)
• | The Fund returned +18.42% (net) for the trailing twelve month period and the S&P 500 Total Return Index returned +17.91% over the same time period. |
• | The spread for the period was +3.90%. |
• | The long portfolio contributed +32.49% for the trailing twelve month period. The short portfolio detracted -11.69% for the period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Consumer Discretionary | 7.40% | 28.53% | |||||
Health Care | 7.34% | 31.93% | ||||||
Short | Materials | 0.10% | -3.67% | |||||
Utilities | 0.09% | -3.33% | ||||||
Largest Detractors | ||||||||
Long | Real Estate | -0.11% | 5.61% | |||||
Short | Information Technology | -4.76% | -16.91% | |||||
Health Care | -2.78% | -12.09% | ||||||
| ||||||||
Stock Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Apple Inc | 1.56% | 3.51% | |||||
Conocophillips | 1.42% | 2.79% | ||||||
Short | General Electric Co | 0.38% | -0.57% | |||||
Schlumberger Ltd | 0.32% | -1.47% | ||||||
Largest Detractors | ||||||||
Long | Philip Morris International Inc | -0.46% | 2.60% | |||||
Kraft Heinz Co (The) | -0.32% | 1.61% | ||||||
Short | Netflix Inc | -1.37% | -1.68% | |||||
NVIDIA Corp | -0.81% | -1.85% |
12
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Gotham Short Strategies Fund (GSSFX)
• | The Fund returned -9.90% (net) for the trailing twelve month period and the 50% Inverse of S&P 500 returned -9.15% over the same time period. |
• | The spread for the period was -1.67%. |
• | The long portfolio contributed +13.48% for the trailing twelve month period. The short portfolio detracted -22.91% for the period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Consumer Discretionary | 4.42% | 23.69% | |||||
Health Care | 3.71% | 12.96% | ||||||
Largest Detractors | ||||||||
Long | Consumer Staples | -0.30% | 11.63% | |||||
Communication Services | -0.12% | 1.55% | ||||||
Short | Information Technology | -8.57% | -35.64% | |||||
Industrials | -4.19% | -30.54% | ||||||
| ||||||||
Stock Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Bioverativ Inc | 1.16% | 1.26% | |||||
Kohl’s Corp | 0.59% | 0.75% | ||||||
Short | Mallinckrodt Plc | 1.02% | -1.27% | |||||
Akorn Inc | 0.65% | -1.00% | ||||||
Largest Detractors | ||||||||
Long | Spectrum Brands Holdings Inc | -0.56% | 0.84% | |||||
Celgene Corp | -0.45% | 0.84% | ||||||
Short | Akamai Technologies Inc | -0.65% | -1.57% | |||||
Amazon.com Inc | -0.59% | -1.29% |
13
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Gotham Large Value Fund (GVALX)
• | The Fund returned +18.93% (net) for the trailing twelve month period and the S&P 500 Total Return Index returned +17.91% over the same time period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Information Technology | 5.50% | 18.64% | |||||
Consumer Discretionary | 4.56% | 17.33% | ||||||
Largest Detractors | ||||||||
Long | None | |||||||
| ||||||||
Stock Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Boeing Co | 0.79% | 1.35% | |||||
Conocophillips | 0.70% | 1.36% | ||||||
Largest Detractors | ||||||||
Long | Celgene Corp | -0.22% | 0.89% | |||||
Kraft Heinz Co (the) | -0.14% | 0.71% |
14
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
Gotham Total Return Fund (GTRFX)
• | The Fund’s Institutional Class returned +15.73% (net) for the trailing twelve month period and the HFRX Equity Hedge Index returned +1.79% over the same time period. |
• | The spread for the period was +1.16%. |
• | The long portfolio contributed +31.55% for the trailing twelve month period. The short portfolio detracted -15.37% for the period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Health Care | 5.73% | 27.89% | |||||
Information Technology | 5.44% | 28.80% | ||||||
Largest Detractors | ||||||||
Short | Information Technology | -2.97% | -16.09% | |||||
Health Care | -2.35% | -13.11% | ||||||
| ||||||||
Stock Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Apple Inc | 0.68% | 3.27% | |||||
Wal-Mart Stores Inc | 0.61% | 2.62% | ||||||
Short | General Electric Co | 0.02% | -0.38% | |||||
Lockheed Martin Corp | 0.01% | -0.18% | ||||||
Largest Detractors | ||||||||
Long | SPDR S&P 500 ETF Trust | -0.08% | 0.43% | |||||
Schlumberger Ltd | -0.06% | 0.17% | ||||||
Short | PayPal Holdings Inc | -0.25% | -0.99% | |||||
Netflix Inc | -0.25% | -1.39% |
15
Annual Investment Adviser’s Report (Concluded)
September 30, 2018
(Unaudited)
Gotham Master Neutral Fund (GMNFX)
• | The Fund returned +2.79% (net) for the trailing twelve month period and the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index returned +1.59% over the same time period. |
• | The spread for the period was -1.10%. |
• | The long portfolio contributed +9.03% for the trailing twelve month period. The short portfolio detracted -8.67% for the period. |
• | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Consumer Discretionary | 2.19% | 19.67% | |||||
Health Care | 2.00% | 16.22% | ||||||
Largest Detractors | ||||||||
Short | Information Technology | -2.38% | -18.90% | |||||
Health Care | -1.61% | -15.09% | ||||||
| ||||||||
Stock Contributors/Detractors | ||||||||
Average Contribution | Average Exposure | |||||||
Largest Contributors | ||||||||
Long | Bioverativ Inc | 0.38% | 0.56% | |||||
Advanced Micro Devices Inc | 0.33% | 0.23% | ||||||
Short | Adient Plc | 0.16% | -0.45% | |||||
Akom Inc | 0.11% | -0.30% | ||||||
Largest Detractors | ||||||||
Long | Spectrum Brands Holdings Inc | -0.16% | 0.22% | |||||
Sanderson Farms Inc | -0.10% | 0.41% | ||||||
Short | Amazon.com Inc | -0.17% | -0.74% | |||||
UnderArmour Inc | -0.15% | -0.28% |
1 | The spread is defined as how much our long portfolio outperformed our short portfolio adjusted for leverage (i.e. 100% long the long portfolio less 100% long the short portfolio). |
16
GOTHAM FUNDS
Gotham Absolute 500 Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Absolute 500 Fund Institutional Class Shares
vs Hedge Fund Research Inc. (HFRX) Equity Hedge Index
Average Annual Total Returns for the Periods Ended September 30, 2018 | ||||||||||||||
1 Year | 3 Year | Since Inception | ||||||||||||
Institutional Class Shares | 13.91% | 11.44% | 8.15%* | |||||||||||
HFRX Equity Hedge Index | 1.79% | 3.22% | 1.95%** |
* | 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 graph and table do 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.
17
GOTHAM FUNDS
Gotham Absolute 500 Core Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Absolute 500 Core Fund Institutional Class Shares
vs Hedge Fund Research Inc. (HFRX) Equity Hedge Index
��
Average Annual Total Returns for the Periods Ended September 30, 2018 | ||||||||||
1 Year | Since Inception | |||||||||
Institutional Class Shares | 12.72% | 12.31%* | ||||||||
HFRX Equity Hedge Index | 1.79% | 4.81%** |
* | 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 graph and table do 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.
18
GOTHAM FUNDS
Gotham Enhanced 500 Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Enhanced 500 Fund Institutional Class Shares
vs Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Periods Ended September 30, 2018 | ||||||||||||||
1 Year | 3 Year | Since Inception | ||||||||||||
Institutional Class Shares | 21.68% | 18.53% | 11.40%* | |||||||||||
S&P 500® Total Return Index | 17.91% | 17.31% | 11.99%** |
* | 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 graph and table do 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.
19
GOTHAM FUNDS
Gotham Enhanced 500 Core Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Enhanced 500 Core Fund Institutional Class Shares
vs Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Periods Ended September 30, 2018 | ||||||||||
1 Year | Since Inception | |||||||||
Institutional Class Shares | 19.86% | 19.23%* | ||||||||
S&P 500® Total Return Index | 17.91% | 18.26%** |
* | 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 graph and table do 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.
20
GOTHAM FUNDS
Gotham Neutral 500 Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Neutral 500 Fund Institutional Class Shares
vs BofA Merrill Lynch 3-Month U.S. Treasury Bill Index
Average Annual Total Returns for the Periods Ended September 30, 2018 | ||||||||||
1 Year | Since Inception | |||||||||
Institutional Class Shares | 9.09% | 8.39%* | ||||||||
BofA Merrill Lynch 3-Month U.S. | 1.59% | 1.12%** |
* | The Gotham Neutral 500 Fund (the “Fund”) commenced operations on October 1, 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 graph and table do 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.
21
GOTHAM FUNDS
Gotham Hedged Plus Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Hedged Plus Fund Institutional Class Shares
vs Hedge Fund Research Inc. (HFRX) Equity Hedge Index
Average Annual Total Returns for the Periods Ended September 30, 2018 | ||||||||||
1 Year | Since Inception | |||||||||
Institutional Class Shares | 15.00% | 12.18%* | ||||||||
HFRX Equity Hedge Index | 1.79% | 4.78%** |
* | 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 graph and table do 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.
22
GOTHAM FUNDS
Gotham Hedged Core Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Hedged Core Fund Institutional Class Shares
vs Hedge Fund Research Inc. (HFRX) Equity Hedge Index
Average Annual Total Returns for the Periods Ended September 30, 2018 | ||||||||||
1 Year | Since Inception | |||||||||
Institutional Class Shares | 12.93% | 13.16%* | ||||||||
HFRX Equity Hedge Index | 1.79% | 4.81%** |
* | 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 graph and table do 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.
23
GOTHAM FUNDS
Gotham Defensive Long Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Defensive Long Fund Institutional Class Shares
vs Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Periods Ended September 30, 2018 | ||||||||||
1 Year | Since Inception | |||||||||
Institutional Class Shares | 10.68% | 9.68%* | ||||||||
S&P 500® Total Return Index | 17.91% | 18.26%** |
* | 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 graph and table do 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.
24
GOTHAM FUNDS
Gotham Defensive Long 500 Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Defensive Long 500 Fund Institutional Class Shares
vs Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Periods Ended September 30, 2018 | ||||||||||
1 Year | Since Inception | |||||||||
Institutional Class Shares | 18.42% | 17.76%* | ||||||||
S&P 500® Total Return Index | 17.91% | 18.26%** |
* | 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 graph and table do 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.
25
GOTHAM FUNDS
Gotham Short Strategies Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Short Strategies Fund Institutional Class Shares
vs the 50% Inverse of the Standard & Poor’s 500® Total Return Index (“50% Inverse of the S&P 500®”)
Average Annual Total Returns for the Periods Ended September 30, 2018 | ||||||||||||||||
1 year | 3 Year | 5 Year | 10 Year | |||||||||||||
Institutional Class Shares* | -9.90% | -5.35% | -3.73% | -0.96% | ||||||||||||
50% Inverse of the S&P 500® | -9.15% | -8.44% | -7.35% | -6.91% |
* | 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 graph and table do 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.
26
GOTHAM FUNDS |
Gotham Large Value Fund |
Annual Report |
Performance Data |
September 30, 2018 |
(Unaudited) |
Comparison of Change in Value of $100,000 Investment in Gotham Large Value Fund Institutional Class Shares |
vs Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”) |
Average Annual Total Returns for the Periods Ended September 30, 2018 | ||||||||||
1 Year | Since Inception | |||||||||
Institutional Class Shares | 18.93% | 16.35%* | ||||||||
S&P 500® Total Return Index | 17.91% | 16.11%** |
* | The Gotham Large 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 graph and table do 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 August 27, 2018), the “Total Annual Fund Operating Expenses” are 4.35% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursement” are 0.75% 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 0.75% (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 August 31, 2018, the Expense Limitation was 0.95%. 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.
27
GOTHAM FUNDS
Gotham Total Return Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Total Return Fund Institutional Class Shares
vs Hedge Fund Research Inc. (HFRX) Equity Hedge Index
Average Annual Total Returns For the Periods Ended September 30, 2018 | ||||||||||||||
1 Year | 3 years | Since Inception | ||||||||||||
Institutional Class Shares | 15.73% | 13.70% | 9.44%* | |||||||||||
Investor Class Shares | N/A | N/A | 5.95%*,** | |||||||||||
HFRX Equity Hedge Index | 1.79% | 3.22% | 1.20%*** |
* | Institutional Class shares and Investor Class shares of the Gotham Total Return Fund (the “Fund”) incepted on March 31, 2015 and December 29, 2017, respectively. |
** | Not Annualized. |
*** | 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 graph and table do 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.
28
GOTHAM FUNDS
Gotham Total Return Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
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.
29
GOTHAM FUNDS
Gotham Master Neutral Fund
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Master Neutral Fund Institutional Class Shares
vs BofA Merrill Lynch 3-Month U.S. Treasury Bill Index
Average Annual Total Returns for the Periods Ended September 30, 2018 | ||||||||||
1 Year | Since Inception | |||||||||
Institutional Class Shares | 2.79% | 2.52%* | ||||||||
BofA Merrill Lynch 3-Month U.S. | 1.59% | 1.41%** |
* | 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 graph and table do 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.
30
GOTHAM FUNDS
Fund Expense Disclosure
September 30, 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 April 1, 2018, and held for the entire period through September 30, 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 September 30, 2018 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||||||||||||||
Gotham Absolute 500 Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,062.00 | 2.65 | % | $ | 13.70 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,011.78 | 2.65 | % | 13.37 | |||||||||||||||
Gotham Absolute 500 Core Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,061.30 | 1.86 | % | $ | 9.60 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,015.75 | 1.86 | % | 9.39 | |||||||||||||||
Gotham Enhanced 500 Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,103.40 | 3.56 | % | $ | 18.79 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,007.20 | 3.56 | % | 17.93 |
31
GOTHAM FUNDS
Fund Expense Disclosure (Continued)
September 30, 2018
(Unaudited)
Beginning Account Value | Ending Account Value September 30, 2018 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||||||||||||||
Gotham Enhanced 500 Core Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,102.40 | 2.09 | % | $ | 11.01 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,014.59 | 2.09 | % | 10.55 | |||||||||||||||
Gotham Neutral 500 Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,035.40 | 2.29 | % | $ | 11.67 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,013.60 | 2.29 | % | 11.54 | |||||||||||||||
Gotham Hedged Plus Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,067.20 | 2.62 | % | $ | 13.60 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,011.91 | 2.62 | % | 13.23 | |||||||||||||||
Gotham Hedged Core Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,068.70 | 1.10 | % | $ | 5.68 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.57 | 1.10 | % | 5.55 | |||||||||||||||
Gotham Defensive Long Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,042.50 | 3.53 | % | $ | 18.05 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,007.39 | 3.53 | % | 17.74 | |||||||||||||||
Gotham Defensive Long 500 Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,095.40 | 3.51 | % | $ | 18.43 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,007.48 | 3.51 | % | 17.66 | |||||||||||||||
Gotham Short Strategies Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 902.40 | 1.35 | % | $ | 6.44 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.30 | 1.35 | % | 6.83 | |||||||||||||||
Gotham Large Value Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,101.50 | 0.83 | % | $ | 4.39 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.89 | 0.83 | % | 4.22 |
32
GOTHAM FUNDS
Fund Expense Disclosure (Concluded)
September 30, 2018
(Unaudited)
Beginning Account Value | Ending Account Value September 30, 2018 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||||||||||||||
Gotham Total Return Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,072.10 | 0.00 | % | $ | — | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,025.07 | 0.00 | % | — | |||||||||||||||
Investor Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,070.60 | 0.25 | % | $ | 1.30 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.82 | 0.25 | % | 1.27 | |||||||||||||||
Gotham Master Neutral Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 994.20 | 0.18 | % | $ | 0.89 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,024.18 | 0.18 | % | 0.90 |
* | Annualized expense ratios include dividend expense on securities sold short and interest expense on securities sold short and borrowings. |
** | Expenses are equal to a Fund’s annualized expense ratio, in the table above, which include waived fees or reimbursement expenses for the six-month period ended September 30, 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. |
33
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 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: | ||||||||||
Health Care Equipment & Services | 18.0 | % | $ | 2,656,929 | ||||||
Capital Goods | 13.2 | 1,949,099 | ||||||||
Energy | 12.3 | 1,817,237 | ||||||||
Software & Services | 11.6 | 1,712,607 | ||||||||
Retailing | 10.7 | 1,575,039 | ||||||||
Food, Beverage & Tobacco | 9.9 | 1,455,222 | ||||||||
Technology Hardware & Equipment | 9.5 | 1,391,997 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 8.1 | 1,186,114 | ||||||||
Media | 6.4 | 940,704 | ||||||||
Diversified Financials | 6.3 | 926,353 | ||||||||
Household & Personal Products | 6.1 | 894,932 | ||||||||
Food & Staples Retailing | 6.0 | 878,591 | ||||||||
Transportation | 4.0 | 594,179 | ||||||||
Materials | 3.9 | 575,502 | ||||||||
Telecommunication Services | 3.1 | 463,879 | ||||||||
Utilities | 2.9 | 431,895 | ||||||||
Insurance | 2.8 | 411,941 | ||||||||
Commercial & Professional Services | 1.9 | 284,145 | ||||||||
Semiconductors & Semiconductor | ||||||||||
Equipment | 1.9 | 272,498 | ||||||||
Consumer Services | 1.7 | 247,721 | ||||||||
Consumer Durables & Apparel | 1.5 | 217,277 | ||||||||
Real Estate | 0.5 | 79,386 | ||||||||
Automobiles & Components | 0.2 | 30,260 | ||||||||
|
|
|
| |||||||
Total Long Positions | 142.5 | 20,993,507 | ||||||||
|
|
|
|
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Household & Personal Products | (0.2 | )% | $ | (23,588 | ) | |||||
Technology Hardware & Equipment | (0.6 | ) | (91,700 | ) | ||||||
Commercial & Professional Services | (0.7 | ) | (109,103 | ) | ||||||
Media | (1.1 | ) | (158,704 | ) | ||||||
Retailing | (1.6 | ) | (234,149 | ) | ||||||
Telecommunication Services | (1.6 | ) | (235,497 | ) | ||||||
Automobiles & Components | (1.8 | ) | (269,336 | ) | ||||||
Transportation | (2.0 | ) | (301,030 | ) | ||||||
Consumer Durables & Apparel | (2.1 | ) | (306,041 | ) | ||||||
Consumer Services | (2.2 | ) | (316,020 | ) | ||||||
Food, Beverage & Tobacco | (2.4 | ) | (349,700 | ) | ||||||
Materials | (2.8 | ) | (412,687 | ) | ||||||
Insurance | (4.1 | ) | (608,939 | ) | ||||||
Health Care Equipment & Services | (4.2 | ) | (615,222 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (4.5 | ) | (657,049 | ) | ||||||
Utilities | (4.7 | ) | (691,568 | ) | ||||||
Semiconductors & Semiconductor Equipment | (5.1 | ) | (755,869 | ) | ||||||
Diversified Financials | (5.5 | ) | (805,795 | ) | ||||||
Real Estate | (6.1 | ) | (900,115 | ) | ||||||
Energy | (6.6 | ) | (972,666 | ) | ||||||
Banks | (6.7 | ) | (992,363 | ) | ||||||
Capital Goods | (7.0 | ) | (1,035,688 | ) | ||||||
Software & Services | (8.9 | ) | (1,312,208 | ) | ||||||
Total Short Positions | (82.5 | ) | (12,155,037 | ) | ||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 40.0 | 5,892,555 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 14,731,025 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
34
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 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: | ||||||||||
Health Care Equipment & Services | 13.9 | % | $ | 350,539 | ||||||
Capital Goods | 10.2 | 257,076 | ||||||||
Energy | 10.1 | 253,893 | ||||||||
Retailing | 9.1 | 230,058 | ||||||||
Software & Services | 9.1 | 228,810 | ||||||||
Food, Beverage & Tobacco | 8.1 | 203,691 | ||||||||
Technology Hardware & Equipment | 7.3 | 185,486 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 6.0 | 151,217 | ||||||||
Media | 5.1 | 128,253 | ||||||||
Household & Personal Products | 5.0 | 125,136 | ||||||||
Food & Staples Retailing | 4.9 | 122,477 | ||||||||
Diversified Financials | 3.9 | 99,375 | ||||||||
Transportation | 2.8 | 70,998 | ||||||||
Materials | 2.7 | 69,229 | ||||||||
Telecommunication Services | 2.5 | 62,751 | ||||||||
Insurance | 2.4 | 61,663 | ||||||||
Utilities | 2.3 | 58,687 | ||||||||
Commercial & Professional Services | 1.5 | 38,612 | ||||||||
Consumer Services | 1.5 | 38,105 | ||||||||
Semiconductors & Semiconductor Equipment | 1.5 | 37,240 | ||||||||
Consumer Durables & Apparel | 1.0 | 24,183 | ||||||||
Real Estate | 0.7 | 17,261 | ||||||||
Automobiles & Components | 0.2 | 4,122 | ||||||||
|
|
|
| |||||||
Total Long Positions | 111.8 | 2,818,862 | ||||||||
|
|
|
|
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Household & Personal Products | (0.1 | )% | $ | (2,386 | ) | |||||
Technology Hardware & Equipment | (0.4 | ) | (9,843 | ) | ||||||
Commercial & Professional Services | (0.5 | ) | (13,069 | ) | ||||||
Media | (0.7 | ) | (16,294 | ) | ||||||
Retailing | (0.9 | ) | (23,091 | ) | ||||||
Telecommunication Services | (1.0 | ) | (25,286 | ) | ||||||
Automobiles & Components | (1.1 | ) | (27,993 | ) | ||||||
Consumer Services | (1.1 | ) | (28,718 | ) | ||||||
Consumer Durables & Apparel | (1.2 | ) | (31,020 | ) | ||||||
Transportation | (1.3 | ) | (32,621 | ) | ||||||
Food, Beverage & Tobacco | (1.3 | ) | (33,007 | ) | ||||||
Materials | (1.6 | ) | (41,375 | ) | ||||||
Health Care Equipment & Services | (2.4 | ) | (59,355 | ) | ||||||
Insurance | (2.7 | ) | (68,104 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (2.7 | ) | (68,320 | ) | ||||||
Utilities | (2.8 | ) | (71,585 | ) | ||||||
Semiconductors & Semiconductor Equipment | (3.1 | ) | (77,612 | ) | ||||||
Diversified Financials | (3.4 | ) | (86,803 | ) | ||||||
Real Estate | (3.8 | ) | (96,261 | ) | ||||||
Banks | (4.2 | ) | (104,489 | ) | ||||||
Capital Goods | (4.4 | ) | (110,387 | ) | ||||||
Energy | (4.7 | ) | (117,465 | ) | ||||||
Software & Services | (5.4 | ) | (136,400 | ) | ||||||
|
|
|
| |||||||
Total Short Positions | (50.8 | ) | (1,281,484 | ) | ||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 39.0 | 984,616 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 2,521,994 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
35
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 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: | ||||||||||
Health Care Equipment & Services | 22.8 | % | $ | 7,629,611 | ||||||
Capital Goods | 18.7 | 6,240,515 | ||||||||
Software & Services | 15.9 | 5,312,113 | ||||||||
Energy | 15.4 | 5,148,083 | ||||||||
Retailing | 13.9 | 4,632,116 | ||||||||
Technology Hardware & Equipment | 12.9 | 4,309,615 | ||||||||
Food, Beverage & Tobacco | 12.6 | 4,224,255 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 10.2 | 3,407,075 | ||||||||
Media | 8.3 | 2,766,924 | ||||||||
Diversified Financials | 8.2 | 2,756,627 | ||||||||
Household & Personal Products | 7.6 | 2,540,794 | ||||||||
Food & Staples Retailing | 7.4 | 2,461,638 | ||||||||
Transportation | 5.9 | 1,974,775 | ||||||||
Materials | 5.1 | 1,693,596 | ||||||||
Telecommunication Services | 4.2 | 1,401,385 | ||||||||
Insurance | 3.5 | 1,187,368 | ||||||||
Utilities | 3.4 | 1,126,985 | ||||||||
Commercial & Professional Services | 2.5 | 838,426 | ||||||||
Semiconductors & Semiconductor Equipment | 2.4 | 792,309 | ||||||||
Consumer Services | 2.3 | 776,947 | ||||||||
Consumer Durables & Apparel | 1.5 | 517,274 | ||||||||
Automobiles & Components | 0.3 | 89,241 | ||||||||
Real Estate | 0.2 | 80,589 | ||||||||
|
|
|
| |||||||
Total Long Positions | 185.2 | 61,908,261 | ||||||||
|
|
|
|
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Food & Staples Retailing | (0.1 | )% | $ | (35,467 | ) | |||||
Household & Personal Products | (0.2 | ) | (63,016 | ) | ||||||
Technology Hardware & Equipment | (0.6 | ) | (217,191 | ) | ||||||
Commercial & Professional Services | (0.8 | ) | (259,439 | ) | ||||||
Media | (1.0 | ) | (333,049 | ) | ||||||
Telecommunication Services | (1.7 | ) | (578,248 | ) | ||||||
Automobiles & Components | (1.8 | ) | (616,175 | ) | ||||||
Retailing | (1.9 | ) | (628,795 | ) | ||||||
Consumer Durables & Apparel | (1.9 | ) | (646,002 | ) | ||||||
Transportation | (2.1 | ) | (700,322 | ) | ||||||
Consumer Services | (2.5 | ) | (842,617 | ) | ||||||
Materials | (2.8 | ) | (929,272 | ) | ||||||
Food, Beverage & Tobacco | (3.3 | ) | (1,094,685 | ) | ||||||
Health Care Equipment & Services | (3.7 | ) | (1,245,026 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (4.7 | ) | (1,555,096 | ) | ||||||
Insurance | (4.7 | ) | (1,567,073 | ) | ||||||
Utilities | (5.2 | ) | (1,741,361 | ) | ||||||
Semiconductors & Semiconductor Equipment | (5.3 | ) | (1,776,734 | ) | ||||||
Diversified Financials | (5.5 | ) | (1,854,334 | ) | ||||||
Real Estate | (5.9 | ) | (1,985,205 | ) | ||||||
Energy | (6.4 | ) | (2,126,451 | ) | ||||||
Banks | (7.2 | ) | (2,396,853 | ) | ||||||
Capital Goods | (7.8 | ) | (2,594,486 | ) | ||||||
Software & Services | (9.0 | ) | (2,993,401 | ) | ||||||
|
|
|
| |||||||
Total Short Positions | (86.1 | ) | (28,780,298 | ) | ||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 0.9 | 309,197 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 33,437,160 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
36
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 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: | ||||||||||
Health Care Equipment & Services | 17.4 | % | $ | 500,591 | ||||||
Capital Goods | 13.8 | 397,445 | ||||||||
Software & Services | 11.8 | 338,413 | ||||||||
Energy | 11.6 | 333,911 | ||||||||
Retailing | 11.4 | 329,190 | ||||||||
Food, Beverage & Tobacco | 9.7 | 280,420 | ||||||||
Technology Hardware & Equipment | 9.7 | 279,263 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 7.9 | 227,046 | ||||||||
Media | 6.8 | 195,245 | ||||||||
Household & Personal Products | 6.0 | 171,946 | ||||||||
Food & Staples Retailing | 5.8 | 165,560 | ||||||||
Diversified Financials | 5.2 | 150,024 | ||||||||
Transportation | 4.0 | 116,124 | ||||||||
Materials | 3.5 | 101,759 | ||||||||
Telecommunication Services | 3.1 | 89,597 | ||||||||
Insurance | 3.0 | 84,870 | ||||||||
Consumer Services | 2.1 | 60,339 | ||||||||
Utilities | 1.9 | 55,802 | ||||||||
Commercial & Professional Services | 1.9 | 55,713 | ||||||||
Semiconductors & Semiconductor Equipment | 1.7 | 49,890 | ||||||||
Consumer Durables & Apparel | 0.9 | 26,014 | ||||||||
Automobiles & Components | 0.2 | 5,798 | ||||||||
Real Estate | 0.2 | 5,547 | ||||||||
|
|
|
| |||||||
Total Long Positions | 139.6 | 4,020,507 | ||||||||
|
|
|
|
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Household & Personal Products | (0.1 | )% | $ | (2,085 | ) | |||||
Technology Hardware & Equipment | (0.3 | ) | (8,731 | ) | ||||||
Commercial & Professional Services | (0.4 | ) | (11,428 | ) | ||||||
Media | (0.5 | ) | (14,339 | ) | ||||||
Telecommunication Services | (0.8 | ) | (23,372 | ) | ||||||
Retailing | (0.8 | ) | (24,158 | ) | ||||||
Automobiles & Components | (0.9 | ) | (24,794 | ) | ||||||
Consumer Durables & Apparel | (0.9 | ) | (25,552 | ) | ||||||
Transportation | (1.0 | ) | (28,719 | ) | ||||||
Consumer Services | (1.1 | ) | (31,643 | ) | ||||||
Materials | (1.2 | ) | (35,813 | ) | ||||||
Food, Beverage & Tobacco | (1.5 | ) | (43,393 | ) | ||||||
Health Care Equipment & Services | (1.6 | ) | (47,056 | ) | ||||||
Insurance | (2.2 | ) | (64,010 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (2.3 | ) | (65,211 | ) | ||||||
Utilities | (2.3 | ) | (65,292 | ) | ||||||
Diversified Financials | (2.5 | ) | (73,369 | ) | ||||||
Semiconductors & Semiconductor Equipment | (2.6 | ) | (75,625 | ) | ||||||
Banks | (3.2 | ) | (93,281 | ) | ||||||
Energy | (3.3 | ) | (93,645 | ) | ||||||
Real Estate | (3.3 | ) | (93,937 | ) | ||||||
Capital Goods | (3.6 | ) | (102,495 | ) | ||||||
Software & Services | (3.8 | ) | (109,621 | ) | ||||||
|
|
|
| |||||||
Total Short Positions | (40.2 | ) | (1,157,569 | ) | ||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 0.6 | 18,180 | ||||||||
|
|
|
| |||||||
Net Assets | 100.0 | % | $ | 2,881,118 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
37
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 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: | ||||||||||
Health Care Equipment & Services | 15.1 | % | $ | 927,005 | ||||||
Capital Goods | 11.8 | 726,761 | ||||||||
Energy | 10.6 | 652,878 | ||||||||
Software & Services | 10.2 | 629,702 | ||||||||
Retailing | 8.9 | 549,571 | ||||||||
Technology Hardware & Equipment | 8.4 | 517,981 | ||||||||
Food, Beverage & Tobacco | 8.4 | 513,687 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 6.6 | 404,726 | ||||||||
Diversified Financials | 5.4 | 329,553 | ||||||||
Food & Staples Retailing | 5.1 | 313,982 | ||||||||
Media | 5.0 | 305,250 | ||||||||
Household & Personal Products | 4.9 | 299,727 | ||||||||
Transportation | 3.6 | 221,948 | ||||||||
Materials | 3.1 | 191,840 | ||||||||
Utilities | 2.9 | 176,088 | ||||||||
Telecommunication Services | 2.6 | 158,888 | ||||||||
Insurance | 2.3 | 141,470 | ||||||||
Semiconductors & Semiconductor Equipment | 2.3 | 140,640 | ||||||||
Commercial & Professional Services | 1.6 | 99,783 | ||||||||
Consumer Durables & Apparel | 1.3 | 81,674 | ||||||||
Consumer Services | 1.1 | 70,231 | ||||||||
Real Estate | 0.4 | 26,735 | ||||||||
Automobiles & Components | 0.2 | 10,872 | ||||||||
|
|
|
| |||||||
Total Long Positions | 121.8 | 7,490,992 | ||||||||
|
|
|
|
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Food & Staples Retailing | (0.1 | )% | $ | (4,932 | ) | |||||
Household & Personal Products | (0.2 | ) | (13,559 | ) | ||||||
Technology Hardware & Equipment | (0.8 | ) | (48,922 | ) | ||||||
Commercial & Professional Services | (0.8 | ) | (50,346 | ) | ||||||
Media | (1.2 | ) | (76,256 | ) | ||||||
Retailing | (1.8 | ) | (107,902 | ) | ||||||
Telecommunication Services | (1.8 | ) | (112,493 | ) | ||||||
Automobiles & Components | (2.2 | ) | (132,648 | ) | ||||||
Consumer Durables & Apparel | (2.3 | ) | (138,558 | ) | ||||||
Transportation | (2.4 | ) | (150,433 | ) | ||||||
Consumer Services | (2.7 | ) | (167,518 | ) | ||||||
Food, Beverage & Tobacco | (2.8 | ) | (169,557 | ) | ||||||
Materials | (3.1 | ) | (190,033 | ) | ||||||
Health Care Equipment & Services | (4.2 | ) | (257,045 | ) | ||||||
Insurance | (4.9 | ) | (302,167 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (5.4 | ) | (332,469 | ) | ||||||
Utilities | (6.0 | ) | (370,010 | ) | ||||||
Semiconductors & Semiconductor Equipment | (6.2 | ) | (380,136 | ) | ||||||
Diversified Financials | (6.7 | ) | (412,276 | ) | ||||||
Real Estate | (7.0 | ) | (433,477 | ) | ||||||
Energy | (7.4 | ) | (456,593 | ) | ||||||
Banks | (7.9 | ) | (486,518 | ) | ||||||
Capital Goods | (8.0 | ) | (489,215 | ) | ||||||
Software & Services | (10.7 | ) | (660,973 | ) | ||||||
|
|
|
| |||||||
Total Short Positions | (96.6 | ) | (5,944,036 | ) | ||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 74.8 | 4,602,417 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 6,149,373 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
38
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 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: | ||||||||||
Health Care Equipment & Services | 16.6 | % | $ | 441,788 | ||||||
Software & Services | 15.2 | 405,184 | ||||||||
Capital Goods | 14.9 | 396,436 | ||||||||
Technology Hardware & Equipment | 11.6 | 310,317 | ||||||||
Energy | 11.5 | 307,182 | ||||||||
Retailing | 11.1 | 295,931 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 9.5 | 253,612 | ||||||||
Food, Beverage & Tobacco | 8.5 | 227,246 | ||||||||
Diversified Financials | 7.6 | 203,821 | ||||||||
Food & Staples Retailing | 5.8 | 154,113 | ||||||||
Media | 5.4 | 143,026 | ||||||||
Transportation | 4.8 | 127,601 | ||||||||
Household & Personal Products | 4.8 | 126,931 | ||||||||
Materials | 3.7 | 98,067 | ||||||||
Utilities | 3.3 | 87,125 | ||||||||
Telecommunication Services | 2.7 | 71,357 | ||||||||
Semiconductors & Semiconductor Equipment | 2.3 | 61,386 | ||||||||
Insurance | 2.3 | 60,501 | ||||||||
Banks | 1.6 | 43,465 | ||||||||
Consumer Durables & Apparel | 1.6 | 43,381 | ||||||||
Commercial & Professional Services | 1.6 | 43,115 | ||||||||
Consumer Services | 1.2 | 32,066 | ||||||||
Real Estate | 0.5 | 13,834 | ||||||||
Automobiles & Components | 0.2 | 5,315 | ||||||||
|
|
|
| |||||||
Total Long Positions | 148.3 | 3,952,800 | ||||||||
|
|
|
|
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Household & Personal Products | (0.2 | )% | $ | (4,886 | ) | |||||
Technology Hardware & Equipment | (0.7 | ) | (20,462 | ) | ||||||
Commercial & Professional Services | (0.9 | ) | (23,947 | ) | ||||||
Media | (1.2 | ) | (32,262 | ) | ||||||
Telecommunication Services | (1.5 | ) | (39,188 | ) | ||||||
Automobiles & Components | (2.1 | ) | (57,221 | ) | ||||||
Transportation | (2.2 | ) | (58,594 | ) | ||||||
Retailing | (2.3 | ) | (60,842 | ) | ||||||
Consumer Durables & Apparel | (2.5 | ) | (67,178 | ) | ||||||
Consumer Services | (2.8 | ) | (73,923 | ) | ||||||
Materials | (3.0 | ) | (80,115 | ) | ||||||
Food, Beverage & Tobacco | (3.1 | ) | (82,201 | ) | ||||||
Insurance | (4.2 | ) | (111,563 | ) | ||||||
Health Care Equipment & Services | (4.4 | ) | (119,010 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (4.6 | ) | (122,167 | ) | ||||||
Diversified Financials | (5.2 | ) | (138,924 | ) | ||||||
Banks | (5.7 | ) | (151,833 | ) | ||||||
Semiconductors & Semiconductor Equipment | (5.9 | ) | (157,281 | ) | ||||||
Capital Goods | (6.5 | ) | (172,501 | ) | ||||||
Software & Services | (6.6 | ) | (175,428 | ) | ||||||
Utilities | (6.7 | ) | (178,031 | ) | ||||||
Real Estate | (7.5 | ) | (199,972 | ) | ||||||
Energy | (8.0 | ) | (213,666 | ) | ||||||
|
|
|
| |||||||
Total Short Positions | (87.8 | ) | (2,341,195 | ) | ||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 39.5 | 1,053,829 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 2,665,434 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
39
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 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: | ||||||||||
Software & Services | 11.6 | % | $ | 296,486 | ||||||
Health Care Equipment & Services | 9.8 | 251,718 | ||||||||
Capital Goods | 8.9 | 226,758 | ||||||||
Retailing | 8.0 | 206,169 | ||||||||
Technology Hardware & Equipment | 7.7 | 197,371 | ||||||||
Energy | 6.9 | 175,744 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 6.8 | 173,385 | ||||||||
Food, Beverage & Tobacco | 5.2 | 133,786 | ||||||||
Diversified Financials | 5.2 | 132,489 | ||||||||
Food & Staples Retailing | 3.5 | 90,036 | ||||||||
Media | 3.3 | 84,743 | ||||||||
Transportation | 3.0 | 75,953 | ||||||||
Household & Personal Products | 2.8 | 70,985 | ||||||||
Materials | 2.3 | 59,126 | ||||||||
Banks | 2.1 | 53,750 | ||||||||
Utilities | 2.0 | 51,651 | ||||||||
Telecommunication Services | 1.6 | 40,363 | ||||||||
Semiconductors & Semiconductor Equipment | 1.6 | 39,762 | ||||||||
Insurance | 1.5 | 39,153 | ||||||||
Commercial & Professional Services | 1.0 | 26,401 | ||||||||
Consumer Durables & Apparel | 1.0 | 26,269 | ||||||||
Consumer Services | 0.7 | 17,970 | ||||||||
Real Estate | 0.5 | 13,836 | ||||||||
Automobiles & Components | 0.1 | 2,751 | ||||||||
|
|
|
| |||||||
Total Long Positions | 97.1 | 2,486,655 | ||||||||
|
|
|
|
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Household & Personal Products | (0.1 | )% | $ | (2,072 | ) | |||||
Commercial & Professional Services | (0.2 | ) | (5,682 | ) | ||||||
Technology Hardware & Equipment | (0.3 | ) | (8,758 | ) | ||||||
Telecommunication Services | (0.4 | ) | (11,115 | ) | ||||||
Media | (0.5 | ) | (13,035 | ) | ||||||
Transportation | (0.9 | ) | (23,848 | ) | ||||||
Automobiles & Components | (0.9 | ) | (24,284 | ) | ||||||
Retailing | (1.0 | ) | (26,263 | ) | ||||||
Consumer Services | (1.1 | ) | (26,974 | ) | ||||||
Consumer Durables & Apparel | (1.1 | ) | (28,776 | ) | ||||||
Food, Beverage & Tobacco | (1.2 | ) | (31,865 | ) | ||||||
Materials | (1.3 | ) | (33,070 | ) | ||||||
Insurance | (1.7 | ) | (43,528 | ) | ||||||
Health Care Equipment & Services | (1.8 | ) | (46,869 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (2.0 | ) | (50,264 | ) | ||||||
Software & Services | (2.1 | ) | (52,535 | ) | ||||||
Semiconductors & Semiconductor Equipment | (2.1 | ) | (52,900 | ) | ||||||
Diversified Financials | (2.1 | ) | (52,965 | ) | ||||||
Banks | (2.4 | ) | (60,381 | ) | ||||||
Capital Goods | (2.9 | ) | (74,026 | ) | ||||||
Utilities | (2.9 | ) | (74,406 | ) | ||||||
Real Estate | (3.3 | ) | (84,403 | ) | ||||||
Energy | (3.7 | ) | (94,697 | ) | ||||||
|
|
|
| |||||||
Total Short Positions | (36.0 | ) | (922,716 | ) | ||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 38.9 | 996,954 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 2,560,893 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
40
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 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: | ||||||||||
Software & Services | 22.8 | % | $ | 548,515 | ||||||
Capital Goods | 18.9 | 455,338 | ||||||||
Health Care Equipment & Services | 18.3 | 439,429 | ||||||||
Retailing | 16.1 | 388,139 | ||||||||
Food, Beverage & Tobacco | 16.1 | 386,392 | ||||||||
Media | 8.8 | 210,811 | ||||||||
Consumer Services | 8.6 | 206,095 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 8.4 | 203,386 | ||||||||
Technology Hardware & Equipment | 8.4 | 202,087 | ||||||||
Household & Personal Products | 8.1 | 194,201 | ||||||||
Consumer Durables & Apparel | 7.0 | 169,091 | ||||||||
Food & Staples Retailing | 6.2 | 148,812 | ||||||||
Transportation | 5.6 | 135,681 | ||||||||
Commercial & Professional Services | 4.9 | 117,645 | ||||||||
Materials | 4.8 | 115,995 | ||||||||
Energy | 4.5 | 107,729 | ||||||||
Telecommunication Services | 4.4 | 105,201 | ||||||||
Semiconductors & Semiconductor Equipment | 1.8 | 43,468 | ||||||||
Automobiles & Components | 0.7 | 17,416 | ||||||||
|
|
|
| |||||||
Total Long Positions | 174.4 | 4,195,431 | ||||||||
|
|
|
|
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Household & Personal Products | (0.4 | )% | $ | (8,865 | ) | |||||
Food & Staples Retailing | (0.8 | ) | (18,337 | ) | ||||||
Telecommunication Services | (0.9 | ) | (22,606 | ) | ||||||
Commercial & Professional Services | (1.1 | ) | (27,073 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (1.6 | ) | (38,964 | ) | ||||||
Media | (1.8 | ) | (42,260 | ) | ||||||
Automobiles & Components | (2.5 | ) | (60,380 | ) | ||||||
Consumer Durables & Apparel | (2.6 | ) | (61,553 | ) | ||||||
Food, Beverage & Tobacco | (2.8 | ) | (66,336 | ) | ||||||
Transportation | (3.4 | ) | (82,152 | ) | ||||||
Consumer Services | (4.4 | ) | (105,527 | ) | ||||||
Energy | (4.5 | ) | (107,678 | ) | ||||||
Health Care Equipment & Services | (4.6 | ) | (111,484 | ) | ||||||
Materials | (4.8 | ) | (115,997 | ) | ||||||
Technology Hardware & Equipment | (5.2 | ) | (125,559 | ) | ||||||
Semiconductors & Semiconductor Equipment | (5.5 | ) | (133,293 | ) | ||||||
Retailing | (6.0 | ) | (144,724 | ) | ||||||
Capital Goods | (11.1 | ) | (266,414 | ) | ||||||
Software & Services | (11.1 | ) | (267,321 | ) | ||||||
|
|
|
| |||||||
Total Short Positions | (75.1 | ) | (1,806,523 | ) | ||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 0.7 | 17,542 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 2,406,450 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
41
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 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: | ||||||||||
Health Care Equipment & Services | 22.8 | % | $ | 2,521,338 | ||||||
Energy | 16.0 | 1,765,998 | ||||||||
Food, Beverage & Tobacco | 15.1 | 1,661,611 | ||||||||
Software & Services | 13.8 | 1,528,573 | ||||||||
Retailing | 13.8 | 1,518,808 | ||||||||
Capital Goods | 13.4 | 1,478,962 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 10.7 | 1,179,921 | ||||||||
Media | 9.5 | 1,054,726 | ||||||||
Technology Hardware & Equipment | 9.1 | 1,001,726 | ||||||||
Household & Personal Products | 8.2 | 907,998 | ||||||||
Food & Staples Retailing | 7.9 | 868,793 | ||||||||
Utilities | 5.6 | 615,344 | ||||||||
Insurance | 5.3 | 584,288 | ||||||||
Real Estate | 5.1 | 566,574 | ||||||||
Diversified Financials | 5.1 | 560,777 | ||||||||
Telecommunication Services | 4.2 | 461,878 | ||||||||
Consumer Services | 4.0 | 438,664 | ||||||||
Materials | 3.9 | 428,064 | ||||||||
Transportation | 3.8 | 419,148 | ||||||||
Commercial & Professional Services | 2.7 | 301,334 | ||||||||
Consumer Durables & Apparel | 2.3 | 250,875 | ||||||||
Semiconductors & Semiconductor Equipment | 1.8 | 199,165 | ||||||||
Automobiles & Components | 0.3 | 29,309 | ||||||||
|
|
|
| |||||||
Total Long Positions | 184.4 | 20,343,874 | ||||||||
|
|
|
|
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Household & Personal Products | (0.2 | )% | $ | (16,931 | ) | |||||
Technology Hardware & Equipment | (0.8 | ) | (89,297 | ) | ||||||
Commercial & Professional Services | (0.8 | ) | (90,607 | ) | ||||||
Media | (1.0 | ) | (109,170 | ) | ||||||
Consumer Durables & Apparel | (1.2 | ) | (134,916 | ) | ||||||
Telecommunication Services | (1.5 | ) | (168,135 | ) | ||||||
Consumer Services | (1.6 | ) | (177,593 | ) | ||||||
Food, Beverage & Tobacco | (1.7 | ) | (191,151 | ) | ||||||
Retailing | (1.8 | ) | (199,242 | ) | ||||||
Automobiles & Components | (2.0 | ) | (217,290 | ) | ||||||
Transportation | (2.1 | ) | (235,235 | ) | ||||||
Materials | (2.5 | ) | (276,041 | ) | ||||||
Utilities | (4.1 | ) | (446,658 | ) | ||||||
Health Care Equipment & Services | (4.1 | ) | (446,807 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (4.1 | ) | (456,419 | ) | ||||||
Insurance | (4.3 | ) | (472,728 | ) | ||||||
Real Estate | (4.7 | ) | (513,899 | ) | ||||||
Semiconductors & Semiconductor Equipment | (5.7 | ) | (629,981 | ) | ||||||
Energy | (7.0 | ) | (776,029 | ) | ||||||
Diversified Financials | (7.2 | ) | (799,550 | ) | ||||||
Banks | (7.9 | ) | (866,501 | ) | ||||||
Capital Goods | (8.5 | ) | (938,913 | ) | ||||||
Software & Services | (10.2 | ) | (1,128,460 | ) | ||||||
|
|
|
| |||||||
Total Short Positions | (85.0 | ) | (9,381,553 | ) | ||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 0.6 | 69,064 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 11,031,385 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
42
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 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 | 17.5 | % | $ | 279,373 | ||||||
Technology Hardware & Equipment | 10.6 | 169,318 | ||||||||
Semiconductors & Semiconductor Equipment | 9.5 | 150,846 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 8.5 | 134,640 | ||||||||
Retailing | 7.5 | 119,647 | ||||||||
Food, Beverage & Tobacco | 7.3 | 116,194 | ||||||||
Automobiles & Components | 5.9 | 93,458 | ||||||||
Consumer Services | 4.8 | 76,133 | ||||||||
Commercial & Professional Services | 4.8 | 75,711 | ||||||||
Health Care Equipment & Services | 4.4 | 69,382 | ||||||||
Software & Services | 4.2 | 66,736 | ||||||||
Media | 3.3 | 52,883 | ||||||||
Consumer Durables & Apparel | 2.7 | 43,131 | ||||||||
Food & Staples Retailing | 1.9 | 30,311 | ||||||||
Transportation | 1.8 | 29,319 | ||||||||
Telecommunication Services | 1.8 | 29,139 | ||||||||
Household & Personal Products | 0.4 | 5,689 | ||||||||
|
|
|
| |||||||
Total Common Stocks | 96.9 | 1,541,910 | ||||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 3.1 | 49,531 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 1,591,441 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
43
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2018
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Large Value Fund
% of Net Assets | Value | |||||||||
COMMON STOCKS: | ||||||||||
Health Care Equipment & Services | 12.6 | % | $ | 3,950,840 | ||||||
Capital Goods | 11.4 | 3,567,830 | ||||||||
Software & Services | 11.1 | 3,486,267 | ||||||||
Retailing | 7.8 | 2,427,322 | ||||||||
Technology Hardware & Equipment | 6.3 | 1,988,043 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 6.1 | 1,908,200 | ||||||||
Diversified Financials | 5.6 | 1,751,003 | ||||||||
Energy | 5.3 | 1,660,544 | ||||||||
Food, Beverage & Tobacco | 4.8 | 1,517,662 | ||||||||
Transportation | 4.7 | 1,470,724 | ||||||||
Media | 4.5 | 1,419,054 | ||||||||
Food & Staples Retailing | 2.6 | 802,403 | ||||||||
Household & Personal Products | 2.6 | 801,229 | ||||||||
Materials | 2.6 | 798,880 | ||||||||
Insurance | 2.4 | 755,605 | ||||||||
Semiconductors & Semiconductor Equipment | 2.3 | 721,249 | ||||||||
Consumer Services | 1.5 | 471,256 | ||||||||
Telecommunication Services | 1.5 | 460,648 | ||||||||
Commercial & Professional Services | 1.3 | 395,624 | ||||||||
Consumer Durables & Apparel | 1.0 | 318,988 | ||||||||
Utilities | 0.7 | 212,275 | ||||||||
Banks | 0.5 | 160,775 | ||||||||
Automobiles & Components | 0.2 | 68,638 | ||||||||
Real Estate | 0.1 | 46,683 | ||||||||
|
|
|
| |||||||
Total Common Stocks | 99.5 | 31,161,742 | ||||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 0.5 | 156,455 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 31,318,197 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
44
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 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 | 99.5 | % | $ | 28,191,696 | ||||||
Other Assets in Excess of Liabilities | 0.5 | 135,983 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 28,327,679 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
45
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 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 | 5.6 | % | $ | 220,885 | ||||||
Semiconductors & Semiconductor Equipment | 3.1 | 121,053 | ||||||||
Technology Hardware & Equipment | 3.0 | 118,073 | ||||||||
Retailing | 2.8 | 111,612 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 2.8 | 111,395 | ||||||||
Health Care Equipment & Services | 1.5 | 58,910 | ||||||||
Food, Beverage & Tobacco | 1.5 | 57,426 | ||||||||
Software & Services | 1.3 | 50,430 | ||||||||
Automobiles & Components | 1.3 | 49,498 | ||||||||
Food & Staples Retailing | 1.2 | 47,567 | ||||||||
Consumer Durables & Apparel | 1.2 | 46,547 | ||||||||
Commercial & Professional Services | 1.1 | 43,570 | ||||||||
Consumer Services | 1.0 | 40,483 | ||||||||
Media | 1.0 | 40,062 | ||||||||
Transportation | 0.6 | 21,976 | ||||||||
Telecommunication Services | 0.4 | 14,824 | ||||||||
Household & Personal Products | 0.1 | 3,167 | ||||||||
Affiliated Equity Registered Investment Companies | 61.8 | 2,423,204 | ||||||||
U.S. Treasury Obligations | 5.1 | 197,319 | ||||||||
|
|
|
| |||||||
Total Long Positions | 96.4 | 3,778,001 | ||||||||
|
|
|
|
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Household & Personal Products | (0.2 | )% | $ | (9,564 | ) | |||||
Automobiles & Components | (0.3 | ) | (12,335 | ) | ||||||
Food & Staples Retailing | (0.5 | ) | (19,123 | ) | ||||||
Media | (0.5 | ) | (20,221 | ) | ||||||
Telecommunication Services | (0.7 | ) | (29,526 | ) | ||||||
Consumer Durables & Apparel | (0.9 | ) | (35,404 | ) | ||||||
Semiconductors & Semiconductor Equipment | (1.0 | ) | (37,384 | ) | ||||||
Transportation | (1.3 | ) | (49,557 | ) | ||||||
Retailing | (1.4 | ) | (54,348 | ) | ||||||
Food, Beverage & Tobacco | (1.6 | ) | (64,129 | ) | ||||||
Technology Hardware & Equipment | (1.7 | ) | (68,148 | ) | ||||||
Commercial & Professional Services | (2.0 | ) | (77,125 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (2.2 | ) | (84,538 | ) | ||||||
Consumer Services | (2.8 | ) | (108,589 | ) | ||||||
Health Care Equipment & Services | (3.7 | ) | (144,834 | ) | ||||||
Capital Goods | (4.1 | ) | (160,040 | ) | ||||||
Software & Services | (4.7 | ) | (184,502 | ) | ||||||
|
|
|
| |||||||
Total Short Positions | (29.6 | ) | (1,159,367 | ) | ||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 33.2 | 1,302,356 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 3,920,990 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
46
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
LONG POSITIONS — 142.5% | ||||||||
COMMON STOCKS — 142.5% | ||||||||
Automobiles & Components — 0.2% |
| |||||||
Harley-Davidson, Inc.(a) | 668 | $ | 30,260 | |||||
|
| |||||||
Capital Goods — 13.2% | ||||||||
3M Co.† | 694 | 146,233 | ||||||
AMETEK, Inc.† | 13 | 1,029 | ||||||
Boeing Co. (The)† | 808 | 300,495 | ||||||
Caterpillar, Inc.† | 167 | 25,466 | ||||||
Dover Corp. | 592 | 52,410 | ||||||
Emerson Electric Co.† | 2,521 | 193,058 | ||||||
Harris Corp.† | 475 | 80,375 | ||||||
Honeywell International, Inc.† | 2,287 | 380,557 | ||||||
Illinois Tool Works, Inc.†(a) | 767 | 108,239 | ||||||
Jacobs Engineering Group, Inc.† | 569 | 43,528 | ||||||
Parker-Hannifin Corp.† | 532 | 97,851 | ||||||
Pentair PLC (Ireland) | 703 | 30,475 | ||||||
Rockwell Automation, Inc. | 53 | 9,939 | ||||||
Snap-on, Inc.(a) | 233 | 42,779 | ||||||
United Rentals, Inc.* | 312 | 51,043 | ||||||
United Technologies Corp. | 2,206 | 308,421 | ||||||
WW Grainger, Inc.(a) | 216 | 77,201 | ||||||
|
| |||||||
1,949,099 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.9% |
| |||||||
Republic Services, Inc.† | 1,306 | 94,894 | ||||||
Robert Half International, Inc.† | 473 | 33,290 | ||||||
Verisk Analytics, Inc.* | 6 | 723 | ||||||
Waste Management, Inc.† | 1,718 | 155,238 | ||||||
|
| |||||||
284,145 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.5% |
| |||||||
Garmin Ltd. (Switzerland) | 758 | 53,098 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 446 | 30,578 | ||||||
NIKE, Inc., Class B | 530 | 44,902 | ||||||
Tapestry, Inc.† | 1,155 | 58,062 | ||||||
Whirlpool Corp.(a) | 258 | 30,637 | ||||||
|
| |||||||
217,277 | ||||||||
|
| |||||||
Consumer Services — 1.7% | ||||||||
Darden Restaurants, Inc.† | 461 | 51,259 | ||||||
Marriott International, Inc., Class A† | 5 | 660 | ||||||
McDonald’s Corp.†(b) | 946 | 158,256 | ||||||
Yum! Brands, Inc.† | 413 | 37,546 | ||||||
|
| |||||||
247,721 | ||||||||
|
| |||||||
Diversified Financials — 6.3% | ||||||||
Affiliated Managers Group, Inc. | 214 | 29,258 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Berkshire Hathaway, Inc., Class B* | 585 | $ | 125,254 | |||||
BlackRock, Inc.†(b) | 395 | 186,175 | ||||||
Franklin Resources, Inc.(a)(b) | 2,366 | 71,950 | ||||||
Moody’s Corp.† | 769 | 128,577 | ||||||
MSCI, Inc. | 62 | 10,999 | ||||||
Nasdaq, Inc.† | 715 | 61,347 | ||||||
S&P Global, Inc.† | 1,008 | 196,953 | ||||||
T Rowe Price Group, Inc.†(a) | 1,061 | 115,840 | ||||||
|
| |||||||
926,353 | ||||||||
|
| |||||||
Energy — 12.3% | ||||||||
Chevron Corp.† | 2,286 | 279,532 | ||||||
ConocoPhillips† | 5,093 | 394,198 | ||||||
Devon Energy Corp. | 1,771 | 70,734 | ||||||
Exxon Mobil Corp.† | 5,141 | 437,088 | ||||||
Hess Corp.† | 1,193 | 85,395 | ||||||
HollyFrontier Corp.(a) | 708 | 49,489 | ||||||
Marathon Oil Corp.† | 3,426 | 79,757 | ||||||
Marathon Petroleum Corp. | 1,128 | 90,206 | ||||||
Occidental Petroleum Corp.† | 894 | 73,460 | ||||||
Phillips 66†(b) | 2,151 | 242,461 | ||||||
TechnipFMC PLC (United Kingdom)† | 430 | 13,438 | ||||||
Valero Energy Corp.† | 13 | 1,479 | ||||||
|
| |||||||
1,817,237 | ||||||||
|
| |||||||
Food & Staples Retailing — 6.0% |
| |||||||
Kroger Co. (The)† | 3,764 | 109,570 | ||||||
Sysco Corp.† | 2,089 | 153,019 | ||||||
Walgreens Boots Alliance, Inc.†(a)(b) | 2,483 | 181,011 | ||||||
Walmart, Inc.† | 4,632 | 434,991 | ||||||
|
| |||||||
878,591 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 9.9% |
| |||||||
Altria Group, Inc.† | 5,832 | 351,728 | ||||||
Archer-Daniels-Midland Co.† | 2,246 | 112,906 | ||||||
Conagra Brands, Inc.† | 1,520 | 51,634 | ||||||
General Mills, Inc. | 17 | 730 | ||||||
Kellogg Co.(a) | 1,392 | 97,468 | ||||||
Kraft Heinz Co. (The)† | 1,835 | 101,127 | ||||||
Molson Coors Brewing Co., Class B | 8 | 492 | ||||||
PepsiCo, Inc.† | 2,834 | 316,841 | ||||||
Philip Morris International, Inc.†(b) | 5,179 | 422,296 | ||||||
|
| |||||||
1,455,222 | ||||||||
|
| |||||||
Health Care Equipment & Services — 18.0% |
| |||||||
Aetna, Inc.†(b) | 1,314 | 266,545 | ||||||
AmerisourceBergen Corp. | 414 | 38,179 |
The accompanying notes are an integral part of the financial statements.
47
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Anthem, Inc.†(b) | 1,019 | $ | 279,257 | |||||
Becton Dickinson and Co. | 61 | 15,921 | ||||||
Cardinal Health, Inc.† | 1,243 | 67,122 | ||||||
Centene Corp.†* | 823 | 119,154 | ||||||
Cigna Corp.(b) | 1,050 | 218,662 | ||||||
CVS Health Corp.† | 2,124 | 167,201 | ||||||
Danaher Corp. | 131 | 14,234 | ||||||
DaVita, Inc.* | 435 | 31,159 | ||||||
Envision Healthcare Corp.* | 488 | 22,316 | ||||||
Express Scripts Holding Co.†* | 2,120 | 201,421 | ||||||
HCA Healthcare, Inc.† | 1,391 | 193,516 | ||||||
Humana, Inc.† | 553 | 187,202 | ||||||
Laboratory Corp. of America Holdings†* | 442 | 76,767 | ||||||
McKesson Corp.† | 674 | 89,406 | ||||||
Medtronic PLC (Ireland)† | 3,331 | 327,670 | ||||||
Quest Diagnostics, Inc. | 23 | �� | 2,482 | |||||
ResMed, Inc. | 481 | 55,479 | ||||||
UnitedHealth Group, Inc.† | 849 | 225,868 | ||||||
WellCare Health Plans, Inc.* | 179 | 57,368 | ||||||
|
| |||||||
2,656,929 | ||||||||
|
| |||||||
Household & Personal Products — 6.1% |
| |||||||
Church & Dwight Co., Inc.† | 983 | 58,361 | ||||||
Clorox Co. (The)(a) | 513 | 77,160 | ||||||
Colgate-Palmolive Co.† | 3,482 | 233,120 | ||||||
Kimberly-Clark Corp.† | 1,394 | 158,414 | ||||||
Procter & Gamble Co. (The)† | 4,420 | 367,877 | ||||||
|
| |||||||
894,932 | ||||||||
|
| |||||||
Insurance — 2.8% | ||||||||
Aflac, Inc. | 527 | 24,806 | ||||||
Arthur J Gallagher & Co. | 732 | 54,490 | ||||||
Loews Corp. | 1,270 | 63,792 | ||||||
Marsh & McLennan Cos., Inc. | 956 | 79,080 | ||||||
Progressive Corp. (The)† | 2,337 | 166,020 | ||||||
Torchmark Corp.† | 274 | 23,753 | ||||||
|
| |||||||
411,941 | ||||||||
|
| |||||||
Materials — 3.9% | ||||||||
Avery Dennison Corp.† | 126 | 13,652 | ||||||
CF Industries Holdings, Inc. | 936 | 50,956 | ||||||
Eastman Chemical Co.† | 318 | 30,439 | ||||||
FMC Corp.(a) | 540 | 47,077 | ||||||
Freeport-McMoRan, Inc.† | 5,277 | 73,456 | ||||||
International Paper Co.† | 237 | 11,649 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) | ||||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 1,739 | $ | 178,265 | |||||
Praxair, Inc.† | 492 | 79,079 | ||||||
Sealed Air Corp. | 641 | 25,736 | ||||||
Sherwin-Williams Co. (The) | 23 | 10,470 | ||||||
WestRock Co. | 1,024 | 54,723 | ||||||
|
| |||||||
575,502 | ||||||||
|
| |||||||
Media — 6.4% | ||||||||
CBS Corp., Class B, non-voting shares† | 626 | 35,964 | ||||||
Comcast Corp., Class A† | 585 | 20,715 | ||||||
DISH Network Corp., Class A†* | 1,875 | 67,050 | ||||||
Interpublic Group of Cos., Inc. (The) | 1,479 | 33,825 | ||||||
News Corp., Class A | 1,985 | 26,182 | ||||||
Omnicom Group, Inc.(a) | 796 | 54,144 | ||||||
Twenty-First Century Fox, Inc., Class A† | 7,433 | 344,371 | ||||||
Viacom, Inc., Class B | 666 | 22,484 | ||||||
Walt Disney Co. (The)† | 2,873 | 335,969 | ||||||
|
| |||||||
940,704 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 8.1% |
| |||||||
AbbVie, Inc.† | 1,253 | 118,509 | ||||||
Amgen, Inc.† | 703 | 145,725 | ||||||
Biogen, Inc.†* | 428 | 151,217 | ||||||
Bristol-Myers Squibb Co. | 32 | 1,987 | ||||||
Celgene Corp.†* | 2,782 | 248,961 | ||||||
Gilead Sciences, Inc.† | 886 | 68,408 | ||||||
Johnson & Johnson† | 2,294 | 316,962 | ||||||
Merck & Co., Inc.† | 1,300 | 92,222 | ||||||
Nektar Therapeutics(a) * | 691 | 42,123 | ||||||
|
| |||||||
1,186,114 | ||||||||
|
| |||||||
Real Estate — 0.5% | ||||||||
Equity Residential, REIT | 79 | 5,235 | ||||||
Public Storage, REIT | 32 | 6,452 | ||||||
Realty Income Corp., REIT(a) | 606 | 34,475 | ||||||
UDR, Inc., REIT | 283 | 11,442 | ||||||
Weyerhaeuser Co., REIT† | 675 | 21,782 | ||||||
|
| |||||||
79,386 | ||||||||
|
| |||||||
Retailing — 10.7% | ||||||||
Advance Auto Parts, Inc.† | 301 | 50,667 | ||||||
Amazon.com, Inc.* | 4 | 8,012 | ||||||
AutoZone, Inc.†* | 104 | 80,673 | ||||||
Best Buy Co., Inc. | 54 | 4,285 |
The accompanying notes are an integral part of the financial statements.
48
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
Booking Holdings, Inc.†* | 104 | $ | 206,336 | |||||
CarMax, Inc.(a) * | 49 | 3,659 | ||||||
Dollar General Corp. | 685 | 74,870 | ||||||
Foot Locker, Inc.(a) | 463 | 23,604 | ||||||
Genuine Parts Co.(a) | 588 | 58,447 | ||||||
Home Depot, Inc. (The)† | 2,059 | 426,522 | ||||||
Kohl’s Corp.†(a) | 654 | 48,756 | ||||||
Lowe’s Cos., Inc.† | 3,254 | 373,624 | ||||||
Nordstrom, Inc. | 1 | 60 | ||||||
O’Reilly Automotive, Inc.* | 2 | 695 | ||||||
Ross Stores, Inc.† | 53 | 5,252 | ||||||
Target Corp.† | 430 | 37,930 | ||||||
Tiffany & Co. | 491 | 63,324 | ||||||
TJX Cos., Inc. (The)† | 967 | 108,323 | ||||||
|
| |||||||
1,575,039 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.9% |
| |||||||
Intel Corp.† | 354 | 16,741 | ||||||
KLA-Tencor Corp. | 320 | 32,547 | ||||||
Micron Technology, Inc.†(a) * | 4,935 | 223,210 | ||||||
|
| |||||||
272,498 | ||||||||
|
| |||||||
Software & Services — 11.6% |
| |||||||
Accenture PLC, Class A (Ireland)† | 2,348 | 399,630 | ||||||
Alliance Data Systems Corp. | 223 | 52,664 | ||||||
Automatic Data Processing, Inc.† | 1,760 | 265,162 | ||||||
Broadridge Financial Solutions, Inc.† | 467 | 61,621 | ||||||
CA, Inc.† | 1,658 | 73,201 | ||||||
Citrix Systems, Inc.†* | 346 | 38,461 | ||||||
DXC Technology Co.† | 1,235 | 115,497 | ||||||
eBay, Inc.†* | 709 | 23,411 | ||||||
Fiserv, Inc.* | 10 | 824 | ||||||
FleetCor Technologies, Inc.* | 5 | 1,139 | ||||||
International Business Machines Corp. | 364 | 55,040 | ||||||
Intuit, Inc.(b) | 1,038 | 236,041 | ||||||
Oracle Corp.† | 3,467 | 178,759 | ||||||
Paychex, Inc.† | 1,554 | 114,452 | ||||||
Total System Services, Inc. | 2 | 197 | ||||||
Visa, Inc., Class A(a) | 643 | 96,508 | ||||||
|
| |||||||
1,712,607 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 9.5% |
| |||||||
Apple, Inc.† | 1,375 | 310,392 | ||||||
Cisco Systems, Inc.† | 7,647 | 372,027 | ||||||
F5 Networks, Inc.†* | 244 | 48,658 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
FLIR Systems, Inc.† | 553 | $ | 33,993 | |||||
Hewlett Packard Enterprise Co.†(a) | 4,533 | 73,933 | ||||||
HP, Inc.† | 7,022 | 180,957 | ||||||
Motorola Solutions, Inc.† | 449 | 58,433 | ||||||
NetApp, Inc.†(a) | 1,075 | 92,332 | ||||||
Seagate Technology PLC (Ireland)(a) | 26 | 1,231 | ||||||
TE Connectivity Ltd. (Switzerland)† | 1,398 | 122,926 | ||||||
Western Digital Corp.† | 1,187 | 69,487 | ||||||
Xerox Corp. | 1,024 | 27,628 | ||||||
|
| |||||||
1,391,997 | ||||||||
|
| |||||||
Telecommunication Services — 3.1% |
| |||||||
CenturyLink, Inc. | 2,152 | 45,622 | ||||||
Verizon Communications, Inc.† | 7,834 | 418,257 | ||||||
|
| |||||||
463,879 | ||||||||
|
| |||||||
Transportation — 4.0% | ||||||||
CSX Corp. | 781 | 57,833 | ||||||
Expeditors International of Washington, Inc.† | 731 | 53,750 | ||||||
FedEx Corp.† | 566 | 136,287 | ||||||
Norfolk Southern Corp.† | 683 | 123,281 | ||||||
Union Pacific Corp.† | 733 | 119,354 | ||||||
United Parcel Service, Inc., Class B | 888 | 103,674 | ||||||
|
| |||||||
594,179 | ||||||||
|
| |||||||
Utilities — 2.9% | ||||||||
CMS Energy Corp.(a) | 1,136 | 55,664 | ||||||
Dominion Energy, Inc. | 13 | 914 | ||||||
DTE Energy Co. | 180 | 19,643 | ||||||
FirstEnergy Corp.†(a) | 1,915 | 71,181 | ||||||
NRG Energy, Inc.† | 1,371 | 51,275 | ||||||
PPL Corp.(a) | 2,706 | 79,178 | ||||||
Southern Co. (The)† | 1,593 | 69,455 | ||||||
WEC Energy Group, Inc.† | 1,267 | 84,585 | ||||||
|
| |||||||
431,895 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 20,993,507 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 142.5% | 20,993,507 | |||||||
|
| |||||||
(Cost $18,909,732) | ||||||||
SHORT POSITIONS — (82.5)% | ||||||||
COMMON STOCKS — (82.5)% | ||||||||
Automobiles & Components — (1.8)% |
| |||||||
Aptiv PLC (Jersey) | (615 | ) | (51,598 | ) | ||||
BorgWarner, Inc. | (59 | ) | (2,524 | ) |
The accompanying notes are an integral part of the financial statements.
49
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Automobiles & Components — (Continued) |
| |||||||
Ford Motor Co. | (9,951 | ) | $ | (92,047 | ) | |||
General Motors Co. | (3,276 | ) | (110,303 | ) | ||||
Goodyear Tire & Rubber Co. (The) | (550 | ) | (12,864 | ) | ||||
|
| |||||||
(269,336 | ) | |||||||
|
| |||||||
Banks — (6.7)% | ||||||||
Bank of America Corp. | (1,222 | ) | (36,000 | ) | ||||
BB&T Corp. | (1,799 | ) | (87,323 | ) | ||||
Citigroup, Inc. | (3,386 | ) | (242,912 | ) | ||||
Citizens Financial Group, Inc. | (1,124 | ) | (43,353 | ) | ||||
Comerica, Inc. | (398 | ) | (35,900 | ) | ||||
Fifth Third Bancorp. | (1,575 | ) | (43,974 | ) | ||||
Huntington Bancshares, Inc. | (2,565 | ) | (38,270 | ) | ||||
KeyCorp. | (2,679 | ) | (53,285 | ) | ||||
M&T Bank Corp. | (336 | ) | (55,285 | ) | ||||
People’s United Financial, Inc. | (794 | ) | (13,593 | ) | ||||
PNC Financial Services Group, Inc. (The) | (223 | ) | (30,370 | ) | ||||
Regions Financial Corp. | (2,589 | ) | (47,508 | ) | ||||
SunTrust Banks, Inc. | (1,081 | ) | (72,200 | ) | ||||
SVB Financial Group* | (10 | ) | (3,108 | ) | ||||
US Bancorp | (436 | ) | (23,025 | ) | ||||
Wells Fargo & Co. | (2,730 | ) | (143,489 | ) | ||||
Zions Bancorp NA | (454 | ) | (22,768 | ) | ||||
|
| |||||||
(992,363 | ) | |||||||
|
| |||||||
Capital Goods — (7.0)% | ||||||||
Allegion PLC (Ireland) | (220 | ) | (19,925 | ) | ||||
AO Smith Corp. | (394 | ) | (21,028 | ) | ||||
Cummins, Inc. | (379 | ) | (55,361 | ) | ||||
Deere & Co. | (581 | ) | (87,342 | ) | ||||
Eaton Corp. PLC (Ireland) | (191 | ) | (16,565 | ) | ||||
Fastenal Co. | (667 | ) | (38,699 | ) | ||||
Fluor Corp. | (91 | ) | (5,287 | ) | ||||
Fortune Brands Home & Security, Inc. | (347 | ) | (18,169 | ) | ||||
General Dynamics Corp. | (688 | ) | (140,847 | ) | ||||
General Electric Co. | (9,569 | ) | (108,034 | ) | ||||
Ingersoll-Rand PLC (Ireland) | (16 | ) | (1,637 | ) | ||||
Johnson Controls International PLC (Ireland) | (2,149 | ) | (75,215 | ) | ||||
L3 Technologies, Inc. | (181 | ) | (38,484 | ) | ||||
Lockheed Martin Corp. | (235 | ) | (81,301 | ) | ||||
Masco Corp. | (723 | ) | (26,462 | ) | ||||
Northrop Grumman Corp. | (404 | ) | (128,217 | ) | ||||
PACCAR, Inc. | (809 | ) | (55,166 | ) | ||||
Quanta Services, Inc.* | (385 | ) | (12,851 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
Rockwell Collins, Inc. | (141 | ) | $ | (19,806 | ) | |||
Stanley Black & Decker, Inc. | (355 | ) | (51,986 | ) | ||||
Xylem, Inc. | (417 | ) | (33,306 | ) | ||||
|
| |||||||
(1,035,688 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.7)% |
| |||||||
Cintas Corp. | (208 | ) | (41,144 | ) | ||||
Equifax, Inc. | (280 | ) | (36,560 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (159 | ) | (8,580 | ) | ||||
Nielsen Holdings PLC (United Kingdom) | (825 | ) | (22,819 | ) | ||||
|
| |||||||
(109,103 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.1)% |
| |||||||
DR Horton, Inc. | (875 | ) | (36,907 | ) | ||||
Hanesbrands, Inc. | (837 | ) | (15,426 | ) | ||||
Hasbro, Inc. | (296 | ) | (31,116 | ) | ||||
Leggett & Platt, Inc. | (302 | ) | (13,225 | ) | ||||
Mattel, Inc.* | (799 | ) | (12,544 | ) | ||||
Newell Brands, Inc. | (1,128 | ) | (22,898 | ) | ||||
PulteGroup, Inc. | (660 | ) | (16,348 | ) | ||||
PVH Corp. | (179 | ) | (25,848 | ) | ||||
Ralph Lauren Corp. | (188 | ) | (25,859 | ) | ||||
Under Armour, Inc., Class C* | (1,032 | ) | (20,083 | ) | ||||
VF Corp. | (918 | ) | (85,787 | ) | ||||
|
| |||||||
(306,041 | ) | |||||||
|
| |||||||
Consumer Services — (2.2)% | ||||||||
Carnival Corp. (Panama) | (1,410 | ) | (89,916 | ) | ||||
Hilton Worldwide Holdings, Inc. | (216 | ) | (17,448 | ) | ||||
MGM Resorts International | (1,418 | ) | (39,576 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (514 | ) | (29,519 | ) | ||||
Royal Caribbean Cruises Ltd. (Liberia) | (488 | ) | (63,411 | ) | ||||
Starbucks Corp. | (763 | ) | (43,369 | ) | ||||
Wynn Resorts Ltd. | (258 | ) | (32,781 | ) | ||||
|
| |||||||
(316,020 | ) | |||||||
|
| |||||||
Diversified Financials — (5.5)% |
| |||||||
Ameriprise Financial, Inc. | (331 | ) | (48,875 | ) | ||||
Bank of New York Mellon Corp. (The) | (2,322 | ) | (118,399 | ) | ||||
Capital One Financial Corp. | (1,112 | ) | (105,562 | ) | ||||
Charles Schwab Corp. (The) | (789 | ) | (38,779 | ) | ||||
Discover Financial Services | (554 | ) | (42,353 | ) | ||||
E*TRADE Financial Corp.* | (81 | ) | (4,244 | ) | ||||
Goldman Sachs Group, Inc. (The) | (408 | ) | (91,490 | ) |
The accompanying notes are an integral part of the financial statements.
50
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Intercontinental Exchange, Inc. | (103 | ) | $ | (7,714 | ) | |||
Jefferies Financial Group, Inc. | (859 | ) | (18,864 | ) | ||||
Morgan Stanley | (3,189 | ) | (148,512 | ) | ||||
Northern Trust Corp. | (518 | ) | (52,903 | ) | ||||
Raymond James Financial, Inc. | (338 | ) | (31,113 | ) | ||||
State Street Corp. | (514 | ) | (43,063 | ) | ||||
Synchrony Financial | (1,735 | ) | (53,924 | ) | ||||
|
| |||||||
(805,795 | ) | |||||||
|
| |||||||
Energy — (6.6)% | ||||||||
Anadarko Petroleum Corp. | (1,329 | ) | (89,588 | ) | ||||
Andeavor | (346 | ) | (53,111 | ) | ||||
Cabot Oil & Gas Corp. | (1,024 | ) | (23,060 | ) | ||||
Cimarex Energy Co. | (239 | ) | (22,213 | ) | ||||
Concho Resources, Inc.* | (374 | ) | (57,128 | ) | ||||
EOG Resources, Inc. | (812 | ) | (103,587 | ) | ||||
EQT Corp. | (662 | ) | (29,280 | ) | ||||
Halliburton Co. | (1,777 | ) | (72,022 | ) | ||||
Helmerich & Payne, Inc. | (304 | ) | (20,906 | ) | ||||
Kinder Morgan, Inc. | (4,981 | ) | (88,313 | ) | ||||
National Oilwell Varco, Inc. | (888 | ) | (38,255 | ) | ||||
Newfield Exploration Co.* | (472 | ) | (13,608 | ) | ||||
Noble Energy, Inc. | (1,131 | ) | (35,276 | ) | ||||
Pioneer Natural Resources Co. | (426 | ) | (74,205 | ) | ||||
Schlumberger Ltd. (Curacao) | (3,215 | ) | (195,858 | ) | ||||
Williams Cos., Inc. (The) | (2,069 | ) | (56,256 | ) | ||||
|
| |||||||
(972,666 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (2.4)% |
| |||||||
Brown-Forman Corp., Class B | (1,118 | ) | (56,515 | ) | ||||
Campbell Soup Co. | (699 | ) | (25,604 | ) | ||||
Coca-Cola Co. (The) | (107 | ) | (4,942 | ) | ||||
Constellation Brands, Inc., Class A | (443 | ) | (95,520 | ) | ||||
Hershey Co. (The) | (103 | ) | (10,506 | ) | ||||
Hormel Foods Corp. | (1,232 | ) | (48,541 | ) | ||||
JM Smucker Co. (The) | (264 | ) | (27,089 | ) | ||||
McCormick & Co., Inc., non-voting shares | (246 | ) | (32,410 | ) | ||||
Monster Beverage Corp.* | (479 | ) | (27,916 | ) | ||||
Tyson Foods, Inc., Class A | (347 | ) | (20,657 | ) | ||||
|
| |||||||
(349,700 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (4.2)% |
| |||||||
Abbott Laboratories | (553 | ) | (40,568 | ) | ||||
ABIOMED, Inc.* | (104 | ) | (46,774 | ) | ||||
Baxter International, Inc. | (1,248 | ) | (96,208 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Boston Scientific Corp.* | (3,207 | ) | $ | (123,469 | ) | |||
Cerner Corp.* | (847 | ) | (54,555 | ) | ||||
DENTSPLY SIRONA, Inc. | (517 | ) | (19,512 | ) | ||||
Henry Schein, Inc.* | (288 | ) | (24,489 | ) | ||||
Hologic, Inc.* | (691 | ) | (28,317 | ) | ||||
Intuitive Surgical, Inc.* | (2 | ) | (1,148 | ) | ||||
Stryker Corp. | (348 | ) | (61,833 | ) | ||||
Universal Health Services, Inc., Class B | (217 | ) | (27,741 | ) | ||||
Varian Medical Systems, Inc.* | (214 | ) | (23,953 | ) | ||||
Zimmer Biomet Holdings, Inc. | (507 | ) | (66,655 | ) | ||||
|
| |||||||
(615,222 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.2)% |
| |||||||
Coty, Inc., Class A | (1,878 | ) | (23,588 | ) | ||||
|
| |||||||
Insurance — (4.1)% | ||||||||
Allstate Corp. (The) | (646 | ) | (63,760 | ) | ||||
American International Group, Inc. | (2,071 | ) | (110,260 | ) | ||||
Aon PLC (United Kingdom) | (564 | ) | (86,732 | ) | ||||
Assurant, Inc. | (126 | ) | (13,602 | ) | ||||
Brighthouse Financial, Inc.* | (278 | ) | (12,299 | ) | ||||
Chubb Ltd. (Switzerland) | (215 | ) | (28,733 | ) | ||||
Cincinnati Financial Corp. | (378 | ) | (29,034 | ) | ||||
Everest Re Group Ltd. (Bermuda) | (96 | ) | (21,933 | ) | ||||
Hartford Financial Services Group, Inc. (The) | (132 | ) | (6,595 | ) | ||||
Lincoln National Corp. | (505 | ) | (34,168 | ) | ||||
MetLife, Inc. | (32 | ) | (1,495 | ) | ||||
Principal Financial Group, Inc. | (662 | ) | (38,787 | ) | ||||
Prudential Financial, Inc. | (332 | ) | (33,638 | ) | ||||
Travelers Cos., Inc. (The) | (481 | ) | (62,390 | ) | ||||
Unum Group | (508 | ) | (19,848 | ) | ||||
Willis Towers Watson PLC (Ireland) | (324 | ) | (45,665 | ) | ||||
|
| |||||||
(608,939 | ) | |||||||
|
| |||||||
Materials — (2.8)% | ||||||||
Air Products & Chemicals, Inc. | (509 | ) | (85,028 | ) | ||||
Albemarle Corp. | (272 | ) | (27,140 | ) | ||||
Ball Corp. | (806 | ) | (35,456 | ) | ||||
DowDuPont, Inc. | (105 | ) | (6,753 | ) | ||||
Ecolab, Inc. | (375 | ) | (58,792 | ) | ||||
International Flavors & Fragrances, Inc. | (183 | ) | (25,459 | ) | ||||
Martin Marietta Materials, Inc. | (157 | ) | (28,566 | ) | ||||
Mosaic Co. (The) | (5 | ) | (162 | ) |
The accompanying notes are an integral part of the financial statements.
51
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Newmont Mining Corp. | (1,335 | ) | $ | (40,317 | ) | |||
PPG Industries, Inc. | (571 | ) | (62,313 | ) | ||||
Vulcan Materials Co. | (384 | ) | (42,701 | ) | ||||
|
| |||||||
(412,687 | ) | |||||||
|
| |||||||
Media — (1.1)% | ||||||||
Charter Communications, Inc., Class A* | (487 | ) | (158,704 | ) | ||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (4.5)% |
| |||||||
Agilent Technologies, Inc. | (741 | ) | (52,270 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (518 | ) | (72,007 | ) | ||||
Allergan PLC (Ireland) | (154 | ) | (29,334 | ) | ||||
Incyte Corp.* | (545 | ) | (37,649 | ) | ||||
Mettler-Toledo International, Inc.* | (59 | ) | (35,930 | ) | ||||
Mylan NV (Netherlands)* | (1,196 | ) | (43,774 | ) | ||||
PerkinElmer, Inc. | (4 | ) | (389 | ) | ||||
Perrigo Co. PLC (Ireland) | (317 | ) | (22,444 | ) | ||||
Pfizer, Inc. | (2,472 | ) | (108,941 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (289 | ) | (116,768 | ) | ||||
Thermo Fisher Scientific, Inc. | (418 | ) | (102,025 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (3 | ) | (578 | ) | ||||
Waters Corp.* | (179 | ) | (34,848 | ) | ||||
Zoetis, Inc. | (1 | ) | (92 | ) | ||||
|
| |||||||
(657,049 | ) | |||||||
|
| |||||||
Real Estate — (6.1)% | ||||||||
American Tower Corp., REIT | (1,074 | ) | (156,052 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (366 | ) | (16,152 | ) | ||||
AvalonBay Communities, Inc., REIT | (17 | ) | (3,080 | ) | ||||
Boston Properties, Inc., REIT | (387 | ) | (47,636 | ) | ||||
CBRE Group, Inc., Class A* | (789 | ) | (34,795 | ) | ||||
Crown Castle International Corp., REIT | (78 | ) | (8,684 | ) | ||||
Duke Realty Corp., REIT | (830 | ) | (23,547 | ) | ||||
Equinix, Inc., REIT | (198 | ) | (85,712 | ) | ||||
Essex Property Trust, Inc., REIT | (154 | ) | (37,993 | ) | ||||
Federal Realty Investment Trust, REIT | (184 | ) | (23,270 | ) | ||||
HCP, Inc., REIT | (1,092 | ) | (28,741 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (1,719 | ) | (36,271 | ) | ||||
Iron Mountain, Inc., REIT | (709 | ) | (24,475 | ) | ||||
Kimco Realty Corp., REIT | (1,067 | ) | (17,862 | ) | ||||
Macerich Co. (The), REIT | (353 | ) | (19,517 | ) | ||||
Mid-America Apartment Communities, Inc., REIT | (6 | ) | (601 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) |
| |||||||
Prologis, Inc., REIT | (1,239 | ) | $ | (83,992 | ) | |||
Regency Centers Corp., REIT | (393 | ) | (25,415 | ) | ||||
SBA Communications Corp., REIT* | (291 | ) | (46,743 | ) | ||||
Simon Property Group, Inc., REIT | (668 | ) | (118,069 | ) | ||||
SL Green Realty Corp., REIT | (232 | ) | (22,627 | ) | ||||
Ventas, Inc., REIT | (76 | ) | (4,133 | ) | ||||
Vornado Realty Trust, REIT | (476 | ) | (34,748 | ) | ||||
|
| |||||||
(900,115 | ) | |||||||
|
| |||||||
Retailing — (1.6)% | ||||||||
Dollar Tree, Inc.* | (553 | ) | (45,097 | ) | ||||
Gap, Inc. (The) | (895 | ) | (25,821 | ) | ||||
L Brands, Inc. | (638 | ) | (19,331 | ) | ||||
LKQ Corp.* | (774 | ) | (24,513 | ) | ||||
Macy’s, Inc. | (714 | ) | (24,797 | ) | ||||
Netflix, Inc.* | (93 | ) | (34,794 | ) | ||||
TripAdvisor, Inc.* | (403 | ) | (20,581 | ) | ||||
Ulta Beauty, Inc.* | (139 | ) | (39,215 | ) | ||||
|
| |||||||
(234,149 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (5.1)% |
| |||||||
Applied Materials, Inc. | (1,875 | ) | (72,469 | ) | ||||
Broadcom, Inc. | (863 | ) | (212,928 | ) | ||||
Microchip Technology, Inc. | (654 | ) | (51,607 | ) | ||||
NVIDIA Corp. | (543 | ) | (152,594 | ) | ||||
Qorvo, Inc.* | (292 | ) | (22,452 | ) | ||||
QUALCOMM, Inc. | (1,046 | ) | (75,343 | ) | ||||
Skyworks Solutions, Inc. | (417 | ) | (37,826 | ) | ||||
Texas Instruments, Inc. | (741 | ) | (79,502 | ) | ||||
Xilinx, Inc. | (638 | ) | (51,148 | ) | ||||
|
| |||||||
(755,869 | ) | |||||||
|
| |||||||
Software & Services — (8.9)% |
| |||||||
Adobe, Inc.* | (517 | ) | (139,564 | ) | ||||
Akamai Technologies, Inc.* | (392 | ) | (28,675 | ) | ||||
Alphabet, Inc., Class A* | (201 | ) | (242,623 | ) | ||||
Electronic Arts, Inc.* | (499 | ) | (60,125 | ) | ||||
Facebook, Inc., Class A* | (1,325 | ) | (217,909 | ) | ||||
Fidelity National Information Services, Inc. | (769 | ) | (83,875 | ) | ||||
Gartner, Inc.* | (13 | ) | (2,060 | ) | ||||
PayPal Holdings, Inc.* | (2,733 | ) | (240,067 | ) | ||||
Red Hat, Inc.* | (422 | ) | (57,510 | ) | ||||
salesforce.com, Inc.* | (361 | ) | (57,410 | ) | ||||
Symantec Corp. | (1,443 | ) | (30,707 | ) | ||||
Synopsys, Inc.* | (345 | ) | (34,020 | ) |
The accompanying notes are an integral part of the financial statements.
52
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Concluded)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Twitter, Inc.* | (1,767 | ) | $ | (50,289 | ) | |||
VeriSign, Inc.* | (284 | ) | (45,474 | ) | ||||
Western Union Co. (The) | (1,149 | ) | (21,900 | ) | ||||
|
| |||||||
(1,312,208 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.6)% |
| |||||||
Arista Networks, Inc.* | (180 | ) | (47,855 | ) | ||||
IPG Photonics Corp.* | (125 | ) | (19,509 | ) | ||||
Juniper Networks, Inc. | (812 | ) | (24,336 | ) | ||||
|
| |||||||
(91,700 | ) | |||||||
|
| |||||||
Telecommunication Services — (1.6)% |
| |||||||
AT&T, Inc. | (7,013 | ) | (235,497 | ) | ||||
|
| |||||||
Transportation — (2.0)% | ||||||||
Alaska Air Group, Inc. | (286 | ) | (19,694 | ) | ||||
American Airlines Group, Inc. | (1,070 | ) | (44,223 | ) | ||||
Delta Air Lines, Inc. | (1,632 | ) | (94,379 | ) | ||||
JB Hunt Transport Services, Inc. | (274 | ) | (32,590 | ) | ||||
Kansas City Southern | (238 | ) | (26,961 | ) | ||||
Southwest Airlines Co. | (1,332 | ) | (83,183 | ) | ||||
|
| |||||||
(301,030 | ) | |||||||
|
| |||||||
Utilities — (4.7)% | ||||||||
Alliant Energy Corp. | (538 | ) | (22,903 | ) | ||||
Ameren Corp. | (566 | ) | (35,783 | ) | ||||
American Water Works Co., Inc. | (440 | ) | (38,707 | ) | ||||
CenterPoint Energy, Inc. | (1,002 | ) | (27,705 | ) | ||||
Consolidated Edison, Inc. | (346 | ) | (26,362 | ) | ||||
Duke Energy Corp. | (463 | ) | (37,049 | ) | ||||
Edison International | (756 | ) | (51,166 | ) | ||||
Entergy Corp. | (420 | ) | (34,075 | ) | ||||
Eversource Energy | (590 | ) | (36,250 | ) | ||||
NextEra Energy, Inc. | (816 | ) | (136,762 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) | ||||||||
NiSource, Inc. | (843 | ) | $ | (21,008 | ) | |||
PG&E Corp. | (896 | ) | (41,225 | ) | ||||
Pinnacle West Capital Corp. | (260 | ) | (20,587 | ) | ||||
Public Service Enterprise Group, Inc. | (1,170 | ) | (61,764 | ) | ||||
SCANA Corp. | (332 | ) | (12,911 | ) | ||||
Sempra Energy | (277 | ) | (31,509 | ) | ||||
Xcel Energy, Inc. | (1,182 | ) | (55,802 | ) | ||||
|
| |||||||
(691,568 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $12,399,949) | (12,155,037 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (82.5)% |
| (12,155,037 | ) | |||||
|
| |||||||
(Proceeds $12,399,949) |
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 40.0% | 5,892,555 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 14,731,025 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short (See Note 1 of the Notes to Financial Statements) |
(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. (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.
53
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
LONG POSITIONS — 111.8% |
| |||||||
COMMON STOCKS — 111.8% |
| |||||||
Automobiles & Components — 0.2% |
| |||||||
Harley-Davidson, Inc.(a) | 91 | $ | 4,122 | |||||
|
| |||||||
Capital Goods — 10.2% | ||||||||
3M Co.† | 82 | 17,278 | ||||||
AMETEK, Inc. | 4 | 316 | ||||||
Boeing Co. (The)† | 98 | 36,446 | ||||||
Caterpillar, Inc.† | 45 | 6,862 | ||||||
Dover Corp. | 80 | 7,082 | ||||||
Emerson Electric Co.† | 339 | 25,961 | ||||||
Harris Corp.† | 64 | 10,829 | ||||||
Honeywell International, Inc.† | 305 | 50,752 | ||||||
Illinois Tool Works, Inc.† | 110 | 15,523 | ||||||
Jacobs Engineering Group, Inc. | 76 | 5,814 | ||||||
Parker-Hannifin Corp.† | 72 | 13,243 | ||||||
Pentair PLC (Ireland)(a) | 95 | 4,118 | ||||||
Snap-on, Inc.(a) | 32 | 5,875 | ||||||
United Rentals, Inc.* | 16 | 2,618 | ||||||
United Technologies Corp. | 307 | 42,922 | ||||||
WW Grainger, Inc.†(a) | 32 | 11,437 | ||||||
|
| |||||||
257,076 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.5% |
| |||||||
Republic Services, Inc.† | 178 | 12,933 | ||||||
Robert Half International, Inc. | 67 | 4,715 | ||||||
Waste Management, Inc.† | 232 | 20,964 | ||||||
|
| |||||||
38,612 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.0% |
| |||||||
Garmin Ltd. (Switzerland) | 103 | 7,215 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 6 | 411 | ||||||
NIKE, Inc., Class B | 53 | 4,490 | ||||||
Tapestry, Inc. | 155 | 7,792 | ||||||
Whirlpool Corp. | 36 | 4,275 | ||||||
|
| |||||||
24,183 | ||||||||
|
| |||||||
Consumer Services — 1.5% |
| |||||||
Darden Restaurants, Inc. | 65 | 7,227 | ||||||
Marriott International, Inc., Class A† | 3 | 396 | ||||||
McDonald’s Corp.† | 142 | 23,755 | ||||||
Yum! Brands, Inc.† | 74 | 6,727 | ||||||
|
| |||||||
38,105 | ||||||||
|
| |||||||
Diversified Financials — 3.9% |
| |||||||
Affiliated Managers Group, Inc. | 28 | 3,828 | ||||||
Berkshire Hathaway, Inc., Class B* | 54 | 11,562 | ||||||
BlackRock, Inc.† | 35 | 16,496 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Moody’s Corp.† | 105 | $ | 17,556 | |||||
MSCI, Inc. | 3 | 532 | ||||||
Nasdaq, Inc.† | 94 | 8,065 | ||||||
S&P Global, Inc.† | 135 | 26,378 | ||||||
T Rowe Price Group, Inc.† | 137 | 14,958 | ||||||
|
| |||||||
99,375 | ||||||||
|
| |||||||
Energy — 10.1% | ||||||||
Chevron Corp.† | 302 | 36,928 | ||||||
ConocoPhillips† | 678 | 52,477 | ||||||
Devon Energy Corp.† | 255 | 10,185 | ||||||
Exxon Mobil Corp.† | 712 | 60,534 | ||||||
Hess Corp.† | 175 | 12,526 | ||||||
HollyFrontier Corp. | 96 | 6,710 | ||||||
Marathon Oil Corp.† | 469 | 10,918 | ||||||
Marathon Petroleum Corp. | 269 | 21,512 | ||||||
Occidental Petroleum Corp.† | 114 | 9,367 | ||||||
Phillips 66† | 281 | 31,674 | ||||||
TechnipFMC PLC (United Kingdom)† | 34 | 1,062 | ||||||
|
| |||||||
253,893 | ||||||||
|
| |||||||
Food & Staples Retailing — 4.9% |
| |||||||
Kroger Co. (The)† | 485 | 14,118 | ||||||
Sysco Corp.† | 284 | 20,803 | ||||||
Walgreens Boots Alliance, Inc.† | 365 | 26,608 | ||||||
Walmart, Inc.† | 649 | 60,948 | ||||||
|
| |||||||
122,477 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 8.1% |
| |||||||
Altria Group, Inc.† | 871 | 52,530 | ||||||
Archer-Daniels-Midland Co.† | 304 | 15,282 | ||||||
Coca-Cola Co. (The) | 13 | 600 | ||||||
Conagra Brands, Inc.† | 201 | 6,828 | ||||||
General Mills, Inc. | 1 | 43 | ||||||
Kellogg Co.† | 187 | 13,094 | ||||||
Kraft Heinz Co. (The)† | 177 | 9,754 | ||||||
PepsiCo, Inc.† | 430 | 48,074 | ||||||
Philip Morris International, Inc.† | 705 | 57,486 | ||||||
|
| |||||||
203,691 | ||||||||
|
| |||||||
Health Care Equipment & Services — 13.9% |
| |||||||
Aetna, Inc.† | 182 | 36,919 | ||||||
AmerisourceBergen Corp. | 41 | 3,781 | ||||||
Anthem, Inc.† | 138 | 37,819 | ||||||
Cardinal Health, Inc.† | 170 | 9,180 | ||||||
Centene Corp.†* | 110 | 15,926 | ||||||
Cigna Corp.† | 147 | 30,613 |
The accompanying notes are an integral part of the financial statements.
54
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
CVS Health Corp.† | 304 | $ | 23,931 | |||||
Danaher Corp. | 6 | 652 | ||||||
DaVita, Inc.* | 73 | 5,229 | ||||||
Envision Healthcare Corp.* | 67 | 3,064 | ||||||
Express Scripts Holding Co.†* | 223 | 21,187 | ||||||
HCA Healthcare, Inc.† | 188 | 26,155 | ||||||
Humana, Inc.† | 74 | 25,050 | ||||||
Laboratory Corp. of America Holdings†* | 61 | 10,594 | ||||||
McKesson Corp.† | 77 | 10,214 | ||||||
Medtronic PLC (Ireland)† | 475 | 46,726 | ||||||
Quest Diagnostics, Inc. | 2 | 216 | ||||||
ResMed, Inc. | 59 | 6,805 | ||||||
UnitedHealth Group, Inc.† | 107 | 28,466 | ||||||
WellCare Health Plans, Inc.* | 25 | 8,012 | ||||||
|
| |||||||
350,539 | ||||||||
|
| |||||||
Household & Personal Products — 5.0% |
| |||||||
Church & Dwight Co., Inc.(a) | 134 | 7,956 | ||||||
Clorox Co. (The)†(a) | 69 | 10,378 | ||||||
Colgate-Palmolive Co.† | 476 | 31,868 | ||||||
Kimberly-Clark Corp.† | 187 | 21,251 | ||||||
Procter & Gamble Co. (The)† | 645 | 53,683 | ||||||
|
| |||||||
125,136 | ||||||||
|
| |||||||
Insurance — 2.4% | ||||||||
Aflac, Inc. | 123 | 5,790 | ||||||
Arthur J Gallagher & Co. | 100 | 7,444 | ||||||
Loews Corp.† | 173 | 8,690 | ||||||
Marsh & McLennan Cos., Inc.† | 165 | 13,649 | ||||||
Progressive Corp. (The)† | 316 | 22,449 | ||||||
Torchmark Corp. | 42 | 3,641 | ||||||
|
| |||||||
61,663 | ||||||||
|
| |||||||
Materials — 2.7% | ||||||||
Avery Dennison Corp.† | 5 | 542 | ||||||
CF Industries Holdings, Inc. | 125 | 6,805 | ||||||
Eastman Chemical Co.† | 62 | 5,935 | ||||||
FMC Corp. | 73 | 6,364 | ||||||
Freeport-McMoRan, Inc.† | 688 | 9,577 | ||||||
International Paper Co.† | 4 | 197 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 220 | 22,552 | ||||||
Praxair, Inc.† | 40 | 6,429 | ||||||
Sealed Air Corp.(a) | 86 | 3,453 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
WestRock Co. | 138 | $ | 7,375 | |||||
|
| |||||||
69,229 | ||||||||
|
| |||||||
Media — 5.1% | ||||||||
CBS Corp., Class B, non-voting shares† | 96 | 5,515 | ||||||
Comcast Corp., Class A† | 44 | 1,558 | ||||||
DISH Network Corp., Class A†* | 255 | 9,119 | ||||||
Interpublic Group of Cos., Inc. (The)† | 211 | 4,826 | ||||||
News Corp., Class A† | 12 | 158 | ||||||
Omnicom Group, Inc.† | 96 | 6,530 | ||||||
Twenty-First Century Fox, Inc., Class A† | 1,005 | 46,562 | ||||||
Viacom, Inc., Class B† | 217 | 7,326 | ||||||
Walt Disney Co. (The)† | 399 | 46,659 | ||||||
|
| |||||||
128,253 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 6.0% |
| |||||||
AbbVie, Inc.† | 90 | 8,512 | ||||||
Amgen, Inc.† | 99 | 20,522 | ||||||
Biogen, Inc.†* | 54 | 19,079 | ||||||
Celgene Corp.†* | 369 | 33,022 | ||||||
Gilead Sciences, Inc.† | 113 | 8,725 | ||||||
Johnson & Johnson† | 306 | 42,280 | ||||||
Merck & Co., Inc.† | 189 | 13,408 | ||||||
Nektar Therapeutics(a) * | 93 | 5,669 | ||||||
|
| |||||||
151,217 | ||||||||
|
| |||||||
Real Estate — 0.7% | ||||||||
Equity Residential, REIT | 40 | 2,650 | ||||||
Public Storage, REIT | 10 | 2,016 | ||||||
Realty Income Corp., REIT(a) | 139 | 7,908 | ||||||
UDR, Inc., REIT | 76 | 3,073 | ||||||
Weyerhaeuser Co., REIT† | 50 | 1,614 | ||||||
|
| |||||||
17,261 | ||||||||
|
| |||||||
Retailing — 9.1% | ||||||||
Advance Auto Parts, Inc. | 41 | 6,901 | ||||||
Amazon.com, Inc.* | 1 | 2,003 | ||||||
AutoZone, Inc.†* | 15 | 11,635 | ||||||
Best Buy Co., Inc. | 10 | 794 | ||||||
Booking Holdings, Inc.†* | 19 | 37,696 | ||||||
CarMax, Inc.(a) * | 2 | 149 | ||||||
Dollar General Corp.† | 119 | 13,007 | ||||||
Foot Locker, Inc.(a) | 70 | 3,569 | ||||||
Genuine Parts Co. | 80 | 7,952 | ||||||
Home Depot, Inc. (The)† | 285 | 59,038 |
The accompanying notes are an integral part of the financial statements.
55
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Kohl’s Corp.† | 92 | $ | 6,859 | |||||
Lowe’s Cos., Inc.† | 438 | 50,291 | ||||||
Nordstrom, Inc.(a) | 2 | 120 | ||||||
O’Reilly Automotive, Inc.* | 2 | 695 | ||||||
Target Corp.† | 39 | 3,440 | ||||||
Tiffany & Co.† | 68 | 8,770 | ||||||
TJX Cos., Inc. (The)† | 153 | 17,139 | ||||||
|
| |||||||
230,058 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.5% |
| |||||||
Intel Corp.† | 65 | 3,074 | ||||||
KLA-Tencor Corp. | 18 | 1,831 | ||||||
Lam Research Corp.† | 11 | 1,669 | ||||||
Micron Technology, Inc.†* | 678 | 30,666 | ||||||
|
| |||||||
37,240 | ||||||||
|
| |||||||
Software & Services — 9.1% |
| |||||||
Accenture PLC, Class A (Ireland)† | 300 | 51,060 | ||||||
Alliance Data Systems Corp. | 30 | 7,085 | ||||||
Automatic Data Processing, Inc.† | 241 | 36,309 | ||||||
Broadridge Financial Solutions, Inc.† | 64 | 8,445 | ||||||
CA, Inc.† | 225 | 9,934 | ||||||
Citrix Systems, Inc.†* | 63 | 7,003 | ||||||
DXC Technology Co.† | 159 | 14,870 | ||||||
eBay, Inc.†* | 138 | 4,557 | ||||||
Fiserv, Inc.* | 5 | 412 | ||||||
International Business Machines Corp. | 49 | 7,409 | ||||||
Intuit, Inc.† | 140 | 31,836 | ||||||
Oracle Corp.† | 516 | 26,605 | ||||||
Paychex, Inc.† | 200 | 14,730 | ||||||
Visa, Inc., Class A† | 57 | 8,555 | ||||||
|
| |||||||
228,810 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 7.3% |
| |||||||
Apple, Inc.† | 167 | 37,698 | ||||||
Cisco Systems, Inc.† | 995 | 48,407 | ||||||
F5 Networks, Inc.* | 34 | 6,780 | ||||||
FLIR Systems, Inc. | 75 | 4,610 | ||||||
Hewlett Packard Enterprise Co.† | 663 | 10,814 | ||||||
HP, Inc.† | 915 | 23,580 | ||||||
Motorola Solutions, Inc.† | 57 | 7,418 | ||||||
NetApp, Inc.† | 149 | 12,798 | ||||||
Seagate Technology PLC (Ireland)† | 77 | 3,646 | ||||||
TE Connectivity Ltd. (Switzerland)† | 189 | 16,619 | ||||||
Western Digital Corp.† | 160 | 9,366 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Xerox Corp. | 139 | $ | 3,750 | |||||
|
| |||||||
185,486 | ||||||||
|
| |||||||
Telecommunication Services — 2.5% |
| |||||||
CenturyLink, Inc.† | 298 | 6,318 | ||||||
Verizon Communications, Inc.† | 1,057 | 56,433 | ||||||
|
| |||||||
62,751 | ||||||||
|
| |||||||
Transportation — 2.8% | ||||||||
CSX Corp. | 85 | 6,294 | ||||||
Expeditors International of Washington, Inc.† | 98 | 7,206 | ||||||
FedEx Corp.† | 57 | 13,725 | ||||||
Norfolk Southern Corp. | 81 | 14,620 | ||||||
Union Pacific Corp.† | 93 | 15,143 | ||||||
United Parcel Service, Inc., Class B† | 120 | 14,010 | ||||||
|
| |||||||
70,998 | ||||||||
|
| |||||||
Utilities — 2.3% | ||||||||
CMS Energy Corp. | 152 | 7,448 | ||||||
DTE Energy Co. | 13 | 1,419 | ||||||
FirstEnergy Corp.† | 257 | 9,553 | ||||||
NRG Energy, Inc. | 177 | 6,620 | ||||||
PPL Corp.† | 376 | 11,002 | ||||||
Southern Co. (The)† | 256 | 11,162 | ||||||
WEC Energy Group, Inc.† | 172 | 11,483 | ||||||
|
| |||||||
58,687 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 2,818,862 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 111.8% |
| 2,818,862 | ||||||
|
| |||||||
(Cost $2,527,696) |
| |||||||
SHORT POSITIONS — (50.8)% |
| |||||||
COMMON STOCKS — (50.8)% |
| |||||||
Automobiles & Components — (1.1)% |
| |||||||
Aptiv PLC (Jersey) | (65 | ) | (5,453 | ) | ||||
BorgWarner, Inc. | (3 | ) | (128 | ) | ||||
Ford Motor Co. | (1,007 | ) | (9,315 | ) | ||||
General Motors Co. | (348 | ) | (11,717 | ) | ||||
Goodyear Tire & Rubber Co. (The) | (59 | ) | (1,380 | ) | ||||
|
| |||||||
(27,993 | ) | |||||||
|
| |||||||
Banks — (4.2)% | ||||||||
Bank of America Corp. | (111 | ) | (3,270 | ) | ||||
BB&T Corp. | (190 | ) | (9,223 | ) | ||||
Citigroup, Inc. | (357 | ) | (25,611 | ) |
The accompanying notes are an integral part of the financial statements.
56
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Banks — (Continued) |
| |||||||
Citizens Financial Group, Inc. | (118 | ) | $ | (4,551 | ) | |||
Comerica, Inc. | (42 | ) | (3,788 | ) | ||||
Fifth Third Bancorp. | (167 | ) | (4,663 | ) | ||||
Huntington Bancshares, Inc. | (271 | ) | (4,043 | ) | ||||
KeyCorp. | (272 | ) | (5,410 | ) | ||||
M&T Bank Corp. | (36 | ) | (5,923 | ) | ||||
People’s United Financial, Inc. | (84 | ) | (1,438 | ) | ||||
PNC Financial Services Group, Inc. (The) | (19 | ) | (2,588 | ) | ||||
Regions Financial Corp. | (286 | ) | (5,248 | ) | ||||
SunTrust Banks, Inc. | (114 | ) | (7,614 | ) | ||||
SVB Financial Group* | (1 | ) | (311 | ) | ||||
US Bancorp | (36 | ) | (1,901 | ) | ||||
Wells Fargo & Co. | (312 | ) | (16,399 | ) | ||||
Zions Bancorp NA | (50 | ) | (2,508 | ) | ||||
|
| |||||||
(104,489 | ) | |||||||
|
| |||||||
Capital Goods — (4.4)% |
| |||||||
Allegion PLC (Ireland) | (23 | ) | (2,083 | ) | ||||
AO Smith Corp. | (42 | ) | (2,241 | ) | ||||
Cummins, Inc. | (39 | ) | (5,697 | ) | ||||
Deere & Co. | (59 | ) | (8,869 | ) | ||||
Eaton Corp. PLC (Ireland) | (25 | ) | (2,168 | ) | ||||
Fastenal Co. | (71 | ) | (4,119 | ) | ||||
Fluor Corp. | (16 | ) | (930 | ) | ||||
Fortune Brands Home & Security, Inc. | (39 | ) | (2,042 | ) | ||||
General Dynamics Corp. | (73 | ) | (14,945 | ) | ||||
General Electric Co. | (1,056 | ) | (11,922 | ) | ||||
Ingersoll-Rand PLC (Ireland) | (4 | ) | (409 | ) | ||||
Johnson Controls International PLC (Ireland) | (232 | ) | (8,120 | ) | ||||
L3 Technologies, Inc. | (20 | ) | (4,252 | ) | ||||
Lockheed Martin Corp. | (25 | ) | (8,649 | ) | ||||
Masco Corp. | (78 | ) | (2,855 | ) | ||||
Northrop Grumman Corp. | (42 | ) | (13,330 | ) | ||||
PACCAR, Inc. | (86 | ) | (5,864 | ) | ||||
Quanta Services, Inc.* | (40 | ) | (1,335 | ) | ||||
Rockwell Collins, Inc. | (11 | ) | (1,545 | ) | ||||
Stanley Black & Decker, Inc. | (37 | ) | (5,418 | ) | ||||
Xylem, Inc. | (45 | ) | (3,594 | ) | ||||
|
| |||||||
(110,387 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.5)% |
| |||||||
Cintas Corp. | (27 | ) | (5,341 | ) | ||||
Equifax, Inc. | (30 | ) | (3,917 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (25 | ) | (1,349 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Nielsen Holdings PLC (United Kingdom) | (89 | ) | $ | (2,462 | ) | |||
|
| |||||||
(13,069 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (1.2)% |
| |||||||
DR Horton, Inc. | (93 | ) | (3,923 | ) | ||||
Hanesbrands, Inc. | (90 | ) | (1,659 | ) | ||||
Hasbro, Inc. | (32 | ) | (3,364 | ) | ||||
Leggett & Platt, Inc. | (34 | ) | (1,489 | ) | ||||
Mattel, Inc.* | (84 | ) | (1,319 | ) | ||||
Newell Brands, Inc. | (120 | ) | (2,436 | ) | ||||
PulteGroup, Inc. | (70 | ) | (1,734 | ) | ||||
PVH Corp. | (20 | ) | (2,888 | ) | ||||
Ralph Lauren Corp. | (20 | ) | (2,751 | ) | ||||
Under Armour, Inc., Class C* | (25 | ) | (486 | ) | ||||
VF Corp. | (96 | ) | (8,971 | ) | ||||
|
| |||||||
(31,020 | ) | |||||||
|
| |||||||
Consumer Services — (1.1)% |
| |||||||
Carnival Corp. (Panama) | (122 | ) | (7,780 | ) | ||||
Hilton Worldwide Holdings, Inc. | (9 | ) | (727 | ) | ||||
MGM Resorts International | (144 | ) | (4,019 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (56 | ) | (3,216 | ) | ||||
Royal Caribbean Cruises Ltd. (Liberia) | (53 | ) | (6,887 | ) | ||||
Starbucks Corp. | (49 | ) | (2,785 | ) | ||||
Wynn Resorts Ltd. | (26 | ) | (3,304 | ) | ||||
|
| |||||||
(28,718 | ) | |||||||
|
| |||||||
Diversified Financials — (3.4)% |
| |||||||
Ameriprise Financial, Inc. | (36 | ) | (5,316 | ) | ||||
Bank of New York Mellon Corp. (The) | (244 | ) | (12,441 | ) | ||||
Capital One Financial Corp. | (118 | ) | (11,202 | ) | ||||
Charles Schwab Corp. (The) | (85 | ) | (4,178 | ) | ||||
Discover Financial Services | (78 | ) | (5,963 | ) | ||||
Goldman Sachs Group, Inc. (The) | (36 | ) | (8,073 | ) | ||||
Intercontinental Exchange, Inc. | (16 | ) | (1,198 | ) | ||||
Jefferies Financial Group, Inc. | (91 | ) | (1,998 | ) | ||||
Morgan Stanley | (343 | ) | (15,974 | ) | ||||
Northern Trust Corp. | (55 | ) | (5,617 | ) | ||||
Raymond James Financial, Inc. | (35 | ) | (3,222 | ) | ||||
State Street Corp. | (66 | ) | (5,529 | ) | ||||
Synchrony Financial | (196 | ) | (6,092 | ) | ||||
|
| |||||||
(86,803 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
57
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (4.7)% | ||||||||
Anadarko Petroleum Corp. | (134 | ) | $ | (9,033 | ) | |||
Andeavor | (37 | ) | (5,679 | ) | ||||
Cabot Oil & Gas Corp. | (108 | ) | (2,432 | ) | ||||
Cimarex Energy Co. | (24 | ) | (2,230 | ) | ||||
Concho Resources, Inc.* | (37 | ) | (5,652 | ) | ||||
EOG Resources, Inc. | (141 | ) | (17,987 | ) | ||||
EQT Corp. | (67 | ) | (2,963 | ) | ||||
Halliburton Co. | (102 | ) | (4,134 | ) | ||||
Helmerich & Payne, Inc. | (29 | ) | (1,994 | ) | ||||
Kinder Morgan, Inc. | (569 | ) | (10,088 | ) | ||||
National Oilwell Varco, Inc. | (95 | ) | (4,093 | ) | ||||
Newfield Exploration Co.* | (51 | ) | (1,470 | ) | ||||
Noble Energy, Inc. | (120 | ) | (3,743 | ) | ||||
ONEOK, Inc. | (1 | ) | (68 | ) | ||||
Pioneer Natural Resources Co. | (43 | ) | (7,490 | ) | ||||
Schlumberger Ltd. (Curacao) | (343 | ) | (20,896 | ) | ||||
Valero Energy Corp. | (104 | ) | (11,830 | ) | ||||
Williams Cos., Inc. (The) | (209 | ) | (5,683 | ) | ||||
|
| |||||||
(117,465 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (1.3)% |
| |||||||
Brown-Forman Corp., Class B | (118 | ) | (5,965 | ) | ||||
Constellation Brands, Inc., Class A | (48 | ) | (10,350 | ) | ||||
Hershey Co. (The) | (4 | ) | (408 | ) | ||||
Hormel Foods Corp. | (131 | ) | (5,161 | ) | ||||
JM Smucker Co. (The) | (28 | ) | (2,873 | ) | ||||
McCormick & Co., Inc., non-voting shares | (18 | ) | (2,372 | ) | ||||
Monster Beverage Corp.* | (60 | ) | (3,497 | ) | ||||
Tyson Foods, Inc., Class A | (40 | ) | (2,381 | ) | ||||
|
| |||||||
(33,007 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (2.4)% |
| |||||||
Abbott Laboratories | (44 | ) | (3,228 | ) | ||||
Baxter International, Inc. | (133 | ) | (10,253 | ) | ||||
Boston Scientific Corp.* | (338 | ) | (13,013 | ) | ||||
Cerner Corp.* | (87 | ) | (5,604 | ) | ||||
DENTSPLY SIRONA, Inc. | (57 | ) | (2,151 | ) | ||||
Henry Schein, Inc.* | (27 | ) | (2,296 | ) | ||||
Hologic, Inc.* | (70 | ) | (2,869 | ) | ||||
Stryker Corp. | (42 | ) | (7,463 | ) | ||||
Universal Health Services, Inc., Class B | (24 | ) | (3,068 | ) | ||||
Varian Medical Systems, Inc.* | (23 | ) | (2,574 | ) | ||||
Zimmer Biomet Holdings, Inc. | (52 | ) | (6,836 | ) | ||||
|
| |||||||
(59,355 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — (0.1)% |
| |||||||
Coty, Inc., Class A | (190 | ) | $ | (2,386 | ) | |||
|
| |||||||
Insurance — (2.7)% | ||||||||
Allstate Corp. (The) | (74 | ) | (7,304 | ) | ||||
American International Group, Inc. | (220 | ) | (11,713 | ) | ||||
Aon PLC (United Kingdom) | (59 | ) | (9,073 | ) | ||||
Assurant, Inc. | (16 | ) | (1,727 | ) | ||||
Brighthouse Financial, Inc.* | (30 | ) | (1,327 | ) | ||||
Chubb Ltd. (Switzerland) | (25 | ) | (3,341 | ) | ||||
Cincinnati Financial Corp. | (40 | ) | (3,072 | ) | ||||
Everest Re Group Ltd. (Bermuda) | (10 | ) | (2,285 | ) | ||||
Hartford Financial Services Group, Inc. (The) | (3 | ) | (150 | ) | ||||
Lincoln National Corp. | (54 | ) | (3,654 | ) | ||||
Principal Financial Group, Inc. | (71 | ) | (4,160 | ) | ||||
Prudential Financial, Inc. | (49 | ) | (4,965 | ) | ||||
Travelers Cos., Inc. (The) | (65 | ) | (8,431 | ) | ||||
Unum Group | (54 | ) | (2,110 | ) | ||||
Willis Towers Watson PLC (Ireland) | (34 | ) | (4,792 | ) | ||||
|
| |||||||
(68,104 | ) | |||||||
|
| |||||||
Materials — (1.6)% | ||||||||
Air Products & Chemicals, Inc. | (55 | ) | (9,188 | ) | ||||
Albemarle Corp. | (29 | ) | (2,894 | ) | ||||
Ball Corp. | (85 | ) | (3,739 | ) | ||||
Ecolab, Inc. | (32 | ) | (5,017 | ) | ||||
International Flavors & Fragrances, Inc. | (20 | ) | (2,782 | ) | ||||
Martin Marietta Materials, Inc. | (16 | ) | (2,911 | ) | ||||
Newmont Mining Corp. | (135 | ) | (4,077 | ) | ||||
PPG Industries, Inc. | (63 | ) | (6,875 | ) | ||||
Vulcan Materials Co. | (35 | ) | (3,892 | ) | ||||
|
| |||||||
(41,375 | ) | |||||||
|
| |||||||
Media — (0.7)% | ||||||||
Charter Communications, Inc., | (50 | ) | (16,294 | ) | ||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (2.7)% |
| |||||||
Agilent Technologies, Inc. | (79 | ) | (5,573 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (55 | ) | (7,645 | ) | ||||
Allergan PLC (Ireland) | (10 | ) | (1,905 | ) | ||||
Incyte Corp.* | (55 | ) | (3,799 | ) | ||||
Mettler-Toledo International, Inc.* | (7 | ) | (4,263 | ) | ||||
Mylan NV (Netherlands)* | (127 | ) | (4,648 | ) | ||||
PerkinElmer, Inc. | (4 | ) | (389 | ) | ||||
Perrigo Co. PLC (Ireland) | (35 | ) | (2,478 | ) |
The accompanying notes are an integral part of the financial statements.
58
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Pfizer, Inc. | (254 | ) | $ | (11,194 | ) | |||
Regeneron Pharmaceuticals, Inc.* | (31 | ) | (12,525 | ) | ||||
Thermo Fisher Scientific, Inc. | (41 | ) | (10,007 | ) | ||||
Waters Corp.* | (20 | ) | (3,894 | ) | ||||
|
| |||||||
(68,320 | ) | |||||||
|
| |||||||
Real Estate — (3.8)% | ||||||||
American Tower Corp., REIT | (110 | ) | (15,983 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (39 | ) | (1,721 | ) | ||||
Boston Properties, Inc., REIT | (40 | ) | (4,924 | ) | ||||
CBRE Group, Inc., Class A* | (83 | ) | (3,660 | ) | ||||
Crown Castle International Corp., REIT | (40 | ) | (4,453 | ) | ||||
Duke Realty Corp., REIT | (89 | ) | (2,525 | ) | ||||
Equinix, Inc., REIT | (20 | ) | (8,658 | ) | ||||
Essex Property Trust, Inc., REIT | (17 | ) | (4,194 | ) | ||||
Federal Realty Investment Trust, REIT | (19 | ) | (2,403 | ) | ||||
HCP, Inc., REIT | (116 | ) | (3,053 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (182 | ) | (3,840 | ) | ||||
Iron Mountain, Inc., REIT | (71 | ) | (2,451 | ) | ||||
Kimco Realty Corp., REIT | (109 | ) | (1,825 | ) | ||||
Macerich Co. (The), REIT | (36 | ) | (1,990 | ) | ||||
Prologis, Inc., REIT | (132 | ) | (8,948 | ) | ||||
Regency Centers Corp., REIT | (42 | ) | (2,716 | ) | ||||
SBA Communications Corp., REIT* | (31 | ) | (4,980 | ) | ||||
Simon Property Group, Inc., REIT | (68 | ) | (12,019 | ) | ||||
SL Green Realty Corp., REIT | (24 | ) | (2,341 | ) | ||||
Vornado Realty Trust, REIT | (49 | ) | (3,577 | ) | ||||
|
| |||||||
(96,261 | ) | |||||||
|
| |||||||
Retailing — (0.9)% | ||||||||
Dollar Tree, Inc.* | (59 | ) | (4,811 | ) | ||||
Gap, Inc. (The) | (96 | ) | (2,770 | ) | ||||
L Brands, Inc. | (69 | ) | (2,091 | ) | ||||
LKQ Corp.* | (79 | ) | (2,502 | ) | ||||
Macy’s, Inc. | (37 | ) | (1,285 | ) | ||||
Netflix, Inc.* | (10 | ) | (3,741 | ) | ||||
TripAdvisor, Inc.* | (38 | ) | (1,941 | ) | ||||
Ulta Beauty, Inc.* | (14 | ) | (3,950 | ) | ||||
|
| |||||||
(23,091 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (3.1)% |
| |||||||
Applied Materials, Inc. | (215 | ) | (8,310 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Broadcom, Inc. | (84 | ) | $ | (20,725 | ) | |||
Microchip Technology, Inc. | (66 | ) | (5,208 | ) | ||||
NVIDIA Corp. | (43 | ) | (12,084 | ) | ||||
Qorvo, Inc.* | (31 | ) | (2,384 | ) | ||||
QUALCOMM, Inc. | (129 | ) | (9,292 | ) | ||||
Skyworks Solutions, Inc. | (44 | ) | (3,991 | ) | ||||
Texas Instruments, Inc. | (97 | ) | (10,407 | ) | ||||
Xilinx, Inc. | (65 | ) | (5,211 | ) | ||||
|
| |||||||
(77,612 | ) | |||||||
|
| |||||||
Software & Services — (5.4)% |
| |||||||
Adobe, Inc.* | (52 | ) | (14,037 | ) | ||||
Akamai Technologies, Inc.* | (42 | ) | (3,072 | ) | ||||
Alphabet, Inc., Class A* | (21 | ) | (25,349 | ) | ||||
Cadence Design Systems, Inc.* | (2 | ) | (91 | ) | ||||
Electronic Arts, Inc.* | (75 | ) | (9,037 | ) | ||||
Facebook, Inc., Class A* | (127 | ) | (20,886 | ) | ||||
Fidelity National Information Services, Inc. | (82 | ) | (8,944 | ) | ||||
PayPal Holdings, Inc.* | (288 | ) | (25,298 | ) | ||||
Red Hat, Inc.* | (46 | ) | (6,269 | ) | ||||
salesforce.com, Inc.* | (26 | ) | (4,135 | ) | ||||
Symantec Corp. | (154 | ) | (3,277 | ) | ||||
Synopsys, Inc.* | (37 | ) | (3,649 | ) | ||||
Twitter, Inc.* | (187 | ) | (5,322 | ) | ||||
VeriSign, Inc.* | (30 | ) | (4,804 | ) | ||||
Western Union Co. (The) | (117 | ) | (2,230 | ) | ||||
|
| |||||||
(136,400 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.4)% |
| |||||||
Arista Networks, Inc.* | (19 | ) | (5,051 | ) | ||||
IPG Photonics Corp.* | (14 | ) | (2,185 | ) | ||||
Juniper Networks, Inc. | (87 | ) | (2,607 | ) | ||||
|
| |||||||
(9,843 | ) | |||||||
|
| |||||||
Telecommunication Services — (1.0)% |
| |||||||
AT&T, Inc. | (753 | ) | (25,286 | ) | ||||
|
| |||||||
Transportation — (1.3)% | ||||||||
Alaska Air Group, Inc. | (31 | ) | (2,135 | ) | ||||
American Airlines Group, Inc. | (113 | ) | (4,670 | ) | ||||
Delta Air Lines, Inc. | (177 | ) | (10,236 | ) | ||||
JB Hunt Transport Services, Inc. | (28 | ) | (3,330 | ) | ||||
Kansas City Southern | (26 | ) | (2,945 | ) | ||||
Southwest Airlines Co. | (149 | ) | (9,305 | ) | ||||
|
| |||||||
(32,621 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
59
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments (Concluded)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (2.8)% | ||||||||
Alliant Energy Corp. | (52 | ) | $ | (2,214 | ) | |||
Ameren Corp. | (60 | ) | (3,793 | ) | ||||
American Water Works Co., Inc. | (45 | ) | (3,959 | ) | ||||
CenterPoint Energy, Inc. | (106 | ) | (2,931 | ) | ||||
Consolidated Edison, Inc. | (32 | ) | (2,438 | ) | ||||
Duke Energy Corp. | (33 | ) | (2,641 | ) | ||||
Edison International | (80 | ) | (5,414 | ) | ||||
Entergy Corp. | (44 | ) | (3,570 | ) | ||||
Eversource Energy | (50 | ) | (3,072 | ) | ||||
NextEra Energy, Inc. | (88 | ) | (14,749 | ) | ||||
NiSource, Inc. | (89 | ) | (2,218 | ) | ||||
PG&E Corp. | (127 | ) | (5,843 | ) | ||||
Pinnacle West Capital Corp. | (27 | ) | (2,138 | ) | ||||
Public Service Enterprise Group, Inc. | (124 | ) | (6,546 | ) | ||||
SCANA Corp. | (35 | ) | (1,361 | ) | ||||
Sempra Energy | (25 | ) | (2,844 | ) | ||||
Xcel Energy, Inc. | (124 | ) | (5,854 | ) | ||||
|
| |||||||
(71,585 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $1,301,211) | (1,281,484 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (50.8)% |
| (1,281,484 | ) | |||||
|
| |||||||
(Proceeds $1,301,211) |
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 39.0% | 984,616 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,521,994 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
(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.
60
GOTHAM ENHANCED 500 FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
LONG POSITIONS — 185.2% |
| |||||||
COMMON STOCKS — 185.2% |
| |||||||
Automobiles & Components — 0.3% |
| |||||||
Harley-Davidson, Inc.(a) | 1,970 | $ | 89,241 | |||||
|
| |||||||
Capital Goods — 18.7% | ||||||||
3M Co.† | 2,566 | 540,682 | ||||||
AMETEK, Inc. | 104 | 8,228 | ||||||
Boeing Co. (The)† | 2,918 | 1,085,204 | ||||||
Caterpillar, Inc.† | 1,273 | 194,120 | ||||||
Dover Corp.† | 1,747 | 154,662 | ||||||
Emerson Electric Co.† | 7,436 | 569,449 | ||||||
Harris Corp.† | 1,402 | 237,232 | ||||||
Honeywell International, Inc.† | 6,857 | 1,141,005 | ||||||
Illinois Tool Works, Inc.† | 1,868 | 263,612 | ||||||
Jacobs Engineering Group, Inc.† | 1,678 | 128,367 | ||||||
Parker-Hannifin Corp.† | 1,567 | 288,218 | ||||||
Pentair PLC (Ireland) | 2,075 | 89,951 | ||||||
Rockwell Automation, Inc.† | 586 | 109,887 | ||||||
Snap-on, Inc.(a) | 668 | 122,645 | ||||||
United Rentals, Inc.* | 980 | 160,328 | ||||||
United Technologies Corp. | 6,823 | 953,924 | ||||||
WW Grainger, Inc.(a) | 540 | 193,001 | ||||||
|
| |||||||
6,240,515 | ||||||||
|
| |||||||
Commercial & Professional Services — 2.5% |
| |||||||
Republic Services, Inc. | 3,853 | 279,959 | ||||||
Robert Half International, Inc.† | 1,427 | 100,432 | ||||||
Waste Management, Inc.† | 5,069 | 458,035 | ||||||
|
| |||||||
838,426 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.5% |
| |||||||
Garmin Ltd. (Switzerland)† | 2,235 | 156,562 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 252 | 17,277 | ||||||
NIKE, Inc., Class B | 1,343 | 113,779 | ||||||
Ralph Lauren Corp. | 17 | 2,338 | ||||||
Tapestry, Inc.† | 2,703 | 135,880 | ||||||
Whirlpool Corp.(a) | 770 | 91,438 | ||||||
|
| |||||||
517,274 | ||||||||
|
| |||||||
Consumer Services — 2.3% | ||||||||
Darden Restaurants, Inc.† | 1,291 | 143,546 | ||||||
Marriott International, Inc., Class A† | 84 | 11,091 | ||||||
McDonald’s Corp.† | 2,732 | 457,036 | ||||||
Yum! Brands, Inc.† | 1,818 | 165,274 | ||||||
|
| |||||||
776,947 | ||||||||
|
| |||||||
Diversified Financials — 8.2% | ||||||||
Affiliated Managers Group, Inc. | 631 | 86,270 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
American Express Co. | 13 | $ | 1,384 | |||||
Berkshire Hathaway, Inc., Class B* | 1,917 | 410,449 | ||||||
BlackRock, Inc.† | 1,115 | 525,533 | ||||||
CME Group, Inc. | 8 | 1,362 | ||||||
Franklin Resources, Inc.(a)(b) | 5,695 | 173,185 | ||||||
Invesco Ltd. (Bermuda)† | 4,165 | 95,295 | ||||||
Moody’s Corp.†(b) | 2,270 | 379,544 | ||||||
MSCI, Inc. | 148 | 26,257 | ||||||
Nasdaq, Inc.† | 1,927 | 165,337 | ||||||
S&P Global, Inc.† | 2,975 | 581,285 | ||||||
T Rowe Price Group, Inc.(a)(b) | 2,846 | 310,726 | ||||||
|
| |||||||
2,756,627 | ||||||||
|
| |||||||
Energy — 15.4% | ||||||||
Chevron Corp.† | 6,319 | 772,687 | ||||||
ConocoPhillips†(b) | 13,751 | 1,064,327 | ||||||
Devon Energy Corp.† | 5,493 | 219,390 | ||||||
Exxon Mobil Corp.† | 15,347 | 1,304,802 | ||||||
Hess Corp.† | 3,408 | 243,945 | ||||||
HollyFrontier Corp.†(a) | 2,065 | 144,344 | ||||||
Marathon Oil Corp.† | 10,106 | 235,268 | ||||||
Marathon Petroleum Corp.(b) | 4,184 | 334,594 | ||||||
Occidental Petroleum Corp.† | 1,290 | 105,999 | ||||||
Phillips 66† | 5,610 | 632,359 | ||||||
TechnipFMC PLC (United | 2,222 | 69,438 | ||||||
Valero Energy Corp.† | 184 | 20,930 | ||||||
|
| |||||||
5,148,083 | ||||||||
|
| |||||||
Food & Staples Retailing — 7.4% | ||||||||
Kroger Co. (The)† | 9,976 | 290,401 | ||||||
Sysco Corp.† | 6,162 | 451,366 | ||||||
Walgreens Boots Alliance, Inc.†(a) | 5,967 | 434,994 | ||||||
Walmart, Inc.† | 13,682 | 1,284,877 | ||||||
|
| |||||||
2,461,638 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 12.6% |
| |||||||
Altria Group, Inc.† | 17,164 | 1,035,161 | ||||||
Archer-Daniels-Midland Co. | 6,624 | 332,988 | ||||||
Conagra Brands, Inc.(a) | 3,950 | 134,182 | ||||||
Kellogg Co.(a) | 4,106 | 287,502 | ||||||
Kraft Heinz Co. (The)† | 5,296 | 291,863 | ||||||
Molson Coors Brewing Co., Class B† | 454 | 27,921 | ||||||
PepsiCo, Inc.† | 7,609 | 850,686 | ||||||
Philip Morris International, Inc.† | 15,501 | 1,263,952 | ||||||
|
| |||||||
4,224,255 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
61
GOTHAM ENHANCED 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — 22.8% |
| |||||||
Aetna, Inc.† | 3,875 | $ | 786,044 | |||||
AmerisourceBergen Corp. | 1,344 | 123,944 | ||||||
Anthem, Inc.† | 3,004 | 823,246 | ||||||
Becton Dickinson and Co. | 102 | 26,622 | ||||||
Cardinal Health, Inc.† | 3,668 | 198,072 | ||||||
Centene Corp.†* | 2,428 | 351,526 | ||||||
Cigna Corp.† | 2,864 | 596,428 | ||||||
CVS Health Corp.† | 6,996 | 550,725 | ||||||
Danaher Corp. | 417 | 45,311 | ||||||
DaVita, Inc.* | 1,106 | 79,223 | ||||||
Envision Healthcare Corp.(a) * | 1,437 | 65,714 | ||||||
Express Scripts Holding Co.†* | 3,969 | 377,095 | ||||||
HCA Healthcare, Inc.† | 4,103 | 570,809 | ||||||
Humana, Inc.† | 1,631 | 552,126 | ||||||
Laboratory Corp. of America Holdings†* | 1,221 | 212,063 | ||||||
McKesson Corp.(b) | 1,869 | 247,923 | ||||||
Medtronic PLC (Ireland)† | 10,537 | 1,036,525 | ||||||
ResMed, Inc. | 1,328 | 153,172 | ||||||
UnitedHealth Group, Inc.† | 2,494 | 663,504 | ||||||
WellCare Health Plans, Inc.(a) * | 529 | 169,539 | ||||||
|
| |||||||
7,629,611 | ||||||||
|
| |||||||
Household & Personal Products — 7.6% |
| |||||||
Church & Dwight Co., Inc. | 2,899 | 172,114 | ||||||
Clorox Co. (The)(a) | 1,514 | 227,721 | ||||||
Colgate-Palmolive Co.† | 10,269 | 687,509 | ||||||
Kimberly-Clark Corp. | 3,851 | 437,628 | ||||||
Procter & Gamble Co. (The)† | 12,205 | 1,015,822 | ||||||
|
| |||||||
2,540,794 | ||||||||
|
| |||||||
Insurance — 3.5% | ||||||||
Aflac, Inc. | 1,282 | 60,344 | ||||||
Arthur J Gallagher & Co. | 2,160 | 160,790 | ||||||
Loews Corp.† | 3,747 | 188,212 | ||||||
Marsh & McLennan Cos., Inc.† | 2,377 | 196,625 | ||||||
Progressive Corp. (The)† | 6,893 | 489,679 | ||||||
Torchmark Corp.† | 1,058 | 91,718 | ||||||
|
| |||||||
1,187,368 | ||||||||
|
| |||||||
Materials — 5.1% | ||||||||
Avery Dennison Corp.† | 590 | 63,926 | ||||||
CF Industries Holdings, Inc. | 2,762 | 150,363 | ||||||
Eastman Chemical Co.† | 1,109 | 106,153 | ||||||
FMC Corp.†(a) | 1,593 | 138,878 | ||||||
Freeport-McMoRan, Inc.† | 15,568 | 216,707 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Materials — (Continued) | ||||||||
International Paper Co.† | 330 | $ | 16,220 | |||||
LyondellBasell Industries NV, Class A (Netherlands)† | 4,363 | 447,251 | ||||||
Praxair, Inc. | 1,971 | 316,799 | ||||||
Sealed Air Corp.(a) | 1,892 | 75,964 | ||||||
WestRock Co.† | 3,019 | 161,335 | ||||||
|
| |||||||
1,693,596 | ||||||||
|
| |||||||
Media — 8.3% | ||||||||
CBS Corp., Class B, non-voting shares† | 2,397 | 137,708 | ||||||
Comcast Corp., Class A† | 3,084 | 109,204 | ||||||
DISH Network Corp., Class A†(a) * | 5,532 | 197,824 | ||||||
Interpublic Group of Cos., Inc. (The) | 4,079 | 93,287 | ||||||
News Corp., Class A† | 5,549 | 73,191 | ||||||
Omnicom Group, Inc.(a) | 1,865 | 126,857 | ||||||
Twenty-First Century Fox, Inc., Class A | 21,923 | 1,015,693 | ||||||
Viacom, Inc., Class B† | 935 | 31,566 | ||||||
Walt Disney Co. (The)† | 8,394 | 981,594 | ||||||
|
| |||||||
2,766,924 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 10.2% |
| |||||||
AbbVie, Inc.† | 4,911 | 464,482 | ||||||
Amgen, Inc.† | 2,108 | 436,967 | ||||||
Biogen, Inc.†* | 1,367 | 482,975 | ||||||
Celgene Corp.†* | 4,757 | 425,704 | ||||||
Gilead Sciences, Inc.† | 4,500 | 347,445 | ||||||
Johnson & Johnson†(b) | 6,376 | 880,972 | ||||||
Merck & Co., Inc.† | 3,460 | 245,452 | ||||||
Nektar Therapeutics(a) * | 2,019 | 123,078 | ||||||
|
| |||||||
3,407,075 | ||||||||
|
| |||||||
Real Estate — 0.2% | ||||||||
Equity Residential, REIT | 18 | 1,193 | ||||||
Realty Income Corp., REIT(a) | 605 | 34,418 | ||||||
UDR, Inc., REIT | 375 | 15,161 | ||||||
Weyerhaeuser Co., REIT(b) | 924 | 29,817 | ||||||
|
| |||||||
80,589 | ||||||||
|
| |||||||
Retailing — 13.9% | ||||||||
Advance Auto Parts, Inc.† | 876 | 147,457 | ||||||
Amazon.com, Inc.* | 10 | 20,030 | ||||||
AutoZone, Inc.* | 309 | 239,691 | ||||||
Best Buy Co., Inc. | 297 | 23,570 | ||||||
Booking Holdings, Inc.†(b) * | 265 | 525,760 | ||||||
CarMax, Inc.(a) * | 226 | 16,875 |
The accompanying notes are an integral part of the financial statements.
62
GOTHAM ENHANCED 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
Dollar General Corp.† | 2,113 | $ | 230,951 | |||||
Foot Locker, Inc.(a) | 1,368 | 69,741 | ||||||
Genuine Parts Co.(a) | 1,737 | 172,658 | ||||||
Home Depot, Inc. (The)†(b) | 6,132 | 1,270,244 | ||||||
Kohl’s Corp.(a) | 1,802 | 134,339 | ||||||
Lowe’s Cos., Inc.† | 9,598 | 1,102,042 | ||||||
Nordstrom, Inc.(a) | 12 | 718 | ||||||
Ross Stores, Inc.† | 1,036 | 102,668 | ||||||
Target Corp.† | 1,387 | 122,347 | ||||||
Tiffany & Co. | 1,402 | 180,816 | ||||||
TJX Cos., Inc. (The) | 2,430 | 272,209 | ||||||
|
| |||||||
4,632,116 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.4% |
| |||||||
Intel Corp.† | 1,679 | 79,400 | ||||||
KLA-Tencor Corp. | 533 | 54,211 | ||||||
Lam Research Corp.(a) | 10 | 1,517 | ||||||
Micron Technology, Inc.†(a)(b) * | 14,525 | 656,966 | ||||||
Texas Instruments, Inc. | 2 | 215 | ||||||
|
| |||||||
792,309 | ||||||||
|
| |||||||
Software & Services — 15.9% | ||||||||
Accenture PLC, Class A (Ireland)† | 7,147 | 1,216,419 | ||||||
Alliance Data Systems Corp.(a) | 656 | 154,921 | ||||||
Automatic Data Processing, Inc.† | 5,192 | 782,227 | ||||||
Broadridge Financial Solutions, Inc.† | 1,377 | 181,695 | ||||||
CA, Inc.† | 4,891 | 215,938 | ||||||
Citrix Systems, Inc.†* | 987 | 109,715 | ||||||
DXC Technology Co.† | 3,338 | 312,170 | ||||||
eBay, Inc.†* | 1,582 | 52,238 | ||||||
FleetCor Technologies, Inc.(a) * | 1 | 228 | ||||||
International Business Machines Corp.† | 1,701 | 257,208 | ||||||
Intuit, Inc.(b) | 3,061 | 696,071 | ||||||
Microsoft Corp. | 160 | 18,299 | ||||||
Oracle Corp.† | 12,587 | 648,986 | ||||||
Paychex, Inc.†(a) | 4,249 | 312,939 | ||||||
Total System Services, Inc.† | 2 | 197 | ||||||
Visa, Inc., Class A(b) | 2,351 | 352,862 | ||||||
|
| |||||||
5,312,113 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 12.9% |
| |||||||
Apple, Inc.† | 4,146 | 935,918 | ||||||
Cisco Systems, Inc.† | 25,944 | 1,262,176 | ||||||
F5 Networks, Inc.†* | 719 | 143,383 | ||||||
FLIR Systems, Inc.† | 1,633 | 100,381 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Hewlett Packard Enterprise Co.(a) | 16,926 | $ | 276,063 | |||||
HP, Inc.† | 18,855 | 485,893 | ||||||
Motorola Solutions, Inc.† | 1,327 | 172,696 | ||||||
NetApp, Inc.† | 3,076 | 264,198 | ||||||
Seagate Technology PLC | 418 | 19,792 | ||||||
TE Connectivity Ltd. (Switzerland)† | 4,124 | 362,623 | ||||||
Western Digital Corp.† | 3,503 | 205,066 | ||||||
Xerox Corp. | 3,018 | 81,426 | ||||||
|
| |||||||
4,309,615 | ||||||||
|
| |||||||
Telecommunication Services — 4.2% |
| |||||||
CenturyLink, Inc. | 7,918 | 167,862 | ||||||
Verizon Communications, Inc.† | 23,104 | 1,233,523 | ||||||
|
| |||||||
1,401,385 | ||||||||
|
| |||||||
Transportation — 5.9% | ||||||||
CSX Corp.† | 3,492 | 258,583 | ||||||
Expeditors International of Washington, Inc.†(a) | 2,055 | 151,104 | ||||||
FedEx Corp.† | 1,950 | 469,540 | ||||||
Norfolk Southern Corp.† | 2,233 | 403,056 | ||||||
Union Pacific Corp.† | 2,484 | 404,470 | ||||||
United Parcel Service, Inc., Class B† | 2,467 | 288,022 | ||||||
|
| |||||||
1,974,775 | ||||||||
|
| |||||||
Utilities — 3.4% | ||||||||
CMS Energy Corp.†(a) | 1,913 | 93,737 | ||||||
FirstEnergy Corp.†(a) | 5,651 | 210,048 | ||||||
NRG Energy, Inc.†(a) | 3,648 | 136,435 | ||||||
PPL Corp.(a) | 8,273 | 242,068 | ||||||
Southern Co. (The)(b) | 4,482 | 195,415 | ||||||
WEC Energy Group, Inc.† | 3,734 | 249,282 | ||||||
|
| |||||||
1,126,985 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 61,908,261 | ||||||
|
| |||||||
TOTAL LONG POSITIONS - 185.2% | 61,908,261 | |||||||
|
| |||||||
(Cost $55,978,562) |
| |||||||
SHORT POSITIONS — (86.1)% | ||||||||
COMMON STOCKS — (86.1)% | ||||||||
Automobiles & Components — (1.8)% |
| |||||||
Aptiv PLC (Jersey) | (1,456 | ) | (122,158 | ) | ||||
Ford Motor Co. | (21,877 | ) | (202,362 | ) | ||||
General Motors Co. | (7,757 | ) | (261,178 | ) |
The accompanying notes are an integral part of the financial statements.
63
GOTHAM ENHANCED 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Automobiles & Components — (Continued) |
| |||||||
Goodyear Tire & Rubber Co. (The) | (1,303 | ) | $ | (30,477 | ) | |||
|
| |||||||
(616,175 | ) | |||||||
|
| |||||||
Banks — (7.2)% | ||||||||
Bank of America Corp. | (2,524 | ) | (74,357 | ) | ||||
BB&T Corp. | (4,261 | ) | (206,829 | ) | ||||
Citigroup, Inc. | (8,020 | ) | (575,355 | ) | ||||
Citizens Financial Group, Inc. | (2,663 | ) | (102,712 | ) | ||||
Comerica, Inc. | (941 | ) | (84,878 | ) | ||||
Fifth Third Bancorp. | (3,730 | ) | (104,142 | ) | ||||
Huntington Bancshares, Inc. | (6,075 | ) | (90,639 | ) | ||||
KeyCorp. | (5,825 | ) | (115,859 | ) | ||||
M&T Bank Corp. | (794 | ) | (130,645 | ) | ||||
People’s United Financial, Inc. | (1,880 | ) | (32,186 | ) | ||||
PNC Financial Services Group, Inc. (The) | (694 | ) | (94,516 | ) | ||||
Regions Financial Corp. | (6,131 | ) | (112,504 | ) | ||||
SunTrust Banks, Inc. | (2,560 | ) | (170,982 | ) | ||||
US Bancorp | (1,682 | ) | (88,826 | ) | ||||
Wells Fargo & Co. | (6,821 | ) | (358,512 | ) | ||||
Zions Bancorp NA | (1,075 | ) | (53,911 | ) | ||||
|
| |||||||
(2,396,853 | ) | |||||||
|
| |||||||
Capital Goods — (7.8)% | ||||||||
Allegion PLC (Ireland) | (522 | ) | (47,277 | ) | ||||
AO Smith Corp. | (934 | ) | (49,848 | ) | ||||
Cummins, Inc. | (898 | ) | (131,171 | ) | ||||
Deere & Co. | (1,153 | ) | (173,330 | ) | ||||
Eaton Corp. PLC (Ireland) | (742 | ) | (64,354 | ) | ||||
Fastenal Co. | (1,579 | ) | (91,614 | ) | ||||
Flowserve Corp. | (4 | ) | (219 | ) | ||||
Fluor Corp. | (389 | ) | (22,601 | ) | ||||
Fortune Brands Home & Security, Inc. | (796 | ) | (41,679 | ) | ||||
General Dynamics Corp. | (1,629 | ) | (333,489 | ) | ||||
General Electric Co. | (28,081 | ) | (317,034 | ) | ||||
Ingersoll-Rand PLC (Ireland) | (36 | ) | (3,683 | ) | ||||
Johnson Controls International PLC (Ireland) | (5,089 | ) | (178,115 | ) | ||||
L3 Technologies, Inc. | (15 | ) | (3,189 | ) | ||||
Lockheed Martin Corp. | (740 | ) | (256,010 | ) | ||||
Masco Corp. | (1,677 | ) | (61,378 | ) | ||||
Northrop Grumman Corp. | (958 | ) | (304,040 | ) | ||||
PACCAR, Inc. | (1,904 | ) | (129,834 | ) | ||||
Quanta Services, Inc.* | (823 | ) | (27,472 | ) | ||||
Raytheon Co. | (103 | ) | (21,286 | ) | ||||
Rockwell Collins, Inc. | (896 | ) | (125,861 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
Stanley Black & Decker, Inc. | (841 | ) | $ | (123,156 | ) | |||
TransDigm Group, Inc.* | (24 | ) | (8,935 | ) | ||||
Xylem, Inc. | (988 | ) | (78,911 | ) | ||||
|
| |||||||
(2,594,486 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.8)% |
| |||||||
Cintas Corp. | (540 | ) | (106,817 | ) | ||||
Equifax, Inc. | (663 | ) | (86,568 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (222 | ) | (11,979 | ) | ||||
Nielsen Holdings PLC (United Kingdom) | (1,955 | ) | (54,075 | ) | ||||
|
| |||||||
(259,439 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (1.9)% |
| |||||||
DR Horton, Inc. | (2,073 | ) | (87,439 | ) | ||||
Hanesbrands, Inc. | (1,983 | ) | (36,547 | ) | ||||
Hasbro, Inc. | (701 | ) | (73,689 | ) | ||||
Leggett & Platt, Inc. | (716 | ) | (31,354 | ) | ||||
Mattel, Inc.* | (1,893 | ) | (29,720 | ) | ||||
Newell Brands, Inc. | (2,673 | ) | (54,262 | ) | ||||
PulteGroup, Inc. | (1,565 | ) | (38,765 | ) | ||||
PVH Corp. | (423 | ) | (61,081 | ) | ||||
Under Armour, Inc., Class C* | (1,536 | ) | (29,891 | ) | ||||
VF Corp. | (2,175 | ) | (203,254 | ) | ||||
|
| |||||||
(646,002 | ) | |||||||
|
| |||||||
Consumer Services — (2.5)% | ||||||||
Carnival Corp. (Panama) | (3,528 | ) | (224,980 | ) | ||||
Chipotle Mexican Grill, Inc.* | (5 | ) | (2,273 | ) | ||||
Hilton Worldwide Holdings, Inc. | (670 | ) | (54,123 | ) | ||||
MGM Resorts International | (2,998 | ) | (83,674 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (1,198 | ) | (68,801 | ) | ||||
Royal Caribbean Cruises Ltd. (Liberia) | (1,157 | ) | (150,341 | ) | ||||
Starbucks Corp. | (3,212 | ) | (182,570 | ) | ||||
Wynn Resorts Ltd. | (597 | ) | (75,855 | ) | ||||
|
| |||||||
(842,617 | ) | |||||||
|
| |||||||
Diversified Financials — (5.5)% | ||||||||
Ameriprise Financial, Inc. | (783 | ) | (115,618 | ) | ||||
Bank of New York Mellon Corp. (The) | (5,500 | ) | (280,445 | ) | ||||
Capital One Financial Corp. | (2,632 | ) | (249,856 | ) | ||||
Cboe Global Markets, Inc. | (310 | ) | (29,748 | ) | ||||
Charles Schwab Corp. (The) | (1,304 | ) | (64,092 | ) | ||||
Discover Financial Services | (1,207 | ) | (92,275 | ) | ||||
Goldman Sachs Group, Inc. (The) | (919 | ) | (206,077 | ) |
The accompanying notes are an integral part of the financial statements.
64
GOTHAM ENHANCED 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Intercontinental Exchange, Inc. | (520 | ) | $ | (38,943 | ) | |||
Jefferies Financial Group, Inc. | (1,925 | ) | (42,273 | ) | ||||
Morgan Stanley | (6,791 | ) | (316,257 | ) | ||||
Northern Trust Corp. | (1,229 | ) | (125,518 | ) | ||||
Raymond James Financial, Inc. | (801 | ) | (73,732 | ) | ||||
State Street Corp. | (1,096 | ) | (91,823 | ) | ||||
Synchrony Financial | (4,108 | ) | (127,677 | ) | ||||
|
| |||||||
(1,854,334 | ) | |||||||
|
| |||||||
Energy — (6.4)% | ||||||||
Anadarko Petroleum Corp. | (2,803 | ) | (188,950 | ) | ||||
Andeavor | (826 | ) | (126,791 | ) | ||||
Apache Corp. | (31 | ) | (1,478 | ) | ||||
Cabot Oil & Gas Corp. | (2,426 | ) | (54,634 | ) | ||||
Cimarex Energy Co. | (524 | ) | (48,701 | ) | ||||
Concho Resources, Inc.* | (152 | ) | (23,218 | ) | ||||
EOG Resources, Inc. | (1,630 | ) | (207,939 | ) | ||||
EQT Corp. | (1,459 | ) | (64,532 | ) | ||||
Halliburton Co. | (4,836 | ) | (196,003 | ) | ||||
Helmerich & Payne, Inc. | (580 | ) | (39,887 | ) | ||||
Kinder Morgan, Inc. | (12,003 | ) | (212,813 | ) | ||||
National Oilwell Varco, Inc. | (2,104 | ) | (90,640 | ) | ||||
Newfield Exploration Co.* | (1,040 | ) | (29,983 | ) | ||||
Noble Energy, Inc. | (2,679 | ) | (83,558 | ) | ||||
ONEOK, Inc. | (97 | ) | (6,576 | ) | ||||
Pioneer Natural Resources Co. | (937 | ) | (163,216 | ) | ||||
Schlumberger Ltd. (Curacao) | (7,614 | ) | (463,845 | ) | ||||
Williams Cos., Inc. (The) | (4,549 | ) | (123,687 | ) | ||||
|
| |||||||
(2,126,451 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.1)% |
| |||||||
Costco Wholesale Corp. | (151 | ) | (35,467 | ) | ||||
Food, Beverage & Tobacco — (3.3)% |
| |||||||
Brown-Forman Corp., Class B | (2,646 | ) | (133,755 | ) | ||||
Campbell Soup Co. | (43 | ) | (1,575 | ) | ||||
Coca-Cola Co. (The) | (2,263 | ) | (104,528 | ) | ||||
Constellation Brands, Inc., Class A | (1,050 | ) | (226,401 | ) | ||||
General Mills, Inc. | (201 | ) | (8,627 | ) | ||||
Hershey Co. (The) | (1,040 | ) | (106,080 | ) | ||||
Hormel Foods Corp. | (2,917 | ) | (114,930 | ) | ||||
JM Smucker Co. (The) | (626 | ) | (64,234 | ) | ||||
McCormick & Co., Inc., non-voting shares | (708 | ) | (93,279 | ) | ||||
Mondelez International, Inc., Class A | (778 | ) | (33,423 | ) | ||||
Monster Beverage Corp.* | (1,688 | ) | (98,377 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Tyson Foods, Inc., Class A | (1,839 | ) | $ | (109,476 | ) | |||
|
| |||||||
(1,094,685 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (3.7)% |
| |||||||
Abbott Laboratories | (1,480 | ) | (108,573 | ) | ||||
ABIOMED, Inc.* | (240 | ) | (107,940 | ) | ||||
Align Technology, Inc.* | (3 | ) | (1,174 | ) | ||||
Baxter International, Inc. | (2,955 | ) | (227,801 | ) | ||||
Boston Scientific Corp.* | (1,280 | ) | (49,280 | ) | ||||
Cerner Corp.* | (1,878 | ) | (120,962 | ) | ||||
Cooper Cos., Inc. (The) | (8 | ) | (2,217 | ) | ||||
DENTSPLY SIRONA, Inc. | (1,223 | ) | (46,156 | ) | ||||
Henry Schein, Inc.* | (663 | ) | (56,375 | ) | ||||
Hologic, Inc.* | (1,495 | ) | (61,265 | ) | ||||
IDEXX Laboratories, Inc.* | (8 | ) | (1,997 | ) | ||||
Intuitive Surgical, Inc.* | (10 | ) | (5,740 | ) | ||||
Quest Diagnostics, Inc. | (111 | ) | (11,978 | ) | ||||
Stryker Corp. | (980 | ) | (174,126 | ) | ||||
Universal Health Services, Inc., Class B | (514 | ) | (65,710 | ) | ||||
Varian Medical Systems, Inc.* | (507 | ) | (56,749 | ) | ||||
Zimmer Biomet Holdings, Inc. | (1,118 | ) | (146,983 | ) | ||||
|
| |||||||
(1,245,026 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.2)% |
| |||||||
Coty, Inc., Class A | (4,080 | ) | (51,245 | ) | ||||
Estee Lauder Cos., Inc. (The), Class A | (81 | ) | (11,771 | ) | ||||
|
| |||||||
(63,016 | ) | |||||||
|
| |||||||
Insurance — (4.7)% | ||||||||
Allstate Corp. (The) | (1,907 | ) | (188,221 | ) | ||||
American International Group, Inc. | (4,903 | ) | (261,036 | ) | ||||
Aon PLC (United Kingdom) | (1,336 | ) | (205,450 | ) | ||||
Assurant, Inc. | (121 | ) | (13,062 | ) | ||||
Brighthouse Financial, Inc.* | (659 | ) | (29,154 | ) | ||||
Chubb Ltd. (Switzerland) | (1,005 | ) | (134,308 | ) | ||||
Cincinnati Financial Corp. | (895 | ) | (68,745 | ) | ||||
Everest Re Group Ltd. (Bermuda) | (225 | ) | (51,406 | ) | ||||
Hartford Financial Services Group, Inc. (The) | (707 | ) | (35,322 | ) | ||||
Lincoln National Corp. | (1,196 | ) | (80,921 | ) | ||||
MetLife, Inc. | (166 | ) | (7,756 | ) | ||||
Principal Financial Group, Inc. | (1,566 | ) | (91,752 | ) | ||||
Prudential Financial, Inc. | (650 | ) | (65,858 | ) | ||||
Travelers Cos., Inc. (The) | (1,432 | ) | (185,745 | ) |
The accompanying notes are an integral part of the financial statements.
65
GOTHAM ENHANCED 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) | ||||||||
Unum Group | (1,203 | ) | $ | (47,001 | ) | |||
Willis Towers Watson PLC (Ireland) | (719 | ) | (101,336 | ) | ||||
|
| |||||||
(1,567,073 | ) | |||||||
|
| |||||||
Materials — (2.8)% | ||||||||
Air Products & Chemicals, Inc. | (1,206 | ) | (201,462 | ) | ||||
Albemarle Corp. | (596 | ) | (59,469 | ) | ||||
Ball Corp. | (10 | ) | (440 | ) | ||||
DowDuPont, Inc. | (214 | ) | (13,762 | ) | ||||
Ecolab, Inc. | (1,355 | ) | (212,437 | ) | ||||
International Flavors & Fragrances, Inc. | (434 | ) | (60,378 | ) | ||||
Martin Marietta Materials, Inc. | (346 | ) | (62,955 | ) | ||||
Mosaic Co. (The) | (137 | ) | (4,450 | ) | ||||
Newmont Mining Corp. | (2,872 | ) | (86,734 | ) | ||||
PPG Industries, Inc. | (1,341 | ) | (146,343 | ) | ||||
Vulcan Materials Co. | (727 | ) | (80,842 | ) | ||||
|
| |||||||
(929,272 | ) | |||||||
|
| |||||||
Media — (1.0)% | ||||||||
Charter Communications, Inc., Class A* | (1,022 | ) | (333,049 | ) | ||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (4.7)% |
| |||||||
Agilent Technologies, Inc. | (1,754 | ) | (123,727 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (1,083 | ) | (150,548 | ) | ||||
Allergan PLC (Ireland) | (34 | ) | (6,476 | ) | ||||
Illumina, Inc.* | (13 | ) | (4,772 | ) | ||||
Incyte Corp.* | (1,206 | ) | (83,310 | ) | ||||
Mettler-Toledo International, Inc.* | (138 | ) | (84,039 | ) | ||||
Mylan NV (Netherlands)* | (2,834 | ) | (103,724 | ) | ||||
PerkinElmer, Inc. | (39 | ) | (3,794 | ) | ||||
Perrigo Co. PLC (Ireland) | (753 | ) | (53,312 | ) | ||||
Pfizer, Inc. | (7,200 | ) | (317,304 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (683 | ) | (275,959 | ) | ||||
Thermo Fisher Scientific, Inc. | (1,060 | ) | (258,725 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (28 | ) | (5,397 | ) | ||||
Waters Corp.* | (424 | ) | (82,544 | ) | ||||
Zoetis, Inc. | (16 | ) | (1,465 | ) | ||||
|
| |||||||
(1,555,096 | ) | |||||||
|
| |||||||
Real Estate — (5.9)% | ||||||||
American Tower Corp., REIT | (2,427 | ) | (352,643 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (866 | ) | (38,217 | ) | ||||
AvalonBay Communities, Inc., REIT | (265 | ) | (48,005 | ) | ||||
Boston Properties, Inc., REIT | (850 | ) | (104,626 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) | ||||||||
CBRE Group, Inc., Class A* | (1,869 | ) | $ | (82,423 | ) | |||
Crown Castle International Corp., REIT | (511 | ) | (56,890 | ) | ||||
Duke Realty Corp., REIT | (1,965 | ) | (55,747 | ) | ||||
Equinix, Inc., REIT | (437 | ) | (189,173 | ) | ||||
Essex Property Trust, Inc., REIT | (364 | ) | (89,802 | ) | ||||
Extra Space Storage, Inc., REIT | (40 | ) | (3,466 | ) | ||||
Federal Realty Investment Trust, REIT | (404 | ) | (51,094 | ) | ||||
HCP, Inc., REIT | (2,585 | ) | (68,037 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (4,070 | ) | (85,877 | ) | ||||
Iron Mountain, Inc., REIT | (1,573 | ) | (54,300 | ) | ||||
Kimco Realty Corp., REIT | (2,319 | ) | (38,820 | ) | ||||
Macerich Co. (The), REIT | (776 | ) | (42,905 | ) | ||||
Mid-America Apartment Communities, Inc., REIT | (234 | ) | (23,442 | ) | ||||
Prologis, Inc., REIT | (2,934 | ) | (198,896 | ) | ||||
Regency Centers Corp., REIT | (930 | ) | (60,143 | ) | ||||
SBA Communications Corp., REIT* | (631 | ) | (101,358 | ) | ||||
Simon Property Group, Inc., REIT | (104 | ) | (18,382 | ) | ||||
SL Green Realty Corp., REIT | (488 | ) | (47,595 | ) | ||||
Ventas, Inc., REIT | (1,378 | ) | (74,936 | ) | ||||
Vornado Realty Trust, REIT | (1,047 | ) | (76,431 | ) | ||||
Welltower, Inc., REIT | (342 | ) | (21,997 | ) | ||||
|
| |||||||
(1,985,205 | ) | |||||||
|
| |||||||
Retailing — (1.9)% | ||||||||
Dollar Tree, Inc.* | (1,309 | ) | (106,749 | ) | ||||
Gap, Inc. (The) | (2,118 | ) | (61,104 | ) | ||||
L Brands, Inc. | (1,519 | ) | (46,026 | ) | ||||
LKQ Corp.* | (1,748 | ) | (55,359 | ) | ||||
Macy’s, Inc. | (1,023 | ) | (35,529 | ) | ||||
Netflix, Inc.* | (517 | ) | (193,425 | ) | ||||
Tractor Supply Co. | (5 | ) | (454 | ) | ||||
TripAdvisor, Inc.* | (731 | ) | (37,332 | ) | ||||
Ulta Beauty, Inc.* | (329 | ) | (92,817 | ) | ||||
|
| |||||||
(628,795 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (5.3)% |
| |||||||
Advanced Micro Devices, Inc.* | (22 | ) | (680 | ) | ||||
Applied Materials, Inc. | (2,700 | ) | (104,355 | ) | ||||
Broadcom, Inc. | (2,147 | ) | (529,729 | ) | ||||
Microchip Technology, Inc. | (1,445 | ) | (114,025 | ) | ||||
NVIDIA Corp. | (2,193 | ) | (616,277 | ) | ||||
Qorvo, Inc.* | (691 | ) | (53,131 | ) | ||||
QUALCOMM, Inc. | (2,203 | ) | (158,682 | ) |
The accompanying notes are an integral part of the financial statements.
66
GOTHAM ENHANCED 500 FUND
Portfolio of Investments (Concluded)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Skyworks Solutions, Inc. | (988 | ) | $ | (89,621 | ) | |||
Xilinx, Inc. | (1,375 | ) | (110,234 | ) | ||||
|
| |||||||
(1,776,734 | ) | |||||||
|
| |||||||
Software & Services — (9.0)% | ||||||||
Activision Blizzard, Inc. | (84 | ) | (6,988 | ) | ||||
Adobe, Inc.* | (1,101 | ) | (297,215 | ) | ||||
Akamai Technologies, Inc.* | (346 | ) | (25,310 | ) | ||||
Alphabet, Inc., Class A* | (477 | ) | (575,777 | ) | ||||
ANSYS, Inc.* | (15 | ) | (2,800 | ) | ||||
Autodesk, Inc.* | (4 | ) | (624 | ) | ||||
Cadence Design Systems, Inc.* | (139 | ) | (6,299 | ) | ||||
Electronic Arts, Inc.* | (1,148 | ) | (138,323 | ) | ||||
Facebook, Inc., Class A* | (2,814 | ) | (462,790 | ) | ||||
Fidelity National Information Services, Inc. | (1,821 | ) | (198,616 | ) | ||||
Fiserv, Inc.* | (13 | ) | (1,071 | ) | ||||
Gartner, Inc.* | (38 | ) | (6,023 | ) | ||||
Global Payments, Inc. | (10 | ) | (1,274 | ) | ||||
PayPal Holdings, Inc.* | (6,474 | ) | (568,676 | ) | ||||
Red Hat, Inc.* | (1,013 | ) | (138,052 | ) | ||||
salesforce.com, Inc.* | (849 | ) | (135,016 | ) | ||||
Symantec Corp. | (3,418 | ) | (72,735 | ) | ||||
Synopsys, Inc.* | (818 | ) | (80,663 | ) | ||||
Take-Two Interactive Software, Inc.* | (7 | ) | (966 | ) | ||||
Twitter, Inc.* | (4,186 | ) | (119,134 | ) | ||||
VeriSign, Inc.* | (673 | ) | (107,761 | ) | ||||
Western Union Co. (The) | (2,481 | ) | (47,288 | ) | ||||
|
| |||||||
(2,993,401 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.6)% |
| |||||||
Arista Networks, Inc.* | (426 | ) | (113,256 | ) | ||||
Corning, Inc. | (3 | ) | (106 | ) | ||||
IPG Photonics Corp.* | (296 | ) | (46,197 | ) | ||||
Juniper Networks, Inc. | (1,923 | ) | (57,632 | ) | ||||
|
| |||||||
(217,191 | ) | |||||||
|
| |||||||
Telecommunication Services — (1.7)% |
| |||||||
AT&T, Inc. | (17,220 | ) | (578,248 | ) | ||||
|
| |||||||
Transportation — (2.1)% | ||||||||
Alaska Air Group, Inc. | (677 | ) | (46,618 | ) | ||||
American Airlines Group, Inc. | (2,534 | ) | (104,730 | ) | ||||
Delta Air Lines, Inc. | (3,753 | ) | (217,036 | ) | ||||
JB Hunt Transport Services, Inc. | (601 | ) | (71,483 | ) | ||||
Kansas City Southern | (561 | ) | (63,550 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) | ||||||||
Southwest Airlines Co. | (3,153 | ) | $ | (196,905 | ) | |||
|
| |||||||
(700,322 | ) | |||||||
|
| |||||||
Utilities — (5.2)% | ||||||||
Alliant Energy Corp. | (1,279 | ) | (54,447 | ) | ||||
Ameren Corp. | (1,342 | ) | (84,841 | ) | ||||
American Water Works Co., Inc. | (992 | ) | (87,266 | ) | ||||
CenterPoint Energy, Inc. | (2,373 | ) | (65,613 | ) | ||||
Consolidated Edison, Inc. | (1,014 | ) | (77,257 | ) | ||||
Duke Energy Corp. | (1,547 | ) | (123,791 | ) | ||||
Edison International | (1,792 | ) | (121,283 | ) | ||||
Entergy Corp. | (994 | ) | (80,643 | ) | ||||
Eversource Energy | (1,535 | ) | (94,310 | ) | ||||
NextEra Energy, Inc. | (2,040 | ) | (341,904 | ) | ||||
NiSource, Inc. | (1,996 | ) | (49,740 | ) | ||||
PG&E Corp. | (2,513 | ) | (115,623 | ) | ||||
Pinnacle West Capital Corp. | (615 | ) | (48,696 | ) | ||||
Public Service Enterprise Group, Inc. | (2,772 | ) | (146,334 | ) | ||||
SCANA Corp. | (786 | ) | (30,567 | ) | ||||
Sempra Energy | (764 | ) | (86,905 | ) | ||||
Xcel Energy, Inc. | (2,799 | ) | (132,141 | ) | ||||
|
| |||||||
(1,741,361 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $29,315,711) |
| (28,780,298 | ) | |||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (86.1)% |
| (28,780,298 | ) | |||||
|
| |||||||
(Proceeds $29,315,711) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.9% | 309,197 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 33,437,160 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
(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. (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.
67
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
LONG POSITIONS — 139.6% |
| |||||||
COMMON STOCKS — 139.6% |
| |||||||
Automobiles & Components — 0.2% |
| |||||||
Harley-Davidson, Inc.(a) | 128 | $ | 5,798 | |||||
|
| |||||||
Capital Goods — 13.8% | ||||||||
3M Co.† | 159 | 33,503 | ||||||
AMETEK, Inc. | 13 | 1,029 | ||||||
Boeing Co. (The)† | 185 | 68,802 | ||||||
Caterpillar, Inc.† | 34 | 5,185 | ||||||
Dover Corp. | 114 | 10,092 | ||||||
Emerson Electric Co.† | 484 | 37,065 | ||||||
Harris Corp. | 91 | 15,398 | ||||||
Honeywell International, Inc.† | 436 | 72,550 | ||||||
Illinois Tool Works, Inc.† | 132 | 18,628 | ||||||
Jacobs Engineering Group, Inc. | 109 | 8,339 | ||||||
Parker-Hannifin Corp.† | 103 | 18,945 | ||||||
Pentair PLC (Ireland)(a) | 135 | 5,852 | ||||||
Rockwell Automation, Inc. | 42 | 7,876 | ||||||
Snap-on, Inc.(a) | 44 | 8,078 | ||||||
Textron, Inc. | 1 | 71 | ||||||
United Rentals, Inc.* | 58 | 9,489 | ||||||
United Technologies Corp. | 435 | 60,817 | ||||||
WW Grainger, Inc.†(a) | 44 | 15,726 | ||||||
|
| |||||||
397,445 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.9% |
| |||||||
Copart, Inc.* | 22 | 1,134 | ||||||
Republic Services, Inc.† | 250 | 18,165 | ||||||
Robert Half International, Inc. | 95 | 6,686 | ||||||
Waste Management, Inc.† | 329 | 29,728 | ||||||
|
| |||||||
55,713 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 0.9% |
| |||||||
Garmin Ltd. (Switzerland) | 146 | 10,227 | ||||||
NIKE, Inc., Class B | 59 | 4,998 | ||||||
Ralph Lauren Corp. | 7 | 963 | ||||||
Tapestry, Inc. | 75 | 3,770 | ||||||
Whirlpool Corp. | 51 | 6,056 | ||||||
|
| |||||||
26,014 | ||||||||
|
| |||||||
Consumer Services — 2.1% | ||||||||
Darden Restaurants, Inc. | 84 | 9,340 | ||||||
Marriott International, Inc., Class A† | 6 | 792 | ||||||
McDonald’s Corp.† | 186 | 31,116 | ||||||
Yum! Brands, Inc.† | 210 | 19,091 | ||||||
|
| |||||||
60,339 | ||||||||
|
| |||||||
Diversified Financials — 5.2% | ||||||||
Affiliated Managers Group, Inc. | 41 | 5,606 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Berkshire Hathaway, Inc., Class B* | 78 | $ | 16,701 | |||||
BlackRock, Inc.† | 57 | 26,866 | ||||||
Invesco Ltd. (Bermuda) | 301 | 6,887 | ||||||
Moody’s Corp.† | 148 | 24,746 | ||||||
Nasdaq, Inc.† | 128 | 10,982 | ||||||
S&P Global, Inc.† | 193 | 37,710 | ||||||
T Rowe Price Group, Inc.† | 188 | 20,526 | ||||||
|
| |||||||
150,024 | ||||||||
|
| |||||||
Energy — 11.6% | ||||||||
Chevron Corp.† | 354 | 43,287 | ||||||
ConocoPhillips† | 906 | 70,124 | ||||||
Devon Energy Corp. | 396 | 15,816 | ||||||
Exxon Mobil Corp.† | 1,006 | 85,530 | ||||||
Hess Corp.† | 239 | 17,108 | ||||||
HollyFrontier Corp. | 136 | 9,506 | ||||||
Marathon Oil Corp. | 657 | 15,295 | ||||||
Marathon Petroleum Corp. | 349 | 27,910 | ||||||
Phillips 66† | 382 | 43,059 | ||||||
TechnipFMC PLC (United | 179 | 5,594 | ||||||
Valero Energy Corp. | 6 | 682 | ||||||
|
| |||||||
333,911 | ||||||||
|
| |||||||
Food & Staples Retailing — 5.8% | ||||||||
Kroger Co. (The)† | 664 | 19,329 | ||||||
Sysco Corp.† | 402 | 29,447 | ||||||
Walgreens Boots Alliance, Inc.† | 431 | 31,420 | ||||||
Walmart, Inc.† | 909 | 85,364 | ||||||
|
| |||||||
165,560 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 9.7% |
| |||||||
Altria Group, Inc.† | 1,244 | 75,026 | ||||||
Archer-Daniels-Midland Co.† | 432 | 21,717 | ||||||
Conagra Brands, Inc. | 290 | 9,851 | ||||||
Kellogg Co. | 267 | 18,695 | ||||||
Kraft Heinz Co. (The)† | 190 | 10,471 | ||||||
Molson Coors Brewing Co., Class B | 2 | 123 | ||||||
PepsiCo, Inc.† | 554 | 61,937 | ||||||
Philip Morris International, Inc.† | 1,013 | 82,600 | ||||||
|
| |||||||
280,420 | ||||||||
|
| |||||||
Health Care Equipment & Services — 17.4% |
| |||||||
Aetna, Inc.† | 253 | 51,321 | ||||||
AmerisourceBergen Corp. | 60 | 5,533 | ||||||
Anthem, Inc.† | 196 | 53,714 | ||||||
Cardinal Health, Inc. | 238 | 12,852 | ||||||
Centene Corp.†* | 157 | 22,730 |
The accompanying notes are an integral part of the financial statements.
68
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Cigna Corp.† | 188 | $ | 39,151 | |||||
CVS Health Corp.† | 512 | 40,305 | ||||||
Danaher Corp. | 8 | 869 | ||||||
DaVita, Inc.* | 84 | 6,017 | ||||||
Envision Healthcare Corp.* | 94 | 4,299 | ||||||
Express Scripts Holding Co.†* | 327 | 31,068 | ||||||
HCA Healthcare, Inc.† | 267 | 37,145 | ||||||
Humana, Inc.† | 106 | 35,883 | ||||||
Laboratory Corp. of America Holdings†* | 79 | 13,721 | ||||||
McKesson Corp.† | 107 | 14,194 | ||||||
Medtronic PLC (Ireland)† | 753 | 74,073 | ||||||
ResMed, Inc. | 71 | 8,189 | ||||||
UnitedHealth Group, Inc.† | 144 | 38,310 | ||||||
WellCare Health Plans, Inc.* | 35 | 11,217 | ||||||
|
| |||||||
500,591 | ||||||||
|
| |||||||
Household & Personal Products — 6.0% |
| |||||||
Church & Dwight Co., Inc.(a) | 188 | 11,162 | ||||||
Clorox Co. (The)(a) | 98 | 14,740 | ||||||
Colgate-Palmolive Co.† | 669 | 44,790 | ||||||
Kimberly-Clark Corp.† | 267 | 30,342 | ||||||
Procter & Gamble Co. (The)† | 852 | 70,912 | ||||||
|
| |||||||
171,946 | ||||||||
|
| |||||||
Insurance — 3.0% | ||||||||
Aflac, Inc. | 189 | 8,896 | ||||||
Arthur J Gallagher & Co. | 140 | 10,422 | ||||||
Loews Corp. | 244 | 12,256 | ||||||
Marsh & McLennan Cos., Inc. | 182 | 15,055 | ||||||
Progressive Corp. (The)† | 448 | 31,826 | ||||||
Torchmark Corp. | 74 | 6,415 | ||||||
|
| |||||||
84,870 | ||||||||
|
| |||||||
Materials — 3.5% | ||||||||
Avery Dennison Corp. | 5 | 542 | ||||||
CF Industries Holdings, Inc. | 159 | 8,656 | ||||||
Eastman Chemical Co.† | 79 | 7,562 | ||||||
FMC Corp. | 103 | 8,980 | ||||||
Freeport-McMoRan, Inc.† | 1,084 | 15,089 | ||||||
International Paper Co.† | 7 | 344 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 298 | 30,548 | ||||||
Praxair, Inc.† | 91 | 14,626 | ||||||
Sealed Air Corp.(a) | 123 | 4,938 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) | ||||||||
WestRock Co. | 196 | $ | 10,474 | |||||
|
| |||||||
101,759 | ||||||||
|
| |||||||
Media — 6.8% | ||||||||
CBS Corp., Class B, non-voting shares† | 155 | 8,905 | ||||||
Comcast Corp., Class A | 226 | 8,003 | ||||||
Discovery, Inc., Class A(a) * | 49 | 1,568 | ||||||
DISH Network Corp., Class A* | 360 | 12,874 | ||||||
Interpublic Group of Cos., Inc. (The) | 286 | 6,541 | ||||||
News Corp., Class A† | 351 | 4,630 | ||||||
Omnicom Group, Inc.† | 172 | 11,699 | ||||||
Twenty-First Century Fox, Inc., Class A† | 1,428 | 66,159 | ||||||
Viacom, Inc., Class B | 309 | 10,432 | ||||||
Walt Disney Co. (The)† | 551 | 64,434 | ||||||
|
| |||||||
195,245 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 7.9% |
| |||||||
AbbVie, Inc.† | 203 | 19,200 | ||||||
Amgen, Inc.† | 161 | 33,374 | ||||||
Biogen, Inc.†* | 84 | 29,678 | ||||||
Celgene Corp.†* | 413 | 36,959 | ||||||
Gilead Sciences, Inc.† | 375 | 28,954 | ||||||
Johnson & Johnson† | 392 | 54,163 | ||||||
Merck & Co., Inc.† | 235 | 16,671 | ||||||
Nektar Therapeutics(a) * | 132 | 8,047 | ||||||
|
| |||||||
227,046 | ||||||||
|
| |||||||
Real Estate — 0.2% | ||||||||
Equity Residential, REIT | 5 | 331 | ||||||
Realty Income Corp., REIT(a) | 41 | 2,332 | ||||||
UDR, Inc., REIT | 41 | 1,658 | ||||||
Weyerhaeuser Co., REIT† | 38 | 1,226 | ||||||
|
| |||||||
5,547 | ||||||||
|
| |||||||
Retailing — 11.4% | ||||||||
Advance Auto Parts, Inc. | 57 | 9,595 | ||||||
Amazon.com, Inc.* | 1 | 2,003 | ||||||
AutoZone, Inc.* | 20 | 15,514 | ||||||
Best Buy Co., Inc.† | 25 | 1,984 | ||||||
Booking Holdings, Inc.†* | 26 | 51,584 | ||||||
CarMax, Inc.(a) * | 19 | 1,419 | ||||||
Dollar General Corp. | 161 | 17,597 | ||||||
Foot Locker, Inc.(a) | 95 | 4,843 | ||||||
Genuine Parts Co. | 113 | 11,232 | ||||||
Home Depot, Inc. (The)† | 403 | 83,481 |
The accompanying notes are an integral part of the financial statements.
69
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
Kohl’s Corp. | 128 | $ | 9,542 | |||||
Lowe’s Cos., Inc.† | 625 | 71,763 | ||||||
Nordstrom, Inc.(a) | 4 | 239 | ||||||
Ross Stores, Inc.† | 91 | 9,018 | ||||||
Target Corp.† | 88 | 7,762 | ||||||
Tiffany & Co. | 94 | 12,123 | ||||||
TJX Cos., Inc. (The) | 174 | 19,491 | ||||||
|
| |||||||
329,190 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.7% |
| |||||||
Intel Corp.† | 62 | 2,932 | ||||||
KLA-Tencor Corp. | 33 | 3,356 | ||||||
Micron Technology, Inc.†* | 964 | 43,602 | ||||||
|
| |||||||
49,890 | ||||||||
|
| |||||||
Software & Services — 11.8% | ||||||||
Accenture PLC, Class A (Ireland)† | 431 | 73,356 | ||||||
Alliance Data Systems Corp. | 43 | 10,155 | ||||||
Automatic Data Processing, Inc.† | 338 | 50,923 | ||||||
Broadridge Financial Solutions, Inc. | 90 | 11,876 | ||||||
CA, Inc.† | 319 | 14,084 | ||||||
Citrix Systems, Inc.* | 75 | 8,337 | ||||||
DXC Technology Co.† | 218 | 20,387 | ||||||
eBay, Inc.†* | 133 | 4,392 | ||||||
Fiserv, Inc.†* | 14 | 1,153 | ||||||
International Business Machines Corp.† | 119 | 17,994 | ||||||
Intuit, Inc.† | 199 | 45,253 | ||||||
Oracle Corp.† | 876 | 45,167 | ||||||
Paychex, Inc.† | 276 | 20,327 | ||||||
Visa, Inc., Class A | 100 | 15,009 | ||||||
|
| |||||||
338,413 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 9.7% |
| |||||||
Apple, Inc.† | 228 | 51,469 | ||||||
Cisco Systems, Inc.† | 1,681 | 81,781 | ||||||
F5 Networks, Inc.†* | 47 | 9,373 | ||||||
FLIR Systems, Inc. | 106 | 6,516 | ||||||
Hewlett Packard Enterprise Co.† | 1,138 | 18,561 | ||||||
HP, Inc.† | 1,246 | 32,109 | ||||||
Motorola Solutions, Inc.† | 84 | 10,932 | ||||||
NetApp, Inc.† | 204 | 17,522 | ||||||
Seagate Technology PLC | 184 | 8,712 | ||||||
TE Connectivity Ltd. (Switzerland)† | 269 | 23,653 | ||||||
Western Digital Corp. | 228 | 13,347 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Xerox Corp. | 196 | $ | 5,288 | |||||
|
| |||||||
279,263 | ||||||||
|
| |||||||
Telecommunication Services — 3.1% |
| |||||||
CenturyLink, Inc. | 426 | 9,031 | ||||||
Verizon Communications, Inc.† | 1,509 | 80,566 | ||||||
|
| |||||||
89,597 | ||||||||
|
| |||||||
Transportation — 4.0% | ||||||||
CSX Corp. | 235 | 17,402 | ||||||
Expeditors International of Washington, Inc. | 134 | 9,853 | ||||||
FedEx Corp.† | 99 | 23,838 | ||||||
Norfolk Southern Corp. | 129 | 23,285 | ||||||
Union Pacific Corp.† | 156 | 25,401 | ||||||
United Parcel Service, Inc., Class B | 140 | 16,345 | ||||||
|
| |||||||
116,124 | ||||||||
|
| |||||||
Utilities — 1.9% | ||||||||
CMS Energy Corp. | 17 | 833 | ||||||
FirstEnergy Corp.† | 367 | 13,641 | ||||||
NRG Energy, Inc. | 242 | 9,051 | ||||||
PPL Corp. | 86 | 2,516 | ||||||
Southern Co. (The)† | 309 | 13,472 | ||||||
WEC Energy Group, Inc. | 244 | 16,289 | ||||||
|
| |||||||
55,802 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 4,020,507 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 139.6% |
| 4,020,507 | ||||||
|
| |||||||
(Cost $3,612,154) | ||||||||
SHORT POSITIONS — (40.2)% | ||||||||
COMMON STOCKS — (40.2)% | ||||||||
Automobiles & Components — (0.9)% |
| |||||||
Aptiv PLC (Jersey) | (58 | ) | (4,866 | ) | ||||
Ford Motor Co. | (881 | ) | (8,149 | ) | ||||
General Motors Co. | (313 | ) | (10,539 | ) | ||||
Goodyear Tire & Rubber Co. (The) | (53 | ) | (1,240 | ) | ||||
|
| |||||||
(24,794 | ) | |||||||
|
| |||||||
Banks — (3.2)% | ||||||||
Bank of America Corp. | (54 | ) | (1,591 | ) | ||||
BB&T Corp. | (172 | ) | (8,349 | ) | ||||
Citigroup, Inc. | (322 | ) | (23,100 | ) | ||||
Citizens Financial Group, Inc. | (107 | ) | (4,127 | ) | ||||
Comerica, Inc. | (37 | ) | (3,337 | ) |
The accompanying notes are an integral part of the financial statements.
70
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Banks — (Continued) | ||||||||
Fifth Third Bancorp. | (150 | ) | $ | (4,188 | ) | |||
Huntington Bancshares, Inc. | (245 | ) | (3,655 | ) | ||||
KeyCorp. | (236 | ) | (4,694 | ) | ||||
M&T Bank Corp. | (32 | ) | (5,265 | ) | ||||
People’s United Financial, Inc. | (76 | ) | (1,301 | ) | ||||
PNC Financial Services Group, Inc. (The) | (20 | ) | (2,724 | ) | ||||
Regions Financial Corp. | (259 | ) | (4,753 | ) | ||||
SunTrust Banks, Inc. | (104 | ) | (6,946 | ) | ||||
US Bancorp | (58 | ) | (3,063 | ) | ||||
Wells Fargo & Co. | (266 | ) | (13,981 | ) | ||||
Zions Bancorp NA | (44 | ) | (2,207 | ) | ||||
|
| |||||||
(93,281 | ) | |||||||
|
| |||||||
Capital Goods — (3.6)% | ||||||||
Allegion PLC (Ireland) | (21 | ) | (1,902 | ) | ||||
AO Smith Corp. | (35 | ) | (1,868 | ) | ||||
Cummins, Inc. | (37 | ) | (5,405 | ) | ||||
Deere & Co. | (40 | ) | (6,013 | ) | ||||
Eaton Corp. PLC (Ireland) | (25 | ) | (2,168 | ) | ||||
Fastenal Co. | (64 | ) | (3,713 | ) | ||||
Fluor Corp. | (21 | ) | (1,220 | ) | ||||
Fortune Brands Home & Security, Inc. | (34 | ) | (1,780 | ) | ||||
General Dynamics Corp. | (65 | ) | (13,307 | ) | ||||
General Electric Co. | (1,098 | ) | (12,396 | ) | ||||
Ingersoll-Rand PLC (Ireland) | (4 | ) | (409 | ) | ||||
Johnson Controls International PLC (Ireland) | (206 | ) | (7,210 | ) | ||||
L3 Technologies, Inc. | (2 | ) | (425 | ) | ||||
Lockheed Martin Corp. | (30 | ) | (10,379 | ) | ||||
Masco Corp. | (68 | ) | (2,489 | ) | ||||
Northrop Grumman Corp. | (38 | ) | (12,060 | ) | ||||
PACCAR, Inc. | (73 | ) | (4,978 | ) | ||||
Quanta Services, Inc.* | (34 | ) | (1,135 | ) | ||||
Raytheon Co. | (2 | ) | (413 | ) | ||||
Rockwell Collins, Inc. | (37 | ) | (5,197 | ) | ||||
Stanley Black & Decker, Inc. | (33 | ) | (4,833 | ) | ||||
Xylem, Inc. | (40 | ) | (3,195 | ) | ||||
|
| |||||||
(102,495 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.4)% |
| |||||||
Cintas Corp. | (24 | ) | (4,747 | ) | ||||
Equifax, Inc. | (27 | ) | (3,525 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (18 | ) | (971 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Nielsen Holdings PLC (United Kingdom) | (79 | ) | $ | (2,185 | ) | |||
|
| |||||||
(11,428 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (0.9)% |
| |||||||
DR Horton, Inc. | (84 | ) | (3,543 | ) | ||||
Hanesbrands, Inc. | (80 | ) | (1,474 | ) | ||||
Hasbro, Inc. | (29 | ) | (3,048 | ) | ||||
Leggett & Platt, Inc. | (29 | ) | (1,270 | ) | ||||
Mattel, Inc.* | (76 | ) | (1,193 | ) | ||||
Newell Brands, Inc. | (108 | ) | (2,192 | ) | ||||
PulteGroup, Inc. | (63 | ) | (1,561 | ) | ||||
PVH Corp. | (18 | ) | (2,599 | ) | ||||
Under Armour, Inc., Class C* | (23 | ) | (448 | ) | ||||
VF Corp. | (88 | ) | (8,224 | ) | ||||
|
| |||||||
(25,552 | ) | |||||||
|
| |||||||
Consumer Services — (1.1)% | ||||||||
Carnival Corp. (Panama) | (122 | ) | (7,780 | ) | ||||
Hilton Worldwide Holdings, Inc. | (30 | ) | (2,423 | ) | ||||
MGM Resorts International | (124 | ) | (3,461 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (49 | ) | (2,814 | ) | ||||
Royal Caribbean Cruises Ltd. (Liberia) | (46 | ) | (5,977 | ) | ||||
Starbucks Corp. | (108 | ) | (6,139 | ) | ||||
Wynn Resorts Ltd. | (24 | ) | (3,049 | ) | ||||
|
| |||||||
(31,643 | ) | |||||||
|
| |||||||
Diversified Financials — (2.5)% | ||||||||
Ameriprise Financial, Inc. | (32 | ) | (4,725 | ) | ||||
Bank of New York Mellon Corp. (The) | (222 | ) | (11,320 | ) | ||||
Capital One Financial Corp. | (107 | ) | (10,158 | ) | ||||
Cboe Global Markets, Inc. | (16 | ) | (1,535 | ) | ||||
Charles Schwab Corp. (The) | (41 | ) | (2,015 | ) | ||||
Discover Financial Services | (63 | ) | (4,816 | ) | ||||
Goldman Sachs Group, Inc. (The) | (28 | ) | (6,279 | ) | ||||
Intercontinental Exchange, Inc. | (20 | ) | (1,498 | ) | ||||
Jefferies Financial Group, Inc. | (79 | ) | (1,735 | ) | ||||
Morgan Stanley | (265 | ) | (12,341 | ) | ||||
Northern Trust Corp. | (50 | ) | (5,106 | ) | ||||
Raymond James Financial, Inc. | (33 | ) | (3,038 | ) | ||||
State Street Corp. | (42 | ) | (3,519 | ) | ||||
Synchrony Financial | (170 | ) | (5,284 | ) | ||||
|
| |||||||
(73,369 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
71
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (3.3)% | ||||||||
Anadarko Petroleum Corp. | (116 | ) | $ | (7,820 | ) | |||
Andeavor | (33 | ) | (5,065 | ) | ||||
Cabot Oil & Gas Corp. | (97 | ) | (2,184 | ) | ||||
Cimarex Energy Co. | (21 | ) | (1,952 | ) | ||||
Concho Resources, Inc.* | (33 | ) | (5,041 | ) | ||||
EOG Resources, Inc. | (106 | ) | (13,522 | ) | ||||
EQT Corp. | (58 | ) | (2,565 | ) | ||||
Halliburton Co. | (158 | ) | (6,404 | ) | ||||
Helmerich & Payne, Inc. | (24 | ) | (1,650 | ) | ||||
Kinder Morgan, Inc. | (501 | ) | (8,883 | ) | ||||
National Oilwell Varco, Inc. | (84 | ) | (3,619 | ) | ||||
Newfield Exploration Co.* | (44 | ) | (1,269 | ) | ||||
Noble Energy, Inc. | (107 | ) | (3,337 | ) | ||||
ONEOK, Inc. | (4 | ) | (271 | ) | ||||
Pioneer Natural Resources Co. | (37 | ) | (6,445 | ) | ||||
Schlumberger Ltd. (Curacao) | (306 | ) | (18,642 | ) | ||||
Williams Cos., Inc. (The) | (183 | ) | (4,976 | ) | ||||
|
| |||||||
(93,645 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (1.5)% |
| |||||||
Brown-Forman Corp., Class B | (107 | ) | (5,409 | ) | ||||
Campbell Soup Co. | (1 | ) | (37 | ) | ||||
Coca-Cola Co. (The) | (84 | ) | (3,880 | ) | ||||
Constellation Brands, Inc., Class A | (43 | ) | (9,272 | ) | ||||
Hershey Co. (The) | (47 | ) | (4,794 | ) | ||||
Hormel Foods Corp. | (118 | ) | (4,649 | ) | ||||
JM Smucker Co. (The) | (26 | ) | (2,668 | ) | ||||
McCormick & Co., Inc., non-voting shares | (25 | ) | (3,294 | ) | ||||
Mondelez International, Inc., Class A | (29 | ) | (1,246 | ) | ||||
Monster Beverage Corp.* | (57 | ) | (3,322 | ) | ||||
Tyson Foods, Inc., Class A | (81 | ) | (4,822 | ) | ||||
|
| |||||||
(43,393 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (1.6)% |
| |||||||
Abbott Laboratories | (45 | ) | (3,301 | ) | ||||
ABIOMED, Inc.* | (2 | ) | (900 | ) | ||||
Baxter International, Inc. | (120 | ) | (9,251 | ) | ||||
Boston Scientific Corp.* | (84 | ) | (3,234 | ) | ||||
Cerner Corp.* | (76 | ) | (4,895 | ) | ||||
DENTSPLY SIRONA, Inc. | (50 | ) | (1,887 | ) | ||||
Henry Schein, Inc.* | (23 | ) | (1,956 | ) | ||||
Hologic, Inc.* | (61 | ) | (2,500 | ) | ||||
Quest Diagnostics, Inc. | (5 | ) | (540 | ) | ||||
Stryker Corp. | (43 | ) | (7,640 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Universal Health Services, Inc., Class B | (21 | ) | $ | (2,685 | ) | |||
Varian Medical Systems, Inc.* | (21 | ) | (2,351 | ) | ||||
Zimmer Biomet Holdings, Inc. | (45 | ) | (5,916 | ) | ||||
|
| |||||||
(47,056 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.1)% |
| |||||||
Coty, Inc., Class A | (166 | ) | (2,085 | ) | ||||
|
| |||||||
Insurance — (2.2)% | ||||||||
Allstate Corp. (The) | (77 | ) | (7,600 | ) | ||||
American International Group, Inc. | (198 | ) | (10,541 | ) | ||||
Aon PLC (United Kingdom) | (53 | ) | (8,150 | ) | ||||
Assurant, Inc. | (9 | ) | (972 | ) | ||||
Brighthouse Financial, Inc.* | (27 | ) | (1,194 | ) | ||||
Chubb Ltd. (Switzerland) | (40 | ) | (5,346 | ) | ||||
Cincinnati Financial Corp. | (37 | ) | (2,842 | ) | ||||
Everest Re Group Ltd. (Bermuda) | (10 | ) | (2,285 | ) | ||||
Hartford Financial Services Group, Inc. (The) | (19 | ) | (949 | ) | ||||
Lincoln National Corp. | (49 | ) | (3,315 | ) | ||||
Principal Financial Group, Inc. | (64 | ) | (3,750 | ) | ||||
Prudential Financial, Inc. | (31 | ) | (3,141 | ) | ||||
Travelers Cos., Inc. (The) | (60 | ) | (7,783 | ) | ||||
Unum Group | (49 | ) | (1,914 | ) | ||||
Willis Towers Watson PLC (Ireland) | (30 | ) | (4,228 | ) | ||||
|
| |||||||
(64,010 | ) | |||||||
|
| |||||||
Materials — (1.2)% | ||||||||
Air Products & Chemicals, Inc. | (49 | ) | (8,185 | ) | ||||
Albemarle Corp. | (25 | ) | (2,494 | ) | ||||
Ecolab, Inc. | (47 | ) | (7,369 | ) | ||||
International Flavors & Fragrances, Inc. | (18 | ) | (2,504 | ) | ||||
Martin Marietta Materials, Inc. | (14 | ) | (2,547 | ) | ||||
Mosaic Co. (The) | (1 | ) | (32 | ) | ||||
Newmont Mining Corp. | (118 | ) | (3,564 | ) | ||||
PPG Industries, Inc. | (54 | ) | (5,893 | ) | ||||
Vulcan Materials Co. | (29 | ) | (3,225 | ) | ||||
|
| |||||||
(35,813 | ) | |||||||
|
| |||||||
Media — (0.5)% | ||||||||
Charter Communications, Inc., Class A* | (44 | ) | (14,339 | ) | ||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (2.3)% |
| |||||||
Agilent Technologies, Inc. | (71 | ) | (5,008 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (47 | ) | (6,533 | ) |
The accompanying notes are an integral part of the financial statements.
72
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Incyte Corp.* | (48 | ) | $ | (3,316 | ) | |||
Mettler-Toledo International, Inc.* | (6 | ) | (3,654 | ) | ||||
Mylan NV (Netherlands)* | (114 | ) | (4,172 | ) | ||||
PerkinElmer, Inc. | (25 | ) | (2,432 | ) | ||||
Perrigo Co. PLC (Ireland) | (31 | ) | (2,195 | ) | ||||
Pfizer, Inc. | (288 | ) | (12,692 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (28 | ) | (11,313 | ) | ||||
Thermo Fisher Scientific, Inc. | (41 | ) | (10,007 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (2 | ) | (385 | ) | ||||
Waters Corp.* | (18 | ) | (3,504 | ) | ||||
|
| |||||||
(65,211 | ) | |||||||
|
| |||||||
Real Estate — (3.3)% | ||||||||
American Tower Corp., REIT | (97 | ) | (14,094 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (35 | ) | (1,545 | ) | ||||
AvalonBay Communities, Inc., REIT | (11 | ) | (1,993 | ) | ||||
Boston Properties, Inc., REIT | (35 | ) | (4,308 | ) | ||||
CBRE Group, Inc., Class A* | (75 | ) | (3,307 | ) | ||||
Crown Castle International Corp., REIT | (42 | ) | (4,676 | ) | ||||
Duke Realty Corp., REIT | (80 | ) | (2,270 | ) | ||||
Equinix, Inc., REIT | (17 | ) | (7,359 | ) | ||||
Essex Property Trust, Inc., REIT | (15 | ) | (3,701 | ) | ||||
Federal Realty Investment Trust, REIT | (17 | ) | (2,150 | ) | ||||
HCP, Inc., REIT | (99 | ) | (2,606 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (164 | ) | (3,460 | ) | ||||
Iron Mountain, Inc., REIT | (63 | ) | (2,175 | ) | ||||
Kimco Realty Corp., REIT | (94 | ) | (1,574 | ) | ||||
Macerich Co. (The), REIT | (32 | ) | (1,769 | ) | ||||
Mid-America Apartment Communities, Inc., REIT | (13 | ) | (1,302 | ) | ||||
Prologis, Inc., REIT | (119 | ) | (8,067 | ) | ||||
Regency Centers Corp., REIT | (38 | ) | (2,457 | ) | ||||
SBA Communications Corp., REIT* | (26 | ) | (4,176 | ) | ||||
Simon Property Group, Inc., REIT | (69 | ) | (12,196 | ) | ||||
SL Green Realty Corp., REIT | (21 | ) | (2,048 | ) | ||||
Ventas, Inc., REIT | (62 | ) | (3,372 | ) | ||||
Vornado Realty Trust, REIT | (43 | ) | (3,139 | ) | ||||
Welltower, Inc., REIT | (3 | ) | (193 | ) | ||||
|
| |||||||
(93,937 | ) | |||||||
|
| |||||||
Retailing — (0.8)% | ||||||||
Dollar Tree, Inc.* | (53 | ) | (4,322 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
Gap, Inc. (The) | (86 | ) | $ | (2,481 | ) | |||
L Brands, Inc. | (62 | ) | (1,879 | ) | ||||
LKQ Corp.* | (70 | ) | (2,217 | ) | ||||
Macy’s, Inc. | (69 | ) | (2,396 | ) | ||||
Netflix, Inc.* | (15 | ) | (5,612 | ) | ||||
TripAdvisor, Inc.* | (31 | ) | (1,583 | ) | ||||
Ulta Beauty, Inc.* | (13 | ) | (3,668 | ) | ||||
|
| |||||||
(24,158 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (2.6)% |
| |||||||
Applied Materials, Inc. | (100 | ) | (3,865 | ) | ||||
Broadcom, Inc. | (80 | ) | (19,738 | ) | ||||
Microchip Technology, Inc. | (58 | ) | (4,577 | ) | ||||
NVIDIA Corp. | (89 | ) | (25,011 | ) | ||||
Qorvo, Inc.* | (28 | ) | (2,153 | ) | ||||
QUALCOMM, Inc. | (78 | ) | (5,618 | ) | ||||
Skyworks Solutions, Inc. | (40 | ) | (3,628 | ) | ||||
Texas Instruments, Inc. | (61 | ) | (6,545 | ) | ||||
Xilinx, Inc. | (56 | ) | (4,490 | ) | ||||
|
| |||||||
(75,625 | ) | |||||||
|
| |||||||
Software & Services — (3.8)% | ||||||||
Adobe, Inc.* | (40 | ) | (10,798 | ) | ||||
Akamai Technologies, Inc.* | (38 | ) | (2,780 | ) | ||||
Alphabet, Inc., Class A* | (12 | ) | (14,485 | ) | ||||
Cadence Design Systems, Inc.* | (4 | ) | (181 | ) | ||||
Electronic Arts, Inc.* | (53 | ) | (6,386 | ) | ||||
Facebook, Inc., Class A* | (104 | ) | (17,104 | ) | ||||
Fidelity National Information Services, Inc. | (74 | ) | (8,071 | ) | ||||
PayPal Holdings, Inc.* | (260 | ) | (22,838 | ) | ||||
Red Hat, Inc.* | (41 | ) | (5,587 | ) | ||||
salesforce.com, Inc.* | (23 | ) | (3,658 | ) | ||||
Symantec Corp. | (137 | ) | (2,915 | ) | ||||
Synopsys, Inc.* | (33 | ) | (3,254 | ) | ||||
Take-Two Interactive Software, Inc.* | (2 | ) | (276 | ) | ||||
Total System Services, Inc. | (1 | ) | (99 | ) | ||||
Twitter, Inc.* | (168 | ) | (4,781 | ) | ||||
VeriSign, Inc.* | (28 | ) | (4,483 | ) | ||||
Western Union Co. (The) | (101 | ) | (1,925 | ) | ||||
|
| |||||||
(109,621 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.3)% |
| |||||||
Arista Networks, Inc.* | (17 | ) | (4,520 | ) | ||||
IPG Photonics Corp.* | (12 | ) | (1,873 | ) |
The accompanying notes are an integral part of the financial statements.
73
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments (Concluded)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Juniper Networks, Inc. | (78 | ) | $ | (2,338 | ) | |||
|
| |||||||
(8,731 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.8)% |
| |||||||
AT&T, Inc. | (696 | ) | (23,372 | ) | ||||
Transportation — (1.0)% | ||||||||
Alaska Air Group, Inc. | (27 | ) | (1,859 | ) | ||||
American Airlines Group, Inc. | (103 | ) | (4,257 | ) | ||||
Delta Air Lines, Inc. | (154 | ) | (8,906 | ) | ||||
JB Hunt Transport Services, Inc. | (25 | ) | (2,974 | ) | ||||
Kansas City Southern | (23 | ) | (2,605 | ) | ||||
Southwest Airlines Co. | (130 | ) | (8,118 | ) | ||||
|
| |||||||
(28,719 | ) | |||||||
|
| |||||||
Utilities — (2.3)% | ||||||||
Alliant Energy Corp. | (49 | ) | (2,086 | ) | ||||
Ameren Corp. | (54 | ) | (3,414 | ) | ||||
American Water Works Co., Inc. | (40 | ) | (3,519 | ) | ||||
CenterPoint Energy, Inc. | (96 | ) | (2,654 | ) | ||||
Consolidated Edison, Inc. | (32 | ) | (2,438 | ) | ||||
Duke Energy Corp. | (43 | ) | (3,441 | ) | ||||
Edison International | (72 | ) | (4,873 | ) | ||||
Entergy Corp. | (40 | ) | (3,245 | ) | ||||
Eversource Energy | (43 | ) | (2,642 | ) | ||||
NextEra Energy, Inc. | (77 | ) | (12,905 | ) | ||||
NiSource, Inc. | (80 | ) | (1,994 | ) | ||||
PG&E Corp. | (114 | ) | (5,245 | ) | ||||
Pinnacle West Capital Corp. | (25 | ) | (1,980 | ) | ||||
Public Service Enterprise Group, Inc. | (111 | ) | (5,860 | ) | ||||
SCANA Corp. | (31 | ) | (1,206 | ) | ||||
Sempra Energy | (22 | ) | (2,502 | ) | ||||
Xcel Energy, Inc. | (112 | ) | (5,288 | ) | ||||
|
| |||||||
(65,292 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCKS |
| (1,157,569 | ) | |||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (40.2)% |
| (1,157,569 | ) | |||||
|
| |||||||
(Proceeds $1,174,322) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6% | 18,180 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,881,118 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
(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.
74
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
LONG POSITIONS — 121.8% | ||||||||
COMMON STOCKS — 121.8% | ||||||||
Automobiles & Components — 0.2% |
| |||||||
Harley-Davidson, Inc.†(a) | 240 | $ | 10,872 | |||||
|
| |||||||
Capital Goods — 11.8% | ||||||||
3M Co.† | 255 | 53,731 | ||||||
AMETEK, Inc.† | 175 | 13,846 | ||||||
Boeing Co. (The)† | 289 | 107,479 | ||||||
Caterpillar, Inc.† | 138 | 21,044 | ||||||
Dover Corp.† | 213 | 18,857 | ||||||
Emerson Electric Co.† | 907 | 69,458 | ||||||
Harris Corp.† | 172 | 29,104 | ||||||
Honeywell International, Inc.† | 822 | 136,781 | ||||||
Illinois Tool Works, Inc.† | 295 | 41,630 | ||||||
Jacobs Engineering Group, Inc.† | 204 | 15,606 | ||||||
Parker-Hannifin Corp.† | 193 | 35,498 | ||||||
Pentair PLC (Ireland)†(a) | 253 | 10,968 | ||||||
Rockwell Automation, Inc.† | 28 | 5,251 | ||||||
Snap-on, Inc.†(a) | 86 | 15,790 | ||||||
United Rentals, Inc.†* | 119 | 19,468 | ||||||
United Technologies Corp. | 836 | 116,881 | ||||||
WW Grainger, Inc.† | 43 | 15,369 | ||||||
|
| |||||||
726,761 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.6% |
| |||||||
Republic Services, Inc.† | 433 | 31,462 | ||||||
Robert Half International, Inc.† | 176 | 12,387 | ||||||
Waste Management, Inc.† | 619 | 55,934 | ||||||
|
| |||||||
99,783 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.3% |
| |||||||
Garmin Ltd. (Switzerland)† | 275 | 19,264 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 139 | 9,530 | ||||||
NIKE, Inc., Class B | 196 | 16,605 | ||||||
Ralph Lauren Corp.† | 32 | 4,402 | ||||||
Tapestry, Inc.† | 412 | 20,711 | ||||||
Whirlpool Corp.† | 94 | 11,162 | ||||||
|
| |||||||
81,674 | ||||||||
|
| |||||||
Consumer Services — 1.1% | ||||||||
Darden Restaurants, Inc.† | 147 | 16,345 | ||||||
Marriott International, Inc., Class A | 1 | 132 | ||||||
McDonald’s Corp.† | 286 | 47,845 | ||||||
Yum! Brands, Inc. | 65 | 5,909 | ||||||
|
| |||||||
70,231 | ||||||||
|
| |||||||
Diversified Financials — 5.4% | ||||||||
Affiliated Managers Group, Inc. | 76 | 10,391 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Diversified Financials — (Continued) |
| |||||||
Berkshire Hathaway, Inc., Class B†* | 251 | $ | 53,742 | |||||
BlackRock, Inc.† | 132 | 62,216 | ||||||
Franklin Resources, Inc.† | 488 | 14,840 | ||||||
Moody’s Corp.† | 286 | 47,819 | ||||||
MSCI, Inc. | 41 | 7,274 | ||||||
Nasdaq, Inc.† | 253 | 21,707 | ||||||
S&P Global, Inc.† | 362 | 70,731 | ||||||
T Rowe Price Group, Inc.† | 374 | 40,833 | ||||||
|
| |||||||
329,553 | ||||||||
|
| |||||||
Energy — 10.6% | ||||||||
Chevron Corp.† | 827 | 101,126 | ||||||
ConocoPhillips† | 1,793 | 138,778 | ||||||
Devon Energy Corp.† | 699 | 27,918 | ||||||
Exxon Mobil Corp.† | 1,887 | 160,433 | ||||||
Hess Corp.† | 448 | 32,068 | ||||||
HollyFrontier Corp.† | 255 | 17,825 | ||||||
Marathon Oil Corp.† | 1,271 | 29,589 | ||||||
Marathon Petroleum Corp. | 31 | 2,479 | ||||||
Occidental Petroleum Corp.† | 327 | 26,870 | ||||||
Phillips 66† | 766 | 86,344 | ||||||
TechnipFMC PLC (United | 440 | 13,750 | ||||||
Valero Energy Corp.† | 138 | 15,698 | ||||||
|
| |||||||
652,878 | ||||||||
|
| |||||||
Food & Staples Retailing — 5.1% | ||||||||
Kroger Co. (The)† | 1,064 | 30,973 | ||||||
Sysco Corp.† | 760 | 55,670 | ||||||
Walgreens Boots Alliance, Inc.† | 1,011 | 73,702 | ||||||
Walmart, Inc.† | 1,636 | 153,637 | ||||||
|
| |||||||
313,982 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 8.4% |
| |||||||
Altria Group, Inc.† | 1,889 | 113,926 | ||||||
Archer-Daniels-Midland Co.† | 809 | 40,668 | ||||||
Conagra Brands, Inc.† | 571 | 19,397 | ||||||
Kellogg Co.† | 496 | 34,730 | ||||||
Kraft Heinz Co. (The)† | 858 | 47,284 | ||||||
Molson Coors Brewing Co., Class B† | 23 | 1,414 | ||||||
PepsiCo, Inc.† | 905 | 101,179 | ||||||
Philip Morris International, Inc.† | 1,902 | 155,089 | ||||||
|
| |||||||
513,687 | ||||||||
|
| |||||||
Health Care Equipment & Services — 15.1% |
| |||||||
Aetna, Inc.† | 489 | 99,194 | ||||||
AmerisourceBergen Corp.† | 200 | 18,444 | ||||||
Anthem, Inc.† | 367 | 100,576 |
The accompanying notes are an integral part of the financial statements.
75
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Becton Dickinson and Co. | 59 | $ | 15,399 | |||||
Cardinal Health, Inc.† | 454 | 24,516 | ||||||
Centene Corp.†* | 293 | 42,421 | ||||||
Cigna Corp.† | 354 | 73,720 | ||||||
CVS Health Corp.† | 650 | 51,168 | ||||||
Danaher Corp. | 47 | 5,107 | ||||||
DaVita, Inc.* | 156 | 11,174 | ||||||
Envision Healthcare Corp.* | 177 | 8,094 | ||||||
Express Scripts Holding Co.†* | 409 | 38,859 | ||||||
HCA Healthcare, Inc.† | 500 | 69,560 | ||||||
Humana, Inc.† | 199 | 67,365 | ||||||
Laboratory Corp. of America Holdings†* | 158 | 27,441 | ||||||
McKesson Corp.† | 265 | 35,152 | ||||||
Medtronic PLC (Ireland)† | 1,120 | 110,174 | ||||||
ResMed, Inc.† | 204 | 23,529 | ||||||
UnitedHealth Group, Inc.† | 318 | 84,601 | ||||||
WellCare Health Plans, Inc.†* | 64 | 20,511 | ||||||
|
| |||||||
927,005 | ||||||||
|
| |||||||
Household & Personal Products — 4.9% |
| |||||||
Church & Dwight Co., Inc.†(a) | 362 | 21,492 | ||||||
Clorox Co. (The)† | 184 | 27,675 | ||||||
Colgate-Palmolive Co.† | 1,273 | 85,227 | ||||||
Kimberly-Clark Corp.† | 420 | 47,729 | ||||||
Procter & Gamble Co. (The)† | 1,413 | 117,604 | ||||||
|
| |||||||
299,727 | ||||||||
|
| |||||||
Insurance — 2.3% | ||||||||
Aflac, Inc. | 92 | 4,330 | ||||||
Arthur J Gallagher & Co.† | 267 | 19,875 | ||||||
Loews Corp.† | 457 | 22,955 | ||||||
Marsh & McLennan Cos., Inc. | 318 | 26,305 | ||||||
Progressive Corp. (The)† | 856 | 60,810 | ||||||
Torchmark Corp.† | 83 | 7,195 | ||||||
|
| |||||||
141,470 | ||||||||
|
| |||||||
Materials — 3.1% | ||||||||
Avery Dennison Corp.† | 22 | 2,384 | ||||||
CF Industries Holdings, Inc.† | 336 | 18,292 | ||||||
Eastman Chemical Co.† | 133 | 12,731 | ||||||
FMC Corp.† | 194 | 16,913 | ||||||
Freeport-McMoRan, Inc.† | 1,354 | 18,848 | ||||||
International Paper Co.† | 45 | 2,212 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 493 | 50,537 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Materials — (Continued) | ||||||||
Praxair, Inc.† | 207 | $ | 33,271 | |||||
Sealed Air Corp.(a) | 229 | 9,194 | ||||||
Sherwin-Williams Co. (The) | 17 | 7,739 | ||||||
WestRock Co.† | 369 | 19,719 | ||||||
|
| |||||||
191,840 | ||||||||
|
| |||||||
Media — 5.0% | ||||||||
CBS Corp., Class B, non-voting shares† | 150 | 8,618 | ||||||
Comcast Corp., Class A† | 113 | 4,001 | ||||||
DISH Network Corp., Class A†* | 681 | 24,353 | ||||||
Interpublic Group of Cos., Inc. | 398 | 9,102 | ||||||
News Corp., Class A† | 469 | 6,186 | ||||||
Omnicom Group, Inc. | 173 | 11,767 | ||||||
Twenty-First Century Fox, Inc., Class A† | 2,675 | 123,933 | ||||||
Viacom, Inc., Class B | 45 | 1,519 | ||||||
Walt Disney Co. (The)† | 990 | 115,771 | ||||||
|
| |||||||
305,250 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 6.6% |
| |||||||
AbbVie, Inc.† | 575 | 54,384 | ||||||
Amgen, Inc.† | 249 | 51,615 | ||||||
Biogen, Inc.†* | 142 | 50,170 | ||||||
Celgene Corp.†* | 849 | 75,977 | ||||||
Gilead Sciences, Inc.† | 196 | 15,133 | ||||||
Johnson & Johnson† | 816 | 112,747 | ||||||
Merck & Co., Inc.† | 417 | 29,582 | ||||||
Nektar Therapeutics†(a) * | 248 | 15,118 | ||||||
|
| |||||||
404,726 | ||||||||
|
| |||||||
Real Estate — 0.4% | ||||||||
Realty Income Corp., REIT(a) | 217 | 12,345 | ||||||
UDR, Inc., REIT | 55 | 2,224 | ||||||
Weyerhaeuser Co., REIT† | 377 | 12,166 | ||||||
|
| |||||||
26,735 | ||||||||
|
| |||||||
Retailing — 8.9% | ||||||||
Advance Auto Parts, Inc.† | 107 | 18,011 | ||||||
Amazon.com, Inc.* | 2 | 4,006 | ||||||
AutoZone, Inc.†* | 36 | 27,925 | ||||||
Best Buy Co., Inc. | 15 | 1,190 | ||||||
Booking Holdings, Inc.†* | 36 | 71,424 | ||||||
Dollar General Corp.† | 297 | 32,462 | ||||||
Foot Locker, Inc.(a) | 157 | 8,004 | ||||||
Genuine Parts Co.† | 212 | 21,073 | ||||||
Home Depot, Inc. (The)† | 753 | 155,984 |
The accompanying notes are an integral part of the financial statements.
76
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
Kohl’s Corp.† | 226 | $ | 16,848 | |||||
Lowe’s Cos., Inc.† | 1,171 | 134,454 | ||||||
O’Reilly Automotive, Inc.†* | 2 | 695 | ||||||
Target Corp.† | 27 | 2,382 | ||||||
Tiffany & Co.† | 185 | 23,859 | ||||||
TJX Cos., Inc. (The)† | 279 | 31,254 | ||||||
|
| |||||||
549,571 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.3% |
| |||||||
Intel Corp.† | 87 | 4,114 | ||||||
KLA-Tencor Corp.† | 54 | 5,492 | ||||||
Lam Research Corp.† | 5 | 759 | ||||||
Micron Technology, Inc.†* | 1,884 | 85,213 | ||||||
Texas Instruments, Inc.† | 420 | 45,062 | ||||||
|
| |||||||
140,640 | ||||||||
|
| |||||||
Software & Services — 10.2% | ||||||||
Accenture PLC, Class A (Ireland)† | 883 | 150,287 | ||||||
Alliance Data Systems Corp.† | 80 | 18,893 | ||||||
Automatic Data Processing, Inc.† | 644 | 97,025 | ||||||
Broadridge Financial Solutions, Inc.† | 170 | 22,432 | ||||||
CA, Inc.† | 608 | 26,843 | ||||||
Citrix Systems, Inc.†* | 127 | 14,117 | ||||||
DXC Technology Co.† | 435 | 40,681 | ||||||
eBay, Inc.†* | 421 | 13,901 | ||||||
International Business Machines Corp.† | 78 | 11,794 | ||||||
Intuit, Inc.† | 375 | 85,275 | ||||||
Oracle Corp.† | 1,310 | 67,544 | ||||||
Paychex, Inc.† | 547 | 40,287 | ||||||
Total System Services, Inc. | 1 | 99 | ||||||
Visa, Inc., Class A† | 270 | 40,524 | ||||||
|
| |||||||
629,702 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 8.4% |
| |||||||
Apple, Inc.† | 523 | 118,062 | ||||||
Cisco Systems, Inc.† | 2,804 | 136,415 | ||||||
F5 Networks, Inc.†* | 89 | 17,748 | ||||||
FLIR Systems, Inc.† | 200 | 12,294 | ||||||
Hewlett Packard Enterprise Co. | 1,641 | 26,765 | ||||||
HP, Inc.† | 2,473 | 63,729 | ||||||
Motorola Solutions, Inc.† | 153 | 19,911 | ||||||
NetApp, Inc.† | 401 | 34,442 | ||||||
Seagate Technology PLC | 198 | 9,375 | ||||||
TE Connectivity Ltd. (Switzerland)† | 503 | 44,229 | ||||||
Western Digital Corp.† | 428 | 25,055 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Xerox Corp.† | 369 | $ | 9,956 | |||||
|
| |||||||
517,981 | ||||||||
|
| |||||||
Telecommunication Services — 2.6% |
| |||||||
CenturyLink, Inc.† | 418 | 8,862 | ||||||
Verizon Communications, Inc.† | 2,810 | 150,026 | ||||||
|
| |||||||
158,888 | ||||||||
|
| |||||||
Transportation — 3.6% | ||||||||
CSX Corp. | 272 | 20,142 | ||||||
Expeditors International of Washington, Inc.† | 268 | 19,706 | ||||||
FedEx Corp.† | 212 | 51,047 | ||||||
Norfolk Southern Corp.† | 272 | 49,096 | ||||||
Union Pacific Corp.† | 266 | 43,313 | ||||||
United Parcel Service, Inc., Class B† | 331 | 38,644 | ||||||
|
| |||||||
221,948 | ||||||||
|
| |||||||
Utilities — 2.9% | ||||||||
CMS Energy Corp.† | 408 | 19,992 | ||||||
Dominion Energy, Inc. | 107 | 7,520 | ||||||
DTE Energy Co. | 116 | 12,659 | ||||||
FirstEnergy Corp.† | 714 | 26,539 | ||||||
NRG Energy, Inc.† | 483 | 18,064 | ||||||
PPL Corp.† | 1,009 | 29,523 | ||||||
Southern Co. (The)† | 719 | 31,348 | ||||||
WEC Energy Group, Inc.† | 456 | 30,443 | ||||||
|
| |||||||
176,088 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 7,490,992 | ||||||
|
| |||||||
TOTAL LONG POSITIONS - 121.8% |
| 7,490,992 | ||||||
|
| |||||||
(Cost $6,802,203) | ||||||||
SHORT POSITIONS — (96.6)% | ||||||||
COMMON STOCKS — (96.6)% | ||||||||
Automobiles & Components — (2.2)% |
| |||||||
Aptiv PLC (Jersey) | (303 | ) | (25,422 | ) | ||||
BorgWarner, Inc. | (46 | ) | (1,968 | ) | ||||
Ford Motor Co. | (4,802 | ) | (44,418 | ) | ||||
General Motors Co. | (1,618 | ) | (54,478 | ) | ||||
Goodyear Tire & Rubber Co. (The) | (272 | ) | (6,362 | ) | ||||
|
| |||||||
(132,648 | ) | |||||||
|
| |||||||
Banks — (7.9)% | ||||||||
Bank of America Corp. | (613 | ) | (18,059 | ) | ||||
BB&T Corp. | (879 | ) | (42,667 | ) |
The accompanying notes are an integral part of the financial statements.
77
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Banks — (Continued) | ||||||||
Citigroup, Inc. | (1,656 | ) | $ | (118,801 | ) | |||
Citizens Financial Group, Inc. | (549 | ) | (21,175 | ) | ||||
Comerica, Inc. | (195 | ) | (17,589 | ) | ||||
Fifth Third Bancorp. | (770 | ) | (21,498 | ) | ||||
Huntington Bancshares, Inc. | (1,254 | ) | (18,710 | ) | ||||
JPMorgan Chase & Co. | (5 | ) | (564 | ) | ||||
KeyCorp. | (1,293 | ) | (25,718 | ) | ||||
M&T Bank Corp. | (164 | ) | (26,985 | ) | ||||
People’s United Financial, Inc. | (388 | ) | (6,643 | ) | ||||
PNC Financial Services Group, Inc. (The) | (137 | ) | (18,658 | ) | ||||
Regions Financial Corp. | (1,266 | ) | (23,231 | ) | ||||
SunTrust Banks, Inc. | (529 | ) | (35,332 | ) | ||||
SVB Financial Group* | (5 | ) | (1,554 | ) | ||||
US Bancorp | (271 | ) | (14,312 | ) | ||||
Wells Fargo & Co. | (1,206 | ) | (63,387 | ) | ||||
Zions Bancorp NA | (232 | ) | (11,635 | ) | ||||
|
| |||||||
(486,518 | ) | |||||||
|
| |||||||
Capital Goods — (8.0)% | ||||||||
AO Smith Corp. | (196 | ) | (10,461 | ) | ||||
Cummins, Inc. | (185 | ) | (27,023 | ) | ||||
Deere & Co. | (321 | ) | (48,256 | ) | ||||
Eaton Corp. PLC (Ireland) | (104 | ) | (9,020 | ) | ||||
Fastenal Co. | (325 | ) | (18,856 | ) | ||||
Fluor Corp. | (29 | ) | (1,685 | ) | ||||
Fortune Brands Home & Security, Inc. | (181 | ) | (9,477 | ) | ||||
General Dynamics Corp. | (339 | ) | (69,400 | ) | ||||
General Electric Co. | (4,444 | ) | (50,173 | ) | ||||
Ingersoll-Rand PLC (Ireland) | (11 | ) | (1,125 | ) | ||||
Johnson Controls International PLC (Ireland) | (1,099 | ) | (38,465 | ) | ||||
Lockheed Martin Corp. | (120 | ) | (41,515 | ) | ||||
Masco Corp. | (366 | ) | (13,396 | ) | ||||
Northrop Grumman Corp. | (199 | ) | (63,157 | ) | ||||
PACCAR, Inc. | (398 | ) | (27,140 | ) | ||||
Quanta Services, Inc.* | (185 | ) | (6,175 | ) | ||||
Rockwell Collins, Inc. | (82 | ) | (11,519 | ) | ||||
Stanley Black & Decker, Inc. | (175 | ) | (25,627 | ) | ||||
TransDigm Group, Inc.* | (1 | ) | (372 | ) | ||||
Xylem, Inc. | (205 | ) | (16,373 | ) | ||||
|
| |||||||
(489,215 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.8)% |
| |||||||
Cintas Corp. | (92 | ) | (18,199 | ) | ||||
Equifax, Inc. | (138 | ) | (18,019 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
IHS Markit Ltd. (Bermuda)* | (45 | ) | $ | (2,428 | ) | |||
Nielsen Holdings PLC (United Kingdom) | (423 | ) | (11,700 | ) | ||||
|
| |||||||
(50,346 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.3)% |
| |||||||
DR Horton, Inc. | (432 | ) | (18,222 | ) | ||||
Hanesbrands, Inc. | (412 | ) | (7,593 | ) | ||||
Hasbro, Inc. | (146 | ) | (15,348 | ) | ||||
Leggett & Platt, Inc. | (157 | ) | (6,875 | ) | ||||
Mattel, Inc.* | (395 | ) | (6,201 | ) | ||||
Newell Brands, Inc. | (556 | ) | (11,287 | ) | ||||
PulteGroup, Inc. | (326 | ) | (8,075 | ) | ||||
PVH Corp. | (90 | ) | (12,996 | ) | ||||
Under Armour, Inc., Class C* | (514 | ) | (10,002 | ) | ||||
VF Corp. | (449 | ) | (41,959 | ) | ||||
|
| |||||||
(138,558 | ) | |||||||
|
| |||||||
Consumer Services — (2.7)% | ||||||||
Carnival Corp. (Panama) | (710 | ) | (45,277 | ) | ||||
Hilton Worldwide Holdings, Inc. | (133 | ) | (10,744 | ) | ||||
MGM Resorts International | (684 | ) | (19,090 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (266 | ) | (15,276 | ) | ||||
Royal Caribbean Cruises Ltd. (Liberia) | (251 | ) | (32,615 | ) | ||||
Starbucks Corp. | (506 | ) | (28,761 | ) | ||||
Wynn Resorts Ltd. | (124 | ) | (15,755 | ) | ||||
|
| |||||||
(167,518 | ) | |||||||
|
| |||||||
Diversified Financials — (6.7)% | ||||||||
Ameriprise Financial, Inc. | (163 | ) | (24,069 | ) | ||||
Bank of New York Mellon Corp. (The) | (1,135 | ) | (57,874 | ) | ||||
Capital One Financial Corp. | (543 | ) | (51,547 | ) | ||||
Cboe Global Markets, Inc. | (4 | ) | (384 | ) | ||||
Charles Schwab Corp. (The) | (455 | ) | (22,363 | ) | ||||
Discover Financial Services | (251 | ) | (19,189 | ) | ||||
E*TRADE Financial Corp.* | (80 | ) | (4,191 | ) | ||||
Goldman Sachs Group, Inc. (The) | (234 | ) | (52,472 | ) | ||||
Intercontinental Exchange, Inc. | (29 | ) | (2,172 | ) | ||||
Jefferies Financial Group, Inc. | (429 | ) | (9,421 | ) | ||||
Morgan Stanley | (1,656 | ) | (77,120 | ) | ||||
Northern Trust Corp. | (253 | ) | (25,839 | ) | ||||
Raymond James Financial, Inc. | (165 | ) | (15,188 | ) | ||||
State Street Corp. | (269 | ) | (22,537 | ) |
The accompanying notes are an integral part of the financial statements.
78
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Synchrony Financial | (898 | ) | $ | (27,910 | ) | |||
|
| |||||||
(412,276 | ) | |||||||
|
| |||||||
Energy — (7.4)% | ||||||||
Anadarko Petroleum Corp. | (630 | ) | (42,468 | ) | ||||
Andeavor | (177 | ) | (27,169 | ) | ||||
Cabot Oil & Gas Corp. | (505 | ) | (11,373 | ) | ||||
Cimarex Energy Co. | (115 | ) | (10,688 | ) | ||||
Concho Resources, Inc.* | (133 | ) | (20,316 | ) | ||||
EOG Resources, Inc. | (282 | ) | (35,975 | ) | ||||
EQT Corp. | (319 | ) | (14,109 | ) | ||||
Halliburton Co. | (998 | ) | (40,449 | ) | ||||
Helmerich & Payne, Inc. | (84 | ) | (5,777 | ) | ||||
Kinder Morgan, Inc. | (2,531 | ) | (44,875 | ) | ||||
National Oilwell Varco, Inc. | (451 | ) | (19,429 | ) | ||||
Newfield Exploration Co.* | (224 | ) | (6,458 | ) | ||||
Noble Energy, Inc. | (557 | ) | (17,373 | ) | ||||
Pioneer Natural Resources Co. | (205 | ) | (35,709 | ) | ||||
Schlumberger Ltd. (Curacao) | (1,597 | ) | (97,289 | ) | ||||
Williams Cos., Inc. (The) | (998 | ) | (27,136 | ) | ||||
|
| |||||||
(456,593 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.1)% |
| |||||||
Costco Wholesale Corp. | (21 | ) | (4,932 | ) | ||||
|
| |||||||
Food, Beverage & Tobacco — (2.8)% |
| |||||||
Brown-Forman Corp., Class B | (547 | ) | (27,651 | ) | ||||
Coca-Cola Co. (The) | (23 | ) | (1,062 | ) | ||||
Constellation Brands, Inc., Class A | (218 | ) | (47,005 | ) | ||||
Hershey Co. (The) | (71 | ) | (7,242 | ) | ||||
Hormel Foods Corp. | (613 | ) | (24,152 | ) | ||||
JM Smucker Co. (The) | (130 | ) | (13,339 | ) | ||||
McCormick & Co., Inc., non-voting shares | (139 | ) | (18,313 | ) | ||||
Monster Beverage Corp.* | (368 | ) | (21,447 | ) | ||||
Tyson Foods, Inc., Class A | (157 | ) | (9,346 | ) | ||||
|
| |||||||
(169,557 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (4.2)% |
| |||||||
Abbott Laboratories | (370 | ) | (27,143 | ) | ||||
ABIOMED, Inc.* | (51 | ) | (22,937 | ) | ||||
Baxter International, Inc. | (615 | ) | (47,410 | ) | ||||
Boston Scientific Corp.* | (263 | ) | (10,125 | ) | ||||
Cerner Corp.* | (414 | ) | (26,666 | ) | ||||
DENTSPLY SIRONA, Inc. | (262 | ) | (9,888 | ) | ||||
Henry Schein, Inc.* | (120 | ) | (10,204 | ) | ||||
Hologic, Inc.* | (333 | ) | (13,646 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Stryker Corp. | (178 | ) | $ | (31,627 | ) | |||
Universal Health Services, Inc., Class B | (107 | ) | (13,679 | ) | ||||
Varian Medical Systems, Inc.* | (104 | ) | (11,641 | ) | ||||
Zimmer Biomet Holdings, Inc. | (244 | ) | (32,079 | ) | ||||
|
| |||||||
(257,045 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.2)% |
| |||||||
Coty, Inc., Class A | (906 | ) | (11,379 | ) | ||||
Estee Lauder Cos., Inc. (The), | (15 | ) | (2,180 | ) | ||||
|
| |||||||
(13,559 | ) | |||||||
|
| |||||||
Insurance — (4.9)% | ||||||||
Allstate Corp. (The) | (303 | ) | (29,906 | ) | ||||
American International Group, Inc. | (1,021 | ) | (54,358 | ) | ||||
Aon PLC (United Kingdom) | (278 | ) | (42,751 | ) | ||||
Assurant, Inc. | (71 | ) | (7,664 | ) | ||||
Brighthouse Financial, Inc.* | (138 | ) | (6,105 | ) | ||||
Chubb Ltd. (Switzerland) | (99 | ) | (13,230 | ) | ||||
Cincinnati Financial Corp. | (184 | ) | (14,133 | ) | ||||
Everest Re Group Ltd. (Bermuda) | (46 | ) | (10,510 | ) | ||||
Hartford Financial Services Group, Inc. (The) | (127 | ) | (6,345 | ) | ||||
Lincoln National Corp. | (247 | ) | (16,712 | ) | ||||
MetLife, Inc. | (136 | ) | (6,354 | ) | ||||
Principal Financial Group, Inc. | (324 | ) | (18,983 | ) | ||||
Prudential Financial, Inc. | (145 | ) | (14,691 | ) | ||||
Travelers Cos., Inc. (The) | (217 | ) | (28,147 | ) | ||||
Unum Group | (249 | ) | (9,728 | ) | ||||
Willis Towers Watson PLC (Ireland) | (160 | ) | (22,550 | ) | ||||
|
| |||||||
(302,167 | ) | |||||||
|
| |||||||
Materials — (3.1)% | ||||||||
Air Products & Chemicals, Inc. | (253 | ) | (42,264 | ) | ||||
Albemarle Corp. | (134 | ) | (13,371 | ) | ||||
Ball Corp. | (28 | ) | (1,232 | ) | ||||
DowDuPont, Inc. | (135 | ) | (8,682 | ) | ||||
Ecolab, Inc. | (182 | ) | (28,534 | ) | ||||
International Flavors & Fragrances, Inc. | (91 | ) | (12,660 | ) | ||||
Martin Marietta Materials, Inc. | (76 | ) | (13,828 | ) | ||||
Newmont Mining Corp. | (645 | ) | (19,479 | ) | ||||
PPG Industries, Inc. | (296 | ) | (32,302 | ) | ||||
Vulcan Materials Co. | (159 | ) | (17,681 | ) | ||||
|
| |||||||
(190,033 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
79
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (1.2)% | ||||||||
Charter Communications, Inc., Class A* | (234 | ) | $ | (76,256 | ) | |||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (5.4)% |
| |||||||
Agilent Technologies, Inc. | (366 | ) | (25,818 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (268 | ) | (37,255 | ) | ||||
Allergan PLC (Ireland) | (78 | ) | (14,857 | ) | ||||
Incyte Corp.* | (263 | ) | (18,168 | ) | ||||
Mettler-Toledo International, Inc.* | (26 | ) | (15,833 | ) | ||||
Mylan NV (Netherlands)* | (596 | ) | (21,814 | ) | ||||
PerkinElmer, Inc. | (3 | ) | (292 | ) | ||||
Perrigo Co. PLC (Ireland) | (162 | ) | (11,470 | ) | ||||
Pfizer, Inc. | (1,209 | ) | (53,281 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (140 | ) | (56,566 | ) | ||||
Thermo Fisher Scientific, Inc. | (240 | ) | (58,579 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (2 | ) | (385 | ) | ||||
Waters Corp.* | (89 | ) | (17,327 | ) | ||||
Zoetis, Inc. | (9 | ) | (824 | ) | ||||
|
| |||||||
(332,469 | ) | |||||||
|
| |||||||
Real Estate — (7.0)% | ||||||||
American Tower Corp., REIT | (404 | ) | (58,701 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (179 | ) | (7,899 | ) | ||||
AvalonBay Communities, Inc., REIT | (20 | ) | (3,623 | ) | ||||
Boston Properties, Inc., REIT | (187 | ) | (23,018 | ) | ||||
CBRE Group, Inc., Class A* | (389 | ) | (17,155 | ) | ||||
Crown Castle International Corp., REIT | (224 | ) | (24,938 | ) | ||||
Duke Realty Corp., REIT | (410 | ) | (11,632 | ) | ||||
Equinix, Inc., REIT | (59 | ) | (25,540 | ) | ||||
Essex Property Trust, Inc., REIT | (77 | ) | (18,997 | ) | ||||
Federal Realty Investment Trust, REIT | (89 | ) | (11,256 | ) | ||||
HCP, Inc., REIT | (539 | ) | (14,186 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (848 | ) | (17,893 | ) | ||||
Iron Mountain, Inc., REIT | (342 | ) | (11,806 | ) | ||||
Kimco Realty Corp., REIT | (515 | ) | (8,621 | ) | ||||
Macerich Co. (The), REIT | (170 | ) | (9,399 | ) | ||||
Mid-America Apartment Communities, Inc., REIT | (7 | ) | (701 | ) | ||||
Prologis, Inc., REIT | (611 | ) | (41,420 | ) | ||||
Regency Centers Corp., REIT | (194 | ) | (12,546 | ) | ||||
SBA Communications Corp., REIT* | (140 | ) | (22,488 | ) | ||||
Simon Property Group, Inc., REIT | (340 | ) | (60,095 | ) | ||||
SL Green Realty Corp., REIT | (113 | ) | (11,021 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) | ||||||||
Ventas, Inc., REIT | (69 | ) | $ | (3,752 | ) | |||
Vornado Realty Trust, REIT | (230 | ) | (16,790 | ) | ||||
|
| |||||||
(433,477 | ) | |||||||
|
| |||||||
Retailing — (1.8)% | ||||||||
Dollar Tree, Inc.* | (273 | ) | (22,263 | ) | ||||
Gap, Inc. (The) | (442 | ) | (12,752 | ) | ||||
L Brands, Inc. | (320 | ) | (9,696 | ) | ||||
LKQ Corp.* | (373 | ) | (11,813 | ) | ||||
Macy’s, Inc. | (352 | ) | (12,225 | ) | ||||
Netflix, Inc.* | (43 | ) | (16,088 | ) | ||||
TripAdvisor, Inc.* | (76 | ) | (3,881 | ) | ||||
Ulta Beauty, Inc.* | (68 | ) | (19,184 | ) | ||||
|
| |||||||
(107,902 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (6.2)% |
| |||||||
Applied Materials, Inc. | (866 | ) | (33,471 | ) | ||||
Broadcom, Inc. | (450 | ) | (111,028 | ) | ||||
Microchip Technology, Inc. | (316 | ) | (24,936 | ) | ||||
NVIDIA Corp. | (454 | ) | (127,583 | ) | ||||
Qorvo, Inc.* | (144 | ) | (11,072 | ) | ||||
QUALCOMM, Inc. | (398 | ) | (28,668 | ) | ||||
Skyworks Solutions, Inc. | (206 | ) | (18,686 | ) | ||||
Xilinx, Inc. | (308 | ) | (24,692 | ) | ||||
|
| |||||||
(380,136 | ) | |||||||
|
| |||||||
Software & Services — (10.7)% | ||||||||
Adobe, Inc.* | (276 | ) | (74,506 | ) | ||||
Akamai Technologies, Inc.* | (192 | ) | (14,045 | ) | ||||
Alphabet, Inc., Class A* | (102 | ) | (123,122 | ) | ||||
Cadence Design Systems, Inc.* | (80 | ) | (3,626 | ) | ||||
Electronic Arts, Inc.* | (148 | ) | (17,833 | ) | ||||
Facebook, Inc., Class A* | (679 | ) | (111,668 | ) | ||||
Fidelity National Information Services, Inc. | (380 | ) | (41,447 | ) | ||||
Gartner, Inc.* | (14 | ) | (2,219 | ) | ||||
PayPal Holdings, Inc.* | (1,336 | ) | (117,354 | ) | ||||
Red Hat, Inc.* | (212 | ) | (28,891 | ) | ||||
salesforce.com, Inc.* | (234 | ) | (37,213 | ) | ||||
Symantec Corp. | (718 | ) | (15,279 | ) | ||||
Synopsys, Inc.* | (171 | ) | (16,862 | ) | ||||
Twitter, Inc.* | (874 | ) | (24,874 | ) | ||||
VeriSign, Inc.* | (134 | ) | (21,456 | ) | ||||
Western Union Co. (The) | (555 | ) | (10,578 | ) | ||||
|
| |||||||
(660,973 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
80
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments (Concluded)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (0.8)% |
| |||||||
Arista Networks, Inc.* | (88 | ) | $ | (23,396 | ) | |||
Corning, Inc. | (106 | ) | (3,742 | ) | ||||
IPG Photonics Corp.* | (62 | ) | (9,676 | ) | ||||
Juniper Networks, Inc. | (404 | ) | (12,108 | ) | ||||
|
| |||||||
(48,922 | ) | |||||||
|
| |||||||
Telecommunication Services — (1.8)% |
| |||||||
AT&T, Inc. | (3,350 | ) | (112,493 | ) | ||||
|
| |||||||
Transportation — (2.4)% | ||||||||
Alaska Air Group, Inc. | (146 | ) | (10,054 | ) | ||||
American Airlines Group, Inc. | (524 | ) | (21,657 | ) | ||||
Delta Air Lines, Inc. | (833 | ) | (48,172 | ) | ||||
JB Hunt Transport Services, Inc. | (132 | ) | (15,700 | ) | ||||
Kansas City Southern | (122 | ) | (13,820 | ) | ||||
Southwest Airlines Co. | (657 | ) | (41,030 | ) | ||||
|
| |||||||
(150,433 | ) | |||||||
|
| |||||||
Utilities — (6.0)% | ||||||||
Alliant Energy Corp. | (267 | ) | (11,366 | ) | ||||
Ameren Corp. | (281 | ) | (17,765 | ) | ||||
American Water Works Co., Inc. | (215 | ) | (18,914 | ) | ||||
CenterPoint Energy, Inc. | (494 | ) | (13,659 | ) | ||||
Consolidated Edison, Inc. | (237 | ) | (18,057 | ) | ||||
Duke Energy Corp. | (320 | ) | (25,606 | ) | ||||
Edison International | (373 | ) | (25,245 | ) | ||||
Entergy Corp. | (207 | ) | (16,794 | ) | ||||
Eversource Energy | (359 | ) | (22,057 | ) | ||||
NextEra Energy, Inc. | (435 | ) | (72,906 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) | ||||||||
NiSource, Inc. | (415 | ) | $ | (10,342 | ) | |||
PG&E Corp. | (468 | ) | (21,533 | ) | ||||
Pinnacle West Capital Corp. | (129 | ) | (10,214 | ) | ||||
Public Service Enterprise Group, Inc. | (577 | ) | (30,460 | ) | ||||
SCANA Corp. | (169 | ) | (6,572 | ) | ||||
Sempra Energy | (185 | ) | (21,044 | ) | ||||
Xcel Energy, Inc. | (582 | ) | (27,476 | ) | ||||
|
| |||||||
(370,010 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK | (5,944,036 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (96.6)% |
| (5,944,036 | ) | |||||
|
| |||||||
(Proceeds $6,039,552) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 74.8% | 4,602,417 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 6,149,373 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
(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 HEDGED PLUS FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
LONG POSITIONS — 148.3% | ||||||||
COMMON STOCKS — 148.3% | ||||||||
Automobiles & Components — 0.2% |
| |||||||
BorgWarner, Inc. | 12 | $ | 513 | |||||
Harley-Davidson, Inc. | 106 | 4,802 | ||||||
|
| |||||||
5,315 | ||||||||
|
| |||||||
Banks — 1.6% | ||||||||
Bank of America Corp.† | 544 | 16,026 | ||||||
Comerica, Inc. | 7 | 631 | ||||||
JPMorgan Chase & Co.† | 207 | 23,358 | ||||||
PNC Financial Services Group, Inc. (The)† | 15 | 2,043 | ||||||
SVB Financial Group* | 3 | 932 | ||||||
US Bancorp | 9 | 475 | ||||||
|
| |||||||
43,465 | ||||||||
|
| |||||||
Capital Goods — 14.9% | ||||||||
3M Co.† | 166 | 34,978 | ||||||
AMETEK, Inc.† | 53 | 4,193 | ||||||
Arconic, Inc. | 30 | 660 | ||||||
Boeing Co. (The)† | 178 | 66,198 | ||||||
Caterpillar, Inc.† | 163 | 24,856 | ||||||
Cummins, Inc.† | 48 | 7,011 | ||||||
Deere & Co.† | 8 | 1,203 | ||||||
Dover Corp.† | 94 | 8,322 | ||||||
Eaton Corp. PLC (Ireland) | 24 | 2,082 | ||||||
Emerson Electric Co.† | 398 | 30,479 | ||||||
Fastenal Co. | 3 | 174 | ||||||
Fluor Corp. | 8 | 465 | ||||||
Fortive Corp.(a) | 22 | 1,852 | ||||||
Harris Corp.† | 75 | 12,691 | ||||||
Honeywell International, Inc.† | 372 | 61,901 | ||||||
Illinois Tool Works, Inc.† | 102 | 14,394 | ||||||
Jacobs Engineering Group, Inc. | 89 | 6,808 | ||||||
Parker-Hannifin Corp.† | 84 | 15,450 | ||||||
Pentair PLC (Ireland)† | 111 | 4,812 | ||||||
Raytheon Co.† | 17 | 3,513 | ||||||
Rockwell Automation, Inc.† | 36 | 6,751 | ||||||
Roper Technologies, Inc. | 7 | 2,073 | ||||||
Snap-on, Inc. | 37 | 6,793 | ||||||
Textron, Inc. | 16 | 1,144 | ||||||
TransDigm Group, Inc.* | 3 | 1,117 | ||||||
United Rentals, Inc.* | 52 | 8,507 | ||||||
United Technologies Corp. | 385 | 53,827 | ||||||
WW Grainger, Inc.† | 37 | 13,224 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
Xylem, Inc.† | 12 | $ | 958 | |||||
|
| |||||||
396,436 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.6% |
| |||||||
Cintas Corp. | 7 | 1,385 | ||||||
Copart, Inc.* | 15 | 773 | ||||||
Republic Services, Inc.† | 137 | 9,954 | ||||||
Robert Half International, Inc.† | 78 | 5,490 | ||||||
Verisk Analytics, Inc.* | 10 | 1,206 | ||||||
Waste Management, Inc.† | 269 | 24,307 | ||||||
|
| |||||||
43,115 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.6% |
| |||||||
Garmin Ltd. (Switzerland) | 120 | 8,406 | ||||||
Lennar Corp., Class A | 20 | 934 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)* | 69 | 4,731 | ||||||
Mohawk Industries, Inc.* | 4 | 701 | ||||||
NIKE, Inc., Class B | 172 | 14,572 | ||||||
Tapestry, Inc. | 180 | 9,049 | ||||||
Whirlpool Corp. | 42 | 4,988 | ||||||
|
| |||||||
43,381 | ||||||||
|
| |||||||
Consumer Services — 1.2% | ||||||||
Darden Restaurants, Inc.† | 45 | 5,004 | ||||||
H&R Block, Inc. | 13 | 335 | ||||||
Marriott International, Inc., Class A† | 21 | 2,773 | ||||||
McDonald’s Corp.† | 122 | 20,409 | ||||||
Yum! Brands, Inc.† | 39 | 3,545 | ||||||
|
| |||||||
32,066 | ||||||||
|
| |||||||
Diversified Financials — 7.6% | ||||||||
Affiliated Managers Group, Inc. | 34 | 4,648 | ||||||
American Express Co.† | 57 | 6,070 | ||||||
Berkshire Hathaway, Inc., Class B†* | 275 | 58,880 | ||||||
BlackRock, Inc.† | 81 | 38,178 | ||||||
Cboe Global Markets, Inc. | 5 | 480 | ||||||
Charles Schwab Corp. (The)† | 78 | 3,834 | ||||||
CME Group, Inc.† | 21 | 3,574 | ||||||
Discover Financial Services† | 14 | 1,070 | ||||||
E*TRADE Financial Corp.†* | 8 | 419 | ||||||
Franklin Resources, Inc. | 33 | 1,004 | ||||||
Intercontinental Exchange, Inc.† | 35 | 2,621 | ||||||
Invesco Ltd. (Bermuda) | 26 | 595 | ||||||
Moody’s Corp.† | 123 | 20,566 | ||||||
MSCI, Inc. | 23 | 4,080 | ||||||
Nasdaq, Inc.† | 108 | 9,266 |
The accompanying notes are an integral part of the financial statements.
82
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
S&P Global, Inc.† | 159 | $ | 31,067 | |||||
T Rowe Price Group, Inc.† | 160 | 17,469 | ||||||
|
| |||||||
203,821 | ||||||||
|
| |||||||
Energy — 11.5% | ||||||||
Chevron Corp.† | 475 | 58,083 | ||||||
ConocoPhillips† | 773 | 59,830 | ||||||
Devon Energy Corp.† | 325 | 12,980 | ||||||
Exxon Mobil Corp.† | 1,011 | 85,955 | ||||||
Hess Corp.† | 205 | 14,674 | ||||||
HollyFrontier Corp. | 112 | 7,829 | ||||||
Marathon Oil Corp.† | 542 | 12,618 | ||||||
Occidental Petroleum Corp.† | 163 | 13,394 | ||||||
ONEOK, Inc. | 2 | 136 | ||||||
Phillips 66† | 329 | 37,085 | ||||||
TechnipFMC PLC (United | 118 | 3,688 | ||||||
Valero Energy Corp.† | 8 | 910 | ||||||
|
| |||||||
307,182 | ||||||||
|
| |||||||
Food & Staples Retailing — 5.8% | ||||||||
Costco Wholesale Corp. | 27 | 6,342 | ||||||
Kroger Co. (The)† | 562 | 16,360 | ||||||
Sysco Corp.† | 331 | 24,246 | ||||||
Walgreens Boots Alliance, Inc.† | 424 | 30,910 | ||||||
Walmart, Inc.† | 812 | 76,255 | ||||||
|
| |||||||
154,113 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 8.5% |
| |||||||
Altria Group, Inc.† | 745 | 44,931 | ||||||
Archer-Daniels-Midland Co.† | 354 | 17,796 | ||||||
Coca-Cola Co. (The)† | 267 | 12,333 | ||||||
Conagra Brands, Inc.† | 230 | 7,813 | ||||||
Kellogg Co. | 163 | 11,413 | ||||||
Kraft Heinz Co. (The)† | 366 | 20,170 | ||||||
Molson Coors Brewing Co., | 18 | 1,107 | ||||||
Mondelez International, Inc., | 90 | 3,866 | ||||||
PepsiCo, Inc.† | 351 | 39,242 | ||||||
Philip Morris International, Inc.† | 841 | 68,575 | ||||||
|
| |||||||
227,246 | ||||||||
|
| |||||||
Health Care Equipment & Services — 16.6% |
| |||||||
Abbott Laboratories† | 106 | 7,776 | ||||||
Aetna, Inc.† | 208 | 42,193 | ||||||
AmerisourceBergen Corp.† | 114 | 10,513 | ||||||
Anthem, Inc.† | 160 | 43,848 | ||||||
Becton Dickinson and Co. | 41 | 10,701 | ||||||
Cardinal Health, Inc.† | 198 | 10,692 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Centene Corp.†* | 128 | $ | 18,532 | |||||
Cigna Corp.† | 160 | 33,320 | ||||||
CVS Health Corp.† | 319 | 25,112 | ||||||
Danaher Corp. | 66 | 7,172 | ||||||
DaVita, Inc.* | 64 | 4,584 | ||||||
Envision Healthcare Corp.* | 77 | 3,521 | ||||||
Express Scripts Holding Co.†* | 144 | 13,681 | ||||||
HCA Healthcare, Inc.† | 218 | 30,328 | ||||||
Humana, Inc.† | 87 | 29,451 | ||||||
Laboratory Corp. of America Holdings†* | 68 | 11,810 | ||||||
McKesson Corp.† | 123 | 16,316 | ||||||
Medtronic PLC (Ireland)† | 532 | 52,333 | ||||||
Quest Diagnostics, Inc. | 8 | 863 | ||||||
ResMed, Inc. | 89 | 10,265 | ||||||
UnitedHealth Group, Inc.† | 186 | 49,483 | ||||||
WellCare Health Plans, Inc.* | 29 | 9,294 | ||||||
|
| |||||||
441,788 | ||||||||
|
| |||||||
Household & Personal Products — 4.8% |
| |||||||
Church & Dwight Co., Inc.† | 156 | 9,262 | ||||||
Clorox Co. (The) | 81 | 12,183 | ||||||
Colgate-Palmolive Co.† | 544 | 36,421 | ||||||
Estee Lauder Cos., Inc. (The), | 15 | 2,180 | ||||||
Kimberly-Clark Corp.† | 144 | 16,364 | ||||||
Procter & Gamble Co. (The)† | 607 | 50,521 | ||||||
|
| |||||||
126,931 | ||||||||
|
| |||||||
Insurance — 2.3% | ||||||||
Aflac, Inc. | 51 | 2,401 | ||||||
Arthur J Gallagher & Co. | 116 | 8,635 | ||||||
Loews Corp.† | 198 | 9,946 | ||||||
Marsh & McLennan Cos., Inc.† | 107 | 8,851 | ||||||
Progressive Corp. (The)† | 368 | 26,143 | ||||||
Prudential Financial, Inc. | 13 | 1,317 | ||||||
Torchmark Corp. | 37 | 3,208 | ||||||
|
| |||||||
60,501 | ||||||||
|
| |||||||
Materials — 3.7% | ||||||||
Avery Dennison Corp. | 10 | 1,084 | ||||||
CF Industries Holdings, Inc. | 147 | 8,003 | ||||||
Eastman Chemical Co.† | 42 | 4,020 | ||||||
FMC Corp. | 85 | 7,410 | ||||||
Freeport-McMoRan, Inc.† | 925 | 12,876 | ||||||
International Paper Co.† | 2 | 98 |
The accompanying notes are an integral part of the financial statements.
83
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) | ||||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 257 | $ | 26,345 | |||||
Nucor Corp. | 19 | 1,206 | ||||||
Packaging Corp. of America | 7 | 768 | ||||||
Praxair, Inc.† | 121 | 19,448 | ||||||
Sealed Air Corp. | 101 | 4,055 | ||||||
Sherwin-Williams Co. (The) | 9 | 4,097 | ||||||
WestRock Co.† | 162 | 8,657 | ||||||
|
| |||||||
98,067 | ||||||||
|
| |||||||
Media — 5.4% | ||||||||
CBS Corp., Class B, non-voting shares† | 61 | 3,504 | ||||||
Comcast Corp., Class A† | 282 | 9,986 | ||||||
DISH Network Corp., Class A†* | 296 | 10,585 | ||||||
Interpublic Group of Cos., Inc. (The) | 246 | 5,626 | ||||||
News Corp., Class A† | 287 | 3,786 | ||||||
Omnicom Group, Inc. | 13 | 884 | ||||||
Twenty-First Century Fox, Inc., Class A† | 1,171 | 54,252 | ||||||
Viacom, Inc., Class B | 25 | 844 | ||||||
Walt Disney Co. (The)† | 458 | 53,559 | ||||||
|
| |||||||
143,026 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 9.5% |
| |||||||
AbbVie, Inc.† | 424 | 40,102 | ||||||
Amgen, Inc.† | 129 | 26,740 | ||||||
Biogen, Inc.†* | 77 | 27,205 | ||||||
Bristol-Myers Squibb Co. | 100 | 6,208 | ||||||
Celgene Corp.†* | 288 | 25,773 | ||||||
Eli Lilly & Co. | 66 | 7,082 | ||||||
Gilead Sciences, Inc.† | 232 | 17,913 | ||||||
Johnson & Johnson† | 470 | 64,940 | ||||||
Merck & Co., Inc.† | 178 | 12,627 | ||||||
Nektar Therapeutics* | 109 | 6,645 | ||||||
Pfizer, Inc.† | 318 | 14,014 | ||||||
Regeneron Pharmaceuticals, Inc.* | 4 | 1,616 | ||||||
Zoetis, Inc.† | 30 | 2,747 | ||||||
|
| |||||||
253,612 | ||||||||
|
| |||||||
Real Estate — 0.5% | ||||||||
Alexandria Real Estate Equities, Inc., REIT | 7 | 881 | ||||||
AvalonBay Communities, Inc., REIT | 3 | 543 | ||||||
Equity Residential, REIT | 22 | 1,458 | ||||||
Extra Space Storage, Inc., REIT | 7 | 606 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Real Estate — (Continued) | ||||||||
Mid-America Apartment Communities, Inc., REIT | 3 | $ | 301 | |||||
Public Storage, REIT | 10 | 2,016 | ||||||
Realty Income Corp., REIT | 17 | 967 | ||||||
UDR, Inc., REIT | 16 | 647 | ||||||
Ventas, Inc., REIT | 16 | 870 | ||||||
Welltower, Inc., REIT | 23 | 1,479 | ||||||
Weyerhaeuser Co., REIT† | 126 | 4,066 | ||||||
|
| |||||||
13,834 | ||||||||
|
| |||||||
Retailing — 11.1% | ||||||||
Advance Auto Parts, Inc. | 48 | 8,080 | ||||||
Amazon.com, Inc.†* | 5 | 10,015 | ||||||
AutoZone, Inc.†* | 15 | 11,635 | ||||||
Best Buy Co., Inc. | 17 | 1,349 | ||||||
Booking Holdings, Inc.†* | 25 | 49,600 | ||||||
CarMax, Inc.* | 23 | 1,717 | ||||||
Dollar General Corp.† | 167 | 18,253 | ||||||
Foot Locker, Inc. | 73 | 3,722 | ||||||
Genuine Parts Co.† | 93 | 9,244 | ||||||
Home Depot, Inc. (The)† | 371 | 76,853 | ||||||
Kohl’s Corp.† | 109 | 8,126 | ||||||
Lowe’s Cos., Inc.† | 510 | 58,558 | ||||||
Macy’s, Inc. | 16 | 556 | ||||||
O’Reilly Automotive, Inc.†* | 5 | 1,737 | ||||||
Ross Stores, Inc.† | 79 | 7,829 | ||||||
Target Corp.† | 39 | 3,440 | ||||||
Tiffany & Co.† | 80 | 10,318 | ||||||
TJX Cos., Inc. (The)† | 133 | 14,899 | ||||||
|
| |||||||
295,931 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.3% |
| |||||||
Analog Devices, Inc.† | 24 | 2,219 | ||||||
KLA-Tencor Corp.† | 25 | 2,543 | ||||||
Lam Research Corp. | 10 | 1,517 | ||||||
Micron Technology, Inc.†* | 841 | 38,038 | ||||||
QUALCOMM, Inc.† | 91 | 6,555 | ||||||
Texas Instruments, Inc.† | 98 | 10,514 | ||||||
|
| |||||||
61,386 | ||||||||
|
| |||||||
Software & Services — 15.2% | ||||||||
Accenture PLC, Class A (Ireland)† | 389 | 66,208 | ||||||
Alliance Data Systems Corp. | 35 | 8,266 | ||||||
Automatic Data Processing, Inc.† | 278 | 41,883 | ||||||
Broadridge Financial Solutions, Inc.† | 74 | 9,764 | ||||||
CA, Inc.† | 263 | 11,611 |
The accompanying notes are an integral part of the financial statements.
84
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Citrix Systems, Inc.* | 45 | $ | 5,002 | |||||
Cognizant Technology Solutions Corp., Class A† | 36 | 2,777 | ||||||
DXC Technology Co.† | 184 | 17,208 | ||||||
eBay, Inc.†* | 153 | 5,052 | ||||||
Electronic Arts, Inc.* | 18 | 2,169 | ||||||
Fiserv, Inc.* | 25 | 2,060 | ||||||
FleetCor Technologies, Inc.* | 5 | 1,139 | ||||||
International Business Machines Corp.† | 97 | 14,667 | ||||||
Intuit, Inc.† | 163 | 37,066 | ||||||
Mastercard, Inc., Class A† | 82 | 18,254 | ||||||
Microsoft Corp.† | 537 | 61,417 | ||||||
Oracle Corp.† | 785 | 40,475 | ||||||
Paychex, Inc.† | 233 | 17,160 | ||||||
VeriSign, Inc.* | 8 | 1,281 | ||||||
Visa, Inc., Class A† | 278 | 41,725 | ||||||
|
| |||||||
405,184 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 11.6% |
| |||||||
Amphenol Corp., Class A† | 20 | 1,880 | ||||||
Apple, Inc.† | 519 | 117,159 | ||||||
Cisco Systems, Inc.† | 1,530 | 74,434 | ||||||
F5 Networks, Inc.* | 39 | 7,777 | ||||||
FLIR Systems, Inc. | 87 | 5,348 | ||||||
Hewlett Packard Enterprise Co. | 929 | 15,152 | ||||||
HP, Inc.† | 1,070 | 27,574 | ||||||
Motorola Solutions, Inc.† | 69 | 8,980 | ||||||
NetApp, Inc.† | 173 | 14,859 | ||||||
Seagate Technology PLC (Ireland)† | 73 | 3,457 | ||||||
TE Connectivity Ltd. (Switzerland)† | 221 | 19,433 | ||||||
Western Digital Corp. | 169 | 9,893 | ||||||
Xerox Corp. | 162 | 4,371 | ||||||
|
| |||||||
310,317 | ||||||||
|
| |||||||
Telecommunication Services — 2.7% |
| |||||||
CenturyLink, Inc.† | 160 | 3,392 | ||||||
Verizon Communications, Inc.† | 1,273 | 67,965 | ||||||
|
| |||||||
71,357 | ||||||||
|
| |||||||
Transportation — 4.8% | ||||||||
CH Robinson Worldwide, Inc. | 9 | 881 | ||||||
CSX Corp. | 233 | 17,254 | ||||||
Expeditors International of Washington, Inc.† | 114 | 8,382 | ||||||
FedEx Corp.† | 112 | 26,968 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) | ||||||||
Norfolk Southern Corp.† | 150 | $ | 27,075 | |||||
Union Pacific Corp.† | 167 | 27,193 | ||||||
United Parcel Service, Inc., Class B† | 170 | 19,848 | ||||||
|
| |||||||
127,601 | ||||||||
|
| |||||||
Utilities — 3.3% | ||||||||
AES Corp.† | 41 | 574 | ||||||
CMS Energy Corp. | 178 | 8,722 | ||||||
Dominion Energy, Inc. | 87 | 6,114 | ||||||
DTE Energy Co. | 67 | 7,312 | ||||||
Evergy, Inc. | 5 | 275 | ||||||
Exelon Corp. | 49 | 2,139 | ||||||
FirstEnergy Corp.† | 306 | 11,374 | ||||||
NRG Energy, Inc. | 206 | 7,704 | ||||||
PPL Corp.† | 441 | 12,904 | ||||||
Southern Co. (The)† | 382 | 16,655 | ||||||
WEC Energy Group, Inc.† | 200 | 13,352 | ||||||
|
| |||||||
87,125 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 3,952,800 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 148.3% |
| 3,952,800 | ||||||
|
| |||||||
(Cost $3,508,878) | ||||||||
SHORT POSITIONS — (87.8)% | ||||||||
COMMON STOCKS — (87.8)% | ||||||||
Automobiles & Components — (2.1)% |
| |||||||
Aptiv PLC (Jersey) | (134 | ) | (11,243 | ) | ||||
Ford Motor Co. | (2,073 | ) | (19,175 | ) | ||||
General Motors Co. | (712 | ) | (23,973 | ) | ||||
Goodyear Tire & Rubber Co. (The) | (121 | ) | (2,830 | ) | ||||
|
| |||||||
(57,221 | ) | |||||||
|
| |||||||
Banks — (5.7)% | ||||||||
BB&T Corp. | (390 | ) | (18,931 | ) | ||||
Citigroup, Inc. | (659 | ) | (47,277 | ) | ||||
Citizens Financial Group, Inc. | (243 | ) | (9,373 | ) | ||||
Fifth Third Bancorp. | (341 | ) | (9,521 | ) | ||||
Huntington Bancshares, Inc. | (556 | ) | (8,296 | ) | ||||
KeyCorp. | (550 | ) | (10,940 | ) | ||||
M&T Bank Corp. | (73 | ) | (12,011 | ) | ||||
People’s United Financial, Inc. | (172 | ) | (2,945 | ) | ||||
Regions Financial Corp. | (561 | ) | (10,294 | ) | ||||
SunTrust Banks, Inc. | (188 | ) | (12,557 | ) | ||||
Wells Fargo & Co. | (87 | ) | (4,573 | ) |
The accompanying notes are an integral part of the financial statements.
85
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Banks — (Continued) | ||||||||
Zions Bancorp NA | (102 | ) | $ | (5,115 | ) | |||
|
| |||||||
(151,833 | ) | |||||||
|
| |||||||
Capital Goods — (6.5)% | ||||||||
Allegion PLC (Ireland) | (48 | ) | (4,347 | ) | ||||
AO Smith Corp. | (82 | ) | (4,376 | ) | ||||
Fortune Brands Home & Security, Inc. | (78 | ) | (4,084 | ) | ||||
General Dynamics Corp. | (150 | ) | (30,708 | ) | ||||
General Electric Co. | (1,254 | ) | (14,158 | ) | ||||
Huntington Ingalls Industries, Inc. | (23 | ) | (5,890 | ) | ||||
Ingersoll-Rand PLC (Ireland) | (2 | ) | (205 | ) | ||||
Johnson Controls International PLC (Ireland) | (475 | ) | (16,625 | ) | ||||
L3 Technologies, Inc. | (40 | ) | (8,505 | ) | ||||
Lockheed Martin Corp. | (35 | ) | (12,109 | ) | ||||
Masco Corp. | (160 | ) | (5,856 | ) | ||||
Northrop Grumman Corp. | (88 | ) | (27,929 | ) | ||||
PACCAR, Inc. | (177 | ) | (12,070 | ) | ||||
Quanta Services, Inc.* | (81 | ) | (2,704 | ) | ||||
Rockwell Collins, Inc. | (83 | ) | (11,659 | ) | ||||
Stanley Black & Decker, Inc. | (77 | ) | (11,276 | ) | ||||
|
| |||||||
(172,501 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.9)% |
| |||||||
Equifax, Inc. | (62 | ) | (8,095 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (201 | ) | (10,846 | ) | ||||
Nielsen Holdings PLC (United Kingdom) | (181 | ) | (5,006 | ) | ||||
|
| |||||||
(23,947 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.5)% |
| |||||||
DR Horton, Inc. | (192 | ) | (8,099 | ) | ||||
Hanesbrands, Inc. | (183 | ) | (3,373 | ) | ||||
Hasbro, Inc. | (65 | ) | (6,833 | ) | ||||
Leggett & Platt, Inc. | (68 | ) | (2,978 | ) | ||||
Mattel, Inc.* | (174 | ) | (2,732 | ) | ||||
Newell Brands, Inc. | (246 | ) | (4,994 | ) | ||||
PulteGroup, Inc. | (145 | ) | (3,592 | ) | ||||
PVH Corp. | (40 | ) | (5,776 | ) | ||||
Ralph Lauren Corp. | (41 | ) | (5,640 | ) | ||||
Under Armour, Inc., Class C* | (225 | ) | (4,378 | ) | ||||
VF Corp. | (201 | ) | (18,783 | ) | ||||
|
| |||||||
(67,178 | ) | |||||||
|
| |||||||
Consumer Services — (2.8)% | ||||||||
Carnival Corp. (Panama) | (308 | ) | (19,641 | ) | ||||
Hilton Worldwide Holdings, Inc. | (43 | ) | (3,474 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
MGM Resorts International | (295 | ) | $ | (8,233 | ) | |||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (115 | ) | (6,604 | ) | ||||
Royal Caribbean Cruises Ltd. (Liberia) | (108 | ) | (14,034 | ) | ||||
Starbucks Corp. | (263 | ) | (14,949 | ) | ||||
Wynn Resorts Ltd. | (55 | ) | (6,988 | ) | ||||
|
| |||||||
(73,923 | ) | |||||||
|
| |||||||
Diversified Financials — (5.2)% | ||||||||
Ameriprise Financial, Inc. | (72 | ) | (10,632 | ) | ||||
Bank of New York Mellon Corp. (The) | (504 | ) | (25,699 | ) | ||||
Capital One Financial Corp. | (241 | ) | (22,878 | ) | ||||
Goldman Sachs Group, Inc. (The) | (82 | ) | (18,388 | ) | ||||
Jefferies Financial Group, Inc. | (186 | ) | (4,085 | ) | ||||
Morgan Stanley | (534 | ) | (24,868 | ) | ||||
Northern Trust Corp. | (113 | ) | (11,541 | ) | ||||
Raymond James Financial, Inc. | (73 | ) | (6,720 | ) | ||||
State Street Corp. | (26 | ) | (2,178 | ) | ||||
Synchrony Financial | (384 | ) | (11,935 | ) | ||||
|
| |||||||
(138,924 | ) | |||||||
|
| |||||||
Energy — (8.0)% | ||||||||
Anadarko Petroleum Corp. | (273 | ) | (18,403 | ) | ||||
Andeavor | (77 | ) | (11,819 | ) | ||||
Cabot Oil & Gas Corp. | (224 | ) | (5,044 | ) | ||||
Cimarex Energy Co. | (49 | ) | (4,554 | ) | ||||
Concho Resources, Inc.* | (77 | ) | (11,762 | ) | ||||
EOG Resources, Inc. | (58 | ) | (7,399 | ) | ||||
EQT Corp. | (137 | ) | (6,060 | ) | ||||
Halliburton Co. | (443 | ) | (17,955 | ) | ||||
Helmerich & Payne, Inc. | (56 | ) | (3,851 | ) | ||||
Kinder Morgan, Inc. | (1,149 | ) | (20,372 | ) | ||||
Marathon Petroleum Corp. | (232 | ) | (18,553 | ) | ||||
National Oilwell Varco, Inc. | (195 | ) | (8,401 | ) | ||||
Newfield Exploration Co.* | (104 | ) | (2,998 | ) | ||||
Noble Energy, Inc. | (245 | ) | (7,642 | ) | ||||
Pioneer Natural Resources Co. | (80 | ) | (13,935 | ) | ||||
Schlumberger Ltd. (Curacao) | (710 | ) | (43,253 | ) | ||||
Williams Cos., Inc. (The) | (429 | ) | (11,665 | ) | ||||
|
| |||||||
(213,666 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (3.1)% |
| |||||||
Brown-Forman Corp., Class B | (242 | ) | (12,233 | ) | ||||
Campbell Soup Co. | (152 | ) | (5,568 | ) | ||||
Constellation Brands, Inc., Class A | (102 | ) | (21,993 | ) |
The accompanying notes are an integral part of the financial statements.
86
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
General Mills, Inc. | (27 | ) | $ | (1,159 | ) | |||
Hershey Co. (The) | (62 | ) | (6,324 | ) | ||||
Hormel Foods Corp. | (270 | ) | (10,638 | ) | ||||
JM Smucker Co. (The) | (57 | ) | (5,849 | ) | ||||
McCormick & Co., Inc., non-voting shares | (67 | ) | (8,827 | ) | ||||
Monster Beverage Corp.* | (122 | ) | (7,110 | ) | ||||
Tyson Foods, Inc., Class A | (42 | ) | (2,500 | ) | ||||
|
| |||||||
(82,201 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (4.4)% |
| |||||||
ABIOMED, Inc.* | (22 | ) | (9,894 | ) | ||||
Baxter International, Inc. | (271 | ) | (20,891 | ) | ||||
Boston Scientific Corp.* | (695 | ) | (26,757 | ) | ||||
Cerner Corp.* | (180 | ) | (11,594 | ) | ||||
DENTSPLY SIRONA, Inc. | (115 | ) | (4,340 | ) | ||||
Henry Schein, Inc.* | (72 | ) | (6,122 | ) | ||||
Hologic, Inc.* | (143 | ) | (5,860 | ) | ||||
Stryker Corp. | (47 | ) | (8,351 | ) | ||||
Universal Health Services, Inc., | (48 | ) | (6,136 | ) | ||||
Varian Medical Systems, Inc.* | (47 | ) | (5,261 | ) | ||||
Zimmer Biomet Holdings, Inc. | (105 | ) | (13,804 | ) | ||||
|
| |||||||
(119,010 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.2)% |
| |||||||
Coty, Inc., Class A | (389 | ) | (4,886 | ) | ||||
|
| |||||||
Insurance — (4.2)% | ||||||||
Allstate Corp. (The) | (101 | ) | (9,969 | ) | ||||
American International Group, Inc. | (450 | ) | (23,958 | ) | ||||
Aon PLC (United Kingdom) | (124 | ) | (19,069 | ) | ||||
Assurant, Inc. | (24 | ) | (2,591 | ) | ||||
Brighthouse Financial, Inc.* | (61 | ) | (2,699 | ) | ||||
Chubb Ltd. (Switzerland) | (13 | ) | (1,737 | ) | ||||
Cincinnati Financial Corp. | (85 | ) | (6,529 | ) | ||||
Everest Re Group Ltd. (Bermuda) | (22 | ) | (5,026 | ) | ||||
Hartford Financial Services Group, Inc. (The) | (74 | ) | (3,697 | ) | ||||
Lincoln National Corp. | (110 | ) | (7,443 | ) | ||||
MetLife, Inc. | (49 | ) | (2,289 | ) | ||||
Principal Financial Group, Inc. | (126 | ) | (7,382 | ) | ||||
Travelers Cos., Inc. (The) | (64 | ) | (8,301 | ) | ||||
Unum Group | (33 | ) | (1,289 | ) | ||||
Willis Towers Watson PLC (Ireland) | (68 | ) | (9,584 | ) | ||||
|
| |||||||
(111,563 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (3.0)% | ||||||||
Air Products & Chemicals, Inc. | (111 | ) | $ | (18,543 | ) | |||
Albemarle Corp. | (58 | ) | (5,787 | ) | ||||
Ecolab, Inc. | (90 | ) | (14,110 | ) | ||||
International Flavors & Fragrances, Inc. | (41 | ) | (5,704 | ) | ||||
Martin Marietta Materials, Inc. | (32 | ) | (5,822 | ) | ||||
Newmont Mining Corp. | (278 | ) | (8,396 | ) | ||||
PPG Industries, Inc. | (128 | ) | (13,969 | ) | ||||
Vulcan Materials Co. | (70 | ) | (7,784 | ) | ||||
|
| |||||||
(80,115 | ) | |||||||
|
| |||||||
Media — (1.2)% | ||||||||
Charter Communications, Inc., Class A* | (99 | ) | (32,262 | ) | ||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (4.6)% |
| |||||||
Agilent Technologies, Inc. | (162 | ) | (11,427 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (118 | ) | (16,403 | ) | ||||
Allergan PLC (Ireland) | (172 | ) | (32,763 | ) | ||||
Incyte Corp.* | (114 | ) | (7,875 | ) | ||||
Mettler-Toledo International, Inc.* | (14 | ) | (8,526 | ) | ||||
Mylan NV (Netherlands)* | (262 | ) | (9,589 | ) | ||||
Perrigo Co. PLC (Ireland) | (72 | ) | (5,098 | ) | ||||
Thermo Fisher Scientific, Inc. | (93 | ) | (22,699 | ) | ||||
Waters Corp.* | (40 | ) | (7,787 | ) | ||||
|
| |||||||
(122,167 | ) | |||||||
|
| |||||||
Real Estate — (7.5)% | ||||||||
American Tower Corp., REIT | (226 | ) | (32,838 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (80 | ) | (3,530 | ) | ||||
Boston Properties, Inc., REIT | (81 | ) | (9,970 | ) | ||||
CBRE Group, Inc., Class A* | (172 | ) | (7,585 | ) | ||||
Crown Castle International Corp., REIT | (29 | ) | (3,229 | ) | ||||
Digital Realty Trust, Inc., REIT | (53 | ) | (5,961 | ) | ||||
Duke Realty Corp., REIT | (182 | ) | (5,163 | ) | ||||
Equinix, Inc., REIT | (41 | ) | (17,748 | ) | ||||
Essex Property Trust, Inc., REIT | (35 | ) | (8,635 | ) | ||||
Federal Realty Investment Trust, REIT | (38 | ) | (4,806 | ) | ||||
HCP, Inc., REIT | (238 | ) | (6,264 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (374 | ) | (7,891 | ) | ||||
Iron Mountain, Inc., REIT | (147 | ) | (5,074 | ) | ||||
Kimco Realty Corp., REIT | (222 | ) | (3,716 | ) | ||||
Macerich Co. (The), REIT | (74 | ) | (4,091 | ) | ||||
Prologis, Inc., REIT | (271 | ) | (18,371 | ) |
The accompanying notes are an integral part of the financial statements.
87
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) |
| |||||||
Regency Centers Corp., REIT | (86 | ) | $ | (5,562 | ) | |||
SBA Communications Corp., REIT* | (62 | ) | (9,959 | ) | ||||
Simon Property Group, Inc., REIT | (156 | ) | (27,573 | ) | ||||
SL Green Realty Corp., REIT | (49 | ) | (4,779 | ) | ||||
Vornado Realty Trust, REIT | (99 | ) | (7,227 | ) | ||||
|
| |||||||
(199,972 | ) | |||||||
|
| |||||||
Retailing — (2.3)% | ||||||||
Dollar Tree, Inc.* | (120 | ) | (9,786 | ) | ||||
Gap, Inc. (The) | (194 | ) | (5,597 | ) | ||||
L Brands, Inc. | (141 | ) | (4,272 | ) | ||||
LKQ Corp.* | (161 | ) | (5,099 | ) | ||||
Netflix, Inc.* | (51 | ) | (19,081 | ) | ||||
Nordstrom, Inc. | (66 | ) | (3,947 | ) | ||||
TripAdvisor, Inc.* | (90 | ) | (4,596 | ) | ||||
Ulta Beauty, Inc.* | (30 | ) | (8,464 | ) | ||||
|
| |||||||
(60,842 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (5.9)% |
| |||||||
Applied Materials, Inc. | (90 | ) | (3,478 | ) | ||||
Broadcom, Inc. | (195 | ) | (48,112 | ) | ||||
Intel Corp. | (396 | ) | (18,727 | ) | ||||
Microchip Technology, Inc. | (134 | ) | (10,574 | ) | ||||
NVIDIA Corp. | (187 | ) | (52,551 | ) | ||||
Qorvo, Inc.* | (64 | ) | (4,921 | ) | ||||
Skyworks Solutions, Inc. | (91 | ) | (8,255 | ) | ||||
Xilinx, Inc. | (133 | ) | (10,663 | ) | ||||
|
| |||||||
(157,281 | ) | |||||||
|
| |||||||
Software & Services — (6.6)% | ||||||||
Adobe, Inc.* | (79 | ) | (21,326 | ) | ||||
Akamai Technologies, Inc.* | (85 | ) | (6,218 | ) | ||||
Alphabet, Inc., Class A* | (6 | ) | (7,242 | ) | ||||
Cadence Design Systems, Inc.* | (6 | ) | (272 | ) | ||||
Facebook, Inc., Class A* | (134 | ) | (22,038 | ) | ||||
Fidelity National Information Services, Inc. | (169 | ) | (18,433 | ) | ||||
Gartner, Inc.* | (16 | ) | (2,536 | ) | ||||
PayPal Holdings, Inc.* | (591 | ) | (51,913 | ) | ||||
Red Hat, Inc.* | (94 | ) | (12,810 | ) | ||||
salesforce.com, Inc.* | (64 | ) | (10,178 | ) | ||||
Symantec Corp. | (316 | ) | (6,724 | ) | ||||
Synopsys, Inc.* | (2 | ) | (197 | ) | ||||
Twitter, Inc.* | (386 | ) | (10,986 | ) | ||||
Western Union Co. (The) | (239 | ) | (4,555 | ) | ||||
|
| |||||||
(175,428 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Technology Hardware & Equipment — (0.7)% |
| |||||||
Arista Networks, Inc.* | (39 | ) | $ | (10,369 | ) | |||
Corning, Inc. | (11 | ) | (388 | ) | ||||
IPG Photonics Corp.* | (28 | ) | (4,370 | ) | ||||
Juniper Networks, Inc. | (178 | ) | (5,335 | ) | ||||
|
| |||||||
(20,462 | ) | |||||||
|
| |||||||
Telecommunication Services — (1.5)% |
| |||||||
AT&T, Inc. | (1,167 | ) | (39,188 | ) | ||||
|
| |||||||
Transportation — (2.2)% | ||||||||
Alaska Air Group, Inc. | (63 | ) | (4,338 | ) | ||||
American Airlines Group, Inc. | (66 | ) | (2,728 | ) | ||||
Delta Air Lines, Inc. | (362 | ) | (20,934 | ) | ||||
JB Hunt Transport Services, Inc. | (55 | ) | (6,542 | ) | ||||
Kansas City Southern | (53 | ) | (6,004 | ) | ||||
Southwest Airlines Co. | (289 | ) | (18,048 | ) | ||||
|
| |||||||
(58,594 | ) | |||||||
|
| |||||||
Utilities — (6.7)% | ||||||||
Alliant Energy Corp. | (118 | ) | (5,023 | ) | ||||
Ameren Corp. | (124 | ) | (7,839 | ) | ||||
American Water Works Co., Inc. | (95 | ) | (8,357 | ) | ||||
CenterPoint Energy, Inc. | (219 | ) | (6,055 | ) | ||||
Consolidated Edison, Inc. | (156 | ) | (11,886 | ) | ||||
Duke Energy Corp. | (197 | ) | (15,764 | ) | ||||
Edison International | (165 | ) | (11,167 | ) | ||||
Entergy Corp. | (91 | ) | (7,383 | ) | ||||
Eversource Energy | (160 | ) | (9,830 | ) | ||||
NextEra Energy, Inc. | (197 | ) | (33,017 | ) | ||||
NiSource, Inc. | (184 | ) | (4,585 | ) | ||||
PG&E Corp. | (262 | ) | (12,055 | ) | ||||
Pinnacle West Capital Corp. | (57 | ) | (4,513 | ) | ||||
Public Service Enterprise Group, Inc. | (255 | ) | (13,461 | ) | ||||
SCANA Corp. | (73 | ) | (2,839 | ) | ||||
Sempra Energy | (107 | ) | (12,171 | ) | ||||
Xcel Energy, Inc. | (256 | ) | (12,086 | ) | ||||
|
| |||||||
(178,031 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $2,365,630) | (2,341,195 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (87.8)% |
| (2,341,195 | ) | |||||
|
| |||||||
(Proceeds $2,365,630) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 39.5% | 1,053,829 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,665,434 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
88
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Concluded)
September 30, 2018
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
(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.
89
GOTHAM HEDGED CORE FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
LONG POSITIONS — 97.1% | ||||||||
COMMON STOCKS — 97.1% | ||||||||
Automobiles & Components — 0.1% |
| |||||||
BorgWarner, Inc. | 5 | $ | 214 | |||||
Harley-Davidson, Inc.(a) | 56 | 2,537 | ||||||
|
| |||||||
2,751 | ||||||||
|
| |||||||
Banks — 2.1% | ||||||||
Bank of America Corp.† | 536 | 15,790 | ||||||
Comerica, Inc. | 2 | 180 | ||||||
JPMorgan Chase & Co.† | 201 | 22,681 | ||||||
PNC Financial Services Group, Inc. (The)† | 24 | 3,269 | ||||||
SVB Financial Group* | 3 | 932 | ||||||
US Bancorp | 70 | 3,697 | ||||||
Wells Fargo & Co.† | 137 | 7,201 | ||||||
|
| |||||||
53,750 | ||||||||
|
| |||||||
Capital Goods — 8.9% | ||||||||
3M Co.† | 95 | 20,017 | ||||||
AMETEK, Inc.† | 37 | 2,927 | ||||||
Arconic, Inc. | 28 | 616 | ||||||
Boeing Co. (The)† | 102 | 37,934 | ||||||
Caterpillar, Inc.† | 100 | 15,249 | ||||||
Deere & Co.† | 19 | 2,856 | ||||||
Dover Corp. | 52 | 4,604 | ||||||
Eaton Corp. PLC (Ireland) | 25 | 2,168 | ||||||
Emerson Electric Co.† | 211 | 16,158 | ||||||
Fastenal Co.(a) | 3 | 174 | ||||||
Fluor Corp. | 8 | 465 | ||||||
Fortive Corp.(a) | 21 | 1,768 | ||||||
Harris Corp.† | 40 | 6,768 | ||||||
Honeywell International, Inc.† | 205 | 34,112 | ||||||
Illinois Tool Works, Inc.† | 69 | 9,737 | ||||||
Jacobs Engineering Group, Inc. | 47 | 3,596 | ||||||
Parker-Hannifin Corp. | 45 | 8,277 | ||||||
Pentair PLC (Ireland)(a) | 59 | 2,558 | ||||||
Raytheon Co.† | 17 | 3,513 | ||||||
Rockwell Automation, Inc. | 18 | 3,375 | ||||||
Roper Technologies, Inc. | 6 | 1,777 | ||||||
Snap-on, Inc.(a) | 20 | 3,672 | ||||||
Textron, Inc. | 15 | 1,072 | ||||||
TransDigm Group, Inc.* | 3 | 1,117 | ||||||
United Rentals, Inc.* | 28 | 4,581 | ||||||
United Technologies Corp. | 212 | 29,640 | ||||||
WW Grainger, Inc.(a) | 20 | 7,148 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
Xylem, Inc. | 11 | $ | 879 | |||||
|
| |||||||
226,758 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.0% |
| |||||||
Cintas Corp. | 7 | 1,385 | ||||||
Copart, Inc.* | 14 | 721 | ||||||
Republic Services, Inc. | 98 | 7,121 | ||||||
Robert Half International, Inc. | 42 | 2,956 | ||||||
Verisk Analytics, Inc.* | 10 | 1,206 | ||||||
Waste Management, Inc.† | 144 | 13,012 | ||||||
|
| |||||||
26,401 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.0% |
| |||||||
Garmin Ltd. (Switzerland) | 64 | 4,483 | ||||||
Lennar Corp., Class A† | 19 | 887 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)* | 23 | 1,577 | ||||||
Mohawk Industries, Inc.* | 4 | 701 | ||||||
NIKE, Inc., Class B | 132 | 11,183 | ||||||
Tapestry, Inc. | 96 | 4,826 | ||||||
Whirlpool Corp. | 22 | 2,612 | ||||||
|
| |||||||
26,269 | ||||||||
|
| |||||||
Consumer Services — 0.7% | ||||||||
Darden Restaurants, Inc. | 8 | 890 | ||||||
H&R Block, Inc.†(a) | 12 | 309 | ||||||
Marriott International, Inc., Class A† | 21 | 2,773 | ||||||
McDonald’s Corp.† | 69 | 11,543 | ||||||
Yum! Brands, Inc.† | 27 | 2,455 | ||||||
|
| |||||||
17,970 | ||||||||
|
| |||||||
Diversified Financials — 5.2% | ||||||||
Affiliated Managers Group, Inc. | 16 | 2,188 | ||||||
American Express Co.† | 52 | 5,537 | ||||||
Berkshire Hathaway, Inc., Class B†* | 207 | 44,321 | ||||||
BlackRock, Inc.† | 38 | 17,911 | ||||||
Cboe Global Markets, Inc. | 5 | 480 | ||||||
Charles Schwab Corp. (The)† | 49 | 2,408 | ||||||
CME Group, Inc.† | 21 | 3,574 | ||||||
Discover Financial Services† | 14 | 1,070 | ||||||
E*TRADE Financial Corp.†* | 17 | 891 | ||||||
Franklin Resources, Inc.†(a) | 190 | 5,778 | ||||||
Intercontinental Exchange, Inc.† | 35 | 2,621 | ||||||
Invesco Ltd. (Bermuda) | 25 | 572 | ||||||
Moody’s Corp.† | 65 | 10,868 | ||||||
MSCI, Inc. | 14 | 2,484 | ||||||
Nasdaq, Inc.† | 58 | 4,976 |
The accompanying notes are an integral part of the financial statements.
90
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
S&P Global, Inc.† | 85 | $ | 16,608 | |||||
State Street Corp. | 11 | 922 | ||||||
T Rowe Price Group, Inc.† | 85 | 9,280 | ||||||
|
| |||||||
132,489 | ||||||||
|
| |||||||
Energy — 6.9% | ||||||||
Chevron Corp.† | 296 | 36,195 | ||||||
ConocoPhillips† | 415 | 32,121 | ||||||
Devon Energy Corp. | 173 | 6,910 | ||||||
Exxon Mobil Corp.† | 617 | 52,457 | ||||||
Hess Corp. | 108 | 7,731 | ||||||
HollyFrontier Corp. | 60 | 4,194 | ||||||
Marathon Oil Corp. | 290 | 6,751 | ||||||
Marathon Petroleum Corp. | 6 | 480 | ||||||
Occidental Petroleum Corp.† | 92 | 7,560 | ||||||
Phillips 66† | 173 | 19,501 | ||||||
TechnipFMC PLC (United Kingdom) | 59 | 1,844 | ||||||
|
| |||||||
175,744 | ||||||||
|
| |||||||
Food & Staples Retailing — 3.5% | ||||||||
Costco Wholesale Corp. | 26 | 6,107 | ||||||
Kroger Co. (The)† | 299 | 8,704 | ||||||
Sysco Corp.† | 177 | 12,965 | ||||||
Walgreens Boots Alliance, Inc.† | 237 | 17,277 | ||||||
Walmart, Inc.† | 479 | 44,983 | ||||||
|
| |||||||
90,036 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 5.2% |
| |||||||
Altria Group, Inc.† | 403 | 24,305 | ||||||
Archer-Daniels-Midland Co.† | 190 | 9,551 | ||||||
Coca-Cola Co. (The)† | 261 | 12,056 | ||||||
Conagra Brands, Inc.† | 134 | 4,552 | ||||||
General Mills, Inc. | 35 | 1,502 | ||||||
Kellogg Co.(a) | 102 | 7,142 | ||||||
Kraft Heinz Co. (The)† | 179 | 9,865 | ||||||
Molson Coors Brewing Co., Class B | 12 | 738 | ||||||
Mondelez International, Inc., Class A | 88 | 3,780 | ||||||
PepsiCo, Inc.† | 206 | 23,031 | ||||||
Philip Morris International, Inc.† | 457 | 37,264 | ||||||
|
| |||||||
133,786 | ||||||||
|
| |||||||
Health Care Equipment & Services — 9.8% |
| |||||||
Abbott Laboratories† | 105 | 7,703 | ||||||
Aetna, Inc.† | 111 | 22,516 | ||||||
AmerisourceBergen Corp.† | 64 | 5,902 | ||||||
Anthem, Inc.† | 86 | 23,568 | ||||||
Becton Dickinson and Co. | 28 | 7,308 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Cardinal Health, Inc. | 106 | $ | 5,724 | |||||
Centene Corp.†* | 68 | 9,845 | ||||||
Cigna Corp.† | 89 | 18,534 | ||||||
CVS Health Corp.† | 179 | 14,091 | ||||||
Danaher Corp. | 53 | 5,759 | ||||||
DaVita, Inc.* | 45 | 3,223 | ||||||
Envision Healthcare Corp.* | 41 | 1,875 | ||||||
Express Scripts Holding Co.†* | 86 | 8,171 | ||||||
HCA Healthcare, Inc.† | 115 | 15,999 | ||||||
Humana, Inc.† | 47 | 15,910 | ||||||
Laboratory Corp. of America Holdings†* | 36 | 6,252 | ||||||
McKesson Corp. | 64 | 8,490 | ||||||
Medtronic PLC (Ireland)† | 297 | 29,216 | ||||||
Quest Diagnostics, Inc. | 8 | 863 | ||||||
ResMed, Inc. | 47 | 5,421 | ||||||
UnitedHealth Group, Inc.† | 116 | 30,861 | ||||||
WellCare Health Plans, Inc.* | 14 | 4,487 | ||||||
|
| |||||||
251,718 | ||||||||
|
| |||||||
Household & Personal Products — 2.8% |
| |||||||
Church & Dwight Co., Inc.(a) | 83 | 4,928 | ||||||
Clorox Co. (The)(a) | 42 | 6,317 | ||||||
Colgate-Palmolive Co.† | 287 | 19,215 | ||||||
Estee Lauder Cos., Inc. (The), Class A† | 23 | 3,342 | ||||||
Kimberly-Clark Corp.† | 65 | 7,387 | ||||||
Procter & Gamble Co. (The)† | 358 | 29,796 | ||||||
|
| |||||||
70,985 | ||||||||
|
| |||||||
Insurance — 1.5% | ||||||||
Aflac, Inc. | 46 | 2,165 | ||||||
Arthur J Gallagher & Co. | 62 | 4,615 | ||||||
Chubb Ltd. (Switzerland) | 18 | 2,406 | ||||||
Loews Corp. | 108 | 5,425 | ||||||
Marsh & McLennan Cos., Inc.† | 70 | 5,790 | ||||||
MetLife, Inc. | 42 | 1,962 | ||||||
Progressive Corp. (The)† | 195 | 13,853 | ||||||
Prudential Financial, Inc. | 23 | 2,330 | ||||||
Torchmark Corp. | 7 | 607 | ||||||
|
| |||||||
39,153 | ||||||||
|
| |||||||
Materials — 2.3% | ||||||||
Avery Dennison Corp. | 5 | 542 | ||||||
CF Industries Holdings, Inc. | 78 | 4,246 | ||||||
DowDuPont, Inc.† | 70 | 4,502 |
The accompanying notes are an integral part of the financial statements.
91
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) | ||||||||
Eastman Chemical Co. | 18 | $ | 1,723 | |||||
FMC Corp. | 45 | 3,923 | ||||||
Freeport-McMoRan, Inc.† | 488 | 6,793 | ||||||
International Paper Co.† | 24 | 1,180 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 138 | 14,146 | ||||||
Nucor Corp. | 22 | 1,396 | ||||||
Packaging Corp. of America | 9 | 987 | ||||||
Praxair, Inc.† | 58 | 9,322 | ||||||
Sealed Air Corp.(a) | 53 | 2,128 | ||||||
Sherwin-Williams Co. (The) | 8 | 3,642 | ||||||
WestRock Co. | 86 | 4,596 | ||||||
|
| |||||||
59,126 | ||||||||
|
| |||||||
Media — 3.3% | ||||||||
CBS Corp., Class B, non-voting shares† | 39 | 2,241 | ||||||
Comcast Corp., Class A† | 274 | 9,702 | ||||||
Discovery, Inc., Class A(a)* | 2 | 64 | ||||||
DISH Network Corp., Class A* | 158 | 5,650 | ||||||
Interpublic Group of Cos., Inc. (The) | 132 | 3,019 | ||||||
News Corp., Class A† | 34 | 448 | ||||||
Omnicom Group, Inc.† | 13 | 884 | ||||||
Twenty-First Century Fox, Inc., Class A† | 622 | 28,817 | ||||||
Viacom, Inc., Class B | 111 | 3,747 | ||||||
Walt Disney Co. (The)† | 258 | 30,171 | ||||||
|
| |||||||
84,743 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 6.8% |
| |||||||
AbbVie, Inc.† | 242 | 22,888 | ||||||
Amgen, Inc.† | 76 | 15,754 | ||||||
Biogen, Inc.†* | 44 | 15,546 | ||||||
Bristol-Myers Squibb Co.† | 98 | 6,084 | ||||||
Celgene Corp.†* | 202 | 18,077 | ||||||
Eli Lilly & Co. | 64 | 6,868 | ||||||
Gilead Sciences, Inc.† | 149 | 11,504 | ||||||
Johnson & Johnson† | 307 | 42,418 | ||||||
Merck & Co., Inc.† | 162 | 11,492 | ||||||
Nektar Therapeutics(a)* | 58 | 3,536 | ||||||
Pfizer, Inc.† | 330 | 14,543 | ||||||
Regeneron Pharmaceuticals, Inc.* | 5 | 2,020 | ||||||
Zoetis, Inc.† | 29 | 2,655 | ||||||
|
| |||||||
173,385 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — 0.5% | ||||||||
Alexandria Real Estate Equities, Inc., REIT | 6 | $ | 755 | |||||
Equity Residential, REIT | 22 | 1,458 | ||||||
Extra Space Storage, Inc., REIT | 7 | 606 | ||||||
Mid-America Apartment Communities, Inc., REIT | 4 | 401 | ||||||
Public Storage, REIT | 10 | 2,016 | ||||||
Realty Income Corp., REIT(a) | 17 | 967 | ||||||
UDR, Inc., REIT | 17 | 687 | ||||||
Ventas, Inc., REIT | 21 | 1,142 | ||||||
Welltower, Inc., REIT | 22 | 1,415 | ||||||
Weyerhaeuser Co., REIT† | 136 | 4,389 | ||||||
|
| |||||||
13,836 | ||||||||
|
| |||||||
Retailing — 8.0% | ||||||||
Advance Auto Parts, Inc. | 25 | 4,208 | ||||||
Amazon.com, Inc.†* | 18 | 36,054 | ||||||
AutoZone, Inc.* | 7 | 5,430 | ||||||
Best Buy Co., Inc.† | 20 | 1,587 | ||||||
Booking Holdings, Inc.†* | 17 | 33,728 | ||||||
CarMax, Inc.(a)* | 12 | 896 | ||||||
Dollar General Corp.† | 89 | 9,728 | ||||||
Foot Locker, Inc.(a) | 34 | 1,733 | ||||||
Gap, Inc. (The)† | 1 | 29 | ||||||
Genuine Parts Co. | 50 | 4,970 | ||||||
Home Depot, Inc. (The)† | 214 | 44,330 | ||||||
Kohl’s Corp. | 57 | 4,249 | ||||||
Lowe’s Cos., Inc.† | 272 | 31,231 | ||||||
Nordstrom, Inc.(a) | 34 | 2,034 | ||||||
O’Reilly Automotive, Inc.†* | 5 | 1,737 | ||||||
Ross Stores, Inc.† | 56 | 5,550 | ||||||
Target Corp.† | 32 | 2,823 | ||||||
Tiffany & Co. | 43 | 5,546 | ||||||
TJX Cos., Inc. (The)† | 92 | 10,306 | ||||||
|
| |||||||
206,169 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.6% |
| |||||||
Analog Devices, Inc.† | 22 | 2,034 | ||||||
Applied Materials, Inc. | 38 | 1,469 | ||||||
Intel Corp. | 12 | 567 | ||||||
KLA-Tencor Corp.† | 22 | 2,238 | ||||||
Lam Research Corp. | 9 | 1,365 | ||||||
Micron Technology, Inc.†* | 442 | 19,992 | ||||||
QUALCOMM, Inc.† | 89 | 6,411 | ||||||
Texas Instruments, Inc.† | 53 | 5,686 | ||||||
|
| |||||||
39,762 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
92
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — 11.6% | ||||||||
Accenture PLC, Class A (Ireland)† | 208 | $ | 35,402 | |||||
Alliance Data Systems Corp. | 19 | 4,487 | ||||||
Alphabet, Inc., Class A†* | 21 | 25,349 | ||||||
Automatic Data Processing, Inc.† | 149 | 22,448 | ||||||
Broadridge Financial Solutions, Inc. | 40 | 5,278 | ||||||
CA, Inc.† | 139 | 6,137 | ||||||
Citrix Systems, Inc.* | 24 | 2,668 | ||||||
Cognizant Technology Solutions Corp., Class A† | 34 | 2,623 | ||||||
DXC Technology Co.† | 97 | 9,071 | ||||||
eBay, Inc.†* | 185 | 6,109 | ||||||
Electronic Arts, Inc.* | 18 | 2,169 | ||||||
Facebook, Inc., Class A†* | 34 | 5,592 | ||||||
Fiserv, Inc.* | 24 | 1,977 | ||||||
FleetCor Technologies, Inc.* | 5 | 1,139 | ||||||
Gartner, Inc.(a)* | 3 | 476 | ||||||
International Business Machines Corp.† | 63 | 9,526 | ||||||
Intuit, Inc.† | 87 | 19,784 | ||||||
Mastercard, Inc., Class A† | 70 | 15,583 | ||||||
Microsoft Corp.† | 493 | 56,384 | ||||||
Oracle Corp.† | 465 | 23,975 | ||||||
Paychex, Inc.† | 124 | 9,133 | ||||||
salesforce.com, Inc.* | 3 | 477 | ||||||
VeriSign, Inc.* | 8 | 1,281 | ||||||
Visa, Inc., Class A† | 196 | 29,418 | ||||||
|
| |||||||
296,486 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 7.7% |
| |||||||
Amphenol Corp., Class A | 19 | 1,786 | ||||||
Apple, Inc.† | 395 | 89,167 | ||||||
Cisco Systems, Inc.† | 895 | 43,542 | ||||||
F5 Networks, Inc.* | 21 | 4,188 | ||||||
FLIR Systems, Inc. | 46 | 2,828 | ||||||
Hewlett Packard Enterprise Co. | 494 | 8,057 | ||||||
HP, Inc.† | 588 | 15,153 | ||||||
Motorola Solutions, Inc.† | 24 | 3,123 | ||||||
NetApp, Inc.† | 93 | 7,988 | ||||||
Seagate Technology PLC (Ireland)† | 86 | 4,072 | ||||||
TE Connectivity Ltd. (Switzerland)† | 117 | 10,288 | ||||||
Western Digital Corp. | 83 | 4,859 | ||||||
Xerox Corp. | 86 | 2,320 | ||||||
|
| |||||||
197,371 | ||||||||
|
| |||||||
Telecommunication Services — 1.6% |
| |||||||
CenturyLink, Inc. | 68 | 1,442 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Telecommunication Services — (Continued) |
| |||||||
Verizon Communications, Inc.† | 729 | $ | 38,921 | |||||
|
| |||||||
40,363 | ||||||||
|
| |||||||
Transportation — 3.0% | ||||||||
American Airlines Group, Inc.(a) | 5 | 207 | ||||||
CH Robinson Worldwide, Inc. | 9 | 881 | ||||||
CSX Corp. | 145 | 10,737 | ||||||
Expeditors International of Washington, Inc.† | 61 | 4,485 | ||||||
FedEx Corp.† | 61 | 14,688 | ||||||
Norfolk Southern Corp.† | 85 | 15,342 | ||||||
Union Pacific Corp.† | 103 | 16,771 | ||||||
United Parcel Service, Inc., Class B† | 110 | 12,842 | ||||||
|
| |||||||
75,953 | ||||||||
|
| |||||||
Utilities — 2.0% | ||||||||
AES Corp.† | 39 | 546 | ||||||
American Electric Power Co., Inc. | 16 | 1,134 | ||||||
CMS Energy Corp. | 95 | 4,655 | ||||||
Dominion Energy, Inc. | 74 | 5,201 | ||||||
DTE Energy Co. | 50 | 5,456 | ||||||
Evergy, Inc. | 4 | 220 | ||||||
Exelon Corp. | 49 | 2,139 | ||||||
FirstEnergy Corp. | 163 | 6,059 | ||||||
NRG Energy, Inc.† | 109 | 4,077 | ||||||
PPL Corp. | 234 | 6,847 | ||||||
Southern Co. (The)† | 189 | 8,240 | ||||||
WEC Energy Group, Inc. | 106 | 7,077 | ||||||
|
| |||||||
51,651 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 2,486,655 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 97.1% | 2,486,655 | |||||||
|
| |||||||
(Cost $2,193,051) |
The accompanying notes are an integral part of the financial statements.
93
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
SHORT POSITIONS — (36.0)% | ||||||||
COMMON STOCKS — (36.0)% | ||||||||
Automobiles & Components — (0.9)% |
| |||||||
Aptiv PLC (Jersey) | (57 | ) | $ | (4,782 | ) | |||
Ford Motor Co. | (874 | ) | (8,084 | ) | ||||
General Motors Co. | (303 | ) | (10,202 | ) | ||||
Goodyear Tire & Rubber Co. (The) | (52 | ) | (1,216 | ) | ||||
|
| |||||||
(24,284 | ) | |||||||
|
| |||||||
Banks — (2.4)% | ||||||||
BB&T Corp. | (166 | ) | (8,058 | ) | ||||
Citigroup, Inc. | (240 | ) | (17,218 | ) | ||||
Citizens Financial Group, Inc. | (104 | ) | (4,011 | ) | ||||
Fifth Third Bancorp. | (146 | ) | (4,076 | ) | ||||
Huntington Bancshares, Inc. | (237 | ) | (3,536 | ) | ||||
KeyCorp. | (236 | ) | (4,694 | ) | ||||
M&T Bank Corp. | (31 | ) | (5,101 | ) | ||||
People’s United Financial, Inc. | (74 | ) | (1,267 | ) | ||||
Regions Financial Corp. | (239 | ) | (4,386 | ) | ||||
SunTrust Banks, Inc. | (88 | ) | (5,878 | ) | ||||
Zions Bancorp NA | (43 | ) | (2,156 | ) | ||||
|
| |||||||
(60,381 | ) | |||||||
|
| |||||||
Capital Goods — (2.9)% | ||||||||
Allegion PLC (Ireland) | (21 | ) | (1,902 | ) | ||||
AO Smith Corp. | (31 | ) | (1,654 | ) | ||||
Cummins, Inc. | (36 | ) | (5,259 | ) | ||||
Fortune Brands Home & Security, Inc. | (34 | ) | (1,780 | ) | ||||
General Dynamics Corp. | (63 | ) | (12,897 | ) | ||||
General Electric Co. | (297 | ) | (3,353 | ) | ||||
Huntington Ingalls Industries, Inc. | (10 | ) | (2,561 | ) | ||||
Johnson Controls International PLC (Ireland) | (202 | ) | (7,070 | ) | ||||
L3 Technologies, Inc. | (18 | ) | (3,827 | ) | ||||
Lockheed Martin Corp. | (9 | ) | (3,114 | ) | ||||
Masco Corp. | (68 | ) | (2,489 | ) | ||||
Northrop Grumman Corp. | (38 | ) | (12,060 | ) | ||||
PACCAR, Inc. | (76 | ) | (5,182 | ) | ||||
Quanta Services, Inc.* | (34 | ) | (1,135 | ) | ||||
Rockwell Collins, Inc. | (36 | ) | (5,057 | ) | ||||
Stanley Black & Decker, Inc. | (32 | ) | (4,686 | ) | ||||
|
| |||||||
(74,026 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.2)% |
| |||||||
Equifax, Inc. | (27 | ) | (3,525 | ) | ||||
Nielsen Holdings PLC (United Kingdom) | (78 | ) | (2,157 | ) | ||||
|
| |||||||
(5,682 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (1.1)% |
| |||||||
DR Horton, Inc. | (82 | ) | $ | (3,459 | ) | |||
Hanesbrands, Inc. | (78 | ) | (1,438 | ) | ||||
Hasbro, Inc. | (28 | ) | (2,943 | ) | ||||
Leggett & Platt, Inc. | (29 | ) | (1,270 | ) | ||||
Mattel, Inc.* | (74 | ) | (1,162 | ) | ||||
Newell Brands, Inc. | (105 | ) | (2,132 | ) | ||||
PulteGroup, Inc. | (62 | ) | (1,536 | ) | ||||
PVH Corp. | (17 | ) | (2,455 | ) | ||||
Ralph Lauren Corp. | (18 | ) | (2,476 | ) | ||||
Under Armour, Inc., Class C* | (96 | ) | (1,868 | ) | ||||
VF Corp. | (86 | ) | (8,037 | ) | ||||
|
| |||||||
(28,776 | ) | |||||||
|
| |||||||
Consumer Services — (1.1)% | ||||||||
Carnival Corp. (Panama) | (99 | ) | (6,313 | ) | ||||
Hilton Worldwide Holdings, Inc. | (12 | ) | (969 | ) | ||||
MGM Resorts International | (125 | ) | (3,489 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (49 | ) | (2,814 | ) | ||||
Royal Caribbean Cruises Ltd. (Liberia) | (46 | ) | (5,977 | ) | ||||
Starbucks Corp. | (79 | ) | (4,490 | ) | ||||
Wynn Resorts Ltd. | (23 | ) | (2,922 | ) | ||||
|
| |||||||
(26,974 | ) | |||||||
|
| |||||||
Diversified Financials — (2.1)% | ||||||||
Ameriprise Financial, Inc. | (31 | ) | (4,577 | ) | ||||
Bank of New York Mellon Corp. (The) | (218 | ) | (11,116 | ) | ||||
Capital One Financial Corp. | (103 | ) | (9,778 | ) | ||||
Goldman Sachs Group, Inc. (The) | (19 | ) | (4,261 | ) | ||||
Jefferies Financial Group, Inc. | (79 | ) | (1,735 | ) | ||||
Morgan Stanley | (183 | ) | (8,522 | ) | ||||
Northern Trust Corp. | (48 | ) | (4,902 | ) | ||||
Raymond James Financial, Inc. | (32 | ) | (2,946 | ) | ||||
Synchrony Financial | (165 | ) | (5,128 | ) | ||||
|
| |||||||
(52,965 | ) | |||||||
|
| |||||||
Energy — (3.7)% | ||||||||
Anadarko Petroleum Corp. | (108 | ) | (7,280 | ) | ||||
Andeavor | (33 | ) | (5,066 | ) | ||||
Cabot Oil & Gas Corp. | (95 | ) | (2,139 | ) | ||||
Cimarex Energy Co. | (21 | ) | (1,952 | ) | ||||
Concho Resources, Inc.* | (32 | ) | (4,888 | ) | ||||
EOG Resources, Inc. | (39 | ) | (4,975 | ) | ||||
EQT Corp. | (58 | ) | (2,565 | ) | ||||
Halliburton Co. | (181 | ) | (7,336 | ) |
The accompanying notes are an integral part of the financial statements.
94
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) | ||||||||
Helmerich & Payne, Inc. | (24 | ) | $ | (1,650 | ) | |||
Kinder Morgan, Inc. | (488 | ) | (8,652 | ) | ||||
National Oilwell Varco, Inc. | (83 | ) | (3,576 | ) | ||||
Newfield Exploration Co.* | (44 | ) | (1,269 | ) | ||||
Noble Energy, Inc. | (105 | ) | (3,275 | ) | ||||
Pioneer Natural Resources Co. | (37 | ) | (6,445 | ) | ||||
Schlumberger Ltd. (Curacao) | (299 | ) | (18,215 | ) | ||||
Valero Energy Corp. | (92 | ) | (10,465 | ) | ||||
Williams Cos., Inc. (The) | (182 | ) | (4,949 | ) | ||||
|
| |||||||
(94,697 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (1.2)% |
| |||||||
Brown-Forman Corp., Class B | (104 | ) | (5,257 | ) | ||||
Campbell Soup Co. | (65 | ) | (2,381 | ) | ||||
Constellation Brands, Inc., Class A | (43 | ) | (9,272 | ) | ||||
Hershey Co. (The) | (32 | ) | (3,264 | ) | ||||
Hormel Foods Corp. | (115 | ) | (4,531 | ) | ||||
JM Smucker Co. (The) | (25 | ) | (2,565 | ) | ||||
McCormick & Co., Inc., non-voting shares | (29 | ) | (3,821 | ) | ||||
Tyson Foods, Inc., Class A | (13 | ) | (774 | ) | ||||
|
| |||||||
(31,865 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (1.8)% |
| |||||||
ABIOMED, Inc.* | (9 | ) | (4,048 | ) | ||||
Baxter International, Inc. | (116 | ) | (8,942 | ) | ||||
Boston Scientific Corp.* | (296 | ) | (11,396 | ) | ||||
Cerner Corp.* | (75 | ) | (4,831 | ) | ||||
DENTSPLY SIRONA, Inc. | (50 | ) | (1,887 | ) | ||||
Henry Schein, Inc.* | (29 | ) | (2,466 | ) | ||||
Hologic, Inc.* | (60 | ) | (2,459 | ) | ||||
Universal Health Services, Inc., Class B | (21 | ) | (2,685 | ) | ||||
Varian Medical Systems, Inc.* | (20 | ) | (2,239 | ) | ||||
Zimmer Biomet Holdings, Inc. | (45 | ) | (5,916 | ) | ||||
|
| |||||||
(46,869 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.1)% |
| |||||||
Coty, Inc., Class A | (165 | ) | (2,072 | ) | ||||
|
| |||||||
Insurance — (1.7)% | ||||||||
Allstate Corp. (The) | (29 | ) | (2,862 | ) | ||||
American International Group, Inc. | (192 | ) | (10,222 | ) | ||||
Aon PLC (United Kingdom) | (54 | ) | (8,304 | ) | ||||
Assurant, Inc. | (3 | ) | (324 | ) | ||||
Brighthouse Financial, Inc.* | (26 | ) | (1,150 | ) | ||||
Cincinnati Financial Corp. | (37 | ) | (2,842 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) | ||||||||
Everest Re Group Ltd. (Bermuda) | (9 | ) | $ | (2,056 | ) | |||
Hartford Financial Services Group, Inc. (The) | (18 | ) | (899 | ) | ||||
Lincoln National Corp. | (44 | ) | (2,977 | ) | ||||
Principal Financial Group, Inc. | (61 | ) | (3,574 | ) | ||||
Travelers Cos., Inc. (The) | (29 | ) | (3,762 | ) | ||||
Unum Group | (12 | ) | (469 | ) | ||||
Willis Towers Watson PLC (Ireland) | (29 | ) | (4,087 | ) | ||||
|
| |||||||
(43,528 | ) | |||||||
|
| |||||||
Materials — (1.3)% | ||||||||
Air Products & Chemicals, Inc. | (49 | ) | (8,185 | ) | ||||
Albemarle Corp. | (25 | ) | (2,494 | ) | ||||
Ecolab, Inc. | (29 | ) | (4,547 | ) | ||||
International Flavors & Fragrances, Inc. | (18 | ) | (2,504 | ) | ||||
Martin Marietta Materials, Inc. | (14 | ) | (2,547 | ) | ||||
Newmont Mining Corp. | (118 | ) | (3,564 | ) | ||||
PPG Industries, Inc. | (54 | ) | (5,893 | ) | ||||
Vulcan Materials Co. | (30 | ) | (3,336 | ) | ||||
|
| |||||||
(33,070 | ) | |||||||
|
| |||||||
Media — (0.5)% | ||||||||
Charter Communications, Inc., Class A* | (40 | ) | (13,035 | ) | ||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (2.0)% |
| |||||||
Agilent Technologies, Inc. | (69 | ) | (4,867 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (48 | ) | (6,672 | ) | ||||
Allergan PLC (Ireland) | (74 | ) | (14,096 | ) | ||||
Incyte Corp.* | (48 | ) | (3,316 | ) | ||||
Mettler-Toledo International, Inc.* | (6 | ) | (3,654 | ) | ||||
Mylan NV (Netherlands)* | (112 | ) | (4,099 | ) | ||||
Perrigo Co. PLC (Ireland) | (31 | ) | (2,195 | ) | ||||
Thermo Fisher Scientific, Inc. | (33 | ) | (8,055 | ) | ||||
Waters Corp.* | (17 | ) | (3,310 | ) | ||||
|
| |||||||
(50,264 | ) | |||||||
|
| |||||||
Real Estate — (3.3)% | ||||||||
American Tower Corp., REIT | (96 | ) | (13,949 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (34 | ) | (1,500 | ) | ||||
AvalonBay Communities, Inc., REIT | (3 | ) | (543 | ) | ||||
Boston Properties, Inc., REIT | (34 | ) | (4,185 | ) | ||||
CBRE Group, Inc., Class A* | (73 | ) | (3,219 | ) | ||||
Crown Castle International Corp., REIT | (12 | ) | (1,336 | ) |
The accompanying notes are an integral part of the financial statements.
95
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) | ||||||||
Digital Realty Trust, Inc., REIT | (11 | ) | $ | (1,237 | ) | |||
Duke Realty Corp., REIT | (77 | ) | (2,184 | ) | ||||
Equinix, Inc., REIT | (17 | ) | (7,359 | ) | ||||
Essex Property Trust, Inc., REIT | (15 | ) | (3,701 | ) | ||||
Federal Realty Investment Trust, REIT | (17 | ) | (2,150 | ) | ||||
HCP, Inc., REIT | (102 | ) | (2,685 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (159 | ) | (3,355 | ) | ||||
Iron Mountain, Inc., REIT | (63 | ) | (2,175 | ) | ||||
Kimco Realty Corp., REIT | (94 | ) | (1,574 | ) | ||||
Macerich Co. (The), REIT | (32 | ) | (1,769 | ) | ||||
Prologis, Inc., REIT | (115 | ) | (7,796 | ) | ||||
Regency Centers Corp., REIT | (37 | ) | (2,393 | ) | ||||
SBA Communications Corp., REIT* | (27 | ) | (4,337 | ) | ||||
Simon Property Group, Inc., REIT | (67 | ) | (11,842 | ) | ||||
SL Green Realty Corp., REIT | (21 | ) | (2,048 | ) | ||||
Vornado Realty Trust, REIT | (42 | ) | (3,066 | ) | ||||
|
| |||||||
(84,403 | ) | |||||||
|
| |||||||
Retailing — (1.0)% | ||||||||
Dollar Tree, Inc.* | (52 | ) | (4,241 | ) | ||||
L Brands, Inc. | (60 | ) | (1,818 | ) | ||||
LKQ Corp.* | (69 | ) | (2,185 | ) | ||||
Macy’s, Inc. | (66 | ) | (2,292 | ) | ||||
Netflix, Inc.* | (27 | ) | (10,101 | ) | ||||
Tractor Supply Co. | (3 | ) | (273 | ) | ||||
TripAdvisor, Inc.* | (33 | ) | (1,685 | ) | ||||
Ulta Beauty, Inc.* | (13 | ) | (3,668 | ) | ||||
|
| |||||||
(26,263 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (2.1)% |
| |||||||
Broadcom, Inc. | (76 | ) | (18,751 | ) | ||||
Microchip Technology, Inc. | (57 | ) | (4,498 | ) | ||||
NVIDIA Corp. | (69 | ) | (19,390 | ) | ||||
Qorvo, Inc.* | (28 | ) | (2,153 | ) | ||||
Skyworks Solutions, Inc. | (39 | ) | (3,538 | ) | ||||
Xilinx, Inc. | (57 | ) | (4,570 | ) | ||||
|
| |||||||
(52,900 | ) | |||||||
|
| |||||||
Software & Services — (2.1)% | ||||||||
Adobe, Inc.* | (18 | ) | (4,859 | ) | ||||
Akamai Technologies, Inc.* | (37 | ) | (2,707 | ) | ||||
Cadence Design Systems, Inc.* | (1 | ) | (45 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Fidelity National Information Services, Inc. | (72 | ) | $ | (7,853 | ) | |||
PayPal Holdings, Inc.* | (252 | ) | (22,136 | ) | ||||
Red Hat, Inc.* | (40 | ) | (5,451 | ) | ||||
Symantec Corp. | (135 | ) | (2,873 | ) | ||||
Twitter, Inc.* | (164 | ) | (4,667 | ) | ||||
Western Union Co. (The) | (102 | ) | (1,944 | ) | ||||
|
| |||||||
(52,535 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.3)% |
| |||||||
Arista Networks, Inc.* | (16 | ) | (4,254 | ) | ||||
Corning, Inc. | (10 | ) | (353 | ) | ||||
IPG Photonics Corp.* | (12 | ) | (1,873 | ) | ||||
Juniper Networks, Inc. | (76 | ) | (2,278 | ) | ||||
|
| |||||||
(8,758 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.4)% |
| |||||||
AT&T, Inc. | (331 | ) | (11,115 | ) | ||||
|
| |||||||
Transportation — (0.9)% | ||||||||
Alaska Air Group, Inc. | (27 | ) | (1,859 | ) | ||||
Delta Air Lines, Inc. | (153 | ) | (8,848 | ) | ||||
JB Hunt Transport Services, Inc. | (24 | ) | (2,855 | ) | ||||
Kansas City Southern | (23 | ) | (2,605 | ) | ||||
Southwest Airlines Co. | (123 | ) | (7,681 | ) | ||||
|
| |||||||
(23,848 | ) | |||||||
|
| |||||||
Utilities — (2.9)% | ||||||||
Alliant Energy Corp. | (51 | ) | (2,171 | ) | ||||
Ameren Corp. | (53 | ) | (3,351 | ) | ||||
American Water Works Co., Inc. | (40 | ) | (3,519 | ) | ||||
CenterPoint Energy, Inc. | (93 | ) | (2,571 | ) | ||||
Consolidated Edison, Inc. | (66 | ) | (5,029 | ) | ||||
Duke Energy Corp. | (79 | ) | (6,322 | ) | ||||
Edison International | (70 | ) | (4,738 | ) | ||||
Entergy Corp. | (39 | ) | (3,164 | ) | ||||
Eversource Energy | (69 | ) | (4,239 | ) | ||||
NextEra Energy, Inc. | (80 | ) | (13,408 | ) | ||||
NiSource, Inc. | (78 | ) | (1,944 | ) | ||||
PG&E Corp. | (112 | ) | (5,153 | ) | ||||
Pinnacle West Capital Corp. | (25 | ) | (1,980 | ) | ||||
Public Service Enterprise Group, Inc. | (109 | ) | (5,754 | ) | ||||
SCANA Corp. | (31 | ) | (1,206 | ) |
The accompanying notes are an integral part of the financial statements.
96
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Concluded)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) | ||||||||
Sempra Energy | (41 | ) | $ | (4,664 | ) | |||
Xcel Energy, Inc. | (110 | ) | (5,193 | ) | ||||
|
| |||||||
(74,406 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCKS | (922,716 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (36.0)% |
| (922,716 | ) | |||||
|
| |||||||
(Proceeds $935,139) | ||||||||
OTHER ASSETS IN EXCESS OF | 996,954 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,560,893 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
(a) | All or portion of the security is on loan. (See Note 5 of the Notes to Financial Statements) |
* | Non-income producing. |
PLC Public Limited Company
REIT Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
97
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
LONG POSITIONS — 174.4% |
| |||||||
COMMON STOCKS — 174.4% |
| |||||||
Automobiles & Components — 0.7% |
| |||||||
Adient PLC (Ireland)†(a) | 45 | $ | 1,769 | |||||
Delphi Technologies PLC (Jersey) | 14 | 439 | ||||||
Gentex Corp.† | 15 | 322 | ||||||
Goodyear Tire & Rubber Co. (The)† | 194 | 4,538 | ||||||
Harley-Davidson, Inc.†(a) | 155 | 7,022 | ||||||
Lear Corp.† | 18 | 2,610 | ||||||
Tenneco, Inc., Class A | 17 | 716 | ||||||
|
| |||||||
17,416 | ||||||||
|
| |||||||
Capital Goods — 18.9% | ||||||||
3M Co. | 11 | 2,318 | ||||||
AAR Corp. | 7 | 335 | ||||||
Actuant Corp., Class A | 9 | 251 | ||||||
Advanced Drainage Systems, Inc. | 13 | 402 | ||||||
AECOM(a)* | 28 | 914 | ||||||
Allison Transmission Holdings, Inc.† | 272 | 14,147 | ||||||
Altra Industrial Motion Corp. | 7 | 289 | ||||||
AMETEK, Inc.† | 86 | 6,804 | ||||||
Applied Industrial Technologies, Inc. | 40 | 3,130 | ||||||
Arconic, Inc. | 3 | 66 | ||||||
Armstrong World Industries, Inc.†* | 168 | 11,693 | ||||||
Atkore International Group, Inc.* | 85 | 2,255 | ||||||
AZZ, Inc. | 10 | 505 | ||||||
Boeing Co. (The)† | 20 | 7,438 | ||||||
Briggs & Stratton Corp. | 16 | 308 | ||||||
Carlisle Cos., Inc.† | 22 | 2,680 | ||||||
Colfax Corp.(a)* | 29 | 1,046 | ||||||
Comfort Systems USA, Inc. | 16 | 902 | ||||||
Continental Building Products, Inc.†* | 60 | 2,253 | ||||||
Donaldson Co., Inc.(a) | 39 | 2,272 | ||||||
Dover Corp.† | 184 | 16,289 | ||||||
Eaton Corp. PLC (Ireland) | 36 | 3,122 | ||||||
Emerson Electric Co.† | 228 | 17,460 | ||||||
Esterline Technologies Corp.* | 25 | 2,274 | ||||||
Federal Signal Corp. | 46 | 1,232 | ||||||
Fluor Corp.† | 196 | 11,388 | ||||||
Fortune Brands Home & Security, Inc. | 9 | 471 | ||||||
Gardner Denver Holdings, Inc.†* | 144 | 4,081 | ||||||
Generac Holdings, Inc.†* | 59 | 3,328 | ||||||
General Electric Co.† | 83 | 937 | ||||||
Gibraltar Industries, Inc.(a)* | 3 | 137 | ||||||
Gorman-Rupp Co. (The)† | 16 | 584 | ||||||
Graco, Inc. | 9 | 417 | ||||||
GrafTech International Ltd. | 196 | 3,824 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
Harris Corp.† | 99 | $ | 16,752 | |||||
Harsco Corp.* | 7 | 200 | ||||||
HD Supply Holdings, Inc.* | 48 | 2,054 | ||||||
Hexcel Corp. | 41 | 2,749 | ||||||
Hillenbrand, Inc.† | 78 | 4,079 | ||||||
Honeywell International, Inc.† | 245 | 40,768 | ||||||
IDEX Corp.† | 25 | 3,766 | ||||||
Illinois Tool Works, Inc.† | 61 | 8,608 | ||||||
Insteel Industries, Inc. | 3 | 108 | ||||||
ITT, Inc. | 20 | 1,225 | ||||||
Jacobs Engineering Group, Inc.† | 96 | 7,344 | ||||||
Kaman Corp. | 26 | 1,736 | ||||||
Kennametal, Inc. | 71 | 3,093 | ||||||
KLX, Inc.* | 19 | 1,193 | ||||||
L3 Technologies, Inc. | 3 | 638 | ||||||
Lincoln Electric Holdings, Inc.(a) | 16 | 1,495 | ||||||
Lockheed Martin Corp.† | 59 | 20,412 | ||||||
Masco Corp. | 11 | 403 | ||||||
Meritor, Inc.* | 34 | 658 | ||||||
Milacron Holdings Corp.* | 38 | 770 | ||||||
MSC Industrial Direct Co., Inc., Class A† | 98 | 8,635 | ||||||
Mueller Industries, Inc. | 3 | 87 | ||||||
National Presto Industries, Inc.(a) | 3 | 389 | ||||||
Nexeo Solutions, Inc.* | 2 | 24 | ||||||
Nordson Corp. | 13 | 1,806 | ||||||
nVent Electric PLC (Ireland) | 36 | 978 | ||||||
Oshkosh Corp. | 52 | 3,704 | ||||||
Parker-Hannifin Corp.† | 137 | 25,198 | ||||||
Pentair PLC (Ireland)†(a) | 211 | 9,147 | ||||||
PGT Innovations, Inc.* | 36 | 778 | ||||||
Quanta Services, Inc.* | 48 | 1,602 | ||||||
Raytheon Co.† | 110 | 22,733 | ||||||
Rockwell Automation, Inc. | 11 | 2,063 | ||||||
Rockwell Collins, Inc. | 160 | 22,475 | ||||||
Simpson Manufacturing Co., Inc.(a) | 30 | 2,174 | ||||||
Snap-on, Inc.† | 116 | 21,298 | ||||||
SPX FLOW, Inc.* | 25 | 1,300 | ||||||
Standex International Corp.† | 26 | 2,710 | ||||||
Teledyne Technologies, Inc.* | 14 | 3,454 | ||||||
Textron, Inc.† | 147 | 10,506 | ||||||
Toro Co. (The) | 5 | 300 | ||||||
TransDigm Group, Inc.†* | 34 | 12,658 | ||||||
TriMas Corp.* | 1 | 30 |
The accompanying notes are an integral part of the financial statements.
98
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
United Rentals, Inc.* | 4 | $ | 654 | |||||
United Technologies Corp. | 236 | 32,995 | ||||||
Valmont Industries, Inc.(a) | 7 | 970 | ||||||
WABCO Holdings, Inc.* | 10 | 1,179 | ||||||
WESCO International, Inc.* | 76 | 4,670 | ||||||
Willscot Corp.* | 10 | 172 | ||||||
WW Grainger, Inc.† | 43 | 15,369 | ||||||
Xylem, Inc.† | 21 | 1,677 | ||||||
|
| |||||||
455,338 | ||||||||
|
| |||||||
Commercial & Professional Services — 4.9% |
| |||||||
ABM Industries, Inc.(a) | 48 | 1,548 | ||||||
Brady Corp., Class A | 14 | 612 | ||||||
Brink’s Co. (The)(a) | 7 | 488 | ||||||
CBIZ, Inc.* | 5 | 118 | ||||||
Cimpress NV (Netherlands)* | 6 | 820 | ||||||
Cintas Corp.† | 9 | 1,780 | ||||||
Copart, Inc.†* | 81 | 4,174 | ||||||
Deluxe Corp.(a) | 56 | 3,189 | ||||||
Dun & Bradstreet Corp. (The)† | 41 | 5,843 | ||||||
Equifax, Inc.† | 53 | 6,920 | ||||||
FTI Consulting, Inc.* | 56 | 4,099 | ||||||
ICF International, Inc. | 10 | 754 | ||||||
KAR Auction Services, Inc. | 87 | 5,193 | ||||||
Navigant Consulting, Inc. | 11 | 254 | ||||||
Nielsen Holdings PLC (United Kingdom)(a) | 38 | 1,051 | ||||||
Pitney Bowes, Inc. | 8 | 57 | ||||||
Republic Services, Inc.† | 340 | 24,704 | ||||||
Ritchie Bros Auctioneers, Inc. (Canada) | 15 | 542 | ||||||
Robert Half International, Inc.† | 80 | 5,630 | ||||||
Tetra Tech, Inc. | 35 | 2,390 | ||||||
TriNet Group, Inc.* | 36 | 2,028 | ||||||
UniFirst Corp.† | 18 | 3,126 | ||||||
Verisk Analytics, Inc.†* | 97 | 11,693 | ||||||
Waste Management, Inc.† | 339 | 30,632 | ||||||
|
| |||||||
117,645 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 7.0% |
| |||||||
Acushnet Holdings Corp.(a) | 19 | 521 | ||||||
American Outdoor Brands Corp.* | 54 | 839 | ||||||
Brunswick Corp. | 6 | 402 | ||||||
Carter’s, Inc.†(a) | 11 | 1,085 | ||||||
Cavco Industries, Inc.†* | 14 | 3,542 | ||||||
Columbia Sportswear Co.† | 29 | 2,699 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Crocs, Inc.(a)* | 187 | $ | 3,981 | |||||
Deckers Outdoor Corp.†* | 10 | 1,186 | ||||||
Garmin Ltd. (Switzerland)† | 364 | 25,498 | ||||||
Hasbro, Inc.†(a) | 147 | 15,453 | ||||||
Helen of Troy Ltd. (Bermuda)* | 22 | 2,880 | ||||||
La-Z-Boy, Inc.† | 17 | 537 | ||||||
Malibu Boats, Inc., Class A* | 16 | 876 | ||||||
Mattel, Inc.†* | 198 | 3,109 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 157 | 10,764 | ||||||
Mohawk Industries, Inc.†* | 92 | 16,132 | ||||||
NIKE, Inc., Class B | 88 | 7,455 | ||||||
NVR, Inc.†* | 6 | 14,825 | ||||||
PVH Corp.† | 56 | 8,086 | ||||||
Ralph Lauren Corp.† | 50 | 6,878 | ||||||
Skechers U.S.A., Inc., Class A(a)* | 11 | 307 | ||||||
Sturm Ruger & Co., Inc.(a) | 30 | 2,072 | ||||||
Tapestry, Inc.† | 471 | 23,677 | ||||||
VF Corp.† | 37 | 3,458 | ||||||
Vista Outdoor, Inc.†* | 319 | 5,707 | ||||||
Whirlpool Corp.† | 58 | 6,888 | ||||||
Wolverine World Wide, Inc. | 6 | 234 | ||||||
|
| |||||||
169,091 | ||||||||
|
| |||||||
Consumer Services — 8.6% | ||||||||
Adtalem Global Education, Inc.(a)* | 28 | 1,350 | ||||||
BJ’s Restaurants, Inc.(a) | 81 | 5,848 | ||||||
Bloomin’ Brands, Inc.† | 88 | 1,742 | ||||||
Boyd Gaming Corp.† | 246 | 8,327 | ||||||
Brinker International, Inc.† | 144 | 6,729 | ||||||
Choice Hotels International, Inc.(a) | 52 | 4,332 | ||||||
Churchill Downs, Inc.† | 23 | 6,387 | ||||||
Cracker Barrel Old Country Store, Inc.† | 9 | 1,324 | ||||||
Darden Restaurants, Inc.† | 149 | 16,567 | ||||||
Denny’s Corp.†* | 50 | 736 | ||||||
Dine Brands Global, Inc.† | 60 | 4,879 | ||||||
Graham Holdings Co., Class B | 6 | 3,476 | ||||||
Hilton Worldwide Holdings, Inc.† | 100 | 8,078 | ||||||
Hyatt Hotels Corp., Class A† | 156 | 12,416 | ||||||
International Game Technology PLC (United Kingdom)(a) | 17 | 336 | ||||||
Jack in the Box, Inc.† | 79 | 6,623 | ||||||
Las Vegas Sands Corp. | 2 | 119 | ||||||
Laureate Education, Inc., Class A* | 7 | 108 |
The accompanying notes are an integral part of the financial statements.
99
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Marriott International, Inc., Class A† | 5 | $ | 660 | |||||
Marriott Vacations Worldwide Corp. | 1 | 112 | ||||||
McDonald’s Corp.† | 277 | 46,339 | ||||||
Papa John’s International, Inc.(a) | 106 | 5,436 | ||||||
Restaurant Brands International, Inc. (Canada) | 37 | 2,193 | ||||||
Ruth’s Hospitality Group, Inc. | 45 | 1,420 | ||||||
Sonic Corp. | 75 | 3,250 | ||||||
Starbucks Corp.† | 292 | 16,597 | ||||||
Stars Group, Inc. (The) (Canada)* | 121 | 3,013 | ||||||
Vail Resorts, Inc.† | 25 | 6,860 | ||||||
Weight Watchers International, | 8 | 576 | ||||||
Wyndham Destinations, Inc.† | 8 | 347 | ||||||
Wyndham Hotels & Resorts, Inc. | 23 | 1,278 | ||||||
Yum! Brands, Inc.† | 315 | 28,637 | ||||||
|
| |||||||
206,095 | ||||||||
|
| |||||||
Energy — 4.5% | ||||||||
Cameco Corp. (Canada)† | 97 | 1,106 | ||||||
Chevron Corp.† | 85 | 10,394 | ||||||
CONSOL Energy, Inc.* | 4 | 163 | ||||||
CVR Energy, Inc. | 109 | 4,384 | ||||||
Diamond Offshore Drilling, Inc.(a)* | 41 | 820 | ||||||
Frank’s International NV (Netherlands)(a)* | 42 | 365 | ||||||
FTS International, Inc.* | 36 | 424 | ||||||
Halliburton Co.† | 16 | 648 | ||||||
Helmerich & Payne, Inc.† | 92 | 6,327 | ||||||
HollyFrontier Corp.† | 156 | 10,904 | ||||||
Imperial Oil Ltd. (Canada) | 70 | 2,266 | ||||||
Kinder Morgan, Inc.† | 607 | 10,762 | ||||||
Mammoth Energy Services, Inc. | 16 | 466 | ||||||
Matrix Service Co.* | 3 | 74 | ||||||
Nabors Industries Ltd. (Bermuda)(a) | 334 | 2,057 | ||||||
National Oilwell Varco, Inc. | 3 | 129 | ||||||
ONEOK, Inc.† | 158 | 10,711 | ||||||
Phillips 66† | 111 | 12,512 | ||||||
Precision Drilling Corp. (Canada)* | 121 | 419 | ||||||
Renewable Energy Group, Inc.* | 222 | 6,394 | ||||||
RPC, Inc.† | 344 | 5,325 | ||||||
Ship Finance International Ltd. (Bermuda)† | 139 | 1,932 | ||||||
TechnipFMC PLC (United | 183 | 5,719 | ||||||
Tidewater, Inc.(a)* | 26 | 811 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) | ||||||||
Transocean Ltd. (Switzerland)†* | 13 | $ | 181 | |||||
Valero Energy Corp.† | 47 | 5,346 | ||||||
Williams Cos., Inc. (The) | 217 | 5,900 | ||||||
World Fuel Services Corp. | 43 | 1,190 | ||||||
|
| |||||||
107,729 | ||||||||
|
| |||||||
Food & Staples Retailing — 6.2% | ||||||||
Kroger Co. (The)† | 719 | 20,930 | ||||||
SUPERVALU, Inc.(a)* | 164 | 5,284 | ||||||
Sysco Corp.† | 472 | 34,574 | ||||||
Walgreens Boots Alliance, Inc.† | 450 | 32,805 | ||||||
Walmart, Inc.† | 588 | 55,219 | ||||||
|
| |||||||
148,812 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 16.1% |
| |||||||
Altria Group, Inc.† | 825 | 49,756 | ||||||
Archer-Daniels-Midland Co.† | 584 | 29,358 | ||||||
B&G Foods, Inc.(a) | 27 | 741 | ||||||
Brown-Forman Corp., Class B† | 296 | 14,963 | ||||||
Coca-Cola Co. (The)† | 716 | 33,072 | ||||||
Conagra Brands, Inc.† | 480 | 16,306 | ||||||
Constellation Brands, Inc., Class A† | 46 | 9,919 | ||||||
Dean Foods Co.(a) | 43 | 305 | ||||||
Flowers Foods, Inc. | 25 | 466 | ||||||
General Mills, Inc.† | 233 | 10,000 | ||||||
Hershey Co. (The)† | 181 | 18,462 | ||||||
Hormel Foods Corp.† | 309 | 12,175 | ||||||
Ingredion, Inc.† | 68 | 7,137 | ||||||
John B Sanfilippo & Son, Inc.(a) | 6 | 428 | ||||||
Kellogg Co.† | 311 | 21,776 | ||||||
Kraft Heinz Co. (The)† | 173 | 9,534 | ||||||
Molson Coors Brewing Co., Class B† | 31 | 1,906 | ||||||
Mondelez International, Inc., | 710 | 30,502 | ||||||
PepsiCo, Inc.† | 528 | 59,030 | ||||||
Philip Morris International, Inc.† | 521 | 42,482 | ||||||
Pilgrim’s Pride Corp.* | 357 | 6,458 | ||||||
TreeHouse Foods, Inc.(a)* | 48 | 2,297 | ||||||
Tyson Foods, Inc., Class A† | 81 | 4,822 | ||||||
Universal Corp.† | 66 | 4,290 | ||||||
Vector Group Ltd.(a) | 15 | 207 | ||||||
|
| |||||||
386,392 | ||||||||
|
| |||||||
Health Care Equipment & Services — 18.3% |
| |||||||
Abbott Laboratories† | 48 | 3,521 | ||||||
Acadia Healthcare Co., Inc.(a)* | 5 | 176 |
The accompanying notes are an integral part of the financial statements.
100
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Allscripts Healthcare Solutions, Inc.* | 414 | $ | 5,900 | |||||
AmerisourceBergen Corp.† | 69 | 6,363 | ||||||
AMN Healthcare Services, Inc.†(a)* | 65 | 3,556 | ||||||
Avanos Medical, Inc.†* | 127 | 8,700 | ||||||
Baxter International, Inc.† | 43 | 3,315 | ||||||
Becton Dickinson and Co.† | 50 | 13,050 | ||||||
Brookdale Senior Living, Inc.†* | 330 | 3,244 | ||||||
Cantel Medical Corp. | 5 | 460 | ||||||
Cardinal Health, Inc.† | 261 | 14,094 | ||||||
Cerner Corp.†* | 83 | 5,346 | ||||||
Chemed Corp. | 14 | 4,474 | ||||||
CONMED Corp. | 45 | 3,565 | ||||||
Cooper Cos., Inc. (The) | 20 | 5,543 | ||||||
CVS Health Corp.† | 459 | 36,132 | ||||||
Danaher Corp.† | 100 | 10,866 | ||||||
DaVita, Inc.†* | 116 | 8,309 | ||||||
DENTSPLY SIRONA, Inc.† | 448 | 16,908 | ||||||
Encompass Health Corp. | 63 | 4,911 | ||||||
Envision Healthcare Corp.†* | 352 | 16,097 | ||||||
Express Scripts Holding Co.†* | 340 | 32,303 | ||||||
Globus Medical, Inc., Class A†* | 181 | 10,273 | ||||||
Haemonetics Corp.†* | 33 | 3,781 | ||||||
HCA Healthcare, Inc.† | 224 | 31,163 | ||||||
Hill-Rom Holdings, Inc.† | 71 | 6,702 | ||||||
HMS Holdings Corp.* | 36 | 1,181 | ||||||
Hologic, Inc.* | 26 | 1,065 | ||||||
ICU Medical, Inc.†* | 27 | 7,634 | ||||||
Integer Holdings Corp.†* | 86 | 7,134 | ||||||
Integra LifeSciences Holdings | 18 | 1,186 | ||||||
Laboratory Corp. of America Holdings†* | 136 | 23,620 | ||||||
LifePoint Health, Inc.†* | 176 | 11,334 | ||||||
Masimo Corp.* | 18 | 2,242 | ||||||
McKesson Corp.† | 111 | 14,724 | ||||||
Medtronic PLC (Ireland)† | 414 | 40,725 | ||||||
Meridian Bioscience, Inc.† | 5 | 74 | ||||||
NextGen Healthcare, Inc.†* | 149 | 2,992 | ||||||
NxStage Medical, Inc.* | 2 | 56 | ||||||
Owens & Minor, Inc.† | 92 | 1,520 | ||||||
Patterson Cos., Inc.(a) | 190 | 4,646 | ||||||
Quest Diagnostics, Inc.† | 107 | 11,546 | ||||||
Quidel Corp.* | 13 | 847 | ||||||
ResMed, Inc.† | 81 | 9,343 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Health Care Equipment & Services — (Continued) |
| |||||||
STERIS PLC (United Kingdom)† | 79 | $ | 9,038 | |||||
Stryker Corp. | 15 | 2,665 | ||||||
Tenet Healthcare Corp.†(a)* | 138 | 3,927 | ||||||
Tivity Health, Inc.(a)* | 56 | 1,800 | ||||||
Universal Health Services, Inc., | 114 | 14,574 | ||||||
Varian Medical Systems, Inc.†* | 31 | 3,470 | ||||||
West Pharmaceutical Services, Inc. | 27 | 3,334 | ||||||
|
| |||||||
439,429 | ||||||||
|
| |||||||
Household & Personal Products — 8.1% |
| |||||||
Avon Products, Inc.* | 566 | 1,245 | ||||||
Church & Dwight Co., Inc.† | 302 | 17,930 | ||||||
Clorox Co. (The)†(a) | 136 | 20,456 | ||||||
Colgate-Palmolive Co.† | 757 | 50,681 | ||||||
Edgewell Personal Care Co.(a)* | 22 | 1,017 | ||||||
Estee Lauder Cos., Inc. (The), | 112 | 16,276 | ||||||
Kimberly-Clark Corp.† | 305 | 34,660 | ||||||
Procter & Gamble Co. (The)† | 624 | 51,936 | ||||||
|
| |||||||
194,201 | ||||||||
|
| |||||||
Materials — 4.8% | ||||||||
A. Schulman, Inc. CVR(b)* | 1 | 2 | ||||||
Albemarle Corp.(a) | 20 | 1,996 | ||||||
AptarGroup, Inc. | 59 | 6,357 | ||||||
Ashland Global Holdings, Inc. | 17 | 1,426 | ||||||
Balchem Corp. | 5 | 560 | ||||||
Bemis Co., Inc. | 128 | 6,221 | ||||||
Berry Plastics Group, Inc.* | 51 | 2,468 | ||||||
Celanese Corp.† | 91 | 10,374 | ||||||
Chase Corp. | 13 | 1,562 | ||||||
Chemours Co. (The) | 41 | 1,617 | ||||||
Domtar Corp.† | 126 | 6,573 | ||||||
Eagle Materials, Inc.† | 5 | 426 | ||||||
FMC Corp. | 40 | 3,487 | ||||||
Greif, Inc., Class A | 9 | 483 | ||||||
International Paper Co.† | 27 | 1,327 | ||||||
Kraton Corp.* | 24 | 1,132 | ||||||
Louisiana-Pacific Corp. | 28 | 742 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 95 | 9,738 | ||||||
Methanex Corp. (Canada)† | 100 | 7,910 | ||||||
Neenah Paper, Inc.†(a) | 28 | 2,416 | ||||||
NewMarket Corp.(a) | 10 | 4,055 | ||||||
PolyOne Corp.† | 93 | 4,066 |
The accompanying notes are an integral part of the financial statements.
101
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) | ||||||||
Rayonier Advanced Materials, | 72 | $ | 1,327 | |||||
RPM International, Inc.† | 129 | 8,377 | ||||||
Sherwin-Williams Co. (The)† | 19 | 8,649 | ||||||
Silgan Holdings, Inc.(a) | 36 | 1,001 | ||||||
Sonoco Products Co.†(a) | 65 | 3,608 | ||||||
Verso Corp., Class A* | 155 | 5,219 | ||||||
Vulcan Materials Co. | 39 | 4,337 | ||||||
Westlake Chemical Corp.† | 5 | 416 | ||||||
WestRock Co.† | 152 | 8,123 | ||||||
|
| |||||||
115,995 | ||||||||
|
| |||||||
Media — 8.8% | ||||||||
AMC Entertainment Holdings, Inc., Class A† | 146 | 2,993 | ||||||
AMC Networks, Inc., Class A* | 13 | 862 | ||||||
CBS Corp., Class B, non-voting shares† | 326 | 18,729 | ||||||
Cinemark Holdings, Inc.†(a) | 257 | 10,331 | ||||||
Comcast Corp., Class A† | 586 | 20,750 | ||||||
DISH Network Corp., Class A†* | 305 | 10,907 | ||||||
Gannett Co., Inc.(a) | 274 | 2,743 | ||||||
Interpublic Group of Cos., Inc. | 505 | 11,549 | ||||||
Marcus Corp. (The) | 1 | 42 | ||||||
MSG Networks, Inc., Class A†* | 128 | 3,302 | ||||||
New Media Investment Group, Inc. | 60 | 941 | ||||||
News Corp., Class A† | 487 | 6,424 | ||||||
Omnicom Group, Inc.† | 91 | 6,190 | ||||||
Shaw Communications, Inc., Class B (Canada) | 19 | 370 | ||||||
Sinclair Broadcast Group, Inc., Class A | 79 | 2,240 | ||||||
Tribune Media Co., Class A† | 256 | 9,838 | ||||||
Twenty-First Century Fox, Inc., Class A† | 971 | 44,986 | ||||||
Viacom, Inc., Class B† | 443 | 14,956 | ||||||
Walt Disney Co. (The)† | 359 | 41,981 | ||||||
World Wrestling Entertainment, Inc., Class A(a) | 7 | 677 | ||||||
|
| |||||||
210,811 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 8.4% |
| |||||||
AbbVie, Inc.† | 7 | 662 | ||||||
Amgen, Inc.† | 76 | 15,754 | ||||||
Biogen, Inc.†* | 24 | 8,479 | ||||||
Bristol-Myers Squibb Co.† | 351 | 21,790 | ||||||
Bruker Corp. | 92 | 3,077 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Cambrex Corp.(a)* | 20 | $ | 1,368 | |||||
CareDx, Inc.(a)* | 60 | 1,731 | ||||||
Celgene Corp.†* | 212 | 18,972 | ||||||
Charles River Laboratories International, Inc.* | 4 | 538 | ||||||
Eli Lilly & Co.† | 86 | 9,229 | ||||||
Gilead Sciences, Inc.† | 157 | 12,122 | ||||||
Innoviva, Inc.(a)* | 55 | 838 | ||||||
Jazz Pharmaceuticals PLC | 3 | 504 | ||||||
Johnson & Johnson† | 207 | 28,601 | ||||||
Ligand Pharmaceuticals, Inc.†(a)* | 19 | 5,215 | ||||||
Merck & Co., Inc.† | 435 | 30,859 | ||||||
Mettler-Toledo International, Inc.* | 2 | 1,218 | ||||||
Nektar Therapeutics(a)* | 30 | 1,829 | ||||||
Neurocrine Biosciences, Inc.(a)* | 9 | 1,107 | ||||||
Pfizer, Inc.† | 190 | 8,373 | ||||||
PRA Health Sciences, Inc.†* | 81 | 8,925 | ||||||
QIAGEN NV (Netherlands)* | 134 | 5,076 | ||||||
Regeneron Pharmaceuticals, Inc.†* | 9 | 3,636 | ||||||
Supernus Pharmaceuticals, Inc.(a)* | 8 | 403 | ||||||
Thermo Fisher Scientific, Inc. | 17 | 4,149 | ||||||
Vanda Pharmaceuticals, Inc.* | 7 | 161 | ||||||
Waters Corp.†* | 30 | 5,840 | ||||||
Zoetis, Inc.† | 32 | 2,930 | ||||||
|
| |||||||
203,386 | ||||||||
|
| |||||||
Retailing — 16.1% | ||||||||
Aaron’s, Inc. | 16 | 871 | ||||||
Advance Auto Parts, Inc.† | 151 | 25,418 | ||||||
Amazon.com, Inc.†* | 25 | 50,075 | ||||||
American Eagle Outfitters, Inc. | 21 | 521 | ||||||
Asbury Automotive Group, Inc.†(a)* | 57 | 3,919 | ||||||
AutoNation, Inc.†* | 23 | 956 | ||||||
AutoZone, Inc.†* | 27 | 20,944 | ||||||
Best Buy Co., Inc.† | 69 | 5,476 | ||||||
Booking Holdings, Inc.†* | 8 | 15,872 | ||||||
CarMax, Inc.†(a)* | 122 | 9,110 | ||||||
Chico’s FAS, Inc.†(a) | 550 | 4,768 | ||||||
Core-Mark Holding Co., Inc. | 104 | 3,532 | ||||||
Dick’s Sporting Goods, Inc. | 1 | 35 | ||||||
Dollar General Corp.† | 217 | 23,718 | ||||||
Dollar Tree, Inc.†* | 9 | 734 | ||||||
Foot Locker, Inc.†(a) | 43 | 2,192 | ||||||
Gap, Inc. (The)† | 35 | 1,010 |
The accompanying notes are an integral part of the financial statements.
102
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
Genuine Parts Co.† | 119 | $ | 11,829 | |||||
Home Depot, Inc. (The)† | 198 | 41,016 | ||||||
Kohl’s Corp.† | 165 | 12,301 | ||||||
Lowe’s Cos., Inc.† | 202 | 23,194 | ||||||
Macy’s, Inc.†(a) | 131 | 4,550 | ||||||
Nordstrom, Inc.(a) | 9 | 538 | ||||||
Nutrisystem, Inc.†(a) | 86 | 3,186 | ||||||
O’Reilly Automotive, Inc.†* | 9 | 3,126 | ||||||
Penske Automotive Group, Inc. | 12 | 569 | ||||||
PetMed Express, Inc.† | 117 | 3,862 | ||||||
Qurate Retail, Inc.†* | 455 | 10,106 | ||||||
RH†(a)* | 34 | 4,454 | ||||||
Ross Stores, Inc.† | 156 | 15,460 | ||||||
Signet Jewelers Ltd. (Bermuda)(a) | 125 | 8,241 | ||||||
Tailored Brands, Inc. | 134 | 3,375 | ||||||
Target Corp.† | 106 | 9,350 | ||||||
Tiffany & Co.† | 71 | 9,157 | ||||||
TJX Cos., Inc. (The)† | 425 | 47,608 | ||||||
Ulta Beauty, Inc.†* | 22 | 6,207 | ||||||
Urban Outfitters, Inc.* | 21 | 859 | ||||||
|
| |||||||
388,139 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.8% |
| |||||||
Advanced Energy Industries, Inc.* | 5 | 258 | ||||||
Analog Devices, Inc.† | 78 | 7,212 | ||||||
Broadcom, Inc. | 2 | 493 | ||||||
Cirrus Logic, Inc.†* | 16 | 618 | ||||||
Diodes, Inc.* | 74 | 2,463 | ||||||
Intel Corp.† | 147 | 6,952 | ||||||
Lam Research Corp. | 7 | 1,062 | ||||||
Maxim Integrated Products, Inc.† | 105 | 5,921 | ||||||
Micron Technology, Inc.†* | 82 | 3,709 | ||||||
MKS Instruments, Inc. | 7 | 561 | ||||||
Nanometrics, Inc.* | 32 | 1,201 | ||||||
QUALCOMM, Inc.† | 22 | 1,585 | ||||||
Texas Instruments, Inc.† | 66 | 7,081 | ||||||
Xcerra Corp.†* | 305 | 4,352 | ||||||
|
| |||||||
43,468 | ||||||||
|
| |||||||
Software & Services — 22.8% | ||||||||
Accenture PLC, Class A (Ireland)† | 85 | 14,467 | ||||||
Adobe, Inc.* | 2 | 540 | ||||||
Akamai Technologies, Inc.†* | 97 | 7,096 | ||||||
Alliance Data Systems Corp. | 20 | 4,723 | ||||||
Alphabet, Inc., Class A†* | 34 | 41,041 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
ANGI Homeservices, Inc., Class A* | 109 | $ | 2,559 | |||||
ANSYS, Inc.†* | 17 | 3,174 | ||||||
Appfolio, Inc., Class A(a) * | 7 | 549 | ||||||
Aspen Technology, Inc.†* | 38 | 4,329 | ||||||
Automatic Data Processing, Inc.† | 183 | 27,571 | ||||||
Avaya Holdings Corp.†* | 296 | 6,553 | ||||||
Broadridge Financial Solutions, Inc.† | 97 | 12,799 | ||||||
CA, Inc.† | 469 | 20,706 | ||||||
CACI International, Inc., Class A* | 18 | 3,315 | ||||||
Cadence Design Systems, Inc.* | 24 | 1,088 | ||||||
Cardtronics PLC, Class A (United Kingdom)* | 79 | 2,500 | ||||||
Cars.com, Inc.†(a)* | 250 | 6,902 | ||||||
CDK Global, Inc.† | 190 | 11,886 | ||||||
CGI Group, Inc., Class A (Canada)†* | 97 | 6,255 | ||||||
Cision Ltd. (Cayman Islands)* | 132 | 2,218 | ||||||
Citrix Systems, Inc.†* | 199 | 22,121 | ||||||
CommVault Systems, Inc.* | 64 | 4,480 | ||||||
Conduent, Inc.†(a)* | 470 | 10,584 | ||||||
Convergys Corp.† | 226 | 5,365 | ||||||
DXC Technology Co.† | 327 | 30,581 | ||||||
eBay, Inc.†* | 204 | 6,736 | ||||||
Electronic Arts, Inc.* | 22 | 2,651 | ||||||
Endurance International Group Holdings, Inc.* | 35 | 308 | ||||||
Etsy, Inc.†* | 335 | 17,212 | ||||||
Facebook, Inc., Class A†* | 132 | 21,709 | ||||||
Fair Isaac Corp.†* | 23 | 5,257 | ||||||
Fiserv, Inc.†* | 278 | 22,902 | ||||||
FleetCor Technologies, Inc.†* | 65 | 14,810 | ||||||
Fortinet, Inc.†* | 131 | 12,087 | ||||||
Globant SA (Luxembourg)* | 12 | 708 | ||||||
GoDaddy, Inc., Class A* | 59 | 4,920 | ||||||
GrubHub, Inc.†(a)* | 28 | 3,881 | ||||||
IAC/InterActiveCorp.†* | 25 | 5,418 | ||||||
International Business Machines Corp.† | 95 | 14,365 | ||||||
Intuit, Inc.† | 154 | 35,020 | ||||||
j2 Global, Inc.† | 68 | 5,634 | ||||||
LogMeIn, Inc. | 17 | 1,515 | ||||||
Manhattan Associates, Inc.†* | 15 | 819 | ||||||
MAXIMUS, Inc. | 32 | 2,082 | ||||||
Microsoft Corp.† | 5 | 572 | ||||||
Monotype Imaging Holdings, Inc. | 4 | 81 |
The accompanying notes are an integral part of the financial statements.
103
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
NIC, Inc.†(a) | 263 | $ | 3,892 | |||||
Open Text Corp. (Canada)† | 201 | 7,646 | ||||||
Oracle Corp.† | 533 | 27,481 | ||||||
Paychex, Inc.† | 325 | 23,936 | ||||||
Progress Software Corp.† | 113 | 3,988 | ||||||
Qualys, Inc.* | 8 | 713 | ||||||
QuinStreet, Inc.* | 21 | 285 | ||||||
Red Hat, Inc.†* | 5 | 681 | ||||||
salesforce.com, Inc.†* | 62 | 9,860 | ||||||
Shutterstock, Inc. | 9 | 491 | ||||||
SPS Commerce, Inc.* | 39 | 3,870 | ||||||
SS&C Technologies Holdings, Inc.† | 47 | 2,671 | ||||||
Stamps.com, Inc.†(a) * | 16 | 3,619 | ||||||
Symantec Corp. | 139 | 2,958 | ||||||
Synopsys, Inc.†* | 73 | 7,199 | ||||||
Travelport Worldwide Ltd. (Bermuda)† | 11 | 186 | ||||||
Tyler Technologies, Inc.* | 15 | 3,676 | ||||||
VeriSign, Inc.†* | 59 | 9,447 | ||||||
Web.com Group, Inc.* | 88 | 2,455 | ||||||
Western Union Co. (The)(a) | 72 | 1,372 | ||||||
|
| |||||||
548,515 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 8.4% |
| |||||||
ADTRAN, Inc. | 33 | 582 | ||||||
Amphenol Corp., Class A† | 57 | 5,359 | ||||||
Apple, Inc.† | 38 | 8,578 | ||||||
Avnet, Inc. | 54 | 2,418 | ||||||
AVX Corp. | 4 | 72 | ||||||
Badger Meter, Inc.(a) | 21 | 1,112 | ||||||
Casa Systems, Inc.(a)* | 19 | 280 | ||||||
Ciena Corp.†(a)* | 348 | 10,872 | ||||||
Cisco Systems, Inc.† | 215 | 10,460 | ||||||
CommScope Holding Co., Inc.* | 148 | 4,552 | ||||||
Comtech Telecommunications Corp. | 9 | 326 | ||||||
Dolby Laboratories, Inc., Class A† | 98 | 6,857 | ||||||
EchoStar Corp., Class A* | 85 | 3,941 | ||||||
Electro Scientific Industries, Inc.†* | 14 | 244 | ||||||
F5 Networks, Inc.†* | 72 | 14,358 | ||||||
FLIR Systems, Inc.† | 290 | 17,826 | ||||||
Hewlett Packard Enterprise Co.† | 423 | 6,899 | ||||||
HP, Inc.† | 204 | 5,257 | ||||||
Insight Enterprises, Inc.* | 43 | 2,326 | ||||||
InterDigital, Inc.† | 32 | 2,560 | ||||||
Jabil, Inc.† | 182 | 4,929 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Keysight Technologies, Inc.* | 10 | $ | 663 | |||||
Mesa Laboratories, Inc. | 3 | 557 | ||||||
Mitel Networks Corp. (Canada)* | 137 | 1,510 | ||||||
Motorola Solutions, Inc.† | 155 | 20,172 | ||||||
MTS Systems Corp. | 5 | 274 | ||||||
NetApp, Inc.† | 66 | 5,669 | ||||||
OSI Systems, Inc.(a)* | 22 | 1,679 | ||||||
Plantronics, Inc.† | 47 | 2,834 | ||||||
ScanSource, Inc.†* | 42 | 1,676 | ||||||
Seagate Technology PLC (Ireland)† | 41 | 1,941 | ||||||
TE Connectivity Ltd. (Switzerland)† | 354 | 31,127 | ||||||
Ubiquiti Networks, Inc.(a) | 12 | 1,186 | ||||||
Vishay Intertechnology, Inc.† | 157 | 3,195 | ||||||
Western Digital Corp.† | 164 | 9,601 | ||||||
Xerox Corp. | 214 | 5,774 | ||||||
Zebra Technologies Corp., Class A†* | 25 | 4,421 | ||||||
|
| |||||||
202,087 | ||||||||
|
| |||||||
Telecommunication Services — 4.4% |
| |||||||
AT&T, Inc. | 322 | 10,813 | ||||||
BCE, Inc. (Canada)† | 258 | 10,454 | ||||||
CenturyLink, Inc.† | 128 | 2,714 | ||||||
Cogent Communications Holdings, Inc.(a) | 32 | 1,786 | ||||||
Rogers Communications, Inc., | 186 | 9,562 | ||||||
TELUS Corp. (Canada) | 56 | 2,063 | ||||||
United States Cellular Corp.†* | 19 | 851 | ||||||
Verizon Communications, Inc.† | 1,108 | 59,156 | ||||||
Vonage Holdings Corp.†* | 551 | 7,802 | ||||||
|
| |||||||
105,201 | ||||||||
|
| |||||||
Transportation — 5.6% | ||||||||
American Airlines Group, Inc.†(a) | 188 | 7,770 | ||||||
ArcBest Corp. | 8 | 388 | ||||||
CH Robinson Worldwide, Inc.† | 153 | 14,982 | ||||||
CSX Corp. | 45 | 3,332 | ||||||
Echo Global Logistics, Inc.* | 7 | 217 | ||||||
Expeditors International of Washington, Inc.† | 342 | 25,147 | ||||||
FedEx Corp.† | 31 | 7,464 | ||||||
Heartland Express, Inc.(a) | 136 | 2,683 | ||||||
JB Hunt Transport Services, Inc. | 5 | 595 | ||||||
Knight-Swift Transportation Holdings, Inc.(a) | 157 | 5,413 | ||||||
Landstar System, Inc.† | 72 | 8,784 |
The accompanying notes are an integral part of the financial statements.
104
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) | ||||||||
Norfolk Southern Corp. | 34 | $ | 6,137 | |||||
Schneider National, Inc., Class B† | 159 | 3,972 | ||||||
Southwest Airlines Co.† | 185 | 11,553 | ||||||
Union Pacific Corp.† | 55 | 8,956 | ||||||
United Continental Holdings, Inc.†* | 121 | 10,776 | ||||||
United Parcel Service, Inc., Class B† | 150 | 17,512 | ||||||
|
| |||||||
135,681 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 4,195,431 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 174.4% |
| 4,195,431 | ||||||
|
| |||||||
(Cost $3,708,344) | ||||||||
SHORT POSITIONS — (75.1)% | ||||||||
COMMON STOCKS — (75.1)% | ||||||||
Automobiles & Components — (2.5)% |
| |||||||
American Axle & Manufacturing Holdings, Inc.* | (101 | ) | (1,761 | ) | ||||
Aptiv PLC (Jersey) | (129 | ) | (10,823 | ) | ||||
Cooper Tire & Rubber Co. | (198 | ) | (5,604 | ) | ||||
Dorman Products, Inc.* | (49 | ) | (3,769 | ) | ||||
General Motors Co. | (223 | ) | (7,508 | ) | ||||
LCI Industries | (69 | ) | (5,713 | ) | ||||
Modine Manufacturing Co.* | (16 | ) | (238 | ) | ||||
Standard Motor Products, Inc. | (27 | ) | (1,329 | ) | ||||
Tesla, Inc.* | (88 | ) | (23,300 | ) | ||||
Thor Industries, Inc. | (4 | ) | (335 | ) | ||||
|
| |||||||
(60,380 | ) | |||||||
|
| |||||||
Capital Goods — (11.1)% | ||||||||
Aegion Corp.* | (4 | ) | (102 | ) | ||||
American Woodmark Corp.* | (23 | ) | (1,804 | ) | ||||
Astronics Corp.* | (49 | ) | (2,132 | ) | ||||
Axon Enterprise, Inc.* | (37 | ) | (2,532 | ) | ||||
Beacon Roofing Supply, Inc.* | (146 | ) | (5,284 | ) | ||||
Builders FirstSource, Inc.* | (422 | ) | (6,195 | ) | ||||
BWX Technologies, Inc. | (5 | ) | (313 | ) | ||||
Caterpillar, Inc. | (5 | ) | (762 | ) | ||||
CIRCOR International, Inc. | (68 | ) | (3,230 | ) | ||||
Crane Co. | (38 | ) | (3,737 | ) | ||||
Cubic Corp. | (21 | ) | (1,534 | ) | ||||
Cummins, Inc. | (29 | ) | (4,236 | ) | ||||
Curtiss-Wright Corp. | (46 | ) | (6,321 | ) | ||||
Dycom Industries, Inc.* | (156 | ) | (13,198 | ) | ||||
EMCOR Group, Inc. | (23 | ) | (1,728 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
EnPro Industries, Inc. | (11 | ) | $ | (802 | ) | |||
Evoqua Water Technologies Corp.* | (126 | ) | (2,240 | ) | ||||
Flowserve Corp. | (54 | ) | (2,953 | ) | ||||
Franklin Electric Co., Inc. | (77 | ) | (3,638 | ) | ||||
Gates Industrial Corp. PLC (United Kingdom)* | (53 | ) | (1,034 | ) | ||||
General Dynamics Corp. | (62 | ) | (12,693 | ) | ||||
GMS, Inc.* | (22 | ) | (510 | ) | ||||
Granite Construction, Inc. | (100 | ) | (4,570 | ) | ||||
HEICO Corp. | (11 | ) | (1,019 | ) | ||||
Herc Holdings, Inc.* | (43 | ) | (2,202 | ) | ||||
Huntington Ingalls Industries, Inc. | (5 | ) | (1,280 | ) | ||||
Hyster-Yale Materials Handling, Inc. | (4 | ) | (246 | ) | ||||
JELD-WEN Holding, Inc.* | (224 | ) | (5,524 | ) | ||||
John Bean Technologies Corp. | (9 | ) | (1,074 | ) | ||||
Kratos Defense & Security Solutions, Inc.* | (475 | ) | (7,020 | ) | ||||
Lindsay Corp. | (6 | ) | (601 | ) | ||||
MasTec, Inc.* | (196 | ) | (8,751 | ) | ||||
Mercury Systems, Inc.* | (189 | ) | (10,456 | ) | ||||
Middleby Corp. (The)* | (32 | ) | (4,139 | ) | ||||
MRC Global, Inc.* | (553 | ) | (10,380 | ) | ||||
Mueller Water Products, Inc., Class A | (117 | ) | (1,347 | ) | ||||
Navistar International Corp.* | (136 | ) | (5,236 | ) | ||||
Northrop Grumman Corp. | (44 | ) | (13,964 | ) | ||||
NOW, Inc.* | (505 | ) | (8,358 | ) | ||||
Patrick Industries, Inc.* | (105 | ) | (6,216 | ) | ||||
Primoris Services Corp. | (21 | ) | (521 | ) | ||||
Raven Industries, Inc. | (47 | ) | (2,150 | ) | ||||
Regal Beloit Corp. | (27 | ) | (2,226 | ) | ||||
REV Group, Inc. | (68 | ) | (1,068 | ) | ||||
Roper Technologies, Inc. | (29 | ) | (8,590 | ) | ||||
Sensata Technologies Holding PLC (United Kingdom)* | (25 | ) | (1,239 | ) | ||||
SiteOne Landscape Supply, Inc.* | (44 | ) | (3,315 | ) | ||||
SPX Corp.* | (143 | ) | (4,763 | ) | ||||
Stanley Black & Decker, Inc. | (101 | ) | (14,791 | ) | ||||
Sunrun, Inc.* | (472 | ) | (5,872 | ) | ||||
Terex Corp. | (7 | ) | (279 | ) | ||||
Textainer Group Holdings Ltd. (Bermuda)* | (41 | ) | (525 | ) | ||||
Thermon Group Holdings, Inc.* | (21 | ) | (541 | ) | ||||
Timken Co. (The) | (105 | ) | (5,234 | ) | ||||
TPI Composites, Inc.* | (45 | ) | (1,285 | ) |
The accompanying notes are an integral part of the financial statements.
105
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Trex Co., Inc.* | (52 | ) | $ | (4,003 | ) | |||
Triumph Group, Inc. | (328 | ) | (7,643 | ) | ||||
Tutor Perini Corp.* | (33 | ) | (620 | ) | ||||
Universal Forest Products, Inc. | (45 | ) | (1,590 | ) | ||||
USG Corp. | (290 | ) | (12,560 | ) | ||||
Vicor Corp.* | (122 | ) | (5,612 | ) | ||||
Vivint Solar, Inc.* | (8 | ) | (42 | ) | ||||
Wabash National Corp. | (30 | ) | (547 | ) | ||||
Welbilt, Inc.* | (215 | ) | (4,489 | ) | ||||
Wesco Aircraft Holdings, Inc.* | (175 | ) | (1,969 | ) | ||||
Woodward, Inc. | (69 | ) | (5,579 | ) | ||||
|
| |||||||
(266,414 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (1.1)% |
| |||||||
ACCO Brands Corp. | (34 | ) | (384 | ) | ||||
ASGN, Inc.* | (53 | ) | (4,183 | ) | ||||
Casella Waste Systems, Inc., | (1 | ) | (31 | ) | ||||
Civeo Corp. (Canada)* | (7 | ) | (29 | ) | ||||
Clean Harbors, Inc.* | (49 | ) | (3,507 | ) | ||||
Healthcare Services Group, Inc. | (151 | ) | (6,134 | ) | ||||
HNI Corp. | (87 | ) | (3,849 | ) | ||||
Insperity, Inc. | (8 | ) | (944 | ) | ||||
Korn/Ferry International | (35 | ) | (1,723 | ) | ||||
Multi-Color Corp. | (34 | ) | (2,116 | ) | ||||
Steelcase, Inc., Class A | (8 | ) | (148 | ) | ||||
Team, Inc.* | (156 | ) | (3,510 | ) | ||||
TransUnion | (7 | ) | (515 | ) | ||||
|
| |||||||
(27,073 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.6)% |
| |||||||
Canada Goose Holdings, Inc. (Canada)* | (125 | ) | (8,068 | ) | ||||
Fossil Group, Inc.* | (8 | ) | (186 | ) | ||||
G-III Apparel Group Ltd.* | (61 | ) | (2,940 | ) | ||||
GoPro, Inc., Class A* | (228 | ) | (1,642 | ) | ||||
Hanesbrands, Inc. | (149 | ) | (2,746 | ) | ||||
Installed Building Products, Inc.* | (91 | ) | (3,549 | ) | ||||
Leggett & Platt, Inc. | (25 | ) | (1,095 | ) | ||||
Newell Brands, Inc. | (517 | ) | (10,495 | ) | ||||
Oxford Industries, Inc. | (32 | ) | (2,887 | ) | ||||
Polaris Industries, Inc. | (87 | ) | (8,783 | ) | ||||
Tempur Sealy International, Inc.* | (217 | ) | (11,479 | ) | ||||
TopBuild Corp.* | (77 | ) | (4,375 | ) | ||||
Under Armour, Inc., Class C* | (170 | ) | (3,308 | ) | ||||
|
| |||||||
(61,553 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (4.4)% |
| |||||||
Aramark | (250 | ) | $ | (10,755 | ) | |||
Carnival Corp. (Panama) | (18 | ) | (1,148 | ) | ||||
Chipotle Mexican Grill, Inc.* | (19 | ) | (8,636 | ) | ||||
Dave & Buster’s Entertainment, Inc. | (149 | ) | (9,867 | ) | ||||
Fiesta Restaurant Group, Inc.* | (64 | ) | (1,712 | ) | ||||
Houghton Mifflin Harcourt Co.* | (113 | ) | (791 | ) | ||||
International Speedway Corp., | (20 | ) | (876 | ) | ||||
MGM Resorts International | (368 | ) | (10,271 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (275 | ) | (15,793 | ) | ||||
Red Rock Resorts, Inc., Class A | (197 | ) | (5,250 | ) | ||||
Royal Caribbean Cruises Ltd. (Liberia) | (132 | ) | (17,152 | ) | ||||
Service Corp. International | (129 | ) | (5,702 | ) | ||||
Shake Shack, Inc., Class A* | (65 | ) | (4,096 | ) | ||||
Six Flags Entertainment Corp. | (61 | ) | (4,259 | ) | ||||
Wingstop, Inc. | (55 | ) | (3,755 | ) | ||||
Wynn Resorts Ltd. | (43 | ) | (5,464 | ) | ||||
|
| |||||||
(105,527 | ) | |||||||
|
| |||||||
Energy — (4.5)% | ||||||||
Andeavor | (55 | ) | (8,442 | ) | ||||
Cheniere Energy, Inc.* | (129 | ) | (8,964 | ) | ||||
DHT Holdings, Inc. (Marshall Islands) | (48 | ) | (226 | ) | ||||
Dril-Quip, Inc.* | (11 | ) | (575 | ) | ||||
Exterran Corp.* | (3 | ) | (80 | ) | ||||
Forum Energy Technologies, Inc.* | (639 | ) | (6,614 | ) | ||||
Green Plains, Inc. | (334 | ) | (5,745 | ) | ||||
Helix Energy Solutions Group, Inc.* | (252 | ) | (2,490 | ) | ||||
Liberty Oilfield Services, Inc., Class A | (183 | ) | (3,947 | ) | ||||
Newpark Resources, Inc.* | (150 | ) | (1,552 | ) | ||||
NexGen Energy Ltd. (Canada)* | (38 | ) | (78 | ) | ||||
Nine Energy Service, Inc.* | (7 | ) | (214 | ) | ||||
Oceaneering International, Inc.* | (37 | ) | (1,021 | ) | ||||
Oil States International, Inc.* | (103 | ) | (3,420 | ) | ||||
Par Pacific Holdings, Inc.* | (1 | ) | (20 | ) | ||||
Patterson-UTI Energy, Inc. | (314 | ) | (5,373 | ) | ||||
Rowan Cos. PLC, Class A (United | ||||||||
Kingdom)* | (284 | ) | �� | (5,348 | ) | |||
Select Energy Services, Inc., | (106 | ) | (1,255 | ) | ||||
SemGroup Corp., Class A | (69 | ) | (1,521 | ) | ||||
Solaris Oilfield Infrastructure, Inc., Class A* | (236 | ) | (4,458 | ) |
The accompanying notes are an integral part of the financial statements.
106
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) | ||||||||
Suncor Energy, Inc. (Canada) | (55 | ) | $ | (2,128 | ) | |||
Superior Energy Services, Inc.* | (1,188 | ) | (11,571 | ) | ||||
Targa Resources Corp. | (217 | ) | (12,219 | ) | ||||
TransCanada Corp. (Canada) | (56 | ) | (2,266 | ) | ||||
Unit Corp.* | (216 | ) | (5,629 | ) | ||||
US Silica Holdings, Inc. | (665 | ) | (12,522 | ) | ||||
|
| |||||||
(107,678 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.8)% |
| |||||||
Casey’s General Stores, Inc. | (36 | ) | (4,648 | ) | ||||
Chefs’ Warehouse, Inc. (The)* | (12 | ) | (436 | ) | ||||
Costco Wholesale Corp. | (2 | ) | (470 | ) | ||||
Ingles Markets, Inc., Class A | (6 | ) | (206 | ) | ||||
Performance Food Group Co.* | (51 | ) | (1,698 | ) | ||||
Rite Aid Corp.* | (2,749 | ) | (3,519 | ) | ||||
Sprouts Farmers Market, Inc.* | (62 | ) | (1,699 | ) | ||||
United Natural Foods, Inc.* | (189 | ) | (5,661 | ) | ||||
|
| |||||||
(18,337 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (2.8)% |
| |||||||
Boston Beer Co., Inc. (The), Class A* | (2 | ) | (575 | ) | ||||
Bunge Ltd. (Bermuda) | (101 | ) | (6,940 | ) | ||||
Calavo Growers, Inc. | (3 | ) | (290 | ) | ||||
Coca-Cola Bottling Co. Consolidated | (31 | ) | (5,651 | ) | ||||
Darling Ingredients, Inc.* | (459 | ) | (8,868 | ) | ||||
Fresh Del Monte Produce, Inc. (Cayman Islands) | (17 | ) | (576 | ) | ||||
Hain Celestial Group, Inc. (The)* | (105 | ) | (2,848 | ) | ||||
Hostess Brands, Inc.* | (47 | ) | (520 | ) | ||||
J&J Snack Foods Corp. | (29 | ) | (4,376 | ) | ||||
JM Smucker Co. (The) | (58 | ) | (5,951 | ) | ||||
Lancaster Colony Corp. | (12 | ) | (1,791 | ) | ||||
McCormick & Co., Inc., non-voting shares | (10 | ) | (1,318 | ) | ||||
MGP Ingredients, Inc. | (14 | ) | (1,106 | ) | ||||
Monster Beverage Corp.* | (153 | ) | (8,917 | ) | ||||
Primo Water Corp.* | (8 | ) | (144 | ) | ||||
Sanderson Farms, Inc. | (159 | ) | (16,436 | ) | ||||
SunOpta, Inc. (Canada)* | (4 | ) | (29 | ) | ||||
|
| |||||||
(66,336 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (4.6)% |
| |||||||
ABIOMED, Inc.* | (3 | ) | (1,349 | ) | ||||
Align Technology, Inc.* | (44 | ) | (17,214 | ) | ||||
AxoGen, Inc.* | (34 | ) | (1,253 | ) | ||||
CorVel Corp.* | (1 | ) | (60 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Diplomat Pharmacy, Inc.* | (388 | ) | $ | (7,531 | ) | |||
Edwards Lifesciences Corp.* | (7 | ) | (1,219 | ) | ||||
Ensign Group, Inc. (The) | (9 | ) | (341 | ) | ||||
Evolent Health, Inc., Class A* | (384 | ) | (10,906 | ) | ||||
Glaukos Corp.* | (2 | ) | (130 | ) | ||||
Inovalon Holdings, Inc., Class A* | (62 | ) | (623 | ) | ||||
Inspire Medical Systems, Inc.* | (13 | ) | (547 | ) | ||||
Insulet Corp.* | (118 | ) | (12,502 | ) | ||||
Intuitive Surgical, Inc.* | (6 | ) | (3,444 | ) | ||||
K2M Group Holdings, Inc.* | (32 | ) | (876 | ) | ||||
LHC Group, Inc.* | (3 | ) | (309 | ) | ||||
Medidata Solutions, Inc.* | (186 | ) | (13,636 | ) | ||||
Merit Medical Systems, Inc.* | (31 | ) | (1,905 | ) | ||||
Natus Medical, Inc.* | (13 | ) | (463 | ) | ||||
Nevro Corp.* | (200 | ) | (11,400 | ) | ||||
OraSure Technologies, Inc.* | (247 | ) | (3,816 | ) | ||||
RadNet, Inc.* | (35 | ) | (527 | ) | ||||
Select Medical Holdings Corp.* | (59 | ) | (1,086 | ) | ||||
Senseonics Holdings, Inc.* | (321 | ) | (1,531 | ) | ||||
Sientra, Inc.* | (23 | ) | (549 | ) | ||||
STAAR Surgical Co.* | (4 | ) | (192 | ) | ||||
Surgery Partners, Inc.* | (67 | ) | (1,106 | ) | ||||
Teladoc Health, Inc.* | (22 | ) | (1,900 | ) | ||||
US Physical Therapy, Inc. | (1 | ) | (119 | ) | ||||
ViewRay, Inc.* | (331 | ) | (3,098 | ) | ||||
Vocera Communications, Inc.* | (40 | ) | (1,463 | ) | ||||
Wright Medical Group NV (Netherlands)* | (358 | ) | (10,389 | ) | ||||
|
| |||||||
(111,484 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.4)% |
| |||||||
Central Garden & Pet Co., Class A* | (15 | ) | (497 | ) | ||||
Coty, Inc., Class A | (83 | ) | (1,042 | ) | ||||
Energizer Holdings, Inc. | (39 | ) | (2,287 | ) | ||||
Inter Parfums, Inc. | (10 | ) | (644 | ) | ||||
Spectrum Brands Holdings, Inc. | (45 | ) | (3,362 | ) | ||||
WD-40 Co. | (6 | ) | (1,033 | ) | ||||
|
| |||||||
(8,865 | ) | |||||||
|
| |||||||
Materials — (4.8)% | ||||||||
Air Products & Chemicals, Inc. | (46 | ) | (7,684 | ) | ||||
American Vanguard Corp. | (52 | ) | (936 | ) | ||||
Avery Dennison Corp. | (13 | ) | (1,409 | ) | ||||
Boise Cascade Co. | (10 | ) | (368 | ) | ||||
Cabot Corp. | (153 | ) | (9,596 | ) | ||||
CF Industries Holdings, Inc. | (6 | ) | (327 | ) |
The accompanying notes are an integral part of the financial statements.
107
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) | ||||||||
Crown Holdings, Inc.* | (103 | ) | $ | (4,944 | ) | |||
Ferro Corp.* | (268 | ) | (6,223 | ) | ||||
GCP Applied Technologies, Inc.* | (19 | ) | (504 | ) | ||||
Graphic Packaging Holding Co. | (285 | ) | (3,993 | ) | ||||
HB Fuller Co. | (32 | ) | (1,653 | ) | ||||
Huntsman Corp. | (583 | ) | (15,875 | ) | ||||
Ingevity Corp.* | (48 | ) | (4,890 | ) | ||||
Martin Marietta Materials, Inc. | (77 | ) | (14,010 | ) | ||||
Minerals Technologies, Inc. | (3 | ) | (203 | ) | ||||
Nutrien Ltd. (Canada) | (65 | ) | (3,750 | ) | ||||
Olin Corp. | (109 | ) | (2,799 | ) | ||||
Packaging Corp. of America | (38 | ) | (4,168 | ) | ||||
PH Glatfelter Co. | (116 | ) | (2,217 | ) | ||||
Platform Specialty Products Corp.* | (205 | ) | (2,556 | ) | ||||
Sensient Technologies Corp. | (22 | ) | (1,683 | ) | ||||
Summit Materials, Inc., Class A* | (204 | ) | (3,709 | ) | ||||
Tredegar Corp. | (26 | ) | (563 | ) | ||||
Tronox Ltd., Class A (Australia) | (495 | ) | (5,915 | ) | ||||
US Concrete, Inc.* | (111 | ) | (5,089 | ) | ||||
WR Grace & Co. | (153 | ) | (10,933 | ) | ||||
|
| |||||||
(115,997 | ) | |||||||
|
| |||||||
Media — (1.8)% | ||||||||
Altice USA, Inc., Class A | (196 | ) | (3,556 | ) | ||||
Charter Communications, Inc., Class A* | (29 | ) | (9,451 | ) | ||||
Discovery, Inc., Class A* | (69 | ) | (2,208 | ) | ||||
Entercom Communications Corp., Class A | (176 | ) | (1,390 | ) | ||||
EW Scripps Co. (The), Class A | (202 | ) | (3,333 | ) | ||||
Lions Gate Entertainment Corp., Class B (Canada) | (51 | ) | (1,188 | ) | ||||
Live Nation Entertainment, Inc.* | (277 | ) | (15,088 | ) | ||||
Meredith Corp. | (108 | ) | (5,513 | ) | ||||
National CineMedia, Inc. | (27 | ) | (286 | ) | ||||
WideOpenWest, Inc.* | (22 | ) | (247 | ) | ||||
|
| |||||||
(42,260 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (1.6)% |
| |||||||
Accelerate Diagnostics, Inc.* | (18 | ) | (413 | ) | ||||
Aclaris Therapeutics, Inc.* | (41 | ) | (595 | ) | ||||
Aerie Pharmaceuticals, Inc.* | (40 | ) | (2,462 | ) | ||||
Alder Biopharmaceuticals, Inc.* | (125 | ) | (2,081 | ) | ||||
Atara Biotherapeutics, Inc.* | (28 | ) | (1,158 | ) | ||||
Bio-Rad Laboratories, Inc., Class A* | (6 | ) | (1,878 | ) | ||||
Bio-Techne Corp. | (7 | ) | (1,429 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Codexis, Inc.* | (44 | ) | $ | (755 | ) | |||
Coherus Biosciences, Inc.* | (147 | ) | (2,426 | ) | ||||
Epizyme, Inc.* | (60 | ) | (636 | ) | ||||
Esperion Therapeutics, Inc.* | (31 | ) | (1,375 | ) | ||||
Flexion Therapeutics, Inc.* | (38 | ) | (711 | ) | ||||
Illumina, Inc.* | (3 | ) | (1,101 | ) | ||||
ImmunoGen, Inc.* | (48 | ) | (455 | ) | ||||
Intra-Cellular Therapies, Inc.* | (135 | ) | (2,930 | ) | ||||
Intrexon Corp.* | (43 | ) | (740 | ) | ||||
La Jolla Pharmaceutical Co.* | (19 | ) | (382 | ) | ||||
Luminex Corp. | (41 | ) | (1,243 | ) | ||||
Medicines Co. (The)* | (14 | ) | (419 | ) | ||||
Portola Pharmaceuticals, Inc.* | (292 | ) | (7,776 | ) | ||||
Radius Health, Inc.* | (45 | ) | (801 | ) | ||||
Revance Therapeutics, Inc.* | (25 | ) | (621 | ) | ||||
Spectrum Pharmaceuticals, Inc.* | (24 | ) | (403 | ) | ||||
TherapeuticsMD, Inc.* | (278 | ) | (1,824 | ) | ||||
Theravance Biopharma, Inc. (Cayman Islands)* | (121 | ) | (3,953 | ) | ||||
Zogenix, Inc.* | (8 | ) | (397 | ) | ||||
|
| |||||||
(38,964 | ) | |||||||
|
| |||||||
Retailing — (6.0)% | ||||||||
Abercrombie & Fitch Co., Class A | (47 | ) | (993 | ) | ||||
At Home Group, Inc.* | (161 | ) | (5,076 | ) | ||||
Big Lots, Inc. | (270 | ) | (11,283 | ) | ||||
Boot Barn Holdings, Inc.* | (159 | ) | (4,517 | ) | ||||
Burlington Stores, Inc.* | (10 | ) | (1,629 | ) | ||||
Caleres, Inc. | (81 | ) | (2,905 | ) | ||||
Camping World Holdings, Inc., | (726 | ) | (15,478 | ) | ||||
Carvana Co.* | (2 | ) | (118 | ) | ||||
Children’s Place, Inc. (The) | (75 | ) | (9,585 | ) | ||||
Dillard’s, Inc., Class A | (116 | ) | (8,856 | ) | ||||
DSW, Inc., Class A | (309 | ) | (10,469 | ) | ||||
Express, Inc.* | (627 | ) | (6,935 | ) | ||||
Floor & Decor Holdings, Inc., | (170 | ) | (5,129 | ) | ||||
GameStop Corp., Class A | (300 | ) | (4,581 | ) | ||||
Genesco, Inc.* | (10 | ) | (471 | ) | ||||
Group 1 Automotive, Inc. | (15 | ) | (974 | ) | ||||
Guess?, Inc. | (36 | ) | (814 | ) | ||||
LKQ Corp.* | (252 | ) | (7,981 | ) | ||||
Lumber Liquidators Holdings, Inc.* | (166 | ) | (2,571 | ) |
The accompanying notes are an integral part of the financial statements.
108
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
Michaels Cos., Inc. (The)* | (592 | ) | $ | (9,608 | ) | |||
Monro, Inc. | (119 | ) | (8,282 | ) | ||||
Murphy USA, Inc.* | (7 | ) | (598 | ) | ||||
Overstock.com, Inc.* | (567 | ) | (15,706 | ) | ||||
Party City Holdco, Inc.* | (280 | ) | (3,794 | ) | ||||
Sleep Number Corp.* | (77 | ) | (2,832 | ) | ||||
Sonic Automotive, Inc., Class A | (15 | ) | (290 | ) | ||||
Wayfair, Inc., Class A* | (22 | ) | (3,249 | ) | ||||
|
| |||||||
(144,724 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (5.5)% |
| |||||||
Ambarella, Inc. (Cayman Islands)* | (268 | ) | (10,366 | ) | ||||
Amkor Technology, Inc.* | (181 | ) | (1,338 | ) | ||||
Applied Materials, Inc. | (59 | ) | (2,280 | ) | ||||
Brooks Automation, Inc. | (311 | ) | (10,894 | ) | ||||
Cohu, Inc. | (29 | ) | (728 | ) | ||||
Cree, Inc.* | (34 | ) | (1,288 | ) | ||||
Cypress Semiconductor Corp. | (273 | ) | (3,956 | ) | ||||
Entegris, Inc. | (14 | ) | (405 | ) | ||||
First Solar, Inc.* | (13 | ) | (629 | ) | ||||
FormFactor, Inc.* | (347 | ) | (4,771 | ) | ||||
Ichor Holdings Ltd. (Cayman Islands)* | (374 | ) | (7,637 | ) | ||||
Inphi Corp.* | (427 | ) | (16,218 | ) | ||||
MACOM Technology Solutions Holdings, Inc.* | (359 | ) | (7,395 | ) | ||||
Marvell Technology Group Ltd. (Bermuda) | (792 | ) | (15,286 | ) | ||||
MaxLinear, Inc.* | (87 | ) | (1,730 | ) | ||||
Microchip Technology, Inc. | (225 | ) | (17,755 | ) | ||||
Photronics, Inc.* | (154 | ) | (1,517 | ) | ||||
Power Integrations, Inc. | (32 | ) | (2,022 | ) | ||||
Rambus, Inc.* | (140 | ) | (1,527 | ) | ||||
Rudolph Technologies, Inc.* | (15 | ) | (367 | ) | ||||
Silicon Laboratories, Inc.* | (15 | ) | (1,377 | ) | ||||
Synaptics, Inc.* | (237 | ) | (10,812 | ) | ||||
Teradyne, Inc. | (203 | ) | (7,507 | ) | ||||
Ultra Clean Holdings, Inc.* | (270 | ) | (3,388 | ) | ||||
Veeco Instruments, Inc.* | (131 | ) | (1,343 | ) | ||||
Xperi Corp. | (51 | ) | (757 | ) | ||||
|
| |||||||
(133,293 | ) | |||||||
|
| |||||||
Software & Services — (11.1)% | ||||||||
2U, Inc.* | (1 | ) | (75 | ) | ||||
8x8, Inc.* | (306 | ) | (6,502 | ) | ||||
ACI Worldwide, Inc.* | (265 | ) | (7,457 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Autodesk, Inc.* | (9 | ) | $ | (1,405 | ) | |||
Avalara, Inc.* | (23 | ) | (803 | ) | ||||
Benefitfocus, Inc.* | (76 | ) | (3,074 | ) | ||||
Black Knight, Inc.* | (11 | ) | (571 | ) | ||||
BlackBerry Ltd. (Canada)* | (1,368 | ) | (15,568 | ) | ||||
Box, Inc., Class A* | (822 | ) | (19,654 | ) | ||||
Carbon Black, Inc.* | (1 | ) | (21 | ) | ||||
Cloudera, Inc.* | (419 | ) | (7,395 | ) | ||||
CSG Systems International, Inc. | (22 | ) | (883 | ) | ||||
Dropbox, Inc., Class A* | (97 | ) | (2,603 | ) | ||||
Ellie Mae, Inc.* | (68 | ) | (6,444 | ) | ||||
Fidelity National Information Services, Inc. | (33 | ) | (3,599 | ) | ||||
FireEye, Inc.* | (1,037 | ) | (17,629 | ) | ||||
First Data Corp., Class A* | (99 | ) | (2,423 | ) | ||||
ForeScout Technologies, Inc.* | (262 | ) | (9,893 | ) | ||||
Global Payments, Inc. | (124 | ) | (15,798 | ) | ||||
GTT Communications, Inc.* | (65 | ) | (2,821 | ) | ||||
Hortonworks, Inc.* | (99 | ) | (2,258 | ) | ||||
HubSpot, Inc.* | (4 | ) | (604 | ) | ||||
Instructure, Inc.* | (44 | ) | (1,558 | ) | ||||
ManTech International Corp., Class A | (37 | ) | (2,342 | ) | ||||
MINDBODY, Inc., Class A* | (50 | ) | (2,032 | ) | ||||
Nutanix, Inc., Class A* | (279 | ) | (11,919 | ) | ||||
OneSpan, Inc.* | (10 | ) | (190 | ) | ||||
Pandora Media, Inc.* | (702 | ) | (6,676 | ) | ||||
PayPal Holdings, Inc.* | (165 | ) | (14,494 | ) | ||||
Pivotal Software, Inc., Class A* | (35 | ) | (685 | ) | ||||
Proofpoint, Inc.* | (18 | ) | (1,914 | ) | ||||
PROS Holdings, Inc.* | (4 | ) | (140 | ) | ||||
Quotient Technology, Inc.* | (36 | ) | (558 | ) | ||||
SecureWorks Corp., Class A* | (37 | ) | (542 | ) | ||||
Shopify, Inc., Class A (Canada)* | (13 | ) | (2,138 | ) | ||||
Snap, Inc., Class A* | (489 | ) | (4,147 | ) | ||||
Splunk, Inc.* | (66 | ) | (7,980 | ) | ||||
Square, Inc., Class A* | (97 | ) | (9,604 | ) | ||||
Switch, Inc., Class A | (295 | ) | (3,186 | ) | ||||
Take-Two Interactive Software, Inc.* | (80 | ) | (11,039 | ) | ||||
Tenable Holdings, Inc.* | (56 | ) | (2,177 | ) | ||||
Teradata Corp.* | (136 | ) | (5,129 | ) | ||||
TiVo Corp. | (147 | ) | (1,830 | ) | ||||
TrueCar, Inc.* | (568 | ) | (8,009 | ) | ||||
Workday, Inc., Class A* | (11 | ) | (1,606 | ) | ||||
Worldpay, Inc., Class A* | (146 | ) | (14,786 | ) |
The accompanying notes are an integral part of the financial statements.
109
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Concluded)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Yelp, Inc.* | (287 | ) | $ | (14,120 | ) | |||
Zynga, Inc., Class A* | (2,753 | ) | (11,040 | ) | ||||
|
| |||||||
(267,321 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (5.2)% |
| |||||||
3D Systems Corp.* | (44 | ) | (832 | ) | ||||
Anixter International, Inc.* | (20 | ) | (1,406 | ) | ||||
Arista Networks, Inc.* | (14 | ) | (3,722 | ) | ||||
Arrow Electronics, Inc.* | (114 | ) | (8,404 | ) | ||||
CalAmp Corp.* | (1 | ) | (24 | ) | ||||
Cognex Corp. | (188 | ) | (10,494 | ) | ||||
Control4 Corp.* | (42 | ) | (1,442 | ) | ||||
Cray, Inc.* | (123 | ) | (2,644 | ) | ||||
Electronics For Imaging, Inc.* | (228 | ) | (7,770 | ) | ||||
Extreme Networks, Inc.* | (607 | ) | (3,326 | ) | ||||
Finisar Corp.* | (785 | ) | (14,954 | ) | ||||
Fitbit, Inc., Class A* | (1,663 | ) | (8,897 | ) | ||||
II-VI, Inc.* | (56 | ) | (2,649 | ) | ||||
Infinera Corp.* | (195 | ) | (1,424 | ) | ||||
KEMET Corp.* | (154 | ) | (2,857 | ) | ||||
Knowles Corp.* | (248 | ) | (4,122 | ) | ||||
Littelfuse, Inc. | (22 | ) | (4,354 | ) | ||||
Methode Electronics, Inc. | (39 | ) | (1,412 | ) | ||||
National Instruments Corp. | (34 | ) | (1,643 | ) | ||||
NCR Corp.* | (55 | ) | (1,563 | ) | ||||
NetScout Systems, Inc.* | (165 | ) | (4,166 | ) | ||||
nLight, Inc.* | (2 | ) | (44 | ) | ||||
Pure Storage, Inc., Class A* | (251 | ) | (6,513 | ) | ||||
Quantenna Communications, Inc.* | (27 | ) | (498 | ) | ||||
Rogers Corp.* | (51 | ) | (7,513 | ) | ||||
Sanmina Corp.* | (149 | ) | (4,112 | ) | ||||
Sierra Wireless, Inc. (Canada)* | (57 | ) | (1,146 | ) | ||||
Stratasys Ltd. (Israel)* | (193 | ) | (4,460 | ) | ||||
SYNNEX Corp. | (7 | ) | (593 | ) | ||||
TTM Technologies, Inc.* | (213 | ) | (3,389 | ) | ||||
ViaSat, Inc.* | (108 | ) | (6,907 | ) | ||||
Viavi Solutions, Inc.* | (201 | ) | (2,279 | ) | ||||
|
| |||||||
(125,559 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.9)% |
| |||||||
ATN International, Inc. | (34 | ) | (2,512 | ) | ||||
Boingo Wireless, Inc.* | (44 | ) | (1,536 | ) | ||||
Cincinnati Bell, Inc.* | (132 | ) | (2,105 | ) | ||||
Consolidated Communications Holdings, Inc. | (254 | ) | (3,312 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Telecommunication Services — (Continued) |
| |||||||
ORBCOMM, Inc.* | (199 | ) | $ | (2,161 | ) | |||
Shenandoah Telecommunications Co. | (14 | ) | (542 | ) | ||||
Sprint Corp.* | (1,596 | ) | (10,438 | ) | ||||
|
| |||||||
(22,606 | ) | |||||||
|
| |||||||
Transportation — (3.4)% | ||||||||
Air Transport Services Group, Inc.* | (139 | ) | (2,984 | ) | ||||
Allegiant Travel Co. | (19 | ) | (2,409 | ) | ||||
Atlas Air Worldwide Holdings, Inc.* | (136 | ) | (8,670 | ) | ||||
Canadian National Railway Co. (Canada) | (14 | ) | (1,257 | ) | ||||
Canadian Pacific Railway Ltd. (Canada) | (11 | ) | (2,331 | ) | ||||
Hawaiian Holdings, Inc. | (218 | ) | (8,742 | ) | ||||
Hub Group, Inc., Class A* | (114 | ) | (5,198 | ) | ||||
Kansas City Southern | (119 | ) | (13,480 | ) | ||||
Ryder System, Inc. | (242 | ) | (17,683 | ) | ||||
Saia, Inc.* | (33 | ) | (2,523 | ) | ||||
SkyWest, Inc. | (39 | ) | (2,297 | ) | ||||
Spirit Airlines, Inc.* | (135 | ) | (6,341 | ) | ||||
Werner Enterprises, Inc. | (233 | ) | (8,237 | ) | ||||
|
| |||||||
(82,152 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $1,860,784) | (1,806,523 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (75.1)% |
| (1,806,523 | ) | |||||
|
| |||||||
(Proceeds $1,860,784) |
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7% | 17,542 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,406,450 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
(a) | All or portion of the security is on loan. (See Note 5 of the Notes to Financial Statements) |
(b) | Security is fair valued by the Advisor under direction of the Board of Trustees. |
* | Non-income producing. |
PLC Public Limited Company
The accompanying notes are an integral part of the financial statements.
110
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
LONG POSITIONS — 184.4% | ||||||||
COMMON STOCKS — 184.4% | ||||||||
Automobiles & Components — 0.3% |
| |||||||
Harley-Davidson, Inc.(a) | 647 | $ | 29,309 | |||||
|
| |||||||
Capital Goods — 13.4% | ||||||||
3M Co. | 105 | 22,125 | ||||||
AMETEK, Inc.† | 53 | 4,193 | ||||||
Boeing Co. (The)† | 134 | 49,835 | ||||||
Caterpillar, Inc.† | 233 | 35,530 | ||||||
Dover Corp. | 574 | 50,816 | ||||||
Emerson Electric Co.† | 2,137 | 163,651 | ||||||
Harris Corp.† | 460 | 77,837 | ||||||
Honeywell International, Inc.† | 2,224 | 370,074 | ||||||
Illinois Tool Works, Inc. | 521 | 73,524 | ||||||
Jacobs Engineering Group, Inc. | 377 | 28,840 | ||||||
Parker-Hannifin Corp.† | 516 | 94,908 | ||||||
Pentair PLC (Ireland)(a) | 682 | 29,565 | ||||||
Raytheon Co.† | 251 | 51,872 | ||||||
Rockwell Collins, Inc. | 207 | 29,077 | ||||||
Snap-on, Inc.(a) | 220 | 40,392 | ||||||
TransDigm Group, Inc.* | 11 | 4,095 | ||||||
United Technologies Corp. | 2,264 | 316,530 | ||||||
WW Grainger, Inc.† | 101 | 36,098 | ||||||
|
| |||||||
1,478,962 | ||||||||
|
| |||||||
Commercial & Professional Services — 2.7% |
| |||||||
Republic Services, Inc.† | 1,266 | 91,988 | ||||||
Robert Half International, Inc.† | 457 | 32,164 | ||||||
Verisk Analytics, Inc.* | 221 | 26,642 | ||||||
Waste Management, Inc.† | 1,666 | 150,540 | ||||||
|
| |||||||
301,334 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 2.3% |
| |||||||
Garmin Ltd. (Switzerland) | 735 | 51,487 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 592 | 40,588 | ||||||
Mohawk Industries, Inc.* | 25 | 4,384 | ||||||
NIKE, Inc., Class B | 771 | 65,319 | ||||||
Ralph Lauren Corp.† | 20 | 2,751 | ||||||
Tapestry, Inc. | 1,120 | 56,302 | ||||||
Whirlpool Corp. | 253 | 30,044 | ||||||
|
| |||||||
250,875 | ||||||||
|
| |||||||
Consumer Services — 4.0% | ||||||||
Darden Restaurants, Inc. | 479 | 53,260 | ||||||
Hilton Worldwide Holdings, Inc.† | 88 | 7,109 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Marriott International, Inc., Class A† | 14 | $ | 1,848 | |||||
McDonald’s Corp.† | 1,859 | 310,992 | ||||||
Yum! Brands, Inc.† | 720 | 65,455 | ||||||
|
| |||||||
438,664 | ||||||||
|
| |||||||
Diversified Financials — 5.1% | ||||||||
Affiliated Managers Group, Inc. | 32 | 4,375 | ||||||
Berkshire Hathaway, Inc., Class B* | 141 | 30,189 | ||||||
BlackRock, Inc.† | 197 | 92,852 | ||||||
Cboe Global Markets, Inc. | 106 | 10,172 | ||||||
CME Group, Inc. | 56 | 9,532 | ||||||
Franklin Resources, Inc.† | 312 | 9,488 | ||||||
Invesco Ltd. (Bermuda)† | 72 | 1,647 | ||||||
Moody’s Corp.† | 746 | 124,731 | ||||||
MSCI, Inc. | 86 | 15,257 | ||||||
Nasdaq, Inc.† | 640 | 54,912 | ||||||
S&P Global, Inc.† | 534 | 104,338 | ||||||
T Rowe Price Group, Inc.† | 946 | 103,284 | ||||||
|
| |||||||
560,777 | ||||||||
|
| |||||||
Energy — 16.0% | ||||||||
Chevron Corp.† | 2,784 | 340,428 | ||||||
ConocoPhillips† | 4,519 | 349,771 | ||||||
Exxon Mobil Corp.† | 5,015 | 426,375 | ||||||
Hess Corp.† | 598 | 42,805 | ||||||
HollyFrontier Corp. | 686 | 47,951 | ||||||
Marathon Oil Corp. | 2,488 | 57,921 | ||||||
Marathon Petroleum Corp. | 1,538 | 122,994 | ||||||
Occidental Petroleum Corp.† | 1,921 | 157,849 | ||||||
Phillips 66† | 1,908 | 215,070 | ||||||
TechnipFMC PLC (United Kingdom) | 20 | 625 | ||||||
Valero Energy Corp.† | 37 | 4,209 | ||||||
|
| |||||||
1,765,998 | ||||||||
|
| |||||||
Food & Staples Retailing — 7.9% |
| |||||||
Kroger Co. (The)† | 3,119 | 90,794 | ||||||
Sysco Corp.† | 2,025 | 148,331 | ||||||
Walgreens Boots Alliance, Inc.† | 2,950 | 215,055 | ||||||
Walmart, Inc.† | 4,415 | 414,613 | ||||||
|
| |||||||
868,793 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 15.1% |
| |||||||
Altria Group, Inc.† | 6,438 | 388,276 | ||||||
Archer-Daniels-Midland Co.† | 2,178 | 109,488 | ||||||
Coca-Cola Co. (The)† | 3,381 | 156,168 | ||||||
Conagra Brands, Inc.† | 1,463 | 49,698 | ||||||
General Mills, Inc. | 2,280 | 97,858 |
The accompanying notes are an integral part of the financial statements.
111
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Hershey Co. (The)† | 501 | $ | 51,102 | |||||
Kellogg Co.† | 1,349 | 94,457 | ||||||
Kraft Heinz Co. (The)† | 791 | 43,592 | ||||||
McCormick & Co., Inc., non-voting shares | 65 | 8,564 | ||||||
Molson Coors Brewing Co., Class B | 2 | 123 | ||||||
Mondelez International, Inc., Class A | 677 | 29,084 | ||||||
PepsiCo, Inc.† | 3,692 | 412,766 | ||||||
Philip Morris International, Inc.† | 2,507 | 204,421 | ||||||
Tyson Foods, Inc., Class A | 269 | 16,014 | ||||||
|
| |||||||
1,661,611 | ||||||||
|
| |||||||
Health Care Equipment & Services — 22.8% |
| |||||||
Aetna, Inc.† | 1,274 | 258,431 | ||||||
AmerisourceBergen Corp. | 166 | 15,309 | ||||||
Anthem, Inc.† | 988 | 270,761 | ||||||
Becton Dickinson and Co. | 110 | 28,710 | ||||||
Cardinal Health, Inc. | 1,205 | 65,070 | ||||||
Centene Corp.†* | 798 | 115,534 | ||||||
Cigna Corp.† | 947 | 197,213 | ||||||
CVS Health Corp.† | 2,056 | 161,848 | ||||||
Danaher Corp. | 134 | 14,560 | ||||||
DaVita, Inc.* | 664 | 47,562 | ||||||
Envision Healthcare Corp.* | 473 | 21,630 | ||||||
Express Scripts Holding Co.†* | 2,186 | 207,692 | ||||||
HCA Healthcare, Inc.† | 1,348 | 187,534 | ||||||
Humana, Inc.† | 536 | 181,447 | ||||||
Laboratory Corp. of America Holdings†* | 401 | 69,646 | ||||||
McKesson Corp.† | 306 | 40,591 | ||||||
Medtronic PLC (Ireland)† | 3,066 | 301,602 | ||||||
Quest Diagnostics, Inc. | 89 | 9,604 | ||||||
ResMed, Inc. | 304 | 35,063 | ||||||
UnitedHealth Group, Inc.† | 885 | 235,445 | ||||||
WellCare Health Plans, Inc.* | 175 | 56,086 | ||||||
|
| |||||||
2,521,338 | ||||||||
|
| |||||||
Household & Personal Products — 8.2% |
| |||||||
Church & Dwight Co., Inc.† | 953 | 56,580 | ||||||
Clorox Co. (The)† | 497 | 74,754 | ||||||
Colgate-Palmolive Co.† | 3,375 | 225,956 | ||||||
Estee Lauder Cos., Inc. (The), Class A† | 129 | 18,746 | ||||||
Kimberly-Clark Corp.† | 1,003 | 113,981 | ||||||
Procter & Gamble Co. (The)† | 5,022 | 417,981 | ||||||
|
| |||||||
907,998 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — 5.3% | ||||||||
Aflac, Inc.† | 2,407 | $ | 113,297 | |||||
Arthur J Gallagher & Co. | 710 | 52,852 | ||||||
Everest Re Group Ltd. (Bermuda) | 55 | 12,566 | ||||||
Loews Corp. | 1,231 | 61,833 | ||||||
Marsh & McLennan Cos., Inc.† | 1,964 | 162,462 | ||||||
Progressive Corp. (The)† | 2,265 | 160,906 | ||||||
Torchmark Corp. | 235 | 20,372 | ||||||
|
| |||||||
584,288 | ||||||||
|
| |||||||
Materials — 3.9% | ||||||||
Avery Dennison Corp. | 73 | 7,910 | ||||||
CF Industries Holdings, Inc. | 677 | 36,856 | ||||||
Eastman Chemical Co. | 237 | 22,686 | ||||||
FMC Corp. | 523 | 45,595 | ||||||
Freeport-McMoRan, Inc.† | 3,100 | 43,152 | ||||||
International Paper Co.† | 190 | 9,338 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 1,426 | 146,179 | ||||||
Praxair, Inc.† | 63 | 10,126 | ||||||
Sealed Air Corp.(a) | 621 | 24,933 | ||||||
Sherwin-Williams Co. (The) | 62 | 28,223 | ||||||
WestRock Co. | 993 | 53,066 | ||||||
|
| |||||||
428,064 | ||||||||
|
| |||||||
Media — 9.5% | ||||||||
CBS Corp., Class B, non-voting shares† | 1,467 | 84,279 | ||||||
Comcast Corp., Class A† | 62 | 2,195 | ||||||
DISH Network Corp., Class A* | 1,818 | 65,012 | ||||||
Interpublic Group of Cos., Inc. (The) | 1,492 | 34,122 | ||||||
News Corp., Class A† | 1,298 | 17,121 | ||||||
Omnicom Group, Inc.† | 826 | 56,185 | ||||||
Twenty-First Century Fox, Inc., | 7,206 | 333,854 | ||||||
Viacom, Inc., Class B | 1,567 | 52,902 | ||||||
Walt Disney Co. (The)† | 3,498 | 409,056 | ||||||
|
| |||||||
1,054,726 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 10.7% |
| |||||||
Amgen, Inc.† | 425 | 88,098 | ||||||
Biogen, Inc.†* | 193 | 68,189 | ||||||
Bristol-Myers Squibb Co.† | 1,977 | 122,732 | ||||||
Celgene Corp.†* | 2,571 | 230,079 | ||||||
Eli Lilly & Co. | 117 | 12,555 | ||||||
Gilead Sciences, Inc.† | 1 | 77 | ||||||
Johnson & Johnson† | 2,784 | 384,665 |
The accompanying notes are an integral part of the financial statements.
112
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Merck & Co., Inc.† | 3,280 | $ | 232,683 | |||||
Nektar Therapeutics(a) * | 670 | 40,843 | ||||||
|
| |||||||
1,179,921 | ||||||||
|
| |||||||
Real Estate — 5.1% | ||||||||
Alexandria Real Estate Equities, Inc., REIT | 392 | 49,310 | ||||||
Apartment Investment & Management Co., Class A, REIT | 95 | 4,192 | ||||||
AvalonBay Communities, Inc., REIT† | 344 | 62,316 | ||||||
Digital Realty Trust, Inc., REIT | 47 | 5,287 | ||||||
Equity Residential, REIT† | 1,432 | 94,884 | ||||||
Extra Space Storage, Inc., REIT | 50 | 4,332 | ||||||
Federal Realty Investment Trust, REIT | 43 | 5,438 | ||||||
Mid-America Apartment Communities, Inc., REIT | 268 | 26,848 | ||||||
Public Storage, REIT† | 103 | 20,768 | ||||||
Realty Income Corp., REIT(a) | 1,128 | 64,172 | ||||||
Regency Centers Corp., REIT | 145 | 9,377 | ||||||
UDR, Inc., REIT | 1,041 | 42,088 | ||||||
Ventas, Inc., REIT† | 1,330 | 72,325 | ||||||
Welltower, Inc., REIT† | 1,446 | 93,007 | ||||||
Weyerhaeuser Co., REIT† | 379 | 12,230 | ||||||
|
| |||||||
566,574 | ||||||||
|
| |||||||
Retailing — 13.8% | ||||||||
Advance Auto Parts, Inc. | 288 | 48,479 | ||||||
Amazon.com, Inc.* | 3 | 6,009 | ||||||
AutoZone, Inc.†* | 102 | 79,121 | ||||||
Best Buy Co., Inc. | 48 | 3,809 | ||||||
Booking Holdings, Inc.†* | 101 | 200,384 | ||||||
Dollar General Corp.† | 1,032 | 112,798 | ||||||
Foot Locker, Inc.(a) | 420 | 21,412 | ||||||
Genuine Parts Co. | 570 | 56,658 | ||||||
Home Depot, Inc. (The)† | 1,964 | 406,843 | ||||||
Kohl’s Corp. | 563 | 41,972 | ||||||
Lowe’s Cos., Inc.† | 3,037 | 348,708 | ||||||
Nordstrom, Inc.(a) | 9 | 538 | ||||||
Ross Stores, Inc.† | 9 | 892 | ||||||
Target Corp.† | 50 | 4,410 | ||||||
Tiffany & Co. | 445 | 57,392 | ||||||
TJX Cos., Inc. (The)† | 1,155 | 129,383 | ||||||
|
| |||||||
1,518,808 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — 1.8% |
| |||||||
Intel Corp.† | 272 | $ | 12,863 | |||||
Micron Technology, Inc.†* | 4,119 | 186,302 | ||||||
|
| |||||||
199,165 | ||||||||
|
| |||||||
Software & Services — 13.8% |
| |||||||
Accenture PLC, Class A (Ireland)† | 1,709 | 290,872 | ||||||
Alliance Data Systems Corp. | 216 | 51,011 | ||||||
Automatic Data Processing, Inc.† | 1,706 | 257,026 | ||||||
Broadridge Financial Solutions, Inc. | 453 | 59,773 | ||||||
CA, Inc.† | 1,608 | 70,993 | ||||||
Citrix Systems, Inc.* | 526 | 58,470 | ||||||
DXC Technology Co.† | 1,097 | 102,591 | ||||||
eBay, Inc.†* | 932 | 30,775 | ||||||
Fiserv, Inc.†* | 761 | 62,691 | ||||||
FleetCor Technologies, Inc.* | 232 | 52,859 | ||||||
International Business Machines Corp. | 211 | 31,905 | ||||||
Intuit, Inc.† | 1,006 | 228,764 | ||||||
Oracle Corp.† | 2,307 | 118,949 | ||||||
Paychex, Inc.† | 1,397 | 102,889 | ||||||
Visa, Inc., Class A | 60 | 9,005 | ||||||
|
| |||||||
1,528,573 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 9.1% |
| |||||||
Amphenol Corp., Class A | 1 | 94 | ||||||
Apple, Inc.† | 1,300 | 293,462 | ||||||
Cisco Systems, Inc.† | 3,188 | 155,096 | ||||||
F5 Networks, Inc.* | 236 | 47,063 | ||||||
FLIR Systems, Inc. | 536 | 32,948 | ||||||
Hewlett Packard Enterprise Co. | 61 | 995 | ||||||
HP, Inc.† | 5,182 | 133,540 | ||||||
Motorola Solutions, Inc.† | 606 | 78,865 | ||||||
NetApp, Inc.† | 986 | 84,688 | ||||||
Seagate Technology PLC (Ireland)† | 612 | 28,978 | ||||||
TE Connectivity Ltd. (Switzerland)† | 1,356 | 119,233 | ||||||
Xerox Corp. | 992 | 26,764 | ||||||
|
| |||||||
1,001,726 | ||||||||
|
| |||||||
Telecommunication Services — 4.2% |
| |||||||
CenturyLink, Inc.† | 2,662 | 56,434 | ||||||
Verizon Communications, Inc.† | 7,594 | 405,444 | ||||||
|
| |||||||
461,878 | ||||||||
|
| |||||||
Transportation — 3.8% | ||||||||
CH Robinson Worldwide, Inc. | 319 | 31,236 | ||||||
Expeditors International of Washington, Inc. | 676 | 49,706 |
The accompanying notes are an integral part of the financial statements.
113
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
FedEx Corp.† | 305 | $ | 73,441 | |||||
Norfolk Southern Corp. | 276 | 49,818 | ||||||
Union Pacific Corp.† | 436 | 70,994 | ||||||
United Parcel Service, Inc., Class B† | 1,233 | 143,953 | ||||||
|
| |||||||
419,148 | ||||||||
|
| |||||||
Utilities — 5.6% | ||||||||
American Electric Power Co., Inc. | 280 | 19,846 | ||||||
CMS Energy Corp. | 1,101 | 53,949 | ||||||
Dominion Energy, Inc.† | 1,626 | 114,275 | ||||||
DTE Energy Co.† | 667 | 72,790 | ||||||
Evergy, Inc. | 67 | 3,680 | ||||||
FirstEnergy Corp.† | 1,857 | 69,025 | ||||||
NRG Energy, Inc. | 1,204 | 45,030 | ||||||
PPL Corp.† | 2,719 | 79,558 | ||||||
Southern Co. (The)† | 1,725 | 75,210 | ||||||
WEC Energy Group, Inc.† | 1,228 | 81,981 | ||||||
|
| |||||||
615,344 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 20,343,874 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 184.4% |
| 20,343,874 | ||||||
|
| |||||||
(Cost $18,550,277) | ||||||||
SHORT POSITIONS — (85.0)% |
| |||||||
COMMON STOCKS — (85.0)% | ||||||||
Automobiles & Components — (2.0)% |
| |||||||
Aptiv PLC (Jersey) | (475 | ) | (39,853 | ) | ||||
BorgWarner, Inc. | (376 | ) | (16,085 | ) | ||||
Ford Motor Co. | (7,145 | ) | (66,091 | ) | ||||
General Motors Co. | (2,534 | ) | (85,320 | ) | ||||
Goodyear Tire & Rubber Co. (The) | (425 | ) | (9,941 | ) | ||||
|
| |||||||
(217,290 | ) | |||||||
|
| |||||||
Banks — (7.9)% | ||||||||
Bank of America Corp. | (2,627 | ) | (77,391 | ) | ||||
BB&T Corp. | (1,392 | ) | (67,568 | ) | ||||
Citigroup, Inc. | (2,619 | ) | (187,887 | ) | ||||
Citizens Financial Group, Inc. | (870 | ) | (33,556 | ) | ||||
Comerica, Inc. | (308 | ) | (27,782 | ) | ||||
Fifth Third Bancorp. | (1,218 | ) | (34,007 | ) | ||||
Huntington Bancshares, Inc. | (1,985 | ) | (29,616 | ) | ||||
KeyCorp. | (1,902 | ) | (37,831 | ) | ||||
M&T Bank Corp. | (260 | ) | (42,780 | ) | ||||
People’s United Financial, Inc. | (248 | ) | (4,246 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Banks — (Continued) | ||||||||
PNC Financial Services Group, Inc. (The) | (143 | ) | $ | (19,475 | ) | |||
Regions Financial Corp. | (1,261 | ) | (23,139 | ) | ||||
SunTrust Banks, Inc. | (528 | ) | (35,265 | ) | ||||
SVB Financial Group* | (87 | ) | (27,042 | ) | ||||
US Bancorp. | (256 | ) | (13,519 | ) | ||||
Wells Fargo & Co. | (3,572 | ) | (187,744 | ) | ||||
Zions Bancorp NA | (352 | ) | (17,653 | ) | ||||
|
| |||||||
(866,501 | ) | |||||||
|
| |||||||
Capital Goods — (8.5)% | ||||||||
Allegion PLC (Ireland) | (170 | ) | (15,397 | ) | ||||
AO Smith Corp. | (307 | ) | (16,385 | ) | ||||
Arconic, Inc. | (185 | ) | (4,072 | ) | ||||
Cummins, Inc. | (293 | ) | (42,799 | ) | ||||
Deere & Co. | (577 | ) | (86,740 | ) | ||||
Eaton Corp. PLC (Ireland) | (600 | ) | (52,038 | ) | ||||
Fastenal Co. | (363 | ) | (21,061 | ) | ||||
Flowserve Corp. | (2 | ) | (109 | ) | ||||
Fluor Corp. | (253 | ) | (14,699 | ) | ||||
Fortune Brands Home & Security, Inc. | (261 | ) | (13,666 | ) | ||||
General Dynamics Corp. | (532 | ) | (108,911 | ) | ||||
General Electric Co. | (8,730 | ) | (98,562 | ) | ||||
Huntington Ingalls Industries, Inc. | (79 | ) | (20,230 | ) | ||||
Ingersoll-Rand PLC (Ireland) | (34 | ) | (3,478 | ) | ||||
Johnson Controls International PLC (Ireland) | (1,662 | ) | (58,170 | ) | ||||
L3 Technologies, Inc. | (140 | ) | (29,767 | ) | ||||
Lockheed Martin Corp. | (115 | ) | (39,785 | ) | ||||
Masco Corp. | (548 | ) | (20,057 | ) | ||||
Northrop Grumman Corp. | (313 | ) | (99,337 | ) | ||||
PACCAR, Inc. | (631 | ) | (43,028 | ) | ||||
Quanta Services, Inc.* | (269 | ) | (8,979 | ) | ||||
Rockwell Automation, Inc. | (222 | ) | (41,629 | ) | ||||
Stanley Black & Decker, Inc. | (274 | ) | (40,125 | ) | ||||
Textron, Inc. | (208 | ) | (14,866 | ) | ||||
United Rentals, Inc.* | (118 | ) | (19,305 | ) | ||||
Xylem, Inc. | (322 | ) | (25,718 | ) | ||||
|
| |||||||
(938,913 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.8)% |
| |||||||
Cintas Corp. | (193 | ) | (38,177 | ) | ||||
Equifax, Inc. | (217 | ) | (28,334 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (119 | ) | (6,421 | ) |
The accompanying notes are an integral part of the financial statements.
114
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Nielsen Holdings PLC (United Kingdom) | (639 | ) | $ | (17,675 | ) | |||
|
| |||||||
(90,607 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (1.2)% |
| |||||||
DR Horton, Inc. | (677 | ) | (28,556 | ) | ||||
Hanesbrands, Inc. | (647 | ) | (11,924 | ) | ||||
Hasbro, Inc. | (229 | ) | (24,073 | ) | ||||
Leggett & Platt, Inc. | (233 | ) | (10,203 | ) | ||||
Mattel, Inc.* | (618 | ) | (9,703 | ) | ||||
Newell Brands, Inc. | (873 | ) | (17,722 | ) | ||||
PulteGroup, Inc. | (510 | ) | (12,633 | ) | ||||
PVH Corp. | (138 | ) | (19,927 | ) | ||||
Under Armour, Inc., Class C* | (9 | ) | (175 | ) | ||||
|
| |||||||
(134,916 | ) | |||||||
|
| |||||||
Consumer Services — (1.6)% |
| |||||||
Carnival Corp. (Panama) | (834 | ) | (53,184 | ) | ||||
MGM Resorts International | (993 | ) | (27,715 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (397 | ) | (22,800 | ) | ||||
Royal Caribbean Cruises Ltd. (Liberia) | (378 | ) | (49,117 | ) | ||||
Wynn Resorts Ltd. | (195 | ) | (24,777 | ) | ||||
|
| |||||||
(177,593 | ) | |||||||
|
| |||||||
Diversified Financials — (7.2)% |
| |||||||
Ameriprise Financial, Inc. | (256 | ) | (37,801 | ) | ||||
Bank of New York Mellon Corp. (The) | (1,796 | ) | (91,578 | ) | ||||
Capital One Financial Corp. | (860 | ) | (81,640 | ) | ||||
Charles Schwab Corp. (The) | (1,655 | ) | (81,343 | ) | ||||
Discover Financial Services | (618 | ) | (47,246 | ) | ||||
E*TRADE Financial Corp.* | (450 | ) | (23,576 | ) | ||||
Goldman Sachs Group, Inc. (The) | (331 | ) | (74,223 | ) | ||||
Intercontinental Exchange, Inc. | (531 | ) | (39,767 | ) | ||||
Jefferies Financial Group, Inc. | (626 | ) | (13,747 | ) | ||||
Morgan Stanley | (3,143 | ) | (146,370 | ) | ||||
Northern Trust Corp. | (402 | ) | (41,056 | ) | ||||
Raymond James Financial, Inc. | (261 | ) | (24,025 | ) | ||||
State Street Corp. | (658 | ) | (55,127 | ) | ||||
Synchrony Financial | (1,353 | ) | (42,051 | ) | ||||
|
| |||||||
(799,550 | ) | |||||||
|
| |||||||
Energy — (7.0)% | ||||||||
Anadarko Petroleum Corp. | (931 | ) | (62,759 | ) | ||||
Andeavor | (264 | ) | (40,524 | ) | ||||
Apache Corp. | (3 | ) | (143 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) | ||||||||
Cabot Oil & Gas Corp. | (792 | ) | $ | (17,836 | ) | |||
Cimarex Energy Co. | (171 | ) | (15,893 | ) | ||||
Concho Resources, Inc.* | (268 | ) | (40,937 | ) | ||||
Devon Energy Corp. | (132 | ) | (5,272 | ) | ||||
EOG Resources, Inc. | (1,032 | ) | (131,652 | ) | ||||
EQT Corp. | (476 | ) | (21,054 | ) | ||||
Helmerich & Payne, Inc. | (188 | ) | (12,929 | ) | ||||
Kinder Morgan, Inc. | (3,714 | ) | (65,849 | ) | ||||
National Oilwell Varco, Inc. | (687 | ) | (29,596 | ) | ||||
Newfield Exploration Co.* | (317 | ) | (9,139 | ) | ||||
Noble Energy, Inc. | (875 | ) | (27,291 | ) | ||||
ONEOK, Inc. | (738 | ) | (50,029 | ) | ||||
Pioneer Natural Resources Co. | (306 | ) | (53,302 | ) | ||||
Schlumberger Ltd. (Curacao) | (2,486 | ) | (151,447 | ) | ||||
Williams Cos., Inc. (The) | (1,485 | ) | (40,377 | ) | ||||
|
| |||||||
(776,029 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (1.7)% |
| |||||||
Brown-Forman Corp., Class B | (598 | ) | (30,229 | ) | ||||
Campbell Soup Co. | (178 | ) | (6,520 | ) | ||||
Constellation Brands, Inc., Class A | (343 | ) | (73,958 | ) | ||||
Hormel Foods Corp. | (512 | ) | (20,173 | ) | ||||
JM Smucker Co. (The) | (204 | ) | (20,932 | ) | ||||
Monster Beverage Corp.* | (675 | ) | (39,339 | ) | ||||
|
| |||||||
(191,151 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (4.1)% |
| |||||||
Abbott Laboratories | (274 | ) | (20,101 | ) | ||||
ABIOMED, Inc.* | (80 | ) | (35,980 | ) | ||||
Baxter International, Inc. | (965 | ) | (74,392 | ) | ||||
Boston Scientific Corp.* | (2,481 | ) | (95,519 | ) | ||||
Cerner Corp.* | (614 | ) | (39,548 | ) | ||||
DENTSPLY SIRONA, Inc. | (400 | ) | (15,096 | ) | ||||
Henry Schein, Inc.* | (161 | ) | (13,690 | ) | ||||
Hologic, Inc.* | (488 | ) | (19,998 | ) | ||||
IDEXX Laboratories, Inc.* | (2 | ) | (499 | ) | ||||
Intuitive Surgical, Inc.* | (6 | ) | (3,444 | ) | ||||
Stryker Corp. | (281 | ) | (49,928 | ) | ||||
Universal Health Services, Inc., Class B | (159 | ) | (20,327 | ) | ||||
Varian Medical Systems, Inc.* | (92 | ) | (10,298 | ) | ||||
Zimmer Biomet Holdings, Inc. | (365 | ) | (47,987 | ) | ||||
|
| |||||||
(446,807 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.2)% |
| |||||||
Coty, Inc., Class A | (1,348 | ) | (16,931 | ) | ||||
|
|
The accompanying notes are an integral part of the financial statements.
115
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (4.3)% | ||||||||
Allstate Corp. (The) | (592 | ) | $ | (58,430 | ) | |||
American International Group, Inc. | (1,602 | ) | (85,290 | ) | ||||
Aon PLC (United Kingdom) | (436 | ) | (67,048 | ) | ||||
Brighthouse Financial, Inc.* | (216 | ) | (9,556 | ) | ||||
Chubb Ltd. (Switzerland) | (113 | ) | (15,101 | ) | ||||
Lincoln National Corp. | (391 | ) | (26,455 | ) | ||||
Principal Financial Group, Inc. | (512 | ) | (29,998 | ) | ||||
Prudential Financial, Inc. | (751 | ) | (76,091 | ) | ||||
Travelers Cos., Inc. (The) | (435 | ) | (56,424 | ) | ||||
Unum Group | (393 | ) | (15,355 | ) | ||||
Willis Towers Watson PLC (Ireland) | (234 | ) | (32,980 | ) | ||||
|
| |||||||
(472,728 | ) | |||||||
|
| |||||||
Materials — (2.5)% | ||||||||
Air Products & Chemicals, Inc. | (393 | ) | (65,651 | ) | ||||
Albemarle Corp. | (194 | ) | (19,357 | ) | ||||
Ball Corp. | (302 | ) | (13,285 | ) | ||||
DowDuPont, Inc. | (235 | ) | (15,113 | ) | ||||
Ecolab, Inc. | (53 | ) | (8,309 | ) | ||||
International Flavors & Fragrances, Inc. | (142 | ) | (19,755 | ) | ||||
Martin Marietta Materials, Inc. | (113 | ) | (20,560 | ) | ||||
Mosaic Co. (The) | (388 | ) | (12,602 | ) | ||||
Newmont Mining Corp. | (917 | ) | (27,693 | ) | ||||
PPG Industries, Inc. | (434 | ) | (47,362 | ) | ||||
Vulcan Materials Co. | (237 | ) | (26,354 | ) | ||||
|
| |||||||
(276,041 | ) | |||||||
|
| |||||||
Media — (1.0)% | ||||||||
Charter Communications, Inc., Class A* | (335 | ) | (109,170 | ) | ||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (4.1)% |
| |||||||
Agilent Technologies, Inc. | (573 | ) | (40,419 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (273 | ) | (37,950 | ) | ||||
Allergan PLC (Ireland) | (15 | ) | (2,857 | ) | ||||
Incyte Corp.* | (394 | ) | (27,218 | ) | ||||
Mettler-Toledo International, Inc.* | (45 | ) | (27,404 | ) | ||||
Mylan NV (Netherlands)* | (925 | ) | (33,855 | ) | ||||
PerkinElmer, Inc. | (47 | ) | (4,572 | ) | ||||
Perrigo Co. PLC (Ireland) | (245 | ) | (17,346 | ) | ||||
Pfizer, Inc. | (1,930 | ) | (85,055 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (224 | ) | (90,505 | ) | ||||
Thermo Fisher Scientific, Inc. | (235 | ) | (57,359 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (6 | ) | (1,156 | ) | ||||
Waters Corp.* | (139 | ) | (27,061 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Zoetis, Inc. | (40 | ) | $ | (3,662 | ) | |||
|
| |||||||
(456,419 | ) | |||||||
|
| |||||||
Real Estate — (4.7)% | ||||||||
American Tower Corp., REIT | (792 | ) | (115,078 | ) | ||||
Boston Properties, Inc., REIT | (278 | ) | (34,219 | ) | ||||
CBRE Group, Inc., Class A* | (610 | ) | (26,901 | ) | ||||
Duke Realty Corp., REIT | (642 | ) | (18,214 | ) | ||||
Equinix, Inc., REIT | (142 | ) | (61,470 | ) | ||||
Essex Property Trust, Inc., REIT | (119 | ) | (29,359 | ) | ||||
HCP, Inc., REIT | (298 | ) | (7,843 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (1,330 | ) | (28,063 | ) | ||||
Iron Mountain, Inc., REIT | (514 | ) | (17,743 | ) | ||||
Kimco Realty Corp., REIT | (758 | ) | (12,689 | ) | ||||
Macerich Co. (The), REIT | (253 | ) | (13,988 | ) | ||||
Prologis, Inc., REIT | (959 | ) | (65,011 | ) | ||||
SBA Communications Corp., REIT* | (206 | ) | (33,090 | ) | ||||
Simon Property Group, Inc., REIT | (53 | ) | (9,368 | ) | ||||
SL Green Realty Corp., REIT | (163 | ) | (15,897 | ) | ||||
Vornado Realty Trust, REIT | (342 | ) | (24,966 | ) | ||||
|
| |||||||
(513,899 | ) | |||||||
|
| |||||||
Retailing — (1.8)% | ||||||||
CarMax, Inc.* | (23 | ) | (1,717 | ) | ||||
Dollar Tree, Inc.* | (428 | ) | (34,903 | ) | ||||
Expedia Group, Inc. | (272 | ) | (35,491 | ) | ||||
Gap, Inc. (The) | (692 | ) | (19,964 | ) | ||||
L Brands, Inc. | (494 | ) | (14,968 | ) | ||||
LKQ Corp.* | (571 | ) | (18,084 | ) | ||||
Macy’s, Inc. | (367 | ) | (12,746 | ) | ||||
Netflix, Inc.* | (65 | ) | (24,318 | ) | ||||
O’Reilly Automotive, Inc.* | (12 | ) | (4,168 | ) | ||||
TripAdvisor, Inc.* | (213 | ) | (10,878 | ) | ||||
Ulta Beauty, Inc.* | (78 | ) | (22,005 | ) | ||||
|
| |||||||
(199,242 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (5.7)% |
| |||||||
Analog Devices, Inc. | (309 | ) | (28,570 | ) | ||||
Applied Materials, Inc. | (1,767 | ) | (68,295 | ) | ||||
Broadcom, Inc. | (575 | ) | (141,870 | ) | ||||
KLA-Tencor Corp. | (135 | ) | (13,731 | ) | ||||
Microchip Technology, Inc. | (472 | ) | (37,246 | ) | ||||
Qorvo, Inc.* | (226 | ) | (17,377 | ) | ||||
QUALCOMM, Inc. | (1,052 | ) | (75,776 | ) | ||||
Skyworks Solutions, Inc. | (322 | ) | (29,209 | ) |
The accompanying notes are an integral part of the financial statements.
116
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Concluded)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Texas Instruments, Inc. | (1,697 | ) | $ | (182,071 | ) | |||
Xilinx, Inc. | (447 | ) | (35,836 | ) | ||||
|
| |||||||
(629,981 | ) | |||||||
|
| |||||||
Software & Services — (10.2)% |
| |||||||
Adobe, Inc.* | (591 | ) | (159,540 | ) | ||||
Akamai Technologies, Inc.* | (303 | ) | (22,164 | ) | ||||
Alphabet, Inc., Class A* | (158 | ) | (190,719 | ) | ||||
ANSYS, Inc.* | (2 | ) | (373 | ) | ||||
Cadence Design Systems, Inc.* | (22 | ) | (997 | ) | ||||
Electronic Arts, Inc.* | (549 | ) | (66,149 | ) | ||||
Facebook, Inc., Class A* | (1,139 | ) | (187,320 | ) | ||||
Fidelity National Information Services, Inc. | (595 | ) | (64,897 | ) | ||||
Microsoft Corp. | (306 | ) | (34,997 | ) | ||||
PayPal Holdings, Inc.* | (2,114 | ) | (185,694 | ) | ||||
Red Hat, Inc.* | (328 | ) | (44,700 | ) | ||||
salesforce.com, Inc.* | (189 | ) | (30,057 | ) | ||||
Symantec Corp. | (1,116 | ) | (23,749 | ) | ||||
Synopsys, Inc.* | (266 | ) | (26,230 | ) | ||||
Take-Two Interactive Software, Inc.* | (5 | ) | (690 | ) | ||||
Total System Services, Inc. | (7 | ) | (691 | ) | ||||
Twitter, Inc.* | (1,367 | ) | (38,905 | ) | ||||
VeriSign, Inc.* | (220 | ) | (35,226 | ) | ||||
Western Union Co. (The) | (806 | ) | (15,362 | ) | ||||
|
| |||||||
(1,128,460 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.8)% |
| |||||||
Arista Networks, Inc.* | (139 | ) | (36,955 | ) | ||||
IPG Photonics Corp.* | (97 | ) | (15,139 | ) | ||||
Juniper Networks, Inc. | (628 | ) | (18,821 | ) | ||||
Western Digital Corp. | (314 | ) | (18,382 | ) | ||||
|
| |||||||
(89,297 | ) | |||||||
|
| |||||||
Telecommunication Services — (1.5)% |
| |||||||
AT&T, Inc. | (5,007 | ) | (168,135 | ) | ||||
|
| |||||||
Transportation — (2.1)% | ||||||||
Alaska Air Group, Inc. | (221 | ) | (15,218 | ) | ||||
American Airlines Group, Inc. | (837 | ) | (34,593 | ) | ||||
CSX Corp. | (69 | ) | (5,109 | ) | ||||
Delta Air Lines, Inc. | (1,242 | ) | (71,825 | ) | ||||
JB Hunt Transport Services, Inc. | (196 | ) | (23,312 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) | ||||||||
Kansas City Southern | (183 | ) | $ | (20,730 | ) | |||
Southwest Airlines Co. | (1,032 | ) | (64,448 | ) | ||||
|
| |||||||
(235,235 | ) | |||||||
|
| |||||||
Utilities — (4.1)% | ||||||||
Ameren Corp. | (438 | ) | (27,690 | ) | ||||
American Water Works Co., Inc. | (324 | ) | (28,502 | ) | ||||
CenterPoint Energy, Inc. | (775 | ) | (21,429 | ) | ||||
Consolidated Edison, Inc. | (49 | ) | (3,733 | ) | ||||
Duke Energy Corp. | (2 | ) | (160 | ) | ||||
Edison International | (585 | ) | (39,593 | ) | ||||
Entergy Corp. | (324 | ) | (26,286 | ) | ||||
Eversource Energy | (126 | ) | (7,741 | ) | ||||
NextEra Energy, Inc. | (714 | ) | (119,666 | ) | ||||
NiSource, Inc. | (652 | ) | (16,248 | ) | ||||
PG&E Corp. | (415 | ) | (19,094 | ) | ||||
Pinnacle West Capital Corp. | (201 | ) | (15,915 | ) | ||||
Public Service Enterprise Group, Inc. | (905 | ) | (47,775 | ) | ||||
SCANA Corp. | (256 | ) | (9,956 | ) | ||||
Sempra Energy | (180 | ) | (20,475 | ) | ||||
Xcel Energy, Inc. | (898 | ) | (42,395 | ) | ||||
|
| |||||||
(446,658 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $9,580,958) | (9,381,553 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (85.0)% |
| (9,381,553 | ) | |||||
|
| |||||||
(Proceeds $9,580,958) |
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6% | 69,064 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 11,031,385 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
(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.
117
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — 96.9% | ||||||||
Automobiles & Components — 5.9% |
| |||||||
Adient PLC (Ireland)(a) | 386 | $ | 15,174 | |||||
Aptiv PLC (Jersey)(a) | 39 | 3,272 | ||||||
BorgWarner, Inc.(a) | 380 | 16,256 | ||||||
Dana, Inc.(a) | 59 | 1,102 | ||||||
Delphi Technologies PLC (Jersey)(a) | 209 | 6,554 | ||||||
Fiat Chrysler Automobiles NV (Netherlands)(a)* | 537 | 9,403 | ||||||
Gentex Corp. | 73 | 1,567 | ||||||
Lear Corp.(a) | 117 | 16,965 | ||||||
Magna International, Inc. (Canada) | 341 | 17,913 | ||||||
Thor Industries, Inc. | 25 | 2,093 | ||||||
Visteon Corp.* | 34 | 3,159 | ||||||
|
| |||||||
93,458 | ||||||||
|
| |||||||
Capital Goods — 17.5% | ||||||||
Allison Transmission Holdings, | 394 | 20,492 | ||||||
AO Smith Corp.(a) | 104 | 5,550 | ||||||
Arconic, Inc.(a) | 182 | 4,006 | ||||||
Armstrong World Industries, Inc.* | 3 | 209 | ||||||
Caterpillar, Inc. | 4 | 610 | ||||||
Colfax Corp.(a) * | 93 | 3,354 | ||||||
Donaldson Co., Inc. | 17 | 990 | ||||||
Dover Corp.(a) | 226 | 20,008 | ||||||
Eaton Corp. PLC (Ireland)(a) | 26 | 2,255 | ||||||
Emerson Electric Co.(a) | 279 | 21,366 | ||||||
Gardner Denver Holdings, Inc.(a)* | 757 | 21,453 | ||||||
Generac Holdings, Inc.(a)* | 76 | 4,287 | ||||||
Graco, Inc. | 4 | 185 | ||||||
GrafTech International Ltd.(a) | 560 | 10,926 | ||||||
HD Supply Holdings, Inc.* | 84 | 3,594 | ||||||
Hillenbrand, Inc. | 33 | 1,726 | ||||||
Illinois Tool Works, Inc. | 5 | 706 | ||||||
Ingersoll-Rand PLC (Ireland) | 24 | 2,455 | ||||||
ITT, Inc.(a) | 153 | 9,373 | ||||||
John Bean Technologies Corp. | 10 | 1,193 | ||||||
Johnson Controls International PLC (Ireland)(a) | 450 | 15,750 | ||||||
Kennametal, Inc.(a) | 304 | 13,242 | ||||||
KLX, Inc.(a)* | 118 | 7,408 | ||||||
Lincoln Electric Holdings, Inc.(a) | 50 | 4,672 | ||||||
MSC Industrial Direct Co., Inc., Class A(a) | 41 | 3,613 | ||||||
Navistar International Corp.(a)* | 202 | 7,777 | ||||||
Oshkosh Corp.(a) | 234 | 16,670 | ||||||
Parker-Hannifin Corp.(a) | 115 | 21,152 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
Pentair PLC (Ireland)(a) | 117 | $ | 5,072 | |||||
Raytheon Co. | 5 | 1,033 | ||||||
Regal Beloit Corp. | 28 | 2,309 | ||||||
Sensata Technologies Holding PLC (United Kingdom)* | 75 | 3,716 | ||||||
Simpson Manufacturing Co., Inc.(a) | 79 | 5,724 | ||||||
Snap-on, Inc. | 29 | 5,324 | ||||||
Timken Co. (The)(a) | 85 | 4,237 | ||||||
Toro Co. (The) | 22 | 1,319 | ||||||
United Rentals, Inc.(a)* | 85 | 13,906 | ||||||
WABCO Holdings, Inc.(a)* | 76 | 8,963 | ||||||
Wabtec Corp. | 18 | 1,888 | ||||||
WESCO International, Inc.* | 14 | 860 | ||||||
|
| |||||||
279,373 | ||||||||
|
| |||||||
Commercial & Professional Services — 4.8% |
| |||||||
Brink’s Co. (The) | 38 | 2,651 | ||||||
Copart, Inc.* | 18 | 928 | ||||||
Deluxe Corp.(a) | 66 | 3,758 | ||||||
Dun & Bradstreet Corp. (The)(a) | 96 | 13,681 | ||||||
Korn/Ferry International(a) | 199 | 9,799 | ||||||
ManpowerGroup, Inc.(a) | 259 | 22,264 | ||||||
Ritchie Bros Auctioneers, Inc. (Canada) | 13 | 470 | ||||||
Robert Half International, Inc.(a) | 159 | 11,190 | ||||||
Tetra Tech, Inc.(a) | 93 | 6,352 | ||||||
TriNet Group, Inc.(a)* | 82 | 4,618 | ||||||
|
| |||||||
75,711 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 2.7% |
| |||||||
Deckers Outdoor Corp.* | 19 | 2,253 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)(a)* | 80 | 5,485 | ||||||
PVH Corp.(a) | 56 | 8,086 | ||||||
Skechers U.S.A., Inc., Class A(a)* | 363 | 10,139 | ||||||
Tapestry, Inc.(a) | 136 | 6,837 | ||||||
Whirlpool Corp.(a) | 87 | 10,331 | ||||||
|
| |||||||
43,131 | ||||||||
|
| |||||||
Consumer Services — 4.8% | ||||||||
Choice Hotels International, Inc.(a) | 22 | 1,833 | ||||||
Eldorado Resorts, Inc.(a)* | 176 | 8,554 | ||||||
Graham Holdings Co., Class B | 8 | 4,634 | ||||||
Hyatt Hotels Corp., Class A(a) | 78 | 6,208 | ||||||
International Game Technology PLC (United Kingdom)(a) | 315 | 6,221 |
The accompanying notes are an integral part of the financial statements.
118
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Las Vegas Sands Corp.(a) | 99 | $ | 5,874 | |||||
Laureate Education, Inc., | 292 | 4,508 | ||||||
McDonald’s Corp.(a) | 38 | 6,357 | ||||||
Restaurant Brands International, Inc. (Canada) | 17 | 1,008 | ||||||
Stars Group, Inc. (The) (Canada)* | 483 | 12,027 | ||||||
Weight Watchers International, | 256 | 18,429 | ||||||
Wendy’s Co. (The)(a) | 28 | 480 | ||||||
|
| |||||||
76,133 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.9% |
| |||||||
BJ’s Wholesale Club Holdings, Inc.* | 130 | 3,481 | ||||||
US Foods Holding Corp.(a)* | 124 | 3,822 | ||||||
Walmart, Inc.(a) | 245 | 23,008 | ||||||
|
| |||||||
30,311 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 7.3% |
| |||||||
Archer-Daniels-Midland Co.(a) | 521 | 26,191 | ||||||
Conagra Brands, Inc.(a) | 311 | 10,565 | ||||||
Flowers Foods, Inc. | 146 | 2,724 | ||||||
General Mills, Inc. | 126 | 5,408 | ||||||
Ingredion, Inc.(a) | 138 | 14,484 | ||||||
Kellogg Co. | 38 | 2,661 | ||||||
Kraft Heinz Co. (The) | 46 | 2,535 | ||||||
Molson Coors Brewing Co., | 197 | 12,115 | ||||||
Mondelez International, Inc., Class A | 10 | 430 | ||||||
National Beverage Corp.* | 7 | 816 | ||||||
Philip Morris International, Inc.(a) | 250 | 20,385 | ||||||
Pilgrim’s Pride Corp.(a)* | 373 | 6,748 | ||||||
Tyson Foods, Inc., Class A(a) | 187 | 11,132 | ||||||
|
| |||||||
116,194 | ||||||||
|
| |||||||
Health Care Equipment & Services — 4.4% |
| |||||||
AmerisourceBergen Corp.(a) | 138 | 12,726 | ||||||
athenahealth, Inc.* | 12 | 1,603 | ||||||
Avanos Medical, Inc.(a)* | 133 | 9,111 | ||||||
Cooper Cos., Inc. (The) | 3 | 831 | ||||||
DaVita, Inc.* | 29 | 2,077 | ||||||
Encompass Health Corp.(a) | 75 | 5,846 | ||||||
Envision Healthcare Corp.(a)* | 204 | 9,329 | ||||||
Laboratory Corp. of America Holdings(a)* | 133 | 23,099 | ||||||
MEDNAX, Inc.* | 2 | 93 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Tenet Healthcare Corp.(a)* | 164 | $ | 4,667 | |||||
|
| |||||||
69,382 | ||||||||
|
| |||||||
Household & Personal Products — 0.4% |
| |||||||
Energizer Holdings, Inc.(a) | 97 | 5,689 | ||||||
|
| |||||||
Media — 3.3% | ||||||||
AMC Networks, Inc., Class A(a)* | 117 | 7,762 | ||||||
Cable One, Inc. | 5 | 4,418 | ||||||
CBS Corp., Class B, non-voting shares(a) | 12 | 689 | ||||||
Cinemark Holdings, Inc.(a) | 411 | 16,522 | ||||||
Interpublic Group of Cos., Inc. | 172 | 3,934 | ||||||
News Corp., Class A | 209 | 2,757 | ||||||
Omnicom Group, Inc. | 7 | 476 | ||||||
Shaw Communications, Inc., | 105 | 2,046 | ||||||
Tribune Media Co., Class A(a) | 251 | 9,646 | ||||||
Twenty-First Century Fox, Inc., | 100 | 4,633 | ||||||
|
| |||||||
52,883 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 8.5% |
| |||||||
AbbVie, Inc.(a) | 286 | 27,050 | ||||||
Bio-Rad Laboratories, Inc., Class A* | 3 | 939 | ||||||
Catalent, Inc.* | 8 | 364 | ||||||
Eli Lilly & Co.(a) | 27 | 2,897 | ||||||
Exelixis, Inc.(a)* | 1,057 | 18,730 | ||||||
Jazz Pharmaceuticals PLC | 136 | 22,866 | ||||||
Ligand Pharmaceuticals, Inc.(a)* | 88 | 24,155 | ||||||
Myriad Genetics, Inc.(a)* | 154 | 7,084 | ||||||
Nektar Therapeutics(a)* | 413 | 25,176 | ||||||
QIAGEN NV (Netherlands)(a)* | 142 | 5,379 | ||||||
|
| |||||||
134,640 | ||||||||
|
| |||||||
Retailing — 7.5% | ||||||||
American Eagle Outfitters, Inc.(a) | 549 | 13,632 | ||||||
AutoZone, Inc.* | 1 | 776 | ||||||
Booking Holdings, Inc.* | 4 | 7,936 | ||||||
Dick’s Sporting Goods, Inc.(a) | 379 | 13,447 | ||||||
Dollar General Corp. | 32 | 3,498 | ||||||
Foot Locker, Inc.(a) | 241 | 12,286 | ||||||
Gap, Inc. (The)(a) | 299 | 8,626 | ||||||
Kohl’s Corp.(a) | 183 | 13,643 | ||||||
Nordstrom, Inc. | 49 | 2,931 |
The accompanying notes are an integral part of the financial statements.
119
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
Penske Automotive Group, Inc.(a) | 96 | $ | 4,549 | |||||
Qurate Retail, Inc.(a)* | 674 | 14,970 | ||||||
Signet Jewelers Ltd. (Bermuda)(a) | 98 | 6,461 | ||||||
Urban Outfitters, Inc.(a)* | 413 | 16,892 | ||||||
|
| |||||||
119,647 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 9.5% |
| |||||||
Analog Devices, Inc.(a) | 209 | 19,324 | ||||||
Applied Materials, Inc.(a) | 457 | 17,663 | ||||||
Broadcom, Inc.(a) | 28 | 6,908 | ||||||
Cabot Microelectronics Corp. | 1 | 103 | ||||||
Entegris, Inc. | 26 | 753 | ||||||
KLA-Tencor Corp.(a) | 166 | 16,884 | ||||||
Lam Research Corp.(a) | 151 | 22,907 | ||||||
Maxim Integrated Products, Inc.(a) | 220 | 12,406 | ||||||
Micron Technology, Inc.(a)* | 407 | 18,409 | ||||||
MKS Instruments, Inc.(a) | 261 | 20,919 | ||||||
Qorvo, Inc.* | 41 | 3,152 | ||||||
Texas Instruments, Inc.(a) | 93 | 9,978 | ||||||
Versum Materials, Inc. | 40 | 1,440 | ||||||
|
| |||||||
150,846 | ||||||||
|
| |||||||
Software & Services — 4.2% | ||||||||
Accenture PLC, Class A (Ireland) | 22 | 3,744 | ||||||
ANGI Homeservices, Inc., Class A* | 29 | 681 | ||||||
Autodesk, Inc.* | 9 | 1,405 | ||||||
CDK Global, Inc.(a) | 211 | 13,200 | ||||||
Conduent, Inc.* | 436 | 9,819 | ||||||
DXC Technology Co.(a) | 235 | 21,977 | ||||||
eBay, Inc.* | 83 | 2,741 | ||||||
Intuit, Inc. | 4 | 910 | ||||||
Open Text Corp. (Canada) | 19 | 723 | ||||||
Stamps.com, Inc.(a)* | 51 | 11,536 | ||||||
|
| |||||||
66,736 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 10.6% |
| |||||||
Avnet, Inc.(a) | 86 | 3,850 | ||||||
Ciena Corp.(a)* | 431 | 13,464 | ||||||
CommScope Holding Co., Inc.(a)* | 301 | 9,259 | ||||||
EchoStar Corp., Class A(a)* | 116 | 5,379 | ||||||
Hewlett Packard Enterprise Co.(a) | 727 | 11,857 | ||||||
IPG Photonics Corp.* | 39 | 6,087 | ||||||
Jabil, Inc.(a) | 422 | 11,428 | ||||||
Lumentum Holdings, Inc.(a)* | 277 | 16,606 | ||||||
NetApp, Inc.(a) | 107 | 9,190 | ||||||
Palo Alto Networks, Inc.* | 3 | 676 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Seagate Technology PLC (Ireland) | 465 | $ | 22,018 | |||||
TE Connectivity Ltd. (Switzerland)(a) | 153 | 13,453 | ||||||
Tech Data Corp.(a)* | 149 | 10,664 | ||||||
Vishay Intertechnology, Inc.(a) | 781 | 15,893 | ||||||
Western Digital Corp.(a) | 333 | 19,494 | ||||||
|
| |||||||
169,318 | ||||||||
|
| |||||||
Telecommunication Services — 1.8% |
| |||||||
CenturyLink, Inc.(a) | 284 | 6,021 | ||||||
Verizon Communications, Inc.(a) | 433 | 23,118 | ||||||
|
| |||||||
29,139 | ||||||||
|
| |||||||
Transportation — 1.8% | ||||||||
Expeditors International of Washington, Inc.(a) | 289 | 21,250 | ||||||
Schneider National, Inc., Class B(a) | 323 | 8,069 | ||||||
|
| |||||||
29,319 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS - 96.9% |
| 1,541,910 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.1% | 49,531 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 1,591,441 | ||||||
|
|
(a) | Security position is either entirely or partially designated as collateral for total return swaps. |
* | Non-income producing. |
PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
120
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2018
Over-the-counter total return basket swaps outstanding as of September 30, 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 swaps or upon termination. The basket matures between August 6, 2019 and July 7, 2020, 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 swaps at September 30, 2018:
Reference Company | Counterparty | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Short | |||||||||||||||||||||||||
Automobiles & Components | |||||||||||||||||||||||||
Ford Motor Co. | Morgan Stanley | (1,968 | ) | $ | (21,793 | ) | $ | 2,700 | $ | 2,700 | |||||||||||||||
General Motors Co. | Morgan Stanley | (290 | ) | (10,868 | ) | 1,110 | 1,110 | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(2,258 | ) | (32,661 | ) | 3,810 | 3,810 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Capital Goods | |||||||||||||||||||||||||
Acuity Brands, Inc. | Morgan Stanley | (46 | ) | (7,096 | ) | (144 | ) | (144 | ) | ||||||||||||||||
Allegion PLC (Ireland) | Morgan Stanley | (53 | ) | (4,719 | ) | (80 | ) | (80 | ) | ||||||||||||||||
Axon Enterprise, Inc. | Morgan Stanley | (137 | ) | (8,546 | ) | (812 | ) | (812 | ) | ||||||||||||||||
Beacon Roofing Supply, Inc. | Morgan Stanley | (85 | ) | (3,781 | ) | 711 | 711 | ||||||||||||||||||
BWX Technologies, Inc. | Morgan Stanley | (249 | ) | (15,869 | ) | 302 | 302 | ||||||||||||||||||
CAE, Inc. (Canada) | Morgan Stanley | (73 | ) | (1,402 | ) | (97 | ) | (97 | ) | ||||||||||||||||
Crane Co. | Morgan Stanley | (8 | ) | (785 | ) | (2 | ) | (2 | ) | ||||||||||||||||
Curtiss-Wright Corp. | Morgan Stanley | (8 | ) | (1,081 | ) | (18 | ) | (18 | ) | ||||||||||||||||
Flowserve Corp. | Morgan Stanley | (393 | ) | (19,389 | ) | (2,160 | ) | (2,160 | ) | ||||||||||||||||
Gates Industrial Corp. PLC (United Kingdom) | Morgan Stanley | (7 | ) | (139 | ) | 1 | 1 | ||||||||||||||||||
General Dynamics Corp. | Morgan Stanley | (176 | ) | (35,052 | ) | (904 | ) | (904 | ) | ||||||||||||||||
HEICO Corp. | Morgan Stanley | (49 | ) | (3,842 | ) | (689 | ) | (689 | ) | ||||||||||||||||
Honeywell International, Inc. | Morgan Stanley | (2 | ) | (332 | ) | (2 | ) | (2 | ) | ||||||||||||||||
Hubbell, Inc. | Morgan Stanley | (2 | ) | (269 | ) | — | — | ||||||||||||||||||
Huntington Ingalls Industries, Inc. | Morgan Stanley | (1 | ) | (257 | ) | (1 | ) | (1 | ) | ||||||||||||||||
JELD-WEN Holding, Inc. | Morgan Stanley | (256 | ) | (7,427 | ) | 1,135 | 1,135 | ||||||||||||||||||
Middleby Corp. (The) | Morgan Stanley | (174 | ) | (20,708 | ) | (1,756 | ) | (1,756 | ) | ||||||||||||||||
Northrop Grumman Corp. | Morgan Stanley | (121 | ) | (36,025 | ) | (2,549 | ) | (2,549 | ) | ||||||||||||||||
Proto Labs, Inc. | Morgan Stanley | (83 | ) | (9,499 | ) | (3,907 | ) | (3,907 | ) | ||||||||||||||||
RBC Bearings, Inc. | Morgan Stanley | (16 | ) | (2,373 | ) | (30 | ) | (30 | ) | ||||||||||||||||
SiteOne Landscape Supply, Inc. | Morgan Stanley | (186 | ) | (14,006 | ) | 22 | 22 | ||||||||||||||||||
Stanley Black & Decker, Inc. | Morgan Stanley | (180 | ) | (26,571 | ) | 195 | 195 | ||||||||||||||||||
Trex Co., Inc. | Morgan Stanley | (145 | ) | (9,038 | ) | (2,372 | ) | (2,372 | ) | ||||||||||||||||
USG Corp. | Morgan Stanley | (476 | ) | (19,864 | ) | (710 | ) | (710 | ) | ||||||||||||||||
Watsco, Inc. | Morgan Stanley | (50 | ) | (9,185 | ) | 228 | 228 | ||||||||||||||||||
Welbilt, Inc. | Morgan Stanley | (77 | ) | (1,742 | ) | 137 | 137 | ||||||||||||||||||
Woodward, Inc. | Morgan Stanley | (111 | ) | (8,373 | ) | (620 | ) | (620 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(3,164 | ) | (267,370 | ) | (14,122 | ) | (14,122 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Commercial & Professional Services | |||||||||||||||||||||||||
ADT, Inc. | Morgan Stanley | (977 | ) | (8,686 | ) | (493 | ) | (493 | ) |
The accompanying notes are an integral part of the financial statements.
121
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2018
Reference Company | Counterparty | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Commercial & Professional Services — (continued) |
| ||||||||||||||||||||||||
ASGN, Inc. | Morgan Stanley | (41 | ) | $ | (3,755 | ) | $ | 641 | $ | 641 | |||||||||||||||
Cintas Corp. | Morgan Stanley | (31 | ) | (6,194 | ) | 73 | 73 | ||||||||||||||||||
Clean Harbors, Inc. | Morgan Stanley | (180 | ) | (9,764 | ) | (3,101 | ) | (3,101 | ) | ||||||||||||||||
Equifax, Inc. | Morgan Stanley | (248 | ) | (31,396 | ) | (1,101 | ) | (1,101 | ) | ||||||||||||||||
Healthcare Services Group, Inc. | Morgan Stanley | (36 | ) | (1,556 | ) | 96 | 96 | ||||||||||||||||||
MSA Safety, Inc. | Morgan Stanley | (7 | ) | (723 | ) | (24 | ) | (24 | ) | ||||||||||||||||
Nielsen Holdings PLC (United Kingdom) | Morgan Stanley | (33 | ) | (912 | ) | — | — | ||||||||||||||||||
Republic Services, Inc. | Morgan Stanley | (87 | ) | (6,383 | ) | 36 | 36 | ||||||||||||||||||
Rollins, Inc. | Morgan Stanley | (253 | ) | (12,909 | ) | (2,487 | ) | (2,487 | ) | ||||||||||||||||
TransUnion | Morgan Stanley | (141 | ) | (10,491 | ) | 122 | 122 | ||||||||||||||||||
UniFirst Corp. | Morgan Stanley | (2 | ) | (380 | ) | 102 | 102 | ||||||||||||||||||
Verisk Analytics, Inc. | Morgan Stanley | (100 | ) | (11,436 | ) | (605 | ) | (605 | ) | ||||||||||||||||
Waste Connections, Inc. (Canada) | Morgan Stanley | (339 | ) | (25,179 | ) | (1,960 | ) | (1,960 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(2,475 | ) | (129,764 | ) | (8,701 | ) | (8,701 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Consumer Durables & Apparel | |||||||||||||||||||||||||
Canada Goose Holdings, Inc. (Canada) | Morgan Stanley | (389 | ) | (21,516 | ) | (3,545 | ) | (3,545 | ) | ||||||||||||||||
Gildan Activewear, Inc. (Canada) | Morgan Stanley | (245 | ) | (7,356 | ) | (95 | ) | (95 | ) | ||||||||||||||||
Hasbro, Inc. | Morgan Stanley | (9 | ) | (971 | ) | 25 | 25 | ||||||||||||||||||
Leggett & Platt, Inc. | Morgan Stanley | (422 | ) | (18,344 | ) | (420 | ) | (420 | ) | ||||||||||||||||
Newell Brands, Inc. | Morgan Stanley | (514 | ) | (11,360 | ) | 844 | 844 | ||||||||||||||||||
Polaris Industries, Inc. | Morgan Stanley | (129 | ) | (14,278 | ) | 1,229 | 1,229 | ||||||||||||||||||
Ralph Lauren Corp. | Morgan Stanley | (14 | ) | (1,920 | ) | (6 | ) | (6 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(1,722 | ) | (75,745 | ) | (1,968 | ) | (1,968 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Consumer Services | |||||||||||||||||||||||||
Aramark | Morgan Stanley | (181 | ) | (7,123 | ) | (723 | ) | (723 | ) | ||||||||||||||||
Domino’s Pizza, Inc. | Morgan Stanley | (4 | ) | (1,177 | ) | (2 | ) | (2 | ) | ||||||||||||||||
Dunkin’ Brands Group, Inc. | Morgan Stanley | (201 | ) | (13,517 | ) | (1,424 | ) | (1,424 | ) | ||||||||||||||||
Grand Canyon Education, Inc. | Morgan Stanley | (130 | ) | (15,552 | ) | 920 | 920 | ||||||||||||||||||
Marriott International, Inc., Class A | Morgan Stanley | (127 | ) | (16,564 | ) | (170 | ) | (170 | ) | ||||||||||||||||
MGM Resorts International | Morgan Stanley | (17 | ) | (472 | ) | (3 | ) | (3 | ) | ||||||||||||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda) | Morgan Stanley | (652 | ) | (34,032 | ) | (3,339 | ) | (3,339 | ) | ||||||||||||||||
Planet Fitness, Inc., Class A | Morgan Stanley | (37 | ) | (2,004 | ) | 7 | 7 | ||||||||||||||||||
Red Rock Resorts, Inc., Class A | Morgan Stanley | (317 | ) | (8,937 | ) | 392 | 392 | ||||||||||||||||||
Royal Caribbean Cruises Ltd. (Liberia) | Morgan Stanley | (326 | ) | (36,064 | ) | (6,642 | ) | (6,642 | ) | ||||||||||||||||
Service Corp. International | Morgan Stanley | (149 | ) | (6,144 | ) | (453 | ) | (453 | ) | ||||||||||||||||
Six Flags Entertainment Corp. | Morgan Stanley | (406 | ) | (27,362 | ) | (1,146 | ) | (1,146 | ) | ||||||||||||||||
Starbucks Corp. | Morgan Stanley | (451 | ) | (24,767 | ) | (815 | ) | (815 | ) | ||||||||||||||||
Wynn Resorts Ltd. | Morgan Stanley | (69 | ) | (10,256 | ) | 1,459 | 1,459 | ||||||||||||||||||
Yum! Brands, Inc. | Morgan Stanley | (141 | ) | (12,389 | ) | (404 | ) | (404 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(3,208 | ) | (216,360 | ) | (12,343 | ) | (12,343 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Food & Staples Retailing | |||||||||||||||||||||||||
Casey’s General Stores, Inc. | Morgan Stanley | (101 | ) | (11,023 | ) | (2,298 | ) | (2,298 | ) | ||||||||||||||||
Costco Wholesale Corp. | Morgan Stanley | (24 | ) | (5,697 | ) | 37 | 37 | ||||||||||||||||||
Performance Food Group Co. | Morgan Stanley | (258 | ) | (8,583 | ) | 8 | 8 |
The accompanying notes are an integral part of the financial statements.
122
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2018
Reference Company | Counterparty | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Food & Staples Retailing — (continued) | |||||||||||||||||||||||||
Sprouts Farmers Market, Inc. | Morgan Stanley | (318 | ) | $ | (8,762 | ) | $ | 63 | $ | 63 | |||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(701 | ) | (34,065 | ) | (2,190 | ) | (2,190 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Food, Beverage & Tobacco | |||||||||||||||||||||||||
Boston Beer Co., Inc., Class A | Morgan Stanley | (69 | ) | (20,394 | ) | 599 | 599 | ||||||||||||||||||
Bunge Ltd. (Bermuda) | Morgan Stanley | (507 | ) | (37,429 | ) | 1,864 | 1,864 | ||||||||||||||||||
Constellation Brands, Inc., Class A | Morgan Stanley | (80 | ) | (17,268 | ) | 54 | 54 | ||||||||||||||||||
Darling Ingredients, Inc. | Morgan Stanley | (153 | ) | (2,624 | ) | (362 | ) | (362 | ) | ||||||||||||||||
Hormel Foods Corp. | Morgan Stanley | (750 | ) | (28,726 | ) | (838 | ) | (838 | ) | ||||||||||||||||
JM Smucker Co. (The) | Morgan Stanley | (156 | ) | (16,506 | ) | 537 | 537 | ||||||||||||||||||
Lancaster Colony Corp. | Morgan Stanley | (35 | ) | (4,628 | ) | (736 | ) | (736 | ) | ||||||||||||||||
Monster Beverage Corp. | Morgan Stanley | (32 | ) | (1,980 | ) | 234 | 234 | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(1,782 | ) | (129,555 | ) | 1,352 | 1,352 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Health Care Equipment & Services | |||||||||||||||||||||||||
Abbott Laboratories | Morgan Stanley | (391 | ) | (25,760 | ) | (2,869 | ) | (2,869 | ) | ||||||||||||||||
ABIOMED, Inc. | Morgan Stanley | (36 | ) | (15,998 | ) | (160 | ) | (160 | ) | ||||||||||||||||
Align Technology, Inc. | Morgan Stanley | (13 | ) | (5,071 | ) | (5 | ) | (5 | ) | ||||||||||||||||
Boston Scientific Corp. | Morgan Stanley | (488 | ) | (17,808 | ) | (943 | ) | (943 | ) | ||||||||||||||||
Cantel Medical Corp. | Morgan Stanley | (5 | ) | (458 | ) | (3 | ) | (3 | ) | ||||||||||||||||
Cerner Corp. | Morgan Stanley | (385 | ) | (24,290 | ) | (472 | ) | (472 | ) | ||||||||||||||||
Edwards Lifesciences Corp. | Morgan Stanley | (156 | ) | (22,542 | ) | (4,570 | ) | (4,570 | ) | ||||||||||||||||
Globus Medical, Inc., Class A | Morgan Stanley | (194 | ) | (10,190 | ) | (801 | ) | (801 | ) | ||||||||||||||||
Haemonetics Corp. | Morgan Stanley | (244 | ) | (24,135 | ) | (3,772 | ) | (3,772 | ) | ||||||||||||||||
HCA Healthcare, Inc. | Morgan Stanley | (9 | ) | (1,245 | ) | (6 | ) | (6 | ) | ||||||||||||||||
IDEXX Laboratories, Inc. | Morgan Stanley | (5 | ) | (1,249 | ) | 1 | 1 | ||||||||||||||||||
Inogen, Inc. | Morgan Stanley | (83 | ) | (14,781 | ) | (5,535 | ) | (5,535 | ) | ||||||||||||||||
Insulet Corp. | Morgan Stanley | (10 | ) | (1,046 | ) | (13 | ) | (13 | ) | ||||||||||||||||
Intuitive Surgical, Inc. | Morgan Stanley | (43 | ) | (23,012 | ) | (1,622 | ) | (1,622 | ) | ||||||||||||||||
LHC Group, Inc. | Morgan Stanley | (4 | ) | (405 | ) | (8 | ) | (8 | ) | ||||||||||||||||
Masimo Corp. | Morgan Stanley | (105 | ) | (12,225 | ) | (827 | ) | (827 | ) | ||||||||||||||||
Medidata Solutions, Inc. | Morgan Stanley | (313 | ) | (19,628 | ) | (3,277 | ) | (3,277 | ) | ||||||||||||||||
Merit Medical Systems, Inc. | Morgan Stanley | (9 | ) | (554 | ) | — | — | ||||||||||||||||||
Neogen Corp. | Morgan Stanley | (103 | ) | (6,889 | ) | (466 | ) | (466 | ) | ||||||||||||||||
NuVasive, Inc. | Morgan Stanley | (13 | ) | (725 | ) | (347 | ) | (347 | ) | ||||||||||||||||
Stryker Corp. | Morgan Stanley | (5 | ) | (880 | ) | (11 | ) | (11 | ) | ||||||||||||||||
Veeva Systems, Inc., Class A | Morgan Stanley | (145 | ) | (13,098 | ) | (2,661 | ) | (2,661 | ) | ||||||||||||||||
Zimmer Biomet Holdings, Inc. | Morgan Stanley | (234 | ) | (29,257 | ) | (1,516 | ) | (1,516 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(2,993 | ) | (271,246 | ) | (29,883 | ) | (29,883 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Household & Personal Products | |||||||||||||||||||||||||
Clorox Co. (The) | Morgan Stanley | (22 | ) | (3,133 | ) | (445 | ) | (445 | ) | ||||||||||||||||
Coty, Inc., Class A | Morgan Stanley | (104 | ) | (1,340 | ) | 42 | 42 | ||||||||||||||||||
Estee Lauder Cos., Inc. (The), Class A | Morgan Stanley | (46 | ) | (6,613 | ) | (59 | ) | (59 | ) | ||||||||||||||||
WD-40 Co. | Morgan Stanley | (28 | ) | (4,656 | ) | (154 | ) | (154 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(200 | ) | (15,742 | ) | (616 | ) | (616 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
123
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2018
Reference Company | Counterparty | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Media | |||||||||||||||||||||||||
Charter Communications, Inc., Class A | Morgan Stanley | (35 | ) | $ | (11,447 | ) | $ | 64 | $ | 64 | |||||||||||||||
Lions Gate Entertainment Corp., Class B(Canada) | Morgan Stanley | (192 | ) | (4,471 | ) | (16 | ) | (16 | ) | ||||||||||||||||
Madison Square Garden Co. (The), Class A | Morgan Stanley | (15 | ) | (4,516 | ) | (206 | ) | (206 | ) | ||||||||||||||||
World Wrestling Entertainment, Inc., Class A | Morgan Stanley | (135 | ) | (10,502 | ) | (2,548 | ) | (2,548 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(377 | ) | (30,936 | ) | (2,706 | ) | (2,706 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences |
| ||||||||||||||||||||||||
Agilent Technologies, Inc. | Morgan Stanley | (99 | ) | (6,967 | ) | (3 | ) | (3 | ) | ||||||||||||||||
Allergan PLC (Ireland) | Morgan Stanley | (17 | ) | (3,246 | ) | 13 | 13 | ||||||||||||||||||
Bausch Health Cos, Inc. (Canada) | Morgan Stanley | (763 | ) | (14,458 | ) | (5,133 | ) | (5,133 | ) | ||||||||||||||||
Bio-Techne Corp. | Morgan Stanley | (110 | ) | (16,112 | ) | (6,420 | ) | (6,420 | ) | ||||||||||||||||
Charles River Laboratories International, Inc. | Morgan Stanley | (149 | ) | (18,250 | ) | (1,758 | ) | (1,758 | ) | ||||||||||||||||
Emergent BioSolutions, Inc. | Morgan Stanley | (28 | ) | (1,836 | ) | (5 | ) | (5 | ) | ||||||||||||||||
Endo International PLC (Ireland) | Morgan Stanley | (494 | ) | (7,902 | ) | (396 | ) | (396 | ) | ||||||||||||||||
Gilead Sciences, Inc. | Morgan Stanley | (44 | ) | (3,366 | ) | (25 | ) | (25 | ) | ||||||||||||||||
Ionis Pharmaceuticals, Inc. | Morgan Stanley | (535 | ) | (22,470 | ) | (5,078 | ) | (5,078 | ) | ||||||||||||||||
IQVIA Holdings, Inc. | Morgan Stanley | (79 | ) | (9,816 | ) | (414 | ) | (414 | ) | ||||||||||||||||
Mallinckrodt PLC (Ireland) | Morgan Stanley | (326 | ) | (11,066 | ) | 1,590 | 1,590 | ||||||||||||||||||
Merck & Co., Inc. | Morgan Stanley | (209 | ) | (14,027 | ) | (913 | ) | (913 | ) | ||||||||||||||||
Perrigo Co. PLC (Ireland) | Morgan Stanley | (186 | ) | (14,096 | ) | 945 | 945 | ||||||||||||||||||
Pfizer, Inc. | Morgan Stanley | (295 | ) | (12,777 | ) | (198 | ) | (198 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(3,334 | ) | (156,389 | ) | (17,795 | ) | (17,795 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Retailing | |||||||||||||||||||||||||
CarMax, Inc. | Morgan Stanley | (24 | ) | (1,801 | ) | 11 | 11 | ||||||||||||||||||
Five Below, Inc. | Morgan Stanley | (173 | ) | (22,553 | ) | 100 | 100 | ||||||||||||||||||
Floor & Decor Holdings, Inc., Class A | Morgan Stanley | (129 | ) | (5,832 | ) | 1,951 | 1,951 | ||||||||||||||||||
LKQ Corp. | Morgan Stanley | (1,060 | ) | (38,405 | ) | 4,917 | 4,917 | ||||||||||||||||||
Ollie’s Bargain Outlet Holdings, Inc. | Morgan Stanley | (169 | ) | (15,513 | ) | (696 | ) | (696 | ) | ||||||||||||||||
Pool Corp. | Morgan Stanley | (82 | ) | (11,937 | ) | (1,787 | ) | (1,787 | ) | ||||||||||||||||
Stitch Fix, Inc., Class A | Morgan Stanley | (267 | ) | (11,450 | ) | (223 | ) | (223 | ) | ||||||||||||||||
Tiffany & Co. | Morgan Stanley | (155 | ) | (19,358 | ) | (663 | ) | (663 | ) | ||||||||||||||||
Tractor Supply Co. | Morgan Stanley | (64 | ) | (5,543 | ) | (270 | ) | (270 | ) | ||||||||||||||||
Williams-Sonoma, Inc. | Morgan Stanley | (6 | ) | (433 | ) | 261 | 261 | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(2,129 | ) | (132,825 | ) | 3,601 | 3,601 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Semiconductors & Semiconductor Equipment |
| ||||||||||||||||||||||||
Marvell Technology Group Ltd. (Bermuda) | Morgan Stanley | (1,444 | ) | (27,015 | ) | (797 | ) | (797 | ) | ||||||||||||||||
Microchip Technology, Inc. | Morgan Stanley | (206 | ) | (17,352 | ) | 1,086 | 1,086 | ||||||||||||||||||
Semtech Corp. | Morgan Stanley | (134 | ) | (7,548 | ) | 112 | 112 |
The accompanying notes are an integral part of the financial statements.
124
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2018
Reference Company | Counterparty | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Semiconductors & Semiconductor Equipment — (continued) |
| ||||||||||||||||||||||||
Silicon Laboratories, Inc. | Morgan Stanley | (88 | ) | $ | (8,672 | ) | $ | 622 | $ | 622 | |||||||||||||||
Teradyne, Inc. | Morgan Stanley | (430 | ) | (18,771 | ) | 3,042 | 3,042 | ||||||||||||||||||
Universal Display Corp. | Morgan Stanley | (244 | ) | (25,820 | ) | (2,907 | ) | (2,907 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(2,546 | ) | (105,178 | ) | 1,158 | 1,158 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Software & Services | |||||||||||||||||||||||||
ACI Worldwide, Inc. | Morgan Stanley | (217 | ) | (5,161 | ) | (936 | ) | (936 | ) | ||||||||||||||||
Activision Blizzard, Inc. | Morgan Stanley | (68 | ) | (5,618 | ) | (29 | ) | (29 | ) | ||||||||||||||||
ANSYS, Inc. | Morgan Stanley | (94 | ) | (16,742 | ) | (772 | ) | (772 | ) | ||||||||||||||||
Aspen Technology, Inc. | Morgan Stanley | (244 | ) | (19,088 | ) | (8,703 | ) | (8,703 | ) | ||||||||||||||||
Black Knight, Inc. | Morgan Stanley | (73 | ) | (3,903 | ) | 121 | 121 | ||||||||||||||||||
Blackbaud, Inc. | Morgan Stanley | (126 | ) | (12,645 | ) | (152 | ) | (152 | ) | ||||||||||||||||
Broadridge Financial Solutions, Inc. | Morgan Stanley | (76 | ) | (10,006 | ) | (54 | ) | (54 | ) | ||||||||||||||||
Cargurus, Inc. | Morgan Stanley | (372 | ) | (14,050 | ) | (6,686 | ) | (6,686 | ) | ||||||||||||||||
Ellie Mae, Inc. | Morgan Stanley | (242 | ) | (22,517 | ) | (370 | ) | (370 | ) | ||||||||||||||||
Fair Isaac Corp. | Morgan Stanley | (67 | ) | (12,697 | ) | (2,759 | ) | (2,759 | ) | ||||||||||||||||
First Data Corp., Class A | Morgan Stanley | (96 | ) | (2,426 | ) | 63 | 63 | ||||||||||||||||||
Fiserv, Inc. | Morgan Stanley | (125 | ) | (9,809 | ) | (469 | ) | (469 | ) | ||||||||||||||||
Fortinet, Inc. | Morgan Stanley | (5 | ) | (458 | ) | (4 | ) | (4 | ) | ||||||||||||||||
Global Payments, Inc. | Morgan Stanley | (56 | ) | (7,068 | ) | (63 | ) | (63 | ) | ||||||||||||||||
GrubHub, Inc. | Morgan Stanley | (8 | ) | (1,118 | ) | 10 | 10 | ||||||||||||||||||
Jack Henry & Associates, Inc. | Morgan Stanley | (53 | ) | (7,728 | ) | (846 | ) | (846 | ) | ||||||||||||||||
Manhattan Associates, Inc. | Morgan Stanley | (222 | ) | (10,209 | ) | (1,892 | ) | (1,892 | ) | ||||||||||||||||
Nuance Communications, Inc. | Morgan Stanley | (1,122 | ) | (16,400 | ) | (2,999 | ) | (2,999 | ) | ||||||||||||||||
Pegasystems, Inc. | Morgan Stanley | (165 | ) | (9,974 | ) | (367 | ) | (367 | ) | ||||||||||||||||
PTC, Inc. | Morgan Stanley | (46 | ) | (4,850 | ) | (26 | ) | (26 | ) | ||||||||||||||||
SS&C Technologies Holdings, Inc. | Morgan Stanley | (502 | ) | (27,294 | ) | (1,216 | ) | (1,216 | ) | ||||||||||||||||
Synopsys, Inc. | Morgan Stanley | (146 | ) | (14,839 | ) | 478 | 478 | ||||||||||||||||||
Teradata Corp. | Morgan Stanley | (446 | ) | (17,907 | ) | 1,126 | 1,126 | ||||||||||||||||||
Trade Desk, Inc. (The), Class A | Morgan Stanley | (155 | ) | (20,576 | ) | (3,036 | ) | (3,036 | ) | ||||||||||||||||
Tyler Technologies, Inc. | Morgan Stanley | (40 | ) | (9,607 | ) | (176 | ) | (176 | ) | ||||||||||||||||
Worldpay, Inc., Class A | Morgan Stanley | (302 | ) | (24,844 | ) | (5,905 | ) | (5,905 | ) | ||||||||||||||||
Yelp, Inc. | Morgan Stanley | (554 | ) | (24,941 | ) | (2,314 | ) | (2,314 | ) | ||||||||||||||||
Zynga, Inc., Class A | Morgan Stanley | (3,955 | ) | (15,463 | ) | (365 | ) | (365 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(9,577 | ) | (347,938 | ) | (38,341 | ) | (38,341 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Technology Hardware & Equipment | |||||||||||||||||||||||||
ARRIS International PLC (United Kingdom) | Morgan Stanley | (664 | ) | (17,636 | ) | 417 | 417 | ||||||||||||||||||
Arrow Electronics, Inc. | Morgan Stanley | (136 | ) | (10,519 | ) | 514 | 514 | ||||||||||||||||||
Cognex Corp. | Morgan Stanley | (380 | ) | (20,320 | ) | (858 | ) | (858 | ) | ||||||||||||||||
Coherent, Inc. | Morgan Stanley | (76 | ) | (13,934 | ) | 905 | 905 | ||||||||||||||||||
Juniper Networks, Inc. | Morgan Stanley | (323 | ) | (9,272 | ) | (426 | ) | (426 | ) | ||||||||||||||||
National Instruments Corp. | Morgan Stanley | (181 | ) | (8,281 | ) | (473 | ) | (473 | ) | ||||||||||||||||
ViaSat, Inc. | Morgan Stanley | (210 | ) | (13,923 | ) | 556 | 556 | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(1,970 | ) | (93,885 | ) | 635 | 635 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
125
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Concluded)
September 30, 2018
Reference Company | Counterparty | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Telecommunication Services | |||||||||||||||||||||||||
AT&T, Inc. | Morgan Stanley | (42 | ) | $ | (1,413 | ) | $ | (45 | ) | $ | (45 | ) | |||||||||||||
Sprint Corp. | Morgan Stanley | (4,866 | ) | (26,443 | ) | (5,350 | ) | (5,350 | ) | ||||||||||||||||
Vonage Holdings Corp. | Morgan Stanley | (724 | ) | (9,889 | ) | (343 | ) | (343 | ) | ||||||||||||||||
Zayo Group Holdings, Inc. | Morgan Stanley | (431 | ) | (16,080 | ) | 1,154 | 1,154 | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(6,063 | ) | (53,825 | ) | (4,584 | ) | (4,584 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Transportation | |||||||||||||||||||||||||
Canadian National Railway Co. (Canada) | Morgan Stanley | (346 | ) | (27,321 | ) | (3,942 | ) | (3,942 | ) | ||||||||||||||||
Canadian Pacific Railway Ltd. (Canada) | Morgan Stanley | (147 | ) | (27,945 | ) | (3,264 | ) | (3,264 | ) | ||||||||||||||||
Kansas City Southern | Morgan Stanley | (100 | ) | (11,612 | ) | 273 | 273 | ||||||||||||||||||
Kirby Corp. | Morgan Stanley | (213 | ) | (18,802 | ) | 1,321 | 1,321 | ||||||||||||||||||
Ryder System, Inc. | Morgan Stanley | (249 | ) | (18,272 | ) | (279 | ) | (279 | ) | ||||||||||||||||
Union Pacific Corp. | Morgan Stanley | (59 | ) | (9,621 | ) | 33 | 33 | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(1,114 | ) | (113,573 | ) | (5,858 | ) | (5,858 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
$ | (2,207,057 | ) | $ | (128,551 | ) | $ | (128,551 | ) | |||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
126
GOTHAM LARGE VALUE FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — 99.5% |
| |||||||
Automobiles & Components — 0.2% |
| |||||||
BorgWarner, Inc. | 554 | $ | 23,700 | |||||
Harley-Davidson, Inc. | 992 | 44,938 | ||||||
|
| |||||||
68,638 | ||||||||
|
| |||||||
Banks — 0.5% | ||||||||
Bank of America Corp. | 1,696 | 49,964 | ||||||
JPMorgan Chase & Co. | 164 | 18,506 | ||||||
SVB Financial Group* | 114 | 35,435 | ||||||
Wells Fargo & Co. | 1,082 | 56,870 | ||||||
|
| |||||||
160,775 | ||||||||
|
| |||||||
Capital Goods — 11.4% | ||||||||
3M Co. | 1,670 | 351,886 | ||||||
AMETEK, Inc. | 513 | 40,588 | ||||||
AO Smith Corp. | 91 | 4,857 | ||||||
Arconic, Inc. | 2,291 | 50,425 | ||||||
Boeing Co. (The) | 1,692 | 629,255 | ||||||
Caterpillar, Inc. | 2,006 | 305,895 | ||||||
Cummins, Inc. | 24 | 3,506 | ||||||
Dover Corp. | 880 | 77,906 | ||||||
Eaton Corp. PLC (Ireland) | 672 | 58,282 | ||||||
Emerson Electric Co. | 3,743 | 286,639 | ||||||
Fluor Corp. | 808 | 46,945 | ||||||
Harris Corp. | 706 | 119,462 | ||||||
Honeywell International, Inc. | 2,561 | 426,150 | ||||||
Illinois Tool Works, Inc. | 1,137 | 160,453 | ||||||
Jacobs Engineering Group, Inc. | 844 | 64,566 | ||||||
Parker-Hannifin Corp. | 789 | 145,121 | ||||||
Pentair PLC (Ireland) | 1,044 | 45,257 | ||||||
Raytheon Co. | 124 | 25,626 | ||||||
Rockwell Automation, Inc. | 733 | 137,452 | ||||||
Roper Technologies, Inc. | 50 | 14,810 | ||||||
Snap-on, Inc. | 336 | 61,689 | ||||||
Textron, Inc. | 1,482 | 105,919 | ||||||
TransDigm Group, Inc.* | 3 | 1,117 | ||||||
United Rentals, Inc.* | 493 | 80,655 | ||||||
United Technologies Corp. | 2,226 | 311,217 | ||||||
WW Grainger, Inc. | 34 | 12,152 | ||||||
|
| |||||||
3,567,830 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.3% |
| |||||||
Republic Services, Inc. | 1,916 | 139,216 | ||||||
Robert Half International, Inc. | 368 | 25,900 | ||||||
Waste Management, Inc. | 2,551 | 230,508 | ||||||
|
| |||||||
395,624 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — 1.0% |
| |||||||
Garmin Ltd. (Switzerland) | 1,125 | $ | 78,806 | |||||
Mohawk Industries, Inc.* | 140 | 24,549 | ||||||
NIKE, Inc., Class B | 1,759 | 149,022 | ||||||
Ralph Lauren Corp. | 2 | 275 | ||||||
Tapestry, Inc. | 618 | 31,067 | ||||||
Whirlpool Corp. | 297 | 35,269 | ||||||
|
| |||||||
318,988 | ||||||||
|
| |||||||
Consumer Services — 1.5% | ||||||||
Darden Restaurants, Inc. | 520 | 57,819 | ||||||
Marriott International, Inc., Class A | 627 | 82,783 | ||||||
McDonald’s Corp. | 925 | 154,743 | ||||||
Yum! Brands, Inc. | 1,935 | 175,911 | ||||||
|
| |||||||
471,256 | ||||||||
|
| |||||||
Diversified Financials — 5.6% | ||||||||
Affiliated Managers Group, Inc. | 181 | 24,746 | ||||||
American Express Co. | 1,120 | 119,269 | ||||||
Ameriprise Financial, Inc. | 130 | 19,196 | ||||||
Berkshire Hathaway, Inc., Class B* | 1,246 | 266,781 | ||||||
BlackRock, Inc. | 587 | 276,671 | ||||||
Cboe Global Markets, Inc. | 38 | 3,646 | ||||||
CME Group, Inc. | 177 | 30,127 | ||||||
Discover Financial Services | 189 | 14,449 | ||||||
E*TRADE Financial Corp.* | 332 | 17,393 | ||||||
Franklin Resources, Inc. | 2,087 | 63,466 | ||||||
Intercontinental Exchange, Inc. | 1,151 | 86,198 | ||||||
Invesco Ltd. (Bermuda) | 1,617 | 36,997 | ||||||
Moody’s Corp. | 1,143 | 191,110 | ||||||
MSCI, Inc. | 406 | 72,028 | ||||||
Nasdaq, Inc. | 596 | 51,137 | ||||||
S&P Global, Inc. | 1,498 | 292,694 | ||||||
State Street Corp. | 321 | 26,893 | ||||||
T Rowe Price Group, Inc. | 1,449 | 158,202 | ||||||
|
| |||||||
1,751,003 | ||||||||
|
| |||||||
Energy — 5.3% | ||||||||
Chevron Corp. | 2,107 | 257,644 | ||||||
ConocoPhillips | 4,931 | 381,659 | ||||||
Devon Energy Corp. | 1,567 | 62,586 | ||||||
Exxon Mobil Corp. | 5,460 | 464,209 | ||||||
Hess Corp. | 186 | 13,314 | ||||||
HollyFrontier Corp. | 309 | 21,599 | ||||||
Marathon Oil Corp. | 5,085 | 118,379 | ||||||
Marathon Petroleum Corp. | 225 | 17,993 | ||||||
Phillips 66 | 2,109 | 237,726 |
The accompanying notes are an integral part of the financial statements.
127
GOTHAM LARGE VALUE FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) | ||||||||
TechnipFMC PLC (United Kingdom) | 2,723 | $ | 85,094 | |||||
Valero Energy Corp. | 3 | 341 | ||||||
|
| |||||||
1,660,544 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.6% | ||||||||
Kroger Co. (The) | 517 | 15,050 | ||||||
Sysco Corp. | 3,101 | 227,148 | ||||||
Walgreens Boots Alliance, Inc. | 1,326 | 96,665 | ||||||
Walmart, Inc. | 4,936 | 463,540 | ||||||
|
| |||||||
802,403 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 4.8% |
| |||||||
Altria Group, Inc. | 5,813 | 350,582 | ||||||
Archer-Daniels-Midland Co. | 3,334 | 167,600 | ||||||
Coca-Cola Co. (The) | 424 | 19,585 | ||||||
Conagra Brands, Inc. | 452 | 15,354 | ||||||
Kellogg Co. | 1,238 | 86,685 | ||||||
Kraft Heinz Co. (The) | 3,333 | 183,682 | ||||||
Molson Coors Brewing Co., Class B | 643 | 39,544 | ||||||
Mondelez International, Inc., Class A | 1,767 | 75,910 | ||||||
PepsiCo, Inc. | 2,216 | 247,749 | ||||||
Philip Morris International, Inc. | 4,059 | 330,971 | ||||||
|
| |||||||
1,517,662 | ||||||||
|
| |||||||
Health Care Equipment & Services — 12.6% |
| |||||||
Aetna, Inc. | 1,584 | 321,314 | ||||||
AmerisourceBergen Corp. | 1,288 | 118,779 | ||||||
Anthem, Inc. | 1,503 | 411,897 | ||||||
Becton Dickinson and Co. | 234 | 61,074 | ||||||
Cardinal Health, Inc. | 1,846 | 99,684 | ||||||
Centene Corp.* | 1,194 | 172,867 | ||||||
Cigna Corp. | 1,450 | 301,962 | ||||||
CVS Health Corp. | 4,309 | 339,204 | ||||||
Danaher Corp. | 1,083 | 117,679 | ||||||
DaVita, Inc.* | 1,017 | 72,848 | ||||||
Envision Healthcare Corp.* | 723 | 33,063 | ||||||
Express Scripts Holding Co.* | 2,512 | 238,665 | ||||||
HCA Healthcare, Inc. | 1,770 | 246,242 | ||||||
Humana, Inc. | 728 | 246,443 | ||||||
Laboratory Corp. of America Holdings* | 615 | 106,813 | ||||||
McKesson Corp. | 735 | 97,498 | ||||||
Medtronic PLC (Ireland) | 4,927 | 484,669 | ||||||
Quest Diagnostics, Inc. | 291 | 31,402 | ||||||
ResMed, Inc. | 849 | 97,924 | ||||||
UnitedHealth Group, Inc. | 997 | 265,242 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Health Care Equipment & Services — (Continued) |
| |||||||
WellCare Health Plans, Inc.* | 267 | $ | 85,571 | |||||
|
| |||||||
3,950,840 | ||||||||
|
| |||||||
Household & Personal Products — 2.6% |
| |||||||
Church & Dwight Co., Inc. | 144 | 8,549 | ||||||
Clorox Co. (The) | 763 | 114,763 | ||||||
Colgate-Palmolive Co. | 3,591 | 240,417 | ||||||
Kimberly-Clark Corp. | 1,244 | 141,368 | ||||||
Procter & Gamble Co. (The) | 3,558 | 296,132 | ||||||
|
| |||||||
801,229 | ||||||||
|
| |||||||
Insurance — 2.4% | ||||||||
Aflac, Inc. | 2,371 | 111,603 | ||||||
Arthur J Gallagher & Co. | 1,087 | 80,916 | ||||||
Lincoln National Corp. | 30 | 2,030 | ||||||
Loews Corp. | 1,885 | 94,684 | ||||||
Marsh & McLennan Cos., Inc. | 1,486 | 122,922 | ||||||
Principal Financial Group, Inc. | 418 | 24,491 | ||||||
Progressive Corp. (The) | 2,069 | 146,982 | ||||||
Prudential Financial, Inc. | 646 | 65,453 | ||||||
Torchmark Corp. | 642 | 55,655 | ||||||
Unum Group | 1,302 | 50,869 | ||||||
|
| |||||||
755,605 | ||||||||
|
| |||||||
Materials — 2.6% | ||||||||
Avery Dennison Corp. | 296 | 32,072 | ||||||
CF Industries Holdings, Inc. | 1,390 | 75,672 | ||||||
Eastman Chemical Co. | 61 | 5,839 | ||||||
FMC Corp. | 801 | 69,831 | ||||||
Freeport-McMoRan, Inc. | 5,431 | 75,600 | ||||||
International Paper Co. | 1,373 | 67,483 | ||||||
LyondellBasell Industries NV, Class A (Netherlands) | 1,020 | 104,560 | ||||||
Newmont Mining Corp. | 773 | 23,345 | ||||||
Nucor Corp. | 412 | 26,141 | ||||||
Packaging Corp. of America | 172 | 18,867 | ||||||
Praxair, Inc. | 1,120 | 180,018 | ||||||
Sealed Air Corp. | 952 | 38,223 | ||||||
WestRock Co. | 1,520 | 81,229 | ||||||
|
| |||||||
798,880 | ||||||||
|
| |||||||
Media — 4.5% | ||||||||
CBS Corp., Class B, non-voting shares | 1,902 | 109,270 | ||||||
Comcast Corp., Class A | 6,691 | 236,928 | ||||||
DISH Network Corp., Class A* | 2,784 | 99,556 | ||||||
Interpublic Group of Cos., Inc. (The) | 2,247 | 51,389 |
The accompanying notes are an integral part of the financial statements.
128
GOTHAM LARGE VALUE FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) | ||||||||
News Corp., Class A | 2,092 | $ | 27,593 | |||||
Omnicom Group, Inc. | 1,163 | 79,107 | ||||||
Twenty-First Century Fox, Inc., Class A | 9,393 | 435,178 | ||||||
Viacom, Inc., Class B | 1,087 | 36,697 | ||||||
Walt Disney Co. (The) | 2,936 | 343,336 | ||||||
|
| |||||||
1,419,054 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 6.1% |
| |||||||
AbbVie, Inc. | 3,326 | 314,573 | ||||||
Amgen, Inc. | 1,543 | 319,848 | ||||||
Biogen, Inc.* | 853 | 301,373 | ||||||
Celgene Corp.* | 1,977 | 176,922 | ||||||
Eli Lilly & Co. | 156 | 16,740 | ||||||
Gilead Sciences, Inc. | 5,298 | 409,059 | ||||||
Johnson & Johnson | 2,390 | 330,226 | ||||||
Merck & Co., Inc. | 171 | 12,131 | ||||||
Nektar Therapeutics* | 169 | 10,302 | ||||||
Pfizer, Inc. | 29 | 1,278 | ||||||
Zoetis, Inc. | 172 | 15,748 | ||||||
|
| |||||||
1,908,200 | ||||||||
|
| |||||||
Real Estate — 0.1% | ||||||||
Equity Residential, REIT | 159 | 10,535 | ||||||
UDR, Inc., REIT | 495 | 20,013 | ||||||
Weyerhaeuser Co., REIT | 500 | 16,135 | ||||||
|
| |||||||
46,683 | ||||||||
|
| |||||||
Retailing — 7.8% | ||||||||
Advance Auto Parts, Inc. | 442 | 74,402 | ||||||
AutoZone, Inc.* | 153 | 118,682 | ||||||
Best Buy Co., Inc. | 1,622 | 128,722 | ||||||
Booking Holdings, Inc.* | 13 | 25,792 | ||||||
CarMax, Inc.* | 387 | 28,897 | ||||||
Dollar General Corp. | 1,582 | 172,913 | ||||||
Foot Locker, Inc. | 548 | 27,937 | ||||||
Genuine Parts Co. | 874 | 86,876 | ||||||
Home Depot, Inc. (The) | 2,794 | 578,777 | ||||||
Kohl’s Corp. | 699 | 52,110 | ||||||
Lowe’s Cos., Inc. | 4,830 | 554,581 | ||||||
Macy’s, Inc. | 1,398 | 48,553 | ||||||
Nordstrom, Inc. | 325 | 19,438 | ||||||
O’Reilly Automotive, Inc.* | 244 | 84,746 | ||||||
Ross Stores, Inc. | 2,086 | 206,723 | ||||||
Target Corp. | 1,036 | 91,386 | ||||||
Tiffany & Co. | 74 | 9,544 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
TJX Cos., Inc. (The) | 1,045 | $ | 117,061 | |||||
Tractor Supply Co. | 2 | 182 | ||||||
|
| |||||||
2,427,322 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.3% |
| |||||||
Analog Devices, Inc. | 545 | 50,391 | ||||||
Applied Materials, Inc. | 4,040 | 156,146 | ||||||
Intel Corp. | 46 | 2,175 | ||||||
KLA-Tencor Corp. | 377 | 38,345 | ||||||
Lam Research Corp. | 337 | 51,123 | ||||||
Micron Technology, Inc.* | 3,543 | 160,250 | ||||||
QUALCOMM, Inc. | 2,831 | 203,917 | ||||||
Texas Instruments, Inc. | 549 | 58,902 | ||||||
|
| |||||||
721,249 | ||||||||
|
| |||||||
Software & Services — 11.1% | ||||||||
Accenture PLC, Class A (Ireland) | 2,782 | 473,496 | ||||||
Alliance Data Systems Corp. | 248 | 58,568 | ||||||
Automatic Data Processing, Inc. | 2,566 | 386,594 | ||||||
Broadridge Financial Solutions, Inc. | 693 | 91,441 | ||||||
CA, Inc. | 2,461 | 108,653 | ||||||
Citrix Systems, Inc.* | 806 | 89,595 | ||||||
DXC Technology Co. | 1,680 | 157,114 | ||||||
eBay, Inc.* | 3,429 | 113,226 | ||||||
Electronic Arts, Inc.* | 924 | 111,333 | ||||||
Fiserv, Inc.* | 868 | 71,506 | ||||||
FleetCor Technologies, Inc.* | 193 | 43,973 | ||||||
International Business Machines Corp. | 1,553 | 234,829 | ||||||
Intuit, Inc. | 1,540 | 350,196 | ||||||
Mastercard, Inc., Class A | 560 | 124,662 | ||||||
Microsoft Corp. | 2,480 | 283,638 | ||||||
Oracle Corp. | 7,437 | 383,452 | ||||||
Paychex, Inc. | 2,138 | 157,464 | ||||||
Total System Services, Inc. | 39 | 3,851 | ||||||
VeriSign, Inc.* | 28 | 4,483 | ||||||
Visa, Inc., Class A | 1,587 | 238,193 | ||||||
|
| |||||||
3,486,267 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 6.3% |
| |||||||
Amphenol Corp., Class A | 75 | 7,052 | ||||||
Apple, Inc. | 1,746 | 394,142 | ||||||
Cisco Systems, Inc. | 12,913 | 628,217 | ||||||
F5 Networks, Inc.* | 362 | 72,190 | ||||||
FLIR Systems, Inc. | 821 | 50,467 | ||||||
Hewlett Packard Enterprise Co. | 8,824 | 143,919 |
The accompanying notes are an integral part of the financial statements.
129
GOTHAM LARGE VALUE FUND
Portfolio of Investments (Concluded)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
HP, Inc. | 9,422 | $ | 242,805 | |||||
Motorola Solutions, Inc. | 35 | 4,555 | ||||||
NetApp, Inc. | 1,548 | 132,958 | ||||||
Seagate Technology PLC (Ireland) | 916 | 43,373 | ||||||
TE Connectivity Ltd. (Switzerland) | 2,075 | 182,455 | ||||||
Western Digital Corp. | 767 | 44,900 | ||||||
Xerox Corp. | 1,520 | 41,010 | ||||||
|
| |||||||
1,988,043 | ||||||||
|
| |||||||
Telecommunication Services — 1.5% |
| |||||||
CenturyLink, Inc. | 2,264 | 47,997 | ||||||
Verizon Communications, Inc. | 7,729 | 412,651 | ||||||
|
| |||||||
460,648 | ||||||||
|
| |||||||
Transportation — 4.7% | ||||||||
American Airlines Group, Inc. | 2,117 | 87,496 | ||||||
CSX Corp. | 4,227 | 313,009 | ||||||
Expeditors International of Washington, Inc. | 1,034 | 76,030 | ||||||
FedEx Corp. | 1,070 | 257,645 | ||||||
Norfolk Southern Corp. | 1,605 | 289,702 | ||||||
Union Pacific Corp. | 1,706 | 277,788 | ||||||
United Parcel Service, Inc., Class B | 1,448 | 169,054 | ||||||
|
| |||||||
1,470,724 | ||||||||
|
| |||||||
Utilities — 0.7% | ||||||||
FirstEnergy Corp. | 254 | 9,441 | ||||||
NRG Energy, Inc. | 1,807 | 67,582 | ||||||
Southern Co. (The) | 225 | 9,810 | ||||||
WEC Energy Group, Inc. | 1,879 | 125,442 | ||||||
|
| |||||||
212,275 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS - 99.5% |
| 31,161,742 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.5% | 156,455 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 31,318,197 | ||||||
|
|
* | Non-income producing. |
PLC Public Limited Company
REIT Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
130
GOTHAM TOTAL RETURN FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES(a) — 99.5% | ||||||||
Gotham Absolute 500 Fund | 439,279 | $ | 5,640,348 | |||||
Gotham Defensive Long 500 Fund | 615,586 | 8,482,777 | ||||||
Gotham Enhanced 500 Fund | 302,082 | 4,223,104 | ||||||
Gotham Index Plus Fund | 358,230 | 5,631,370 | ||||||
Gotham Neutral Fund* | 411,131 | 4,214,097 | ||||||
|
| |||||||
TOTAL AFFILIATED EQUITY | 28,191,696 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.5% | 135,983 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 28,327,679 | ||||||
|
|
(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.
131
GOTHAM MASTER NEUTRAL FUND
Portfolio of Investments
September 30, 2018
Number of Shares | Value | |||||||
LONG POSITIONS — 96.4% | ||||||||
COMMON STOCKS — 29.5% | ||||||||
Automobiles & Components — 1.3% |
| |||||||
Adient PLC (Ireland)† | 272 | $ | 10,692 | |||||
Aptiv PLC (Jersey)† | 16 | 1,342 | ||||||
BorgWarner, Inc.† | 232 | 9,925 | ||||||
Dana, Inc.† | 33 | 616 | ||||||
Delphi Technologies PLC (Jersey)† | 118 | 3,700 | ||||||
Fiat Chrysler Automobiles NV (Netherlands)†* | 277 | 4,850 | ||||||
Gentex Corp. | 56 | 1,202 | ||||||
Lear Corp.† | 73 | 10,585 | ||||||
Magna International, Inc. (Canada)† | 76 | 3,992 | ||||||
Thor Industries, Inc.† | 21 | 1,758 | ||||||
Visteon Corp.†* | 9 | 836 | ||||||
|
| |||||||
49,498 | ||||||||
|
| |||||||
Capital Goods — 5.6% | ||||||||
Allison Transmission Holdings, Inc.† | 240 | 12,482 | ||||||
AO Smith Corp.† | 70 | 3,736 | ||||||
Arconic, Inc.† | 114 | 2,509 | ||||||
Caterpillar, Inc.† | 53 | 8,082 | ||||||
Colfax Corp.†* | 55 | 1,983 | ||||||
Donaldson Co., Inc.† | 12 | 699 | ||||||
Dover Corp.† | 160 | 14,165 | ||||||
Emerson Electric Co.† | 187 | 14,320 | ||||||
Gardner Denver Holdings, Inc.†* | 567 | 16,069 | ||||||
Generac Holdings, Inc.†* | 195 | 11,000 | ||||||
Graco, Inc. | 1 | 46 | ||||||
GrafTech International Ltd.† | 535 | 10,438 | ||||||
Harris Corp.† | 2 | 338 | ||||||
HD Supply Holdings, Inc.†* | 55 | 2,353 | ||||||
Hillenbrand, Inc.† | 28 | 1,464 | ||||||
Ingersoll-Rand PLC (Ireland)† | 7 | 716 | ||||||
ITT, Inc.† | 116 | 7,106 | ||||||
John Bean Technologies Corp.† | 5 | 597 | ||||||
Johnson Controls International PLC (Ireland)† | 306 | 10,710 | ||||||
Kennametal, Inc.† | 269 | 11,718 | ||||||
KLX, Inc.†* | 83 | 5,211 | ||||||
Lincoln Electric Holdings, Inc.† | 31 | 2,897 | ||||||
MSC Industrial Direct Co., Inc., Class A† | 10 | 881 | ||||||
Navistar International Corp.†* | 149 | 5,737 | ||||||
Oshkosh Corp.† | 162 | 11,541 | ||||||
Parker-Hannifin Corp.† | 83 | 15,266 | ||||||
Pentair PLC (Ireland)† | 43 | 1,864 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
Regal Beloit Corp.† | 14 | $ | 1,154 | |||||
Rexnord Corp.†* | 13 | 400 | ||||||
Rockwell Automation, Inc.† | 40 | 7,501 | ||||||
Sensata Technologies Holding PLC (United Kingdom)†* | 51 | 2,527 | ||||||
Simpson Manufacturing Co., Inc.† | 56 | 4,058 | ||||||
Snap-on, Inc.† | 30 | 5,508 | ||||||
Teledyne Technologies, Inc.†* | 7 | 1,727 | ||||||
Timken Co. (The)† | 59 | 2,941 | ||||||
Toro Co. (The) | 17 | 1,019 | ||||||
TransDigm Group, Inc.†* | 3 | 1,117 | ||||||
United Rentals, Inc.†* | 69 | 11,288 | ||||||
WABCO Holdings, Inc.†* | 54 | 6,369 | ||||||
Wabtec Corp.† | 7 | 734 | ||||||
WESCO International, Inc.†* | 10 | 614 | ||||||
|
| |||||||
220,885 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.1% |
| |||||||
Brink’s Co. (The)† | 27 | 1,883 | ||||||
Copart, Inc.* | 5 | 258 | ||||||
Dun & Bradstreet Corp. (The)† | 62 | 8,836 | ||||||
ManpowerGroup, Inc.† | 174 | 14,957 | ||||||
Ritchie Bros Auctioneers, Inc. (Canada) | 8 | 289 | ||||||
Robert Half International, Inc.† | 117 | 8,234 | ||||||
Tetra Tech, Inc.† | 79 | 5,396 | ||||||
TriNet Group, Inc.†* | 66 | 3,717 | ||||||
|
| |||||||
43,570 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.2% |
| |||||||
Deckers Outdoor Corp.†* | 63 | 7,471 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 84 | 5,759 | ||||||
PVH Corp.† | 35 | 5,054 | ||||||
Ralph Lauren Corp.† | 86 | 11,829 | ||||||
Skechers U.S.A., Inc., Class A†* | 212 | 5,921 | ||||||
Tapestry, Inc.† | 91 | 4,575 | ||||||
Whirlpool Corp.† | 50 | 5,938 | ||||||
|
| |||||||
46,547 | ||||||||
|
| |||||||
Consumer Services — 1.0% | ||||||||
Choice Hotels International, Inc.† | 5 | 417 | ||||||
Eldorado Resorts, Inc.†* | 103 | 5,006 | ||||||
Grand Canyon Education, Inc.†* | 2 | 226 | ||||||
Hilton Worldwide Holdings, Inc. | 2 | 162 | ||||||
Hyatt Hotels Corp., Class A† | 18 | 1,433 |
The accompanying notes are an integral part of the financial statements.
132
GOTHAM MASTER NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
International Game Technology PLC (United Kingdom)† | 225 | $ | 4,444 | |||||
Las Vegas Sands Corp.† | 16 | 949 | ||||||
Laureate Education, Inc., Class A†* | 255 | 3,937 | ||||||
McDonald’s Corp.† | 18 | 3,011 | ||||||
Restaurant Brands International, Inc. (Canada) | 7 | 415 | ||||||
Stars Group, Inc. (The) (Canada)†* | 334 | 8,317 | ||||||
Weight Watchers International, Inc.†* | 169 | 12,166 | ||||||
|
| |||||||
40,483 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.2% | ||||||||
BJ’s Wholesale Club Holdings, Inc.* | 76 | 2,035 | ||||||
Kroger Co. (The)† | 577 | 16,796 | ||||||
Sysco Corp.† | 40 | 2,930 | ||||||
US Foods Holding Corp.†* | 39 | 1,202 | ||||||
Walgreens Boots Alliance, Inc.† | 152 | 11,081 | ||||||
Walmart, Inc.† | 144 | 13,523 | ||||||
|
| |||||||
47,567 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 1.5% |
| |||||||
Archer-Daniels-Midland Co.† | 348 | 17,494 | ||||||
Conagra Brands, Inc.† | 99 | 3,363 | ||||||
Flowers Foods, Inc.† | 92 | 1,717 | ||||||
General Mills, Inc. | 41 | 1,760 | ||||||
Ingredion, Inc.† | 67 | 7,032 | ||||||
Kellogg Co. | 15 | 1,050 | ||||||
Molson Coors Brewing Co., Class B† | 96 | 5,904 | ||||||
National Beverage Corp.* | 3 | 350 | ||||||
Philip Morris International, Inc.† | 136 | 11,089 | ||||||
Pilgrim’s Pride Corp.†* | 154 | 2,786 | ||||||
Tyson Foods, Inc., Class A† | 82 | 4,881 | ||||||
|
| |||||||
57,426 | ||||||||
|
| |||||||
Health Care Equipment & Services — 1.5% |
| |||||||
AmerisourceBergen Corp.† | 111 | 10,236 | ||||||
Avanos Medical, Inc.†* | 115 | 7,878 | ||||||
CVS Health Corp.† | 8 | 630 | ||||||
Encompass Health Corp.† | 41 | 3,196 | ||||||
Envision Healthcare Corp.†* | 270 | 12,347 | ||||||
Express Scripts Holding Co.†* | 85 | 8,076 | ||||||
Laboratory Corp. of America Holdings†* | 77 | 13,373 | ||||||
Masimo Corp.†* | 20 | 2,491 | ||||||
Tenet Healthcare Corp.†* | 24 | 683 | ||||||
|
| |||||||
58,910 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — 0.1% |
| |||||||
Energizer Holdings, Inc.† | 54 | $ | 3,167 | |||||
|
| |||||||
Media — 1.0% | ||||||||
AMC Networks, Inc., Class A†* | 59 | 3,914 | ||||||
CBS Corp., Class B, non-voting shares† | 83 | 4,768 | ||||||
Cinemark Holdings, Inc.† | 285 | 11,457 | ||||||
Discovery, Inc., Class A†* | 208 | 6,656 | ||||||
Interpublic Group of Cos., Inc. | 32 | 732 | ||||||
News Corp., Class A† | 138 | 1,820 | ||||||
Nexstar Media Group, Inc., Class A† | 22 | 1,791 | ||||||
Omnicom Group, Inc. | 4 | 272 | ||||||
Shaw Communications, Inc., Class B (Canada)† | 36 | 702 | ||||||
Tribune Media Co., Class A† | 114 | 4,381 | ||||||
Twenty-First Century Fox, Inc., | 61 | 2,826 | ||||||
Viacom, Inc., Class B† | 22 | 743 | ||||||
|
| |||||||
40,062 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 2.8% |
| |||||||
AbbVie, Inc.† | 187 | 17,686 | ||||||
Biogen, Inc.†* | 44 | 15,546 | ||||||
Eli Lilly & Co.† | 29 | 3,112 | ||||||
Exelixis, Inc.†* | 688 | 12,191 | ||||||
Jazz Pharmaceuticals PLC | 83 | 13,955 | ||||||
Ligand Pharmaceuticals, Inc.†* | 52 | 14,273 | ||||||
Myriad Genetics, Inc.†* | 91 | 4,186 | ||||||
Nektar Therapeutics†* | 295 | 17,983 | ||||||
QIAGEN NV (Netherlands)†* | 48 | 1,818 | ||||||
Regeneron Pharmaceuticals, Inc.†* | 20 | 8,081 | ||||||
Zoetis, Inc.† | 28 | 2,564 | ||||||
|
| |||||||
111,395 | ||||||||
|
| |||||||
Retailing — 2.8% | ||||||||
American Eagle Outfitters, Inc.† | 391 | 9,709 | ||||||
Best Buy Co., Inc.† | 25 | 1,984 | ||||||
Booking Holdings, Inc.†* | 6 | 11,904 | ||||||
Dick’s Sporting Goods, Inc.† | 276 | 9,792 | ||||||
Dollar General Corp.† | 21 | 2,295 | ||||||
Five Below, Inc.†* | 14 | 1,821 | ||||||
Foot Locker, Inc.† | 154 | 7,851 | ||||||
Gap, Inc. (The)† | 207 | 5,972 | ||||||
Kohl’s Corp.† | 256 | 19,085 | ||||||
Nordstrom, Inc.† | 71 | 4,247 | ||||||
O’Reilly Automotive, Inc.†* | 2 | 695 |
The accompanying notes are an integral part of the financial statements.
133
GOTHAM MASTER NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
Penske Automotive Group, Inc.† | 49 | $ | 2,322 | |||||
Qurate Retail, Inc.†* | 482 | 10,705 | ||||||
Ross Stores, Inc.† | 3 | 297 | ||||||
Signet Jewelers Ltd. (Bermuda)† | 62 | 4,088 | ||||||
Tractor Supply Co.† | 2 | 182 | ||||||
Urban Outfitters, Inc.†* | 286 | 11,697 | ||||||
Williams-Sonoma, Inc.† | 106 | 6,966 | ||||||
|
| |||||||
111,612 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.1% |
| |||||||
Advanced Micro Devices, Inc.†* | 585 | 18,071 | ||||||
Analog Devices, Inc.† | 128 | 11,835 | ||||||
Applied Materials, Inc.† | 289 | 11,170 | ||||||
Broadcom, Inc.† | 30 | 7,402 | ||||||
Entegris, Inc.† | 42 | 1,216 | ||||||
Integrated Device Technology, Inc.†* | 64 | 3,009 | ||||||
KLA-Tencor Corp.† | 106 | 10,781 | ||||||
Lam Research Corp.† | 98 | 14,867 | ||||||
Maxim Integrated Products, Inc.† | 135 | 7,613 | ||||||
Micron Technology, Inc.†* | 267 | 12,076 | ||||||
MKS Instruments, Inc.† | 158 | 12,664 | ||||||
Qorvo, Inc.†* | 55 | 4,229 | ||||||
Texas Instruments, Inc.† | 50 | 5,364 | ||||||
Versum Materials, Inc.† | 21 | 756 | ||||||
|
| |||||||
121,053 | ||||||||
|
| |||||||
Software & Services — 1.3% | ||||||||
Accenture PLC, Class A (Ireland)† | 10 | 1,702 | ||||||
ANGI Homeservices, Inc., Class A†* | 7 | 164 | ||||||
CACI International, Inc., Class A†* | 2 | 368 | ||||||
CDK Global, Inc.† | 113 | 7,069 | ||||||
Conduent, Inc.†* | 484 | 10,900 | ||||||
DXC Technology Co.† | 153 | 14,309 | ||||||
eBay, Inc.* | 33 | 1,090 | ||||||
Etsy, Inc.†* | 129 | 6,628 | ||||||
j2 Global, Inc.† | 22 | 1,823 | ||||||
Open Text Corp. (Canada) | 6 | 228 | ||||||
Stamps.com, Inc.†* | 25 | 5,655 | ||||||
Total System Services, Inc.† | 5 | 494 | ||||||
|
| |||||||
50,430 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 3.0% |
| |||||||
Apple, Inc.† | 22 | 4,966 | ||||||
Arista Networks, Inc.†* | 40 | 10,634 | ||||||
Avnet, Inc.† | 38 | 1,701 | ||||||
CDW Corp.† | 68 | 6,047 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Ciena Corp.†* | 302 | $ | 9,434 | |||||
CommScope Holding Co., Inc.†* | 160 | 4,922 | ||||||
EchoStar Corp., Class A†* | 92 | 4,266 | ||||||
FLIR Systems, Inc.† | 31 | 1,906 | ||||||
Hewlett Packard Enterprise Co.† | 433 | 7,062 | ||||||
HP, Inc.† | 74 | 1,907 | ||||||
IPG Photonics Corp.†* | 14 | 2,185 | ||||||
Jabil, Inc.† | 162 | 4,387 | ||||||
Lumentum Holdings, Inc.†* | 170 | 10,192 | ||||||
NetApp, Inc.† | 49 | 4,209 | ||||||
Seagate Technology PLC (Ireland)† | 288 | 13,637 | ||||||
TE Connectivity Ltd. (Switzerland)† | 86 | 7,562 | ||||||
Tech Data Corp.†* | 88 | 6,298 | ||||||
Ubiquiti Networks, Inc.† | 14 | 1,384 | ||||||
Vishay Intertechnology, Inc.† | 580 | 11,803 | ||||||
Western Digital Corp.† | 61 | 3,571 | ||||||
|
| |||||||
118,073 | ||||||||
|
| |||||||
Telecommunication Services — 0.4% |
| |||||||
CenturyLink, Inc.† | 47 | 996 | ||||||
Verizon Communications, Inc.† | 259 | 13,828 | ||||||
|
| |||||||
14,824 | ||||||||
|
| |||||||
Transportation — 0.6% | ||||||||
Expeditors International of Washington, Inc.† | 201 | 14,780 | ||||||
Schneider National, Inc., Class B† | 275 | 6,870 | ||||||
Union Pacific Corp.† | 2 | 326 | ||||||
|
| |||||||
21,976 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 1,157,478 | |||||||
|
| |||||||
AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES(a) — 61.8% |
| |||||||
Gotham Neutral 500 Fund | 126,474 | 1,478,482 | ||||||
Gotham Neutral Fund* | 92,168 | 944,722 | ||||||
|
| |||||||
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES (Cost $2,297,418) | 2,423,204 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
134
GOTHAM MASTER NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2018
Par Value | Value | |||||||
U.S. TREASURY OBLIGATIONS — 5.1% |
| |||||||
U.S. Treasury Bill — 5.1% | ||||||||
United States Treasury Bill 2.20% 04/25/2019†(b) | $ | 200,000 | $ | 197,319 | ||||
|
| |||||||
TOTAL U.S. TREASURY | 197,319 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 96.4% |
| 3,778,001 | ||||||
|
| |||||||
(Cost $3,568,518) | ||||||||
Number of Shares | ||||||||
SHORT POSITIONS — (29.6)% | ||||||||
COMMON STOCKS — (29.6)% | ||||||||
Automobiles & Components — (0.3)% |
| |||||||
Ford Motor Co. | (944 | ) | (8,732 | ) | ||||
General Motors Co. | (107 | ) | (3,603 | ) | ||||
|
| |||||||
(12,335 | ) | |||||||
|
| |||||||
Capital Goods — (4.1)% | ||||||||
Acuity Brands, Inc. | (23 | ) | (3,616 | ) | ||||
Allegion PLC (Ireland) | (30 | ) | (2,717 | ) | ||||
Axon Enterprise, Inc.* | (69 | ) | (4,722 | ) | ||||
Beacon Roofing Supply, Inc.* | (56 | ) | (2,027 | ) | ||||
BWX Technologies, Inc. | (226 | ) | (14,134 | ) | ||||
CAE, Inc. (Canada) | (70 | ) | (1,422 | ) | ||||
Crane Co. | (8 | ) | (787 | ) | ||||
Curtiss-Wright Corp. | (9 | ) | (1,237 | ) | ||||
Flowserve Corp. | (210 | ) | (11,485 | ) | ||||
Gates Industrial Corp. PLC (United Kingdom)* | (6 | ) | (117 | ) | ||||
General Dynamics Corp. | (79 | ) | (16,173 | ) | ||||
HEICO Corp. | (17 | ) | (1,574 | ) | ||||
Hubbell, Inc. | (2 | ) | (267 | ) | ||||
Huntington Ingalls Industries, Inc. | (1 | ) | (256 | ) | ||||
JELD-WEN Holding, Inc.* | (127 | ) | (3,132 | ) | ||||
Middleby Corp. (The)* | (83 | ) | (10,736 | ) | ||||
Northrop Grumman Corp. | (56 | ) | (17,773 | ) | ||||
Proto Labs, Inc.* | (61 | ) | (9,867 | ) | ||||
RBC Bearings, Inc.* | (9 | ) | (1,353 | ) | ||||
SiteOne Landscape Supply, Inc.* | (128 | ) | (9,644 | ) | ||||
Stanley Black & Decker, Inc. | (92 | ) | (13,472 | ) | ||||
Trex Co., Inc.* | (72 | ) | (5,543 | ) | ||||
USG Corp. | (398 | ) | (17,237 | ) | ||||
Watsco, Inc. | (14 | ) | (2,493 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Capital Goods — (Continued) | ||||||||
Welbilt, Inc.* | (12 | ) | $ | (251 | ) | |||
Woodward, Inc. | (99 | ) | (8,005 | ) | ||||
|
| |||||||
(160,040 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (2.0)% |
| |||||||
ADT, Inc. | (816 | ) | (7,662 | ) | ||||
ASGN, Inc.* | (18 | ) | (1,421 | ) | ||||
Cintas Corp. | (25 | ) | (4,945 | ) | ||||
Clean Harbors, Inc.* | (131 | ) | (9,377 | ) | ||||
Equifax, Inc. | (109 | ) | (14,232 | ) | ||||
Healthcare Services Group, Inc. | (29 | ) | (1,178 | ) | ||||
MSA Safety, Inc. | (7 | ) | (745 | ) | ||||
Nielsen Holdings PLC (United Kingdom) | (21 | ) | (581 | ) | ||||
Republic Services, Inc. | (7 | ) | (509 | ) | ||||
Rollins, Inc. | (195 | ) | (11,835 | ) | ||||
TransUnion | (65 | ) | (4,783 | ) | ||||
Verisk Analytics, Inc.* | (39 | ) | (4,701 | ) | ||||
Waste Connections, Inc. (Canada) | (190 | ) | (15,156 | ) | ||||
|
| |||||||
(77,125 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (0.9)% |
| |||||||
Canada Goose Holdings, Inc. (Canada)* | (225 | ) | (14,522 | ) | ||||
Gildan Activewear, Inc. (Canada) | (181 | ) | (5,508 | ) | ||||
Hasbro, Inc. | (7 | ) | (736 | ) | ||||
Leggett & Platt, Inc. | (172 | ) | (7,532 | ) | ||||
Newell Brands, Inc. | (176 | ) | (3,573 | ) | ||||
Polaris Industries, Inc. | (35 | ) | (3,533 | ) | ||||
|
| |||||||
(35,404 | ) | |||||||
|
| |||||||
Consumer Services — (2.8)% | ||||||||
Aramark. | (27 | ) | (1,162 | ) | ||||
Domino’s Pizza, Inc. | (3 | ) | (884 | ) | ||||
Dunkin’ Brands Group, Inc. | (77 | ) | (5,676 | ) | ||||
Marriott International, Inc., Class A | (71 | ) | (9,374 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (326 | ) | (18,722 | ) | ||||
Planet Fitness, Inc., Class A* | (31 | ) | (1,675 | ) | ||||
Red Rock Resorts, Inc., Class A | (309 | ) | (8,235 | ) | ||||
Royal Caribbean Cruises Ltd. (Liberia) | (149 | ) | (19,361 | ) | ||||
Service Corp. International | (83 | ) | (3,669 | ) | ||||
Six Flags Entertainment Corp. | (220 | ) | (15,360 | ) | ||||
Starbucks Corp. | (232 | ) | (13,187 | ) | ||||
Wynn Resorts Ltd. | (33 | ) | (4,193 | ) |
The accompanying notes are an integral part of the financial statements.
135
GOTHAM MASTER NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Yum! Brands, Inc. | (78 | ) | $ | (7,091 | ) | |||
|
| |||||||
(108,589 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.5)% |
| |||||||
Casey’s General Stores, Inc. | (40 | ) | (5,164 | ) | ||||
Costco Wholesale Corp. | (7 | ) | (1,644 | ) | ||||
Performance Food Group Co.* | (192 | ) | (6,394 | ) | ||||
Sprouts Farmers Market, Inc.* | (216 | ) | (5,921 | ) | ||||
|
| |||||||
(19,123 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (1.6)% |
| |||||||
Boston Beer Co., Inc. (The), Class A* | (42 | ) | (12,075 | ) | ||||
Bunge Ltd. (Bermuda) | (221 | ) | (15,185 | ) | ||||
Constellation Brands, Inc., Class A | (49 | ) | (10,565 | ) | ||||
Darling Ingredients, Inc.* | (25 | ) | (483 | ) | ||||
Hormel Foods Corp. | (372 | ) | (14,657 | ) | ||||
JM Smucker Co. (The) | (71 | ) | (7,285 | ) | ||||
Lancaster Colony Corp. | (26 | ) | (3,879 | ) | ||||
|
| |||||||
(64,129 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (3.7)% |
| |||||||
Abbott Laboratories | (197 | ) | (14,452 | ) | ||||
ABIOMED, Inc.* | (23 | ) | (10,344 | ) | ||||
Align Technology, Inc.* | (9 | ) | (3,521 | ) | ||||
Boston Scientific Corp.* | (260 | ) | (10,010 | ) | ||||
Cantel Medical Corp. | (4 | ) | (368 | ) | ||||
Cerner Corp.* | (167 | ) | (10,756 | ) | ||||
Edwards Lifesciences Corp.* | (83 | ) | (14,450 | ) | ||||
Globus Medical, Inc., Class A* | (149 | ) | (8,457 | ) | ||||
Haemonetics Corp.* | (126 | ) | (14,437 | ) | ||||
HCA Healthcare, Inc. | (6 | ) | (835 | ) | ||||
IDEXX Laboratories, Inc.* | (1 | ) | (250 | ) | ||||
Insulet Corp.* | (11 | ) | (1,165 | ) | ||||
Intuitive Surgical, Inc.* | (21 | ) | (12,054 | ) | ||||
LHC Group, Inc.* | (4 | ) | (412 | ) | ||||
Medidata Solutions, Inc.* | (183 | ) | (13,416 | ) | ||||
Merit Medical Systems, Inc.* | (8 | ) | (492 | ) | ||||
Neogen Corp.* | (84 | ) | (6,009 | ) | ||||
Stryker Corp. | (5 | ) | (888 | ) | ||||
Veeva Systems, Inc., Class A* | (74 | ) | (8,056 | ) | ||||
Zimmer Biomet Holdings, Inc. | (110 | ) | (14,462 | ) | ||||
|
| |||||||
(144,834 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.2)% |
| |||||||
Coty, Inc., Class A | (74 | ) | (929 | ) | ||||
Estee Lauder Cos., Inc. (The), Class A | (31 | ) | (4,505 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — (Continued) |
| |||||||
WD-40 Co. | (24 | ) | $ | (4,130 | ) | |||
|
| |||||||
(9,564 | ) | |||||||
|
| |||||||
Media — (0.5)% | ||||||||
Charter Communications, Inc., | (21 | ) | (6,843 | ) | ||||
Lions Gate Entertainment Corp., Class B (Canada) | (169 | ) | (3,938 | ) | ||||
Madison Square Garden Co. (The), Class A* | (10 | ) | (3,153 | ) | ||||
World Wrestling Entertainment, Inc., Class A | (65 | ) | (6,287 | ) | ||||
|
| |||||||
(20,221 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (2.2)% |
| |||||||
Agilent Technologies, Inc. | (63 | ) | (4,444 | ) | ||||
Allergan PLC (Ireland) | (11 | ) | (2,095 | ) | ||||
Bausch Health Cos, Inc. (Canada)* | (378 | ) | (9,703 | ) | ||||
Bio-Techne Corp. | (6 | ) | (1,225 | ) | ||||
Charles River Laboratories International, Inc.* | (111 | ) | (14,934 | ) | ||||
Emergent BioSolutions, Inc.* | (26 | ) | (1,712 | ) | ||||
Endo International PLC (Ireland)* | (214 | ) | (3,602 | ) | ||||
Gilead Sciences, Inc. | (20 | ) | (1,544 | ) | ||||
Ionis Pharmaceuticals, Inc.* | (369 | ) | (19,033 | ) | ||||
IQVIA Holdings, Inc.* | (36 | ) | (4,671 | ) | ||||
Mallinckrodt PLC (Ireland)* | (91 | ) | (2,667 | ) | ||||
Merck & Co., Inc. | (98 | ) | (6,952 | ) | ||||
Perrigo Co. PLC (Ireland) | (78 | ) | (5,522 | ) | ||||
Pfizer, Inc. | (146 | ) | (6,434 | ) | ||||
|
| |||||||
(84,538 | ) | |||||||
|
| |||||||
Retailing — (1.4)% | ||||||||
CarMax, Inc.* | (20 | ) | (1,493 | ) | ||||
Floor & Decor Holdings, Inc., | (42 | ) | (1,267 | ) | ||||
LKQ Corp.* | (499 | ) | (15,803 | ) | ||||
Ollie’s Bargain Outlet Holdings, Inc.* | (116 | ) | (11,148 | ) | ||||
Pool Corp. | (47 | ) | (7,843 | ) | ||||
Stitch Fix, Inc., Class A* | (145 | ) | (6,347 | ) | ||||
Tiffany & Co. | (81 | ) | (10,447 | ) | ||||
|
| |||||||
(54,348 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (1.0)% |
| |||||||
Marvell Technology Group Ltd. (Bermuda) | (813 | ) | (15,691 | ) | ||||
Microchip Technology, Inc. | (100 | ) | (7,891 | ) |
The accompanying notes are an integral part of the financial statements.
136
GOTHAM MASTER NEUTRAL FUND
Portfolio of Investments (Concluded)
September 30, 2018
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Semtech Corp.* | (92 | ) | $ | (5,115 | ) | |||
Silicon Laboratories, Inc.* | (33 | ) | (3,029 | ) | ||||
Teradyne, Inc. | (153 | ) | (5,658 | ) | ||||
|
| |||||||
(37,384 | ) | |||||||
|
| |||||||
Software & Services — (4.7)% | ||||||||
ACI Worldwide, Inc.* | (212 | ) | (5,966 | ) | ||||
Activision Blizzard, Inc. | (44 | ) | (3,660 | ) | ||||
ANSYS, Inc.* | (36 | ) | (6,720 | ) | ||||
Aspen Technology, Inc.* | (118 | ) | (13,441 | ) | ||||
Black Knight, Inc.* | (18 | ) | (935 | ) | ||||
Blackbaud, Inc. | (61 | ) | (6,190 | ) | ||||
Broadridge Financial Solutions, Inc. | (31 | ) | (4,090 | ) | ||||
Cargurus, Inc.* | (4 | ) | (223 | ) | ||||
Ellie Mae, Inc.* | (110 | ) | (10,425 | ) | ||||
Fair Isaac Corp.* | (23 | ) | (5,257 | ) | ||||
Fiserv, Inc.* | (49 | ) | (4,037 | ) | ||||
Fortinet, Inc.* | (3 | ) | (277 | ) | ||||
Global Payments, Inc. | (29 | ) | (3,695 | ) | ||||
GrubHub, Inc.* | (3 | ) | (416 | ) | ||||
Jack Henry & Associates, Inc. | (22 | ) | (3,522 | ) | ||||
Manhattan Associates, Inc.* | (193 | ) | (10,538 | ) | ||||
Nuance Communications, Inc.* | (732 | ) | (12,678 | ) | ||||
Pegasystems, Inc. | (81 | ) | (5,071 | ) | ||||
PTC, Inc.* | (36 | ) | (3,823 | ) | ||||
SS&C Technologies Holdings, Inc. | (229 | ) | (13,014 | ) | ||||
Synopsys, Inc.* | (75 | ) | (7,396 | ) | ||||
Teradata Corp.* | (228 | ) | (8,598 | ) | ||||
Trade Desk, Inc. (The)* | (76 | ) | (11,469 | ) | ||||
Tyler Technologies, Inc.* | (24 | ) | (5,881 | ) | ||||
Worldpay, Inc., Class A* | (141 | ) | (14,279 | ) | ||||
Yelp, Inc.* | (230 | ) | (11,316 | ) | ||||
Zynga, Inc., Class A* | (2,889 | ) | (11,585 | ) | ||||
|
| |||||||
(184,502 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (1.7)% |
| |||||||
ARRIS International PLC (United Kingdom)* | (324 | ) | (8,421 | ) | ||||
Arrow Electronics, Inc.* | (72 | ) | (5,308 | ) | ||||
Cognex Corp. | (204 | ) | (11,387 | ) | ||||
Coherent, Inc.* | (41 | ) | (7,060 | ) | ||||
Juniper Networks, Inc. | (170 | ) | (5,095 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
National Instruments Corp. | (99 | ) $ | (4,785 | ) | ||||
Universal Display Corp. | (115 | ) | (13,558 | ) | ||||
ViaSat, Inc.* | (196 | ) | (12,534 | ) | ||||
|
| |||||||
(68,148 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.7)% |
| |||||||
AT&T, Inc. | (13 | ) | (437 | ) | ||||
Sprint Corp.* | (2,193 | ) | (14,342 | ) | ||||
Vonage Holdings Corp.* | (605 | ) | (8,567 | ) | ||||
Zayo Group Holdings, Inc.* | (178 | ) | (6,180 | ) | ||||
|
| |||||||
(29,526 | ) | |||||||
|
| |||||||
Transportation — (1.3)% | ||||||||
Canadian National Railway Co. (Canada) | (145 | ) | (13,021 | ) | ||||
Canadian Pacific Railway Ltd. (Canada) | (54 | ) | (11,445 | ) | ||||
Kansas City Southern | (31 | ) | (3,512 | ) | ||||
Kirby Corp.* | (114 | ) | (9,376 | ) | ||||
Ryder System, Inc. | (167 | ) | (12,203 | ) | ||||
|
| |||||||
(49,557 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $1,112,999) | (1,159,367 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (29.6)% |
| (1,159,367 | ) | |||||
|
| |||||||
(Proceeds $1,112,999) |
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 33.2% | 1,302,356 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 3,920,990 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
(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.
137
GOTHAM FUNDS
Statements of Assets and Liabilities
September 30, 2018
Gotham Absolute 500 Fund | Gotham Absolute 500 Core Fund | Gotham Enhanced 500 Fund | |||||||||||||
Assets | |||||||||||||||
Non-affiliated investments, at value1,2,3 | $ | 20,993,507 | $ | 2,818,862 | $ | 61,908,261 | |||||||||
Cash | 599,293 | 496,959 | 706,966 | ||||||||||||
Deposits with brokers for securities sold short | 6,132,065 | 520,934 | 2,592,182 | ||||||||||||
Receivables: | |||||||||||||||
Investments sold | 525,121 | 63,399 | 1,506,450 | ||||||||||||
Capital shares sold | — | — | 202 | ||||||||||||
Dividends and interest | 26,074 | 3,784 | 76,178 | ||||||||||||
Investment Adviser | — | 6,848 | — | ||||||||||||
Prepaid expenses and other assets | 45,481 | 2,013 | 27,872 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total assets | 28,321,541 | 3,912,799 | 66,818,111 | ||||||||||||
|
|
|
|
|
| ||||||||||
Liabilities | |||||||||||||||
Securities sold short, at value4 | 12,155,037 | 1,281,484 | 28,780,298 | ||||||||||||
Payables: | |||||||||||||||
Securities lending cash collateral | 802,058 | — | 2,566,989 | ||||||||||||
Investments purchased | 564,759 | 60,854 | 1,910,494 | ||||||||||||
Dividends and fees on securities sold short | 10,363 | 1,103 | 35,845 | ||||||||||||
Investment Adviser | 6,207 | — | 27,581 | ||||||||||||
Administration and accounting fees | 15,789 | 15,812 | 15,882 | ||||||||||||
Accrued expenses | 36,303 | 31,552 | 43,862 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total liabilities | 13,590,516 | 1,390,805 | 33,380,951 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 14,731,025 | $ | 2,521,994 | $ | 33,437,160 | |||||||||
|
|
|
|
|
| ||||||||||
Net Assets Consisted of: | |||||||||||||||
Capital stock, $0.01 par value | $ | 11,470 | $ | 2,025 | $ | 23,923 | |||||||||
Paid-in capital | 11,654,958 | 2,014,150 | 24,360,205 | ||||||||||||
Accumulated net investment income | 41,750 | 5,478 | 150,674 | ||||||||||||
Accumulated net realized gain from investments and securities sold short | 694,160 | 189,448 | 2,437,246 | ||||||||||||
Net unrealized appreciation/(depreciation) on investments and securities sold short | 2,328,687 | 310,893 | 6,465,112 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 14,731,025 | $ | 2,521,994 | $ | 33,437,160 | |||||||||
|
|
|
|
|
| ||||||||||
Institutional Class Shares: | |||||||||||||||
Net assets | $ | 14,731,025 | $ | 2,521,994 | $ | 33,437,160 | |||||||||
|
|
|
|
|
| ||||||||||
Shares Outstanding | 1,147,030 | 202,466 | 2,392,320 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, offering and redemption price per share | $ | 12.84 | $ | 12.46 | $ | 13.98 | |||||||||
|
|
|
|
|
| ||||||||||
1 Non-affiliated investments, at cost | $ | 18,909,732 | $ | 2,527,696 | $ | 55,978,562 | |||||||||
2 Includes market value of securities on loan | $ | 786,855 | $ | 37,000 | $ | 2,521,058 | |||||||||
3 Includes market value of securities designated as collateral for securities on loan | $ | 1,456,497 | $ | — | $ | 3,931,371 | |||||||||
4 Proceeds received, securities sold short | $ | 12,399,949 | $ | 1,301,211 | $ | 29,315,711 |
The accompanying notes are an integral part of the financial statements.
138
GOTHAM FUNDS
Statements of Assets and Liabilities (Continued)
September 30, 2018
Gotham Enhanced 500 Core Fund | Gotham Neutral 500 Fund | Gotham Hedged Plus Fund | |||||||||||||
Assets | |||||||||||||||
Non-affiliated investments, at value1,2 | $ | 4,020,507 | $ | 7,490,992 | $ | 3,952,800 | |||||||||
Cash | 5,158 | 538,426 | 396,732 | ||||||||||||
Deposits with brokers for securities sold short | 44,182 | 4,076,054 | 670,047 | ||||||||||||
Securities lending cash collateral | 1,605 | — | 1,903 | ||||||||||||
Receivables: | |||||||||||||||
Investments sold | 69,534 | 191,355 | 72,449 | ||||||||||||
Dividends and interest | 5,090 | 9,432 | 4,271 | ||||||||||||
Investment Adviser | 8,210 | 5,855 | 7,111 | ||||||||||||
Prepaid expenses and other assets | 2,231 | 718 | 29,918 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total assets | 4,156,517 | 12,312,832 | 5,135,231 | ||||||||||||
|
|
|
|
|
| ||||||||||
Liabilities | |||||||||||||||
Securities sold short, at value3 | 1,157,569 | 5,944,036 | 2,341,195 | ||||||||||||
Payables: | |||||||||||||||
Securities lending cash collateral | 1,605 | — | 1,903 | ||||||||||||
Investments purchased | 69,397 | 168,542 | 68,493 | ||||||||||||
Dividends and fees on securities sold short | 1,392 | 3,885 | 2,239 | ||||||||||||
Administration and accounting fees | 15,960 | 17,173 | 16,673 | ||||||||||||
Accrued expenses | 29,476 | 29,823 | 39,294 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total liabilities | 1,275,399 | 6,163,459 | 2,469,797 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 2,881,118 | $ | 6,149,373 | $ | 2,665,434 | |||||||||
|
|
|
|
|
| ||||||||||
Net Assets Consisted of: | |||||||||||||||
Capital stock, $0.01 par value | $ | 2,059 | $ | 5,262 | $ | 2,072 | |||||||||
Paid-in capital | 2,056,528 | 5,579,373 | 2,035,679 | ||||||||||||
Accumulated net investment income | 25,689 | 4,395 | 13,994 | ||||||||||||
Accumulated net realized gain/(loss) from investments and securities sold short | 371,736 | (223,962 | ) | 145,332 | |||||||||||
Net unrealized appreciation/(depreciation) on investments and securities sold short | 425,106 | 784,305 | 468,357 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 2,881,118 | $ | 6,149,373 | $ | 2,665,434 | |||||||||
|
|
|
|
|
| ||||||||||
Institutional Class Shares: | |||||||||||||||
Net assets | $ | 2,881,118 | $ | 6,149,373 | $ | 2,665,434 | |||||||||
|
|
|
|
|
| ||||||||||
Shares Outstanding | 205,913 | 526,189 | 207,172 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, offering and redemption price per share | $ | 13.99 | $ | 11.69 | $ | 12.87 | |||||||||
|
|
|
|
|
| ||||||||||
1 Non-affiliated investments, at cost | $ | 3,612,154 | $ | 6,802,203 | $ | 3,508,878 | |||||||||
2 Includes market value of securities on loan | $ | 57,558 | $ | 38,028 | $ | 1,852 | |||||||||
3 Proceeds received, securities sold short | $ | 1,174,322 | $ | 6,039,552 | $ | 2,365,630 |
The accompanying notes are an integral part of the financial statements.
139
GOTHAM FUNDS
Statements of Assets and Liabilities (Continued)
September 30, 2018
Gotham Hedged Core Fund | Gotham Defensive Long Fund | Gotham Defensive Long 500 Fund | |||||||||||||
Assets | |||||||||||||||
Non-affiliated investments, at value1,2 | $ | 2,486,655 | $ | 4,195,431 | $ | 20,343,874 | |||||||||
Cash | 368,437 | 25,350 | 217,794 | ||||||||||||
Deposits with brokers for securities sold short | 672,050 | 54,142 | 42,738 | ||||||||||||
Securities lending cash collateral | 1,817 | 12,856 | — | ||||||||||||
Receivables: | |||||||||||||||
Investments sold | 38,472 | 91,399 | 515,786 | ||||||||||||
Dividends and interest | 2,651 | 5,251 | 28,914 | ||||||||||||
Investment Adviser | 8,071 | 7,477 | — | ||||||||||||
Prepaid expenses and other assets | 845 | 911 | 960 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total assets | 3,578,998 | 4,392,817 | 21,150,066 | ||||||||||||
|
|
|
|
|
| ||||||||||
Liabilities | |||||||||||||||
Securities sold short, at value3 | 922,716 | 1,806,523 | 9,381,553 | ||||||||||||
Payables: | |||||||||||||||
Securities lending cash collateral | 1,817 | 12,856 | — | ||||||||||||
Investments purchased | 37,367 | 93,623 | 671,984 | ||||||||||||
Dividends and fees on securities sold short | 645 | 1,263 | 10,336 | ||||||||||||
Investment Adviser | — | — | 3,242 | ||||||||||||
Administration and accounting fees | 21,484 | 32,223 | 18,853 | ||||||||||||
Accrued expenses | 34,076 | 39,879 | 32,713 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total liabilities | 1,018,105 | 1,986,367 | 10,118,681 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 2,560,893 | $ | 2,406,450 | $ | 11,031,385 | |||||||||
|
|
|
|
|
| ||||||||||
Net Assets Consisted of: | |||||||||||||||
Capital stock, $0.01 par value | $ | 2,031 | $ | 2,043 | $ | 8,004 | |||||||||
Paid-in capital | 2,021,996 | 2,027,410 | 8,629,938 | ||||||||||||
Accumulated net investment income/(loss) | 13,626 | (6,313 | ) | 60,536 | |||||||||||
Accumulated net realized gain/(loss) from investments and securities sold short | 217,213 | (158,038 | ) | 339,905 | |||||||||||
Net unrealized appreciation/(depreciation) on investments and securities sold short | 306,027 | 541,348 | 1,993,002 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 2,560,893 | $ | 2,406,450 | $ | 11,031,385 | |||||||||
|
|
|
|
|
| ||||||||||
Institutional Class Shares: | |||||||||||||||
Net assets | $ | 2,560,893 | $ | 2,406,450 | $ | 11,031,385 | |||||||||
|
|
|
|
|
| ||||||||||
Shares Outstanding | 203,111 | 204,254 | 800,407 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, offering and redemption price per share | $ | 12.61 | $ | 11.78 | $ | 13.78 | |||||||||
|
|
|
|
|
| ||||||||||
1 Non-affiliated investments, at cost | $ | 2,193,051 | $ | 3,708,344 | $ | 18,550,277 | |||||||||
2 Includes market value of securities on loan | $ | 32,787 | $ | 135,847 | $ | 246,777 | |||||||||
3 Proceeds received, securities sold short | $ | 935,139 | $ | 1,860,784 | $ | 9,580,958 |
The accompanying notes are an integral part of the financial statements.
140
GOTHAM FUNDS
Statements of Assets and Liabilities (Continued)
September 30, 2018
Gotham Short Strategies Fund | Gotham Large Value Fund | |||||||||
Assets | ||||||||||
Non-affiliated investments, at value1,2 | $ | 1,541,910 | $ | 31,161,742 | ||||||
Cash | 123,113 | 4,143,736 | ||||||||
Receivables: | ||||||||||
Investments sold | 114,880 | 6,571,057 | ||||||||
Dividends and interest | 1,170 | 19,616 | ||||||||
Investment Adviser | 4,336 | — | ||||||||
Prepaid expenses and other assets | 39,020 | 34,338 | ||||||||
|
|
|
| |||||||
Total assets | 1,824,429 | 41,930,489 | ||||||||
|
|
|
| |||||||
Liabilities | ||||||||||
Swaps, at value | 128,551 | (a) | — | |||||||
Due to broker | 1,499 | — | ||||||||
Payables: | ||||||||||
Investments purchased | 52,117 | 10,562,557 | ||||||||
Investment Adviser | — | 234 | ||||||||
Administration and accounting fees | 4,958 | 11,523 | ||||||||
Accrued expenses | 45,863 | 37,978 | ||||||||
|
|
|
| |||||||
Total liabilities | 232,988 | 10,612,292 | ||||||||
|
|
|
| |||||||
Net Assets | $ | 1,591,441 | $ | 31,318,197 | ||||||
|
|
|
| |||||||
Net Assets Consisted of: | ||||||||||
Capital stock, $0.01 par value | $ | 1,758 | $ | 24,055 | ||||||
Paid-in capital | 1,871,657 | 30,348,040 | ||||||||
Accumulated net investment income | — | 34,966 | ||||||||
Accumulated net realized gain/(loss) from investments and swaps | (137,257 | ) | 308,532 | |||||||
Net unrealized appreciation/(depreciation) on investments and swaps | (144,717 | ) | 602,604 | |||||||
|
|
|
| |||||||
Net Assets | $ | 1,591,441 | $ | 31,318,197 | ||||||
|
|
|
| |||||||
Institutional Class Shares: | ||||||||||
Net assets | $ | 1,591,441 | $ | 31,318,197 | ||||||
|
|
|
| |||||||
Shares Outstanding | 175,839 | 2,405,483 | ||||||||
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 9.05 | $ | 13.02 | ||||||
|
|
|
| |||||||
1 Non-affiliated investments, at cost | $ | 1,558,076 | $ | 30,559,138 | ||||||
2 Includes market value of securities designated as collateral for swaps | $ | 1,209,115 | $ | — |
(a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
141
GOTHAM FUNDS
Statements of Assets and Liabilities (Concluded)
September 30, 2018
Gotham Total Return Fund | Gotham Master Neutral Fund | |||||||||
Assets | ||||||||||
Non-affiliated investments, at value1 | $ | — | $ | 1,354,797 | ||||||
Affiliated investments, at value2 | 28,191,696 | 2,423,204 | ||||||||
Cash | — | 422,368 | ||||||||
Deposits with brokers for securities sold short | — | 912,032 | ||||||||
Receivables: | ||||||||||
Investments sold | — | 72,422 | ||||||||
Capital shares sold | 534,364 | — | ||||||||
Dividends and interest | — | 686 | ||||||||
Investment Adviser | 11,496 | 13,908 | ||||||||
Prepaid expenses and other assets | 32,918 | 178 | ||||||||
|
|
|
| |||||||
Total assets | 28,770,474 | 5,199,595 | ||||||||
|
|
|
| |||||||
Liabilities | ||||||||||
Securities sold short, at value3 | — | 1,159,367 | ||||||||
Due to custodian | 404,877 | — | ||||||||
Payables: | ||||||||||
Investments purchased | — | 71,018 | ||||||||
Administration and accounting fees | 9,906 | 5,874 | ||||||||
Distribution fees | 400 | — | ||||||||
Accrued expenses | 27,612 | 42,346 | ||||||||
|
|
|
| |||||||
Total liabilities | 442,795 | 1,278,605 | ||||||||
|
|
|
| |||||||
Net Assets | $ | 28,327,679 | $ | 3,920,990 | ||||||
|
|
|
| |||||||
Net Assets Consisted of: | ||||||||||
Capital stock, $0.01 par value | $ | 21,173 | $ | 3,839 | ||||||
Paid-in capital | 23,230,220 | 3,834,235 | ||||||||
Accumulated net investment income | 77 | 807 | ||||||||
Accumulated net realized gain/(loss) from investments and securities sold short | 303,371 | (81,006 | ) | |||||||
Net unrealized appreciation/(depreciation) on investments and securities sold short | 4,772,838 | 163,115 | ||||||||
|
|
|
| |||||||
Net Assets | $ | 28,327,679 | $ | 3,920,990 | ||||||
|
|
|
| |||||||
Institutional Class Shares: | ||||||||||
Net assets | $ | 26,217,587 | $ | 3,920,990 | ||||||
|
|
|
| |||||||
Shares Outstanding | 1,959,312 | 383,916 | ||||||||
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 13.38 | $ | 10.21 | ||||||
|
|
|
| |||||||
Investor Class Shares: | ||||||||||
Net assets | $ | 2,110,092 | N/A | |||||||
|
|
|
| |||||||
Shares Outstanding | 158,007 | N/A | ||||||||
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 13.35 | N/A | |||||||
|
|
|
| |||||||
1 Non-affiliated investments, at cost | $ | — | $ | 1,271,100 | ||||||
2 Affiliated investments, at cost | $ | 23,418,858 | $ | 2,297,418 | ||||||
3 Proceeds received, securities sold short | $ | — | $ | 1,112,999 |
The accompanying notes are an integral part of the financial statements.
142
GOTHAM FUNDS
Statements of Operations
For the Year Ended September 30, 2018
Gotham Absolute 500 Fund | Gotham Absolute 500 Core Fund | Gotham Enhanced 500 Fund | |||||||||||||
Investment Income | |||||||||||||||
Dividend income | $ | 405,257 | $ | 58,617 | $ | 1,175,227 | |||||||||
Less: taxes withheld | (213 | ) | — | — | |||||||||||
Interest | — | 1,358 | 2,797 | ||||||||||||
Income from securities loaned (Note 5) | 16 | 48 | 36 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total investment income | 405,060 | 60,023 | 1,178,060 | ||||||||||||
|
|
|
|
|
| ||||||||||
Expenses | |||||||||||||||
Advisory fees (Note 2) | 176,575 | 23,936 | 393,676 | ||||||||||||
Administration and accounting fees (Note 2) | 16,033 | 24,234 | 30,062 | ||||||||||||
Dividends and fees on securities sold short | 145,693 | 18,476 | 554,220 | ||||||||||||
Fees on cash collateral (Note 5) | 19,244 | — | 60,099 | ||||||||||||
Transfer agent fees (Note 2) | 11,552 | 6,237 | 16,761 | ||||||||||||
Custodian fees (Note 2) | 981 | 179 | 2,187 | ||||||||||||
Trustees’ and officers’ fees (Note 2) | 3,526 | 689 | 3,278 | ||||||||||||
Printing and shareholder reporting fees | 6,000 | 5,007 | 6,812 | ||||||||||||
Registration and filing fees | 3,627 | 28 | 4,330 | ||||||||||||
Legal fees | 1,225 | 27 | 958 | ||||||||||||
Audit fees | 30,596 | 21,673 | 26,745 | ||||||||||||
Other expenses | 4,501 | 2,465 | 6,022 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total expenses before waivers and reimbursements | 419,553 | 102,951 | 1,105,150 | ||||||||||||
|
|
|
|
|
| ||||||||||
Recoupments and/or waivers, reimbursements (Note 2) | (58,359 | ) | (56,851 | ) | (53,311 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net expenses after waivers and reimbursements | 361,194 | 46,100 | 1,051,839 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net investment income | 43,866 | 13,923 | 126,221 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain/(loss) from investments: | |||||||||||||||
Net realized gain from non-affiliated investments | 2,631,315 | 402,998 | 6,656,879 | ||||||||||||
Net realized loss from securities sold short | (1,549,084 | ) | (175,640 | ) | (3,411,087 | ) | |||||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | 286,149 | 2,851 | 1,538,631 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on securities sold short | 275,598 | 39,262 | 756,361 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain on investments | 1,643,978 | 269,471 | 5,540,784 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net increase in net assets resulting from operations | $ | 1,687,844 | $ | 283,394 | $ | 5,667,005 | |||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
143
GOTHAM FUNDS
Statements of Operations (Continued)
For the Year Ended September 30, 2018
Gotham Enhanced 500 Core Fund | Gotham Neutral 500 Fund | Gotham Hedged Plus Fund | |||||||||||||
Investment Income | |||||||||||||||
Dividend income | $ | 81,621 | $ | 140,559 | $ | 79,851 | |||||||||
Interest | 78 | 1,155 | 681 | ||||||||||||
Income from securities loaned (Note 5) | 90 | 48 | 65 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total investment income | 81,789 | 141,762 | 80,597 | ||||||||||||
|
|
|
|
|
| ||||||||||
Expenses | |||||||||||||||
Advisory fees (Note 2) | 26,559 | 71,359 | 25,205 | ||||||||||||
Administration and accounting fees (Note 2) | 23,031 | 27,157 | 25,775 | ||||||||||||
Dividends and fees on securities sold short | 25,356 | 48,879 | 39,425 | ||||||||||||
Transfer agent fees (Note 2) | 5,984 | 6,162 | 6,109 | ||||||||||||
Custodian fees (Note 2) | 199 | 397 | 189 | ||||||||||||
Trustees’ and officers’ fees (Note 2) | 564 | 840 | 536 | ||||||||||||
Printing and shareholder reporting fees | 5,106 | 5,045 | 6,532 | ||||||||||||
Registration and filing fees | 108 | 297 | 4,163 | ||||||||||||
Legal fees | 1,691 | 720 | 802 | ||||||||||||
Audit fees | 21,630 | 18,957 | 26,900 | ||||||||||||
Other expenses | 2,305 | 2,200 | 4,720 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total expenses before waivers and reimbursements | 112,533 | 182,013 | 140,356 | ||||||||||||
|
|
|
|
|
| ||||||||||
Recoupments and/or waivers, reimbursements (Note 2) | (56,635 | ) | (53,846 | ) | (71,946 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net expenses after waivers and reimbursements | 55,898 | 128,167 | 68,410 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net investment income | 25,891 | 13,595 | 12,187 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain/(loss) from investments: | |||||||||||||||
Net realized gain from non-affiliated investments | 530,498 | 596,392 | 477,504 | ||||||||||||
Net realized loss from securities sold short | (132,019 | ) | (712,889 | ) | (276,224 | ) | |||||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | 32,821 | 311,909 | 97,913 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on securities sold short | 20,179 | 186,143 | 34,558 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain on investments | 451,479 | 381,555 | 333,751 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net increase in net assets resulting from operations | $ | 477,370 | $ | 395,150 | $ | 345,938 | |||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
144
GOTHAM FUNDS
Statements of Operations (Continued)
For the Year Ended September 30, 2018
Gotham Hedged Core Fund | Gotham Defensive Long Fund | Gotham Defensive Long 500 Fund | |||||||||||||
Investment Income | |||||||||||||||
Dividend income | $ | 49,419 | $ | 74,062 | $ | 396,869 | |||||||||
Less: taxes withheld | — | (223 | ) | — | |||||||||||
Interest | 745 | 56 | 164 | ||||||||||||
Income from securities loaned (Note 5) | 51 | 546 | 320 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total investment income | 50,215 | 74,441 | 397,353 | ||||||||||||
|
|
|
|
|
| ||||||||||
Expenses | |||||||||||||||
Advisory fees (Note 2) | 16,994 | 46,246 | 126,723 | ||||||||||||
Administration and accounting fees (Note 2) | 31,182 | 58,326 | 27,827 | ||||||||||||
Dividends and fees on securities sold short | 7,458 | 34,117 | 188,453 | ||||||||||||
Transfer agent fees (Note 2) | 7,007 | 4,920 | 6,163 | ||||||||||||
Custodian fees (Note 2) | 182 | 174 | 704 | ||||||||||||
Trustees’ and officers’ fees (Note 2) | 536 | 722 | 1,843 | ||||||||||||
Printing and shareholder reporting fees | 5,330 | 7,340 | 5,028 | ||||||||||||
Registration and filing fees | 239 | 297 | 297 | ||||||||||||
Legal fees | 300 | 300 | 720 | ||||||||||||
Audit fees | 21,981 | 31,555 | 22,754 | ||||||||||||
Other expenses | 2,326 | 1,701 | 2,811 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total expenses before waivers and reimbursements | 93,535 | 185,698 | 383,323 | ||||||||||||
|
|
|
|
|
| ||||||||||
Recoupments and/or waivers, reimbursements (Note 2) | (65,442 | ) | (101,867 | ) | (54,068 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net expenses after waivers and reimbursements | 28,093 | 83,831 | 329,255 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net investment income/(loss) | 22,122 | (9,390 | ) | 68,098 | |||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain/(loss) from investments: | |||||||||||||||
Net realized gain from non-affiliated investments | 375,322 | 410,380 | 1,736,223 | ||||||||||||
Net realized loss from securities sold short | (121,021 | ) | (422,314 | ) | (1,221,392 | ) | |||||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | (1,592 | ) | 177,040 | 689,161 | |||||||||||
Net change in unrealized appreciation/(depreciation) on securities sold short | 18,930 | 76,824 | 324,006 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain on investments | 271,639 | 241,930 | 1,527,998 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net increase in net assets resulting from operations | $ | 293,761 | $ | 232,540 | $ | 1,596,096 | |||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
145
GOTHAM FUNDS
Statements of Operations (Continued)
For the Year Ended September 30, 2018
Gotham Short Strategies Fund | Gotham Large Value Fund | |||||||||
Investment Income | ||||||||||
Dividend income | $ | 85,322 | $ | 82,548 | ||||||
Less: taxes withheld | (456 | ) | — | |||||||
Interest | 1,032 | 149 | ||||||||
|
|
|
| |||||||
Total investment income | 85,898 | 82,697 | ||||||||
|
|
|
| |||||||
Expenses | ||||||||||
Advisory fees (Note 2) | 109,960 | 32,371 | ||||||||
Administration and accounting fees (Note 2) | 30,906 | 14,812 | ||||||||
Transfer agent fees (Note 2) | 5,340 | 7,618 | ||||||||
Custodian fees (Note 2) | 4,611 | 311 | ||||||||
Trustees’ and officers’ fees (Note 2) | 1,958 | 636 | ||||||||
Printing and shareholder reporting fees | 7,930 | 5,988 | ||||||||
Registration and filing fees | 3,699 | — | ||||||||
Legal fees | 2,911 | 199 | ||||||||
Audit fees | 31,897 | 24,946 | ||||||||
Other expenses | 3,830 | 3,668 | ||||||||
|
|
|
| |||||||
Total expenses before waivers and reimbursements | 203,042 | 90,549 | ||||||||
|
|
|
| |||||||
Recoupments and/or waivers, reimbursements (Note 2) | (93,082 | ) | (54,224 | ) | ||||||
|
|
|
| |||||||
Net expenses after waivers and reimbursements | 109,960 | 36,325 | ||||||||
|
|
|
| |||||||
Net investment income/(loss) | (24,062 | ) | 46,372 | |||||||
|
|
|
| |||||||
Net realized and unrealized gain/(loss) from investments: | ||||||||||
Net realized gain from non-affiliated investments | 1,626,624 | 333,656 | ||||||||
Net realized loss on swaps | (1,637,778 | )(a) | — | |||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | (656,884 | ) | 348,120 | |||||||
Net change in unrealized appreciation/(depreciation) on swaps | 303,964 | (a) | — | |||||||
|
|
|
| |||||||
Net realized and unrealized gain/(loss) on investments | (364,074 | ) | 681,776 | |||||||
|
|
|
| |||||||
Net increase/(decrease) in net assets resulting from operations | $ | (388,136 | ) | $ | 728,148 | |||||
|
|
|
|
(a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
146
GOTHAM FUNDS
Statements of Operations (Concluded)
For the Year Ended September 30, 2018
Gotham Total Return Fund | Gotham Master Neutral Fund | |||||||||
Investment Income | ||||||||||
Dividends from non-affiliated securities | $ | — | $ | 16,724 | ||||||
Dividends from affiliated securities | 58,974 | 1,249 | ||||||||
Less: taxes withheld | — | (64 | ) | |||||||
Interest | 1,297 | 4,365 | ||||||||
|
|
|
| |||||||
Total investment income | 60,271 | 22,274 | ||||||||
|
|
|
| |||||||
Expenses | ||||||||||
Advisory fees (Note 2) | — | 11,704 | ||||||||
Administration and accounting fees (Note 2) | 41,002 | 50,978 | ||||||||
Dividends and fees on securities sold short | — | 844 | ||||||||
Distribution fees (Investor Class) (Note 2) | 3,147 | — | ||||||||
Transfer agent fees (Note 2) | 25,965 | 8,395 | ||||||||
Custodian fees (Note 2) | 5,751 | 5,216 | ||||||||
Trustees’ and officers’ fees (Note 2) | 3,538 | 4,396 | ||||||||
Printing and shareholder reporting fees | 7,050 | 8,236 | ||||||||
Registration and filing fees | — | 3,205 | ||||||||
Legal fees | 14,888 | 2,512 | ||||||||
Audit fees | 16,964 | 19,226 | ||||||||
Other expenses | 4,828 | 5,711 | ||||||||
|
|
|
| |||||||
Total expenses before waivers and reimbursements | 123,133 | 120,423 | ||||||||
|
|
|
| |||||||
Recoupments and/or waivers, reimbursements (Note 2) | (119,987 | ) | (109,196 | ) | ||||||
|
|
|
| |||||||
Net expenses after waivers and reimbursements | 3,146 | 11,227 | ||||||||
|
|
|
| |||||||
Net investment income | 57,125 | 11,047 | ||||||||
|
|
|
| |||||||
Net realized and unrealized gain/(loss) from investments: | ||||||||||
Net realized gain from non-affiliated investments | — | 95,867 | ||||||||
Net realized gain from affiliated investments | 52,485 | 12,873 | ||||||||
Net realized loss from securities sold short | — | (167,706 | ) | |||||||
Capital gain distributions from affiliated investments | 255,261 | 6,305 | ||||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | — | 59,091 | ||||||||
Net change in unrealized appreciation/(depreciation) on affiliated investments | 2,966,010 | 113,471 | ||||||||
Net change in unrealized appreciation/(depreciation) on securities sold short | — | (12,412 | ) | |||||||
|
|
|
| |||||||
Net realized and unrealized gain on investments | 3,273,756 | 107,489 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | $ | 3,330,881 | $ | 118,536 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
147
GOTHAM FUNDS
Statements of Changes in Net Assets
Gotham Absolute 500 Fund | Gotham Absolute 500 Core Fund | |||||||||||||||||||
For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | |||||||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||||||
Net investment income/(loss) | $ | 43,866 | $ | (25,631 | ) | $ | 13,923 | $ | 5,192 | |||||||||||
Net realized gain/(loss) from investments and securities sold short | 1,082,231 | 1,521,589 | 227,358 | (35,372 | ) | |||||||||||||||
Net change in unrealized appreciation/ (depreciation) on investments and securities sold short | 561,747 | 17,893 | 42,113 | 269,689 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 1,687,844 | 1,513,851 | 283,394 | 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) | 1,283,049 | (2,955,285 | ) | 28,805 | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total increase/(decrease) in net assets | 2,726,633 | (1,441,434 | ) | 283,394 | 239,509 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | ||||||||||||||||||||
Beginning of year | 12,004,392 | 13,445,826 | 2,238,600 | 1,999,091 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 14,731,025 | $ | 12,004,392 | $ | 2,521,994 | $ | 2,238,600 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Accumulated net investment income/(loss), end of year | $ | 41,750 | $ | (13,027 | ) | $ | 5,478 | $ | 18,875 | |||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
148
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Enhanced 500 Fund | Gotham Enhanced 500 Core Fund | |||||||||||||||||||
For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | |||||||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||||||
Net investment income | $ | 126,221 | $ | 38,979 | $ | 25,891 | $ | 17,998 | ||||||||||||
Net realized gain/(loss) from investments and securities sold short | 3,245,792 | 1,726,182 | 398,479 | (16,356 | ) | |||||||||||||||
Net change in unrealized appreciation/ (depreciation) on investments and securities sold short | 2,294,992 | 2,354,924 | 53,000 | 373,606 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 5,667,005 | 4,120,085 | 477,370 | 375,248 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Net investment income | (42,759 | ) | (66,405 | ) | (33,012 | ) | — | |||||||||||||
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 | ) | (41,082 | ) | — | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase in Net Assets from Capital Share Transactions (Note 4) | 4,921,125 | 534,486 | 46,082 | 25,000 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total increase in net assets | 8,984,092 | 4,588,166 | 482,370 | 400,248 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | ||||||||||||||||||||
Beginning of year | 24,453,068 | 19,864,902 | 2,398,748 | 1,998,500 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 33,437,160 | $ | 24,453,068 | $ | 2,881,118 | $ | 2,398,748 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Accumulated net investment income, end of year | $ | 150,674 | $ | 42,758 | $ | 25,689 | $ | 31,448 | ||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
149
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Neutral 500 Fund | Gotham Hedged Plus Fund | |||||||||||||||||||
For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | |||||||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||||||
Net investment income/(loss) | $ | 13,595 | $ | (15,906 | ) | $ | 12,187 | $ | 1,922 | |||||||||||
Net realized gain/(loss) from investments and securities sold short | (116,497 | ) | (91,876 | ) | 201,280 | 9,530 | ||||||||||||||
Net change in unrealized appreciation/ (depreciation) on investments and securities sold short | 498,052 | 286,253 | 132,471 | 292,930 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 395,150 | 178,471 | 345,938 | 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) | 2,183,882 | 1,414,502 | 52,197 | 30,645 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total increase in net assets | 2,556,400 | 1,592,973 | 345,938 | 304,382 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | ||||||||||||||||||||
Beginning of year | 3,592,973 | 2,000,000 | 2,319,496 | 2,015,114 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 6,149,373 | $ | 3,592,973 | $ | 2,665,434 | $ | 2,319,496 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Accumulated net investment income, end of year | $ | 4,395 | $ | 57 | $ | 13,994 | $ | 18,182 | ||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
150
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Hedged Core Fund | Gotham Defensive Long Fund | |||||||||||||||||||
For the Year | For the Year | For the Year | For the Year | |||||||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | |||||||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||||||
Net investment income/(loss) | $ | 22,122 | $ | 14,026 | $ | (9,390 | ) | $ | (5,561 | ) | ||||||||||
Net realized gain/(loss) from investments and securities sold short | 254,301 | (35,583 | ) | (11,934 | ) | (108,013 | ) | |||||||||||||
Net change in unrealized appreciation/ (depreciation) on investments and securities sold short | 17,338 | 289,598 | 253,864 | 288,984 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 293,761 | 268,041 | 232,540 | 175,410 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Net investment income | (35,113 | ) | — | (10,050 | ) | — | ||||||||||||||
Net realized capital gains | (1,571 | ) | — | (36,317 | ) | — | ||||||||||||||
Return of capital | — | — | (1,486 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
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 | 293,761 | 268,041 | 232,540 | 175,410 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | ||||||||||||||||||||
Beginning of year | 2,267,132 | 1,999,091 | 2,173,910 | 1,998,500 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 2,560,893 | $ | 2,267,132 | $ | 2,406,450 | $ | 2,173,910 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Accumulated net investment income/(loss), end of year | $ | 13,626 | $ | 27,359 | $ | (6,313 | ) | $ | 8,720 | |||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
151
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Defensive Long 500 Fund | Gotham Short Strategies Fund | |||||||||||||||||||
For the Year | For the Year | For the Year | For the Period | |||||||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017* | |||||||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||||||
Net investment income/(loss) | $ | 68,098 | $ | 22,039 | $ | (24,062 | ) | $ | 35,361 | |||||||||||
Net realized gain/(loss) from investments, securities sold short and swaps | 514,831 | (163,098 | ) | (11,154 | ) | (126,103 | ) | |||||||||||||
Net change in unrealized appreciation/ (depreciation) on investments, securities sold short and swaps | 1,013,167 | 981,335 | (352,920 | ) | 208,203 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) in net assets resulting from operations | 1,596,096 | 840,276 | (388,136 | ) | 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) | 1,550,377 | 5,100,826 | (16,313,315 | ) | 18,210,793 | (a) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total increase/(decrease) in net assets | 3,091,783 | 5,941,102 | (16,736,813 | ) | 18,328,254 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | ||||||||||||||||||||
Beginning of period | 7,939,602 | 1,998,500 | 18,328,254 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 11,031,385 | $ | 7,939,602 | $ | 1,591,441 | $ | 18,328,254 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Accumulated net investment income, end of period | $ | 60,536 | $ | 39,573 | $ | — | $ | 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.
152
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Large Value Fund | Gotham Total Return Fund | |||||||||||||||||||
For the Year | For the Year | For the Year | For the Year | |||||||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | |||||||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||||||
Net investment income | $ | 46,372 | $ | 28,845 | $ | 57,125 | $ | 12,488 | ||||||||||||
Net realized gain from investments | 333,656 | 287,235 | 307,746 | 33,486 | ||||||||||||||||
Net change in unrealized appreciation/ (depreciation) on investments | 348,120 | 69,528 | 2,966,010 | 1,821,128 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 728,148 | 385,608 | 3,330,881 | 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 | ) | — | ||||||||||||||
Investor Class Shares: | ||||||||||||||||||||
Net investment income | N/A | N/A | — | — | ||||||||||||||||
Net realized capital gains | N/A | N/A | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
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) | 28,302,468 | 58,934 | 6,525,804 | 8,614,335 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total increase in net assets | 28,691,467 | 390,844 | 9,788,508 | 10,477,293 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | ||||||||||||||||||||
Beginning of year | 2,626,730 | 2,235,886 | 18,539,171 | 8,061,878 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 31,318,197 | $ | 2,626,730 | $ | 28,327,679 | $ | 18,539,171 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Accumulated net investment income, end of year | $ | 34,966 | $ | 46,807 | $ | 77 | $ | 1,994 | ||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
153
GOTHAM FUNDS
Statements of Changes in Net Assets (Concluded)
Gotham Master Neutral Fund | ||||||||||
For the Year | For the Period | |||||||||
Ended | Ended | |||||||||
September 30, 2018 | September 30, 2017* | |||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||
Net investment income | $ | 11,047 | $ | 4,336 | ||||||
Net realized gain/(loss) from investments and securities sold short | (52,661 | ) | 17,622 | |||||||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | 160,150 | 2,965 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 118,536 | 24,923 | ||||||||
|
|
|
| |||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||
Institutional Class Shares: | ||||||||||
Net investment income | (10,039 | ) | — | |||||||
Net realized capital gains | (50,504 | ) | — | |||||||
|
|
|
| |||||||
Net decrease in net assets from dividends and distributions to shareholders | (60,543 | ) | — | |||||||
|
|
|
| |||||||
Increase/(decrease) in Net Assets from Capital Share Transactions (Note 4) | (211,926 | ) | 4,050,000 | |||||||
|
|
|
| |||||||
Total increase/(decrease) in net assets | (153,933 | ) | 4,074,923 | |||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 4,074,923 | — | ||||||||
|
|
|
| |||||||
End of period | $ | 3,920,990 | $ | 4,074,923 | ||||||
|
|
|
| |||||||
Accumulated net investment income, end of period | $ | 807 | $ | 5,055 | ||||||
|
|
|
|
* | The Fund incepted on April 28, 2017. |
The accompanying notes are an integral part of the financial statements.
154
GOTHAM FUNDS
Statements of Cash Flow
Gotham Absolute 500 Fund | Gotham Absolute 500 Core Fund | Gotham Enhanced 500 Fund | |||||||||||||
For the Year | For the Year | For the Year | |||||||||||||
Ended | Ended | Ended | |||||||||||||
September 30, 2018 | September 30, 2018 | September 30, 2018 | |||||||||||||
Cash flows provided by (used in) operating activities: | |||||||||||||||
Net increase in net assets resulting from operations | $ | 1,687,844 | $ | 283,394 | $ | 5,667,005 | |||||||||
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 | (46,514,282 | ) | (6,370,931 | ) | (125,684,238 | ) | |||||||||
Proceeds from disposition of long-term portfolio investments | 45,629,938 | 6,465,155 | 117,368,100 | ||||||||||||
Purchases to cover securities sold short | (34,554,089 | ) | (3,950,548 | ) | (74,136,026 | ) | |||||||||
Proceeds from securities sold short | 35,459,663 | 3,952,616 | 79,102,390 | ||||||||||||
Net realized gain on investments and securities sold short | (1,082,231 | ) | (227,358 | ) | (3,245,792 | ) | |||||||||
Net change in unrealized (appreciation)/depreciation on investments and securities sold short | (561,747 | ) | (42,113 | ) | (2,294,992 | ) | |||||||||
Return of capital received from real estate investment trusts | 3,447 | 545 | 9,092 | ||||||||||||
Increase/(decrease) in deposits with brokers for securities sold short | (370,845 | ) | 29,016 | 140,402 | |||||||||||
Increase/(decrease) in receivable for securities sold | 1,620,289 | (38,359 | ) | 1,711,740 | |||||||||||
Decrease in cash collateral for securities lending | — | 7,636 | — | ||||||||||||
Increase in dividend and interest receivable | (6,265 | ) | (1,134 | ) | (27,948 | ) | |||||||||
Increase in receivable from investment advisor | — | (6,848 | ) | — | |||||||||||
Increase in prepaid expenses and other assets | (27,895 | ) | (1,359 | ) | (15,033 | ) | |||||||||
Increase/(decrease) in payable for investments purchased | (965,040 | ) | 37,287 | (642,957 | ) | ||||||||||
Decrease in use of cash collateral from securities lending | (525,369 | ) | (7,636 | ) | (1,174,961 | ) | |||||||||
Increase/(decrease) in dividends and fees payable for securities sold short | (2,069 | ) | (74 | ) | 3,725 | ||||||||||
Increase/(decrease) in payable for investment advisor | 1,672 | (2,807 | ) | 3,741 | |||||||||||
Increase/(decrease) in accrued expense payable | (2,169 | ) | 10,954 | 8,763 | |||||||||||
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Net cash provided by (used in) operating activities | (209,148 | ) | 137,436 | (3,206,989 | ) | ||||||||||
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Cash flows from financing activities: | |||||||||||||||
Proceeds from shares sold | 3,522,172 | — | 7,158,220 | ||||||||||||
Payment of shares redeemed | (2,483,383 | ) | — | (3,802,685 | ) | ||||||||||
Dividends and Distributions to Shareholders | — | — | (38,650 | ) | |||||||||||
Decrease in due to custodian | (230,348 | ) | — | — | |||||||||||
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Net cash provided by (used in) financing activities | 808,441 | — | 3,316,885 | ||||||||||||
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Net increase in cash | 599,293 | 137,436 | 109,896 | ||||||||||||
Cash at beginning of year | — | 359,523 | 597,070 | ||||||||||||
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Cash at end of year | $ | 599,293 | $ | 496,959 | $ | 706,966 | |||||||||
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Supplemental disclosure of cash flow information: | |||||||||||||||
Cash paid/(received) during the year for financing charges | $ | (14,390 | ) | $ | (1,820 | ) | $ | 185,938 |
The accompanying notes are an integral part of the financial statements.
155
GOTHAM FUNDS
Statements of Cash Flow (Continued)
Gotham Enhanced 500 Core Fund | Gotham Neutral 500 Fund | Gotham Hedged Plus Fund | |||||||||||||
For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | |||||||||||||
September 30, 2018 | September 30, 2018 | September 30, 2018 | |||||||||||||
Cash flows provided by (used in) operating activities: | |||||||||||||||
Net increase in net assets resulting from operations | $ | 477,370 | $ | 395,150 | $ | 345,938 | |||||||||
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 | (8,393,720 | ) | (19,786,985 | ) | (8,637,004 | ) | |||||||||
Proceeds from disposition of long-term portfolio investments | 8,287,914 | 17,160,263 | 8,648,026 | ||||||||||||
Purchases to cover securities sold short | (3,547,352 | ) | (14,872,516 | ) | (5,686,694 | ) | |||||||||
Proceeds from securities sold short | 3,625,648 | 17,143,975 | 5,800,204 | ||||||||||||
Net realized gain/(loss) on investments and securities sold short | (398,479 | ) | 116,497 | (201,280 | ) | ||||||||||
Net change in unrealized (appreciation)/depreciation on investments and securities sold short | (53,000 | ) | (498,052 | ) | (132,471 | ) | |||||||||
Return of capital received from real estate investment trusts | 699 | 737 | 681 | ||||||||||||
Increase/(decrease) in deposits with brokers for securities sold short | 388 | (1,737,520 | ) | (101,799 | ) | ||||||||||
Increase/(decrease) in receivable for securities sold | (16,269 | ) | (112,803 | ) | 1,204 | ||||||||||
Decrease in cash collateral for securities lending | 8,854 | 15,349 | 24,190 | ||||||||||||
Increase in dividend and interest receivable | (1,690 | ) | (5,470 | ) | (913 | ) | |||||||||
Increase/(decrease) in receivable from investment advisor | (8,210 | ) | (4,829 | ) | 3,857 | ||||||||||
Increase/(decrease) in prepaid expenses and other assets | (1,637 | ) | 170 | (16,774 | ) | ||||||||||
Increase/(decrease) in payable for investments purchased | 17,162 | 92,704 | (919 | ) | |||||||||||
Decrease in use of cash collateral from securities lending | (8,854 | ) | (15,349 | ) | (24,190 | ) | |||||||||
Increase in dividends and fees payable for securities sold short | 74 | 1,125 | 127 | ||||||||||||
Decrease in payable for investment advisor | (2,769 | ) | — | — | |||||||||||
Increase in accrued expense payable | 9,058 | 9,661 | 10,420 | ||||||||||||
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Net cash provided by (used in) operating activities | (4,813 | ) | (2,097,893 | ) | 32,603 | ||||||||||
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Cash flows from financing activities: | |||||||||||||||
Proceeds from shares sold | 5,000 | 2,704,992 | — | ||||||||||||
Payment of shares redeemed | — | (176,248 | ) | — | |||||||||||
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Net cash provided by (used in) financing activities | 5,000 | 2,528,744 | — | ||||||||||||
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Net increase in cash | 187 | 430,851 | 32,603 | ||||||||||||
Cash at beginning of year | 4,971 | 107,575 | 364,129 | ||||||||||||
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Cash at end of year | $ | 5,158 | $ | 538,426 | $ | 396,732 | |||||||||
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Supplemental disclosure of cash flow information: | |||||||||||||||
Cash paid/(received) during the year for financing charges | $ | 7,222 | $ | (37,137 | ) | $ | 1,001 |
The accompanying notes are an integral part of the financial statements.
156
GOTHAM FUNDS
Statements of Cash Flow (Concluded)
Gotham Defensive Long Fund | Gotham Defensive Long 500 Fund | |||||||||
For the | For the | |||||||||
Year Ended | Year Ended | |||||||||
September 30, 2018 | September 30, 2018 | |||||||||
Cash flows provided by (used in) operating activities: | ||||||||||
Net increase in net assets resulting from operations | $ | 232,540 | $ | 1,596,096 | ||||||
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 | (9,243,348 | ) | (41,481,316 | ) | ||||||
Proceeds from disposition of long-term portfolio investments | 9,454,580 | 38,268,256 | ||||||||
Purchases to cover securities sold short | (4,885,392 | ) | (24,307,245 | ) | ||||||
Proceeds from securities sold short | 4,698,844 | 25,976,798 | ||||||||
Net realized gain/(loss) on investments and securities sold short | 11,934 | (514,831 | ) | |||||||
Net change in unrealized (appreciation)/depreciation on investments and securities sold short | (253,864 | ) | (1,013,167 | ) | ||||||
Return of capital received from real estate investment trusts | 14 | 5,254 | ||||||||
Increase/(decrease) in deposits with brokers for securities sold short | 9,739 | (14,158 | ) | |||||||
Increase in receivable for securities sold | (39,025 | ) | (368,831 | ) | ||||||
Decrease in cash collateral for securities lending | 31,374 | 58,677 | ||||||||
Increase in dividend and interest receivable | (908 | ) | (12,578 | ) | ||||||
Increase in receivable from investment advisor | 4,524 | — | ||||||||
Increase/(decrease) in prepaid expenses and other assets | (54 | ) | 82 | |||||||
Increase in payable for investments purchased | 40,705 | 527,491 | ||||||||
Decrease in use of cash collateral from securities lending | (31,374 | ) | (58,677 | ) | ||||||
Increase in dividends and fees payable for securities sold short | 38 | 1,726 | ||||||||
Decrease in payable for investment advisor | — | (601 | ) | |||||||
Increase in accrued expense payable | 26,701 | 11,009 | ||||||||
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Net cash provided by (used in) operating activities | 57,028 | (1,326,015 | ) | |||||||
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Cash flows from financing activities: | ||||||||||
Proceeds from shares sold | — | 1,745,272 | ||||||||
Payment of shares redeemed | — | (249,585 | ) | |||||||
Decrease in due to custodian | (31,678 | ) | — | |||||||
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Net cash provided by (used in) financing activities | (31,678 | ) | 1,495,687 | |||||||
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Net increase in cash | 25,350 | 169,672 | ||||||||
Cash at beginning of year | — | 48,122 | ||||||||
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Cash at end of year | $ | 25,350 | $ | 217,794 | ||||||
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Supplemental disclosure of cash flow information: | ||||||||||
Cash paid during the year for financing charges | $ | 19,199 | $ | 58,032 |
The accompanying notes are an integral part of the financial statements.
157
GOTHAM FUNDS
Financial Highlights
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Absolute 500 Fund | |||||||||||||||||||||||||
Institutional Class Shares | |||||||||||||||||||||||||
For the Year Ended September 30, | For the Year Ended September 30, | For the Year Ended September 30, | For the Period Ended September 30, | For the Period Ended April 30, | |||||||||||||||||||||
2018 | 2017 | 2016 | 2015* | 2015** | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 11.50 | $ | 10.21 | $ | 9.80 | $ | 10.47 | $ | 10.00 | |||||||||||||||
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Net investment income/(loss)(1) | 0.04 | (0.02 | ) | (0.02 | ) | (0.03 | ) | (0.09 | ) | ||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.54 | 1.31 | 0.77 | (0.64 | ) | 0.78 | |||||||||||||||||||
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Total from investment operations | 1.58 | 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 | $ | 12.84 | $ | 11.50 | $ | 10.21 | $ | 9.80 | $ | 10.47 | |||||||||||||||
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Total investment return(2) | 13.91 | % | 12.63 | % | 7.88 | % | (6.40 | )% | 6.98 | % | |||||||||||||||
Ratio/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of year/period (in 000s) | $ | 14,731 | $ | 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)(3) | 2.76 | % | 3.20 | % | 3.80 | % | 4.22 | %(4) | 4.13 | %(4) | |||||||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(3)(5) | 3.21 | % | 3.78 | % | 4.00 | % | 4.75 | %(4) | 5.92 | %(4) | |||||||||||||||
Ratio of net investment income/(loss) to average net assets (including dividend and interest expense) | 0.34 | % | (0.20 | )% | (0.19 | )% | (0.69 | )%(4) | (1.15 | )%(4) | |||||||||||||||
Portfolio turnover rate | 243.25 | % | 203.65 | % | 251.62 | % | 126.07 | %(6) | 327.45 | %(6) |
* | 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) | 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 fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers, reimbursement, and recoupments for the Fund would be 1.50%, 1.50%, 1.84%, 2.25% and 2.25% for the years ended September 30, 2018, 2017 and 2016, and the periods ended September 30, 2015, and April 30, 2015, 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.
158
GOTHAM FUNDS
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Absolute 500 Core Fund | |||||||||||||||
Institutional Class Shares | |||||||||||||||
For the | For the | For the | |||||||||||||
Year | Year | Period | |||||||||||||
Ended | Ended | Ended | |||||||||||||
September 30, | September 30, | September 30, | |||||||||||||
2018 | 2017 | 2016* | |||||||||||||
Per Share Operating Performance | |||||||||||||||
Net asset value, beginning of year/period | $ | 11.19 | $ | 10.00 | $ | 10.00 | |||||||||
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Net investment income(1) | 0.07 | 0.03 | — | ||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.34 | 1.16 | | (0.00 | )(2) | ||||||||||
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Total from investment operations | 1.41 | 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 | ) | — | — | |||||||||||
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Total dividends and distributions to shareholders | (0.14 | ) | — | — | |||||||||||
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Redemption fees | — | — | — | ||||||||||||
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Net asset value, end of year/period | $ | 12.46 | $ | 11.19 | $ | 10.00 | |||||||||
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Total investment return(3) | 12.72 | % | 11.90 | % | 0.00 | % | |||||||||
Ratio/Supplemental Data | |||||||||||||||
Net assets, end of year/period (in 000s) | $ | 2,522 | $ | 2,239 | $ | 1,999 | |||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(4) | 1.93 | % | 2.15 | % | — | ||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4)(5) | 4.30 | % | 5.33 | % | — | ||||||||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.58 | % | 0.25 | % | — | ||||||||||
Portfolio turnover rate | 238.83 | % | 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 fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers, reimbursements, and recoupments for the Fund would be 1.15% and 1.15% for the years ended September 30, 2018 and 2017, respectively. |
(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). |
The accompanying notes are an integral part of the financial statements.
159
GOTHAM FUNDS
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Enhanced 500 Fund | ||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||
For the | For the | For the | For the | |||||||||||||||||
Year | Year | Year | Period | |||||||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||||||
September 30, | September 30, | September 30, | September 30, | |||||||||||||||||
2018 | 2017 | 2016 | 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) | 0.06 | 0.02 | 0.03 | (0.02 | ) | |||||||||||||||
Net realized and unrealized gain/(loss) on investments | 2.50 | 1.99 | 1.26 | (0.99 | ) | |||||||||||||||
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Total from investment operations | 2.56 | 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 | ) | — | ||||||||||||||
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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 | $ | 13.98 | $ | 12.20 | $ | 10.22 | $ | 8.99 | ||||||||||||
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Total investment return(3) | 21.68 | % | 19.73 | % | 14.43 | %(4) | (10.10 | )% | ||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||
Net assets, end of year/period (in 000s) | $ | 33,437 | $ | 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) | 3.61 | % | 3.83 | % | 4.09 | % | 4.40 | %(6) | ||||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(5)(7) | 3.79 | % | 4.18 | % | 4.69 | % | 5.54 | %(6) | ||||||||||||
Ratio of net investment income/(loss) to average net assets (including dividend and interest expense) | 0.43 | % | 0.17 | % | 0.29 | % | (0.24 | )%(6) | ||||||||||||
Portfolio turnover rate | 215.69 | % | 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 fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers, reimbursements, and recoupments for the Fund would be 1.50%, 1.50%, 1.77% and 2.25% for the years ended September 30, 2018, 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.
160
GOTHAM FUNDS
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Enhanced 500 Core Fund | |||||||||||||||
Institutional Class Shares | |||||||||||||||
For the | For the | For the | |||||||||||||
Year | Year | Period | |||||||||||||
Ended | Ended | Ended | |||||||||||||
September 30, | September 30, | September 30, | |||||||||||||
2018 | 2017 | 2016* | |||||||||||||
Per Share Operating Performance | |||||||||||||||
Net asset value, beginning of year/period | $ | 11.86 | $ | 9.99 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
Net investment income(1) | 0.13 | 0.09 | — | ||||||||||||
Net realized and unrealized gain/(loss) on investments | 2.20 | 1.78 | (0.01 | ) | |||||||||||
|
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| ||||||||||
Total from investment operations | 2.33 | 1.87 | (0.01 | ) | |||||||||||
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| ||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||
Net investment income | (0.16 | ) | — | — | |||||||||||
Net realized capital gains | (0.04 | ) | — | — | |||||||||||
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|
|
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| ||||||||||
Total dividends and distributions to shareholders | (0.20 | ) | — | — | |||||||||||
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|
| ||||||||||
Redemption fees | — | — | — | ||||||||||||
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| ||||||||||
Net asset value, end of year/period | $ | 13.99 | $ | 11.86 | $ | 9.99 | |||||||||
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| ||||||||||
Total investment return(2) | 19.86 | % | 18.60 | % | (0.10 | )% | |||||||||
Ratio/Supplemental Data | |||||||||||||||
Net assets, end of year/period (in 000s) | $ | 2,881 | $ | 2,399 | $ | 1,999 | |||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(3) | 2.10 | % | 2.21 | % | — | ||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(3)(4) | 4.24 | % | 5.28 | % | — | ||||||||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.97 | % | 0.83 | % | — | ||||||||||
Portfolio turnover rate | 223.96 | % | 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 fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers, reimbursements, and recoupments for the Fund would be 1.15% and 1.15% for the years ended September 30, 2018 and 2017, respectively. |
(4) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
The accompanying notes are an integral part of the financial statements.
161
GOTHAM FUNDS
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Neutral 500 Fund | ||||||||||
Institutional Class Shares | ||||||||||
For the | For the | |||||||||
Year | Year | |||||||||
Ended | Ended | |||||||||
September 30, | September 30, | |||||||||
2018 | 2017* | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of year | $ | 10.77 | $ | 10.00 | ||||||
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|
| |||||||
Net investment income/(loss)(1) | 0.03 | (0.07 | ) | |||||||
Net realized and unrealized gain on investments | 0.95 | 0.84 | ||||||||
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| |||||||
Total from investment operations | 0.98 | 0.77 | ||||||||
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| |||||||
Dividends and distributions to shareholders from: | ||||||||||
Net investment income | (0.01 | ) | — | |||||||
Net realized capital gains | (0.05 | ) | — | |||||||
|
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| |||||||
Total dividends and distributions to shareholders | (0.06 | ) | — | |||||||
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| |||||||
Redemption fees | — | — | ||||||||
|
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| |||||||
Net asset value, end of year | $ | 11.69 | $ | 10.77 | ||||||
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| |||||||
Total investment return(2) | 9.09 | % | 7.70 | % | ||||||
Ratio/Supplemental Data | ||||||||||
Net assets, end of year (in 000s) | $ | 6,149 | $ | 3,593 | ||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(3) | 2.43 | % | 3.24 | % | ||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(3)(4) | 3.45 | % | 6.02 | % | ||||||
Ratio of net investment income/(loss) to average net assets (including dividend and interest expense) | 0.26 | % | (0.64 | )% | ||||||
Portfolio turnover rate | 268.58 | % | 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) | 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 fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers, reimbursements, and recoupments for the Fund would be 1.50% and 1.50% for the years ended September 30, 2018 and 2017, respectively. |
(4) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
The accompanying notes are an integral part of the financial statements.
162
GOTHAM FUNDS
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Hedged Plus Fund | |||||||||||||||
Institutional Class Shares | |||||||||||||||
For the | For the | For the | |||||||||||||
Year | Year | Period | |||||||||||||
Ended | Ended | Ended | |||||||||||||
September 30, | September 30, | September 30, | |||||||||||||
2018 | 2017 | 2016* | |||||||||||||
Per Share Operating Performance | |||||||||||||||
Net asset value, beginning of year/period | $ | 11.43 | $ | 10.08 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
Net investment income(1) | 0.06 | 0.01 | 0.00 | (2) | |||||||||||
Net realized and unrealized gain on investments | 1.64 | 1.49 | 0.08 | ||||||||||||
|
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| ||||||||||
Total from investment operations | 1.70 | 1.50 | 0.08 | ||||||||||||
|
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|
|
|
| ||||||||||
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 | ) | — | ||||||||||
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|
|
| ||||||||||
Redemption fees | — | — | — | ||||||||||||
|
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| ||||||||||
Net asset value, end of year/period | $ | 12.87 | $ | 11.43 | $ | 10.08 | |||||||||
|
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|
|
| ||||||||||
Total investment return(3) | 15.00 | % | 15.01 | % | 0.80 | % | |||||||||
Ratio/Supplemental Data | |||||||||||||||
Net assets, end of year/period (in 000s) | $ | 2,665 | $ | 2,319 | $ | 2,015 | |||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(4) | 2.71 | % | 3.10 | % | 3.13 | %(5) | |||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4)(6) | 5.57 | % | 8.46 | % | 8.17 | %(5) | |||||||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.48 | % | 0.09 | % | 0.00 | %(5)(7) | |||||||||
Portfolio turnover rate | 226.84 | % | 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 fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers, reimbursements, and recoupments for the Fund would be 1.15%, 1.15% and 1.15% for the years ended September 30, 2018 and 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.
163
GOTHAM FUNDS
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Hedged Core Fund | |||||||||||||||
Institutional Class Shares | |||||||||||||||
For the | For the | For the | |||||||||||||
Year | Year | Period | |||||||||||||
Ended | Ended | Ended | |||||||||||||
September 30, | September 30, | September 30, | |||||||||||||
2018 | 2017 | 2016* | |||||||||||||
Per Share Operating Performance | |||||||||||||||
Net asset value, beginning of year/period | $ | 11.34 | $ | 10.00 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
Net investment income(1) | 0.11 | 0.07 | — | ||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.35 | 1.27 | (0.00 | )(2) | |||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 1.46 | 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 | $ | 12.61 | $ | 11.34 | $ | 10.00 | |||||||||
|
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|
|
|
| ||||||||||
Total investment return(3) | 12.93 | % | 13.40 | % | 0.00 | % | |||||||||
Ratio/Supplemental Data | |||||||||||||||
Net assets, end of year/period (in 000s) | $ | 2,561 | $ | 2,267 | $ | 1,999 | |||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(4) | 1.16 | % | 1.40 | % | — | ||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4)(5) | 3.85 | % | 4.91 | % | — | ||||||||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.91 | % | 0.66 | % | — | ||||||||||
Portfolio turnover rate | 220.76 | % | 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 fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers, reimbursements, and recoupments for the Fund would be 0.85% and 0.85% for the years ended September 30, 2018 and 2017, respectively. |
(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). |
The accompanying notes are an integral part of the financial statements.
164
GOTHAM FUNDS
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Defensive Long Fund | |||||||||||||||
Institutional Class Shares | |||||||||||||||
For the | For the | For the | |||||||||||||
Year | Year | Period | |||||||||||||
Ended | Ended | Ended | |||||||||||||
September 30, | September 30, | September 30, | |||||||||||||
2018 | 2017 | 2016* | |||||||||||||
Per Share Operating Performance | |||||||||||||||
Net asset value, beginning of year/period | $ | 10.87 | $ | 9.99 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
Net investment loss(1) | (0.05 | ) | (0.03 | ) | — | ||||||||||
Net realized and unrealized gain/(loss) on investments | 1.20 | 0.91 | (0.01 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 1.15 | 0.88 | (0.01 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||
Net investment income | (0.05 | ) | — | — | |||||||||||
Net realized capital gains | (0.18 | ) | — | — | |||||||||||
Return of capital | (0.01 | ) | — | — | |||||||||||
|
|
|
|
|
| ||||||||||
Total dividends and distributions to shareholders | (0.24 | ) | — | — | |||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, end of year/period | $ | 11.78 | $ | 10.87 | $ | 9.99 | |||||||||
|
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|
|
|
| ||||||||||
Total investment return(2) | 10.68 | % | 8.70 | % | (0.10 | )% | |||||||||
Ratio/Supplemental Data | |||||||||||||||
Net assets, end of year/period (in 000s) | $ | 2,406 | $ | 2,174 | $ | 1,999 | |||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(3) | 3.63 | % | 3.62 | % | — | ||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(3)(4) | 8.03 | % | 8.27 | % | — | ||||||||||
Ratio of net investment loss to average net assets (including dividend and interest expense) | (0.41 | )% | (0.27 | )% | — | ||||||||||
Portfolio turnover rate | 224.53 | % | 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 fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers, reimbursements, and recoupments for the Fund would be 2.15% and 2.15% for the years ended September 30, 2018 and 2017, respectively. |
(4) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
The accompanying notes are an integral part of the financial statements.
165
GOTHAM FUNDS
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Defensive Long 500 Fund | |||||||||||||||
Institutional Class Shares | |||||||||||||||
For the | For the | For the | |||||||||||||
Year | Year | Period | |||||||||||||
Ended | Ended | Ended | |||||||||||||
September 30, | September 30, | September 30, | |||||||||||||
2018 | 2017 | 2016* | |||||||||||||
Per Share Operating Performance | |||||||||||||||
Net asset value, beginning of year/period | $ | 11.71 | $ | 9.99 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
Net investment income(1) | 0.09 | 0.04 | — | ||||||||||||
Net realized and unrealized gain/(loss) on investments | 2.06 | 1.68 | (0.01 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 2.15 | 1.72 | (0.01 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||
Net investment income | (0.08 | ) | — | — | |||||||||||
|
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|
|
|
| ||||||||||
Total dividends and distributions to shareholders | (0.08 | ) | — | — | |||||||||||
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|
|
|
| ||||||||||
Redemption fees | — | — | — | ||||||||||||
|
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|
|
|
| ||||||||||
Net asset value, end of year/period | $ | 13.78 | $ | 11.71 | $ | 9.99 | |||||||||
|
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|
| ||||||||||
Total investment return(2) | 18.42 | % | 17.10 | % | (0.10 | )% | |||||||||
Ratio/Supplemental Data | |||||||||||||||
Net assets, end of year/period (in 000s) | $ | 11,031 | $ | 7,940 | $ | 1,999 | |||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(3) | 3.51 | % | 3.80 | % | — | ||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(3)(4) | 4.08 | % | 5.01 | % | — | ||||||||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.73 | % | 0.39 | % | — | ||||||||||
Portfolio turnover rate | 219.67 | % | 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 fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers, reimbursements, and recoupments for the Fund would be 1.50% and 1.50% for the years ended September 30, 2018 and 2017, respectively. |
(4) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
The accompanying notes are an integral part of the financial statements.
166
GOTHAM FUNDS
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Short Strategies Fund | ||||||||||
Institutional Class Shares | ||||||||||
For the | For the | |||||||||
Year | Period | |||||||||
Ended | Ended | |||||||||
September 30, | September 30, | |||||||||
2018 | 2017* | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of year/period | $ | 10.07 | $ | 10.00 | ||||||
|
|
|
| |||||||
Net investment income/(loss)(1) | (0.03 | ) | 0.02 | |||||||
Net realized and unrealized gain/(loss) on investments | (0.97 | ) | 0.05 | |||||||
|
|
|
| |||||||
Total from investment operations | (1.00 | ) | 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 year/period | $ | 9.05 | $ | 10.07 | ||||||
|
|
|
| |||||||
Total investment return(2) | (9.90 | )% | 0.70 | % | ||||||
Ratio/Supplemental Data | ||||||||||
Net assets, end of year/period (in 000s) | $ | 1,591 | $ | 18,328 | ||||||
Ratio of expenses to average net assets with waivers and reimbursements, if any | 1.35 | % | 1.35 | %(3) | ||||||
Ratio of expenses to average net assets without waivers and expense reimbursements, if any(4) | 2.49 | % | 3.06 | %(3) | ||||||
Ratio of net investment income/(loss) to average net assets | (0.30 | )% | 1.19 | %(3) | ||||||
Portfolio turnover rate | 591.12 | % | 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. If such fee reductions had not occurred, the ratios would have been shown (See Note 2). |
(5) | Portfolio turnover rate excludes securities received from processing a subscription due to a reorganization (See Note 1). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
167
GOTHAM FUNDS
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Large Value Fund | |||||||||||||||
Institutional Class Shares | |||||||||||||||
For the | For the | For the | |||||||||||||
Year | Year | Period | |||||||||||||
Ended | Ended | Ended | |||||||||||||
September 30, | September 30, | September 30, | |||||||||||||
2018 | 2017 | 2016* | |||||||||||||
Per Share Operating Performance | |||||||||||||||
Net asset value, beginning of year/period | $ | 12.46 | $ | 10.87 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
Net investment income(1) | 0.14 | 0.14 | 0.11 | ||||||||||||
Net realized and unrealized gain on investments | 2.03 | 1.71 | 0.76 | ||||||||||||
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| ||||||||||
Total from investment operations | 2.17 | 1.85 | 0.87 | ||||||||||||
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| ||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||
Net investment income | (0.28 | ) | (0.26 | ) | — | ||||||||||
Net realized capital gains | (1.33 | ) | — | — | |||||||||||
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| ||||||||||
Total dividends and distributions to shareholders | (1.61 | ) | (0.26 | ) | — | ||||||||||
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| ||||||||||
Redemption fees | — | — | — | ||||||||||||
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| ||||||||||
Net asset value, end of year/period | $ | 13.02 | $ | 12.46 | $ | 10.87 | |||||||||
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| ||||||||||
Total investment return(2) | 18.93 | % | 17.31 | % | 8.70 | % | |||||||||
Ratio/Supplemental Data | |||||||||||||||
Net assets, end of year/period (in 000s) | $ | 31,318 | $ | 2,627 | $ | 2,236 | |||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any | 0.88 | % | 0.95 | % | 0.95 | %(3) | |||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4) | 2.19 | % | 4.40 | % | 4.90 | %(3) | |||||||||
Ratio of net investment income to average net assets | 1.12 | % | 1.19 | % | 1.41 | %(3) | |||||||||
Portfolio turnover rate | 670.00 | % | 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.
168
GOTHAM FUNDS
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Total Return Fund | ||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||
For the | For the | For the | For the | |||||||||||||||||
Year | Year | Year | Period | |||||||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||||||
September 30, | September 30, | September 30, | September 30, | |||||||||||||||||
2018 | 2017 | 2016 | 2015* | |||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of year/period | $ | 11.60 | $ | 10.02 | $ | 9.33 | $ | 10.00 | ||||||||||||
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|
|
| |||||||||||||
Net investment income/(loss)(1) | 0.03 | 0.01 | 0.17 | (0.01 | ) | |||||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.80 | 1.58 | 0.72 | (0.66 | ) | |||||||||||||||
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| |||||||||||||
Total from investment operations | 1.83 | 1.59 | 0.89 | (0.67 | ) | |||||||||||||||
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|
|
| |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.04 | ) | (0.01 | ) | (0.18 | ) | — | |||||||||||||
Net realized capital gains | (0.01 | ) | — | (0.02 | ) | — | ||||||||||||||
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|
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| |||||||||||||
Total dividends and distributions to shareholders | (0.05 | ) | (0.01 | ) | (0.20 | ) | — | |||||||||||||
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Redemption fees | — | — | — | 0.00 | (2) | |||||||||||||||
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| |||||||||||||
Net asset value, end of year/period | $ | 13.38 | $ | 11.60 | $ | 10.02 | $ | 9.33 | ||||||||||||
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|
|
| |||||||||||||
Total investment return(3) | 15.73 | % | 15.82 | % | 9.65 | % | (6.70 | )% | ||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||
Net assets, end of year/period (in 000s) | $ | 26,218 | $ | 18,539 | �� | $ | 8,062 | $ | 7,010 | |||||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any | 0.00 | % | 0.02 | % | 0.17 | % | 0.18 | %(4) | ||||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(5) | 0.51 | % | 0.74 | % | 1.55 | % | 1.57 | %(4) | ||||||||||||
Ratio of net investment income/(loss) to average net assets | 0.27 | % | 0.09 | % | 1.78 | % | (0.18 | )%(4) | ||||||||||||
Portfolio turnover rate | 1.07 | % | 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.
169
GOTHAM FUNDS
Financial Highlights (Continued)
Contained below is per share operating performance data for Investor Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Total Return Fund | |||||
Investor Class Shares | |||||
For the | |||||
Period | |||||
Ended | |||||
September 30, | |||||
2018* | |||||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ | 12.60 | |||
|
| ||||
Net investment loss(1) | (0.02 | ) | |||
Net realized and unrealized gain on investments | 0.77 | ||||
|
| ||||
Total from investment operations | 0.75 | ||||
|
| ||||
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 | $ | 13.35 | |||
|
| ||||
Total investment return(2) | 5.95 | % | |||
Ratio/Supplemental Data | |||||
Net assets, end of period (in 000s) | $ | 2,110 | |||
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 any(4) | 0.76 | %(3) | |||
Ratio of net investment loss to average net assets | (0.24 | )%(3) | |||
Portfolio turnover rate | 1.07 | %(5) |
* | Investor class commenced operations on January 2, 2018. Total return is calculated based on inception date of December 29, 2017, when 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.
170
GOTHAM FUNDS
Financial Highlights (Concluded)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Gotham Master Neutral Fund | ||||||||||
Institutional Class Shares | ||||||||||
For the | For the | |||||||||
Year | Period | |||||||||
Ended | Ended | |||||||||
September 30, | September 30, | |||||||||
2018 | 2017* | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of year/period | $ | 10.08 | $ | 10.00 | ||||||
|
|
|
| |||||||
Net investment income(1) | 0.03 | 0.01 | ||||||||
Net realized and unrealized gain on investments | 0.24 | 0.07 | ||||||||
|
|
|
| |||||||
Total from investment operations | 0.27 | 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 year/period | $ | 10.21 | $ | 10.08 | ||||||
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|
|
| |||||||
Total investment return(2) | 2.79 | % | 0.80 | % | ||||||
Ratio/Supplemental Data | ||||||||||
Net assets, end of year/period (in 000s) | $ | 3,921 | $ | 4,075 | ||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(3) | 0.28 | % | 0.31 | %(4) | ||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(3)(5) | 3.05 | % | 4.60 | %(4) | ||||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.28 | % | 0.35 | %(4) | ||||||
Portfolio turnover rate | 169.62 | % | 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 fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers, reimbursement, and recoupments for the Fund would be 0.26% and 0.31% for the year ended September 30, 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.
171
GOTHAM FUNDS
Notes to Financial Statements
September 30, 2018
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 Large Value Fund (formerly, 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 Funds’ 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 1, 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 Large Value Fund (“Large Value”) | December 31,2015 | |
Gotham Total Return Fund (“Total Return”) | March 31, 2015 | |
Gotham Master Neutral Fund (“Master Neutral”) | April 28, 2017 |
All the Funds except for the Large 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. Large Value seeks to achieve its investment objective by primarily investing in long positions of U.S. large capitalization equity securities with market capitalization similar to companies in the S&P 500® Index or Russell 1000® Index, but may invest in other large capitalization companies. 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:
172
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
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 common stock security with end of year value of $2 held by Defensive Long; a U.S. Treasury Obligation with the end of year value of $197,319 held by Master Neutral; and total return swap with an unrealized depreciation of $(128,551) held by Short Strategies. These securities are considered Level 2 as of and for the year ended September 30, 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
173
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
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. 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 Level 3 are disclosed when the Funds had an amount of transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the year ended September 30, 2018, there were no transfers in or out of Level 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. The Fund records as dividend income the amount characterized as ordinary income and records as realized gain the amount characterized by a REIT as long-term capital gain in the Statement of Operations. The amount characterized as return of capital is a reduction to the cost of investments in the Statement of Assets and Liabilities if the security is still held; otherwise it is recorded as an adjustment to realized gain/(loss) from investment transactions in the statement of Operations. These characterizations are reflected in the accompanying financial statements. 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.
174
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
Recent Accounting Pronouncement — In November 2016, the Financial Accounting Standards Board issued Accounting Standards Update, Statement of Cash Flows (Topic 230): Restricted Cash, which requires entities to include the total of cash, cash equivalents, restricted cash and restricted cash equivalents in the beginning and ended cash balances in the statement of cash flows. The guidance applies retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within fiscal years beginning after December 15, 2017. Management is currently evaluating the impact of this guidance to the Funds’ presentation in the statement of cash flows.
Effective November 5, 2018, the SEC amended existing rules intended to modernize reporting and disclosure of information. These amendments relate to Regulation S-X which sets forth the form and content of financial statements. Management is evaluating the implications of adopting these amendments and their impact on the financial statements and accompanying notes.
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 September 30, 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 | $ | 12,155,037 | $ | 14,044,258 | $ | 6,132,065 | |||||||||
Absolute 500 Core | 1,281,484 | 2,166,697 | 520,934 | ||||||||||||
Enhanced 500 | 28,780,298 | 41,019,166 | 2,592,182 | ||||||||||||
Enhanced 500 Core | 1,157,569 | 2,719,419 | 44,182 | ||||||||||||
Neutral 500 | 5,944,036 | 6,403,143 | 4,076,054 | ||||||||||||
Hedged Plus | 2,341,195 | 3,079,894 | 670,047 | ||||||||||||
Hedged Core | 922,716 | 1,763,863 | 672,050 | ||||||||||||
Defensive Long | 1,806,523 | 3,147,394 | 54,142 | ||||||||||||
Defensive Long 500 | 9,381,553 | 14,334,010 | 42,738 | ||||||||||||
Master Neutral | 1,159,367 | 1,283,694 | 912,032 |
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 year ended September 30, 2018:
175
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
Rebate (Income)/Fees | |||||
Absolute 500 | $ | (138,002 | ) | ||
Absolute 500 Core | (15,375 | ) | |||
Enhanced 500 | (321,641 | ) | |||
Enhanced 500 Core | (13,561 | ) | |||
Neutral 500 | (66,469 | ) | |||
Hedged Plus | (29,123 | ) | |||
Hedged Core | (11,856 | ) | |||
Defensive Long | (15,885 | ) | |||
Defensive Long 500 | (102,893 | ) | |||
Master Neutral | (13,693 | ) |
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 on the Statement of Operations and are as follows for the year ended September 30, 2018:
Short Sales Proceeds | Financing Charges | |||||||||
Absolute 500 | $ | 5,783,059 | $ | 105,348 | ||||||
Absolute 500 Core | 746,486 | 13,555 | ||||||||
Enhanced 500 | 25,533,711 | 447,480 | ||||||||
Enhanced 500 Core | 1,102,892 | 20,783 | ||||||||
Neutral 500 | 1,793,264 | 29,332 | ||||||||
Hedged Plus | 1,643,857 | 30,123 | ||||||||
Hedged Core | 241,847 | 3,796 | ||||||||
Defensive Long | 1,740,019 | 35,084 | ||||||||
Defensive Long 500 | 9,043,959 | 160,925 | ||||||||
Master Neutral | 239,014 | 3,190 |
Swap 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.
176
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
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 and for the year ended September 30, 2018, only Short Strategies held total return swaps.
For the year ended September 30, 2018, the quarterly average volume of the total return swaps were as follows:
Notional Amount | |||||
Short Strategies | $ | (12,479,465 | ) |
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
177
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements. The result would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Collateral Requirements — For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. Cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Fund. Any additional required collateral is delivered to/pledged by the Fund on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Fund from its counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Fund has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, it bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statement of Assets and Liabilities.
Gross Amount Not Offset in the Statement of Assets and Liabilities | ||||||||||||
Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | Financial Instruments | Collateral Pledged* | Net Amount** | |||||||
Short Strategies | $(130,050) | $— | $(130,050) | $— | $130,050 | $— |
* | Amount disclosed is limited to the amount of assets presented in each Statement of Assets and Liabilities. Actual collateral pledged 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:
178
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
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 | % | |||
Large Value(1) | 0.75 | % | |||
Total Return(2) | — | % | |||
Master Neutral(2) | 0.30 | % |
(1) | Prior to August 31, 2018, the investment advisory fee was 0.80%. |
(2) | 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 investment advisory fee on such directly invested 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 Total Return and Master Neutral, exclusive of management fees, 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 year ended September 30, 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 | ||||||||||||
Large Value(1) | 0.75% | N/A | January 31, 2020 | ||||||||||||
Total Return | 0.00% | 0.25% | January 31, 2020 | ||||||||||||
Master Neutral(2) | 0.00% | N/A | January 31, 2020 |
(1) | Prior to August 31, 2018, the Expense Limitation was 0.95%. |
(2) | Per the Expense Limitation agreement for the Fund, the expenses subject to the expense limitation are also exclusive of management fees, if any. |
179
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
For the year ended September 30, 2018, investment advisory fees accrued and waivers were as follows:
Gross | Waiver/ | Net Advisory Fee/ | |||||||||||||||||
Absolute 500 | $176,575 | $ | (58,359 | ) | $ | 118,216 | |||||||||||||
Absolute 500 Core | 23,936 | (56,851 | ) | (32,915 | ) | ||||||||||||||
Enhanced 500 | 393,676 | (53,311 | ) | 340,365 | |||||||||||||||
Enhanced 500 Core | 26,559 | (56,635 | ) | (30,076 | ) | ||||||||||||||
Neutral 500 | 71,359 | (53,846 | ) | 17,513 | |||||||||||||||
Hedged Plus | 25,205 | (71,946 | ) | (46,741 | ) | ||||||||||||||
Hedged Core | 16,994 | (65,442 | ) | (48,448 | ) | ||||||||||||||
Defensive Long | 46,246 | (101,867 | ) | (55,621 | ) | ||||||||||||||
Defensive Long 500 | 126,723 | (54,068 | ) | 72,655 | |||||||||||||||
Short Strategies | 109,960 | (93,082 | ) | 16,878 | |||||||||||||||
Large Value | 32,371 | (54,224 | ) | (21,853 | ) | ||||||||||||||
Total Return | — | (119,987 | ) | (119,987 | ) | ||||||||||||||
Master Neutral | 11,704 | (109,196 | ) | (97,492 | ) |
For all funds except for Absolute 500, Enhanced 500, Large 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, Large 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 September 30, 2018, the amount of potential reimbursement from the Funds to the Adviser are as follows:
Expiration | Expiration | Expiration | |||||||||||||
09/30/2019 | 09/30/2020 | 09/30/2021 | |||||||||||||
Absolute 500 | $ | 32,059 | $ | 74,474 | $ | 58,359 | |||||||||
Absolute 500 Core | N/A | 66,947 | 56,851 | ||||||||||||
Enhanced 500 | 76,809 | 82,079 | 53,311 | ||||||||||||
Enhanced 500 Core | N/A | 66,803 | 56,635 | ||||||||||||
Neutral 500 | N/A | 69,432 | 53,846 | ||||||||||||
Hedged Plus | 49,689 | 117,002 | 71,946 | ||||||||||||
Hedged Core | N/A | 74,311 | 65,442 | ||||||||||||
Defensive Long | N/A | 97,415 | 101,867 | ||||||||||||
Defensive Long 500 | N/A | 68,706 | 54,068 | ||||||||||||
Large Value | 59,712 | 83,569 | 54,224 | ||||||||||||
Total Return | |||||||||||||||
Institutional Class | 107,341 | 23,788 | 113,536 | ||||||||||||
Investor Class | N/A | N/A | 6,451 | ||||||||||||
Master Neutral | N/A | — | 109,196 |
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.
180
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
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 year ended September 30, 2018 was $10,027. 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. Duff & Phelps, LLC (“D&P”) provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and D&P are compensated for their services provided to the Trust.
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 year ended September 30, 2018:
Total Return | ||||||||||||||||||||||||||||||||
Value at | Purchase | Dividend | Sales | Net Realized | Change in Unrealized Appreciation/ | Value at | Shares Held at | |||||||||||||||||||||||||
Name of Issuer | 9/30/17 | Cost | Income | Proceeds | Gain | (Depreciation) | 9/30/18 | 9/30/18 | ||||||||||||||||||||||||
Absolute 500 | $ | 3,657,474 | $ | 1,488,256 | $ | 78,598 | $ | — | $ | — | $ | 494,618 | $ | 5,640,348 | 439,279 | |||||||||||||||||
Defensive Long 500 | 5,570,810 | 1,778,813 | 38,540 | — | — | 1,133,154 | 8,482,777 | 615,586 | ||||||||||||||||||||||||
Enhanced 500 | 2,813,333 | 1,005,595 | 181,501 | 104,193 | 19,419 | 488,950 | 4,223,104 | 302,082 | ||||||||||||||||||||||||
Index Plus Fund | 3,763,049 | 1,114,385 | 15,596 | 143,720 | 33,066 | 864,590 | 5,631,370 | 358,230 | ||||||||||||||||||||||||
Gotham Neutral Fund | 2,617,503 | 1,611,896 | — | — | — | (15,302 | ) | 4,214,097 | 411,131 | |||||||||||||||||||||||
Master Neutral | ||||||||||||||||||||||||||||||||
Value at | Purchase | Dividend | Sales | Net Realized | Change in Unrealized Appreciation/ | Value at | Shares Held at | |||||||||||||||||||||||||
Name of Issuer | 9/30/17 | Cost | Income | Proceeds | Gain | (Depreciation) | 9/30/18 | 9/30/18 | ||||||||||||||||||||||||
Neutral 500 | $ | 1,438,366 | $95,053 | $1,249 | $ | 174,993 | $9,821 | $ | 110,235 | $ | 1,478,482 | 126,474 | ||||||||||||||||||||
Gotham Neutral Fund | 1,000,934 | 62,499 | — | 124,999 | 3,052 | 3,236 | 944,722 | 92,168 |
181
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
3. Investment in Securities
For the year ended September 30, 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 | $ | 46,351,710 | $ | 45,459,764 | ||||
Absolute 500 Core | 6,346,514 | 6,440,169 | ||||||
Enhanced 500 | 125,142,290 | 116,808,362 | ||||||
Enhanced 500 Core | 8,358,672 | 8,252,284 | ||||||
Neutral 500 | 19,704,988 | 17,076,554 | ||||||
Hedged Plus | 8,603,137 | 8,612,641 | ||||||
Hedged Core | 5,285,431 | 5,337,409 | ||||||
Defensive Long | 9,175,719 | 9,385,637 | ||||||
Defensive Long 500 | 41,252,964 | 38,036,556 | ||||||
Short Strategies | 117,190,323 | 158,410,390 | ||||||
Large Value | 64,143,287 | 36,302,756 | ||||||
Total Return | 6,998,945 | 247,913 | ||||||
Master Neutral | 6,058,402 | 6,143,379 |
For the year ended September 30, 2018, Master Neutral had purchases and sales of U.S. Government securities in the amount of $195,591 and $200,000, respectively.
4. Capital Share Transactions
For the periods ended September 30, 2018 and September 30, 2017, transactions in capital shares of the Funds (authorized shares unlimited) were as follows:
For the Period Ended September 30, 2018 | For the Period Ended September 30, 2017 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Absolute 500: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 290,375 | $ | 3,522,172 | 228,505 | $ | 2,473,111 | ||||||||||
Reinvestments | 20,254 | 244,260 | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | (207,884 | ) | (2,483,383 | ) | (500,946 | ) | (5,428,396 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 102,745 | $ | 1,283,049 | (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 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
182
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
For the Period Ended September 30, 2018 | For the Period Ended September 30, 2017 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Enhanced 500: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 554,379 | $ | 7,158,422 | 648,594 | $ | 7,239,119 | ||||||||||
Reinvestments | 124,633 | 1,565,388 | 5,728 | 62,726 | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | (291,427 | ) | (3,802,685 | ) | (593,745 | ) | (6,767,359 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 387,585 | $ | 4,921,125 | 60,577 | $ | 534,486 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Enhanced 500 Core: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 394 | $ | 5,000 | 2,256 | $ | 25,000 | ||||||||||
Reinvestments | 3,263 | 41,082 | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 3,657 | $ | 46,082 | 2,256 | $ | 25,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Neutral 500:(1) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 206,036 | $ | 2,337,498 | 133,553 | $ | 1,414,502 | ||||||||||
Reinvestments | 2,022 | 22,632 | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | (15,422 | ) | (176,248 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 192,636 | $ | 2,183,882 | 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 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
183
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
For the Period Ended September 30, 2018 | For the Period Ended September 30, 2017 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
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 | 137,195 | $ | 1,745,272 | 505,581 | $ | 5,411,674 | ||||||||||
Reinvestments | 4,344 | 54,690 | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | (18,865 | ) | (249,585 | ) | (27,848 | ) | (310,848 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 122,674 | $ | 1,550,377 | 477,733 | $ | 5,100,826 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Strategies:(2)(3) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 19,864 | $ | 197,027 | 1,820,601 | $ | 18,210,793 | ||||||||||
Reinvestments | 3,605 | 35,362 | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | (1,668,231 | ) | (16,545,704 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (1,644,762 | ) | $ | (16,313,315 | ) | 1,820,601 | $ | 18,210,793 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Large Value: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 2,165,510 | $ | 27,963,591 | 2,807 | $ | 31,611 | ||||||||||
Reinvestments | 29,136 | 339,149 | 2,473 | 27,581 | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | (23 | ) | (272 | ) | (23 | ) | (258 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 2,194,623 | $ | 28,302,468 | 5,257 | $ | 58,934 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 358,546 | $ | 4,505,412 | 816,663 | $ | 8,866,330 | ||||||||||
Reinvestments | 5,446 | 68,176 | 195 | 2,105 | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | (3,460 | ) | (43,660 | ) | (22,667 | ) | (254,100 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 360,532 | $ | 4,529,928 | 794,191 | $ | 8,614,335 | ||||||||||
|
|
|
|
|
|
|
|
184
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
For the Period Ended September 30, 2018 | For the Period Ended September 30, 2017 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Total Return: | ||||||||||||||||
Investor Class Shares:(4) | ||||||||||||||||
Sales | 169,733 | $ | 2,145,361 | — | $ | — | ||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | (11,726 | ) | (149,485 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 158,007 | $ | 1,995,876 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Master Neutral:(5) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 24,390 | $ | 250,000 | 404,167 | $ | 4,050,000 | ||||||||||
Reinvestments | 3,762 | 38,074 | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | (48,403 | ) | (500,000 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (20,251 | ) | $ | (211,926 | ) | 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 1, 2016. |
(2) | The Fund incepted on July 31, 2017. The Fund commenced operations on August 1, 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 incepted on December 29, 2017. The Fund commenced operations on January 2, 2018. |
(5) | The Fund incepted on April 28, 2017. The Fund commenced operation on May 1, 2017. |
As of September 30, 2018, the following Funds had shareholders that held 10% or more of the outstanding shares of the Fund:
Absolute 500 | ||||
Affiliated Fund | 38 | % | ||
Enhanced 500 | ||||
Affiliated Shareholders | 38 | % | ||
Affiliated Fund | 13 | % | ||
Neutral 500 | ||||
Affiliated Fund | 23 | % | ||
Defensive Long 500 | ||||
Affiliated Fund | 77 | % | ||
Short Strategies | ||||
Affiliated Shareholders | 86 | % | ||
Total Return | ||||
Affiliated Shareholders | 29 | % |
185
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
5. Securities Lending
All Funds except for Large Value 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 Statements 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 year ended September 30, 2018, the Funds listed below each had securities lending programs. The market value of securities on loan and cash collateral received as of September 30, 2018 and the income generated from the programs during the year ended September 30, 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 | $ | 786,855 | $ | 802,058 | $ | — | $ 16 | |||||||||
Absolute 500 Core | 37,000 | — | 37,794 | 48 | ||||||||||||
Enhanced 500 | 2,521,058 | 2,566,989 | — | 36 | ||||||||||||
Enhanced 500 Core | 57,558 | 1,605 | 56,949 | 90 | ||||||||||||
Neutral 500 | 38,028 | — | 38,535 | 48 | ||||||||||||
Hedged Plus | 1,852 | 1,903 | — | 65 | ||||||||||||
Hedged Core | 32,787 | 1,817 | 31,583 | 51 | ||||||||||||
Defensive Long | 135,847 | 12,856 | 131,027 | 546 | ||||||||||||
Defensive Long 500 | 246,777 | — | 250,692 | 320 |
Securities lending transactions are entered into by the Funds under a Master Securities Lending Agreement (“MSLA”) which permits the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Funds to the same counterparty against amounts to be received from that counterparty and create one single net payment due to or from the Funds. The following table is a summary of each of the Fund’s open securities lending transactions which are subject to a MSLA as of September 30, 2018:
186
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 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 | $ | 786,855 | $ | — | $ | 786,855 | $ | — | $ | (786,855 | ) | $— | ||||||||||||||||||
Absolute 500 Core | 37,000 | — | 37,000 | — | (37,000 | ) | — | |||||||||||||||||||||||
Enhanced 500 | 2,521,058 | — | 2,521,058 | — | (2,521,058 | ) | — | |||||||||||||||||||||||
Enhanced 500 Core | 57,558 | — | 57,558 | — | (57,558 | ) | — | |||||||||||||||||||||||
Neutral 500 | 38,028 | — | 38,028 | — | (38,028 | ) | — | |||||||||||||||||||||||
Hedged Plus | 1,852 | — | 1,852 | — | (1,852 | ) | — | |||||||||||||||||||||||
Hedged Core | 32,787 | — | 32,787 | — | (32,787 | ) | — | |||||||||||||||||||||||
Defensive Long | 135,847 | — | 135,847 | — | (135,847 | ) | — | |||||||||||||||||||||||
Defensive Long 500 | 246,777 | — | 246,777 | — | (246,777 | ) | — |
* | Amount disclosed is limited to the amount of assets presented in each Statement of Assets and Liabilities. Actual collateral received may be more than the amount shown. |
** | Net amount represents the net receivable from the counterparty in the event of a default. |
6. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds had determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
In order to present net assets components on the Statement of Assets and Liabilities that more closely represent their tax character, certain reclassifications are made to the net asset components. Net investment income, net realized gains and net assets were not affected by these adjustments. The following permanent differences as of September 30, 2018, primarily attributed to non-deductible expenses, net operating loss, capitalized dividends on short sales and registered investment companies distribution to long-term capital gains were reclassified among the following accounts:
187
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
Increase/(Decrease) Undistributed Net Investment Income | Increase/(Decrease) Accumulated Net Realized Loss | Increase/(Decrease) Additional Paid-In Capital | ||||||||||
Absolute 500 | $10,911 | $(10,911) | $ — | |||||||||
Absolute 500 Core | (2,713) | 2,713 | — | |||||||||
Enhanced 500 | 24,454 | (24,454) | — | |||||||||
Enhanced 500 Core | 1,362 | (1,362) | — | |||||||||
Neutral 500 | (5,515) | 5,519 | (4) | |||||||||
Hedged Plus | 1,808 | (1,808) | — | |||||||||
Hedged Core | (742) | 742 | — | |||||||||
Defensive Long | 4,407 | (746) | (3,661) | |||||||||
Defensive Long 500 | 7,555 | (7,555) | — | |||||||||
Short Strategies | 24,063 | — | (24,063) | |||||||||
Total Return | (1,919) | 1,919 | — | |||||||||
Master Neutral | (5,256) | 5,256 | — |
The tax character of distributions paid by the Funds during the year ended September 30, 2018 were as follows:
Ordinary Income Dividend | Long-Term Capital Gain Dividend | Return of Capital | ||||||||||
Absolute 500 | $ | — | $ | 244,260 | $ | — | ||||||
Absolute 500 Core | 28,805 | — | — | |||||||||
Enhanced 500 | 42,759 | 1,561,279 | — | |||||||||
Enhanced 500 Core | 41,082 | — | — | |||||||||
Neutral 500 | 14,644 | 7,988 | — | |||||||||
Hedged Plus | 18,183 | 34,014 | — | |||||||||
Hedged Core | 36,682 | — | — | |||||||||
Defensive Long | 10,050 | 36,317 | 1,486 | |||||||||
Defensive Long 500 | 54,690 | — | — | |||||||||
Short Strategies | 35,362 | — | — | |||||||||
Large Value | 77,525 | 261,624 | — | |||||||||
Total Return | 59,042 | 9,135 | — | |||||||||
Master Neutral | 60,544 | — | — |
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 | — | — | |||||||||
Large 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.
188
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2018
As of September 30, 2018, 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 | $ — | $ 41,750 | $ 1,281,681 | $1,741,166 | $— | $ — | ||||||||||||||||
Absolute 500 Core | — | 5,478 | 262,123 | 238,218 | — | — | ||||||||||||||||
Enhanced 500 | — | 150,674 | 4,028,575 | 4,873,783 | — | — | ||||||||||||||||
Enhanced 500 Core | — | 25,689 | 447,994 | 348,848 | — | — | ||||||||||||||||
Neutral 500 | — | 4,396 | 59,291 | 501,051 | — | — | ||||||||||||||||
Hedged Plus | — | 13,994 | 270,974 | 342,715 | — | — | ||||||||||||||||
Hedged Core | — | 13,626 | 286,197 | 237,043 | — | — | ||||||||||||||||
Defensive Long | — | — | — | 404,296 | — | (27,300) | ||||||||||||||||
Defensive Long 500 | — | 60,991 | 816,435 | 1,516,017 | — | — | ||||||||||||||||
Short Strategies | (103,474) | — | — | (178,500) | — | — | ||||||||||||||||
Large Value | — | 121,522 | 341,484 | 483,096 | — | — | ||||||||||||||||
Total Return | — | 77 | 307,716 | 4,768,493 | — | — | ||||||||||||||||
Master Neutral | (42,755) | 807 | — | 124,863 | — | — |
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. The temporary differences as of September 30, 2018, were primarily attributed to wash sales on unsettled short sales, deferred of loss on unsettled trades, realized gain/loss on unsettled swaps and net dividend receivable and payable on unsettled swaps. Foreign currency and short-term capital gains are reported as ordinary income for federal income tax purposes.
As of September 30, 2018, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Funds were as follows:
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Absolute 500 | $ | 19,497,253 | $ | 2,945,417 | $ | (1,204,251) | $ | 1,741,166 | ||||||||
Absolute 500 Core | 2,600,371 | 370,685 | (132,467) | 238,218 | ||||||||||||
Enhanced 500 | 57,569,891 | 7,922,085 | (3,048,302) | 4,873,783 | ||||||||||||
Enhanced 500 Core | 3,688,412 | 483,647 | (134,799) | 348,848 | ||||||||||||
Neutral 500 | 7,085,457 | 1,054,325 | (553,274) | 501,051 | ||||||||||||
Hedged Plus | 3,634,520 | 570,311 | (227,596) | 342,715 | ||||||||||||
Hedged Core | 2,262,035 | 353,434 | (116,391) | 237,043 | ||||||||||||
Defensive Long | 3,845,396 | 688,150 | (283,854) | 404,296 | ||||||||||||
Defensive Long 500 | 19,027,262 | 2,482,780 | (966,763) | 1,516,017 | ||||||||||||
Short Strategies | 1,591,859 | 90,946 | (140,895) | (49,949) | ||||||||||||
Large Value | 30,678,646 | 726,040 | (242,944) | 483,096 | ||||||||||||
Total Return | 23,423,203 | 4,796,281 | (27,788) | 4,768,493 | ||||||||||||
Master Neutral | 3,606,770 | 305,991 | (181,128) | 124,863 |
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 year ended September 30, 2018, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2018. For the year ended September 30, 2018, the Funds deferred to October 1, 2018 the following losses:
189
GOTHAM FUNDS
Notes to Financial Statements (Concluded)
September 30, 2018
Late-Year Ordinary Losses Deferral | Short-Term Capital Loss Deferral | Long-Term Capital Loss Deferral | ||||
Defensive Long | $6,314 | $335,168 | $(314,182) |
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2018 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, 2018, the following Funds had long-term and short-term capital loss carryforwards in the following amounts:
Capital Losses Carryforwards | ||
Short Strategies | $103,474 | |
Master Neutral | 42,755 |
For the period ended September 30, 2018, the following Fund utilized capital losses as follows:
Capital Losses Utilized | ||
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 available to be issued, and has determined that there are no material subsequent events requiring recognition or disclosure in the financial statements.
190
GOTHAM FUNDS
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of FundVantage Trust and Shareholders of each of the thirteen funds listed in the table below
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of each of the funds listed in the table below (thirteen of the funds constituting FundVantage Trust, hereafter collectively referred to as the “Funds”) as of September 30, 2018, the related statements of operations, statements of changes in net assets, and for the eight funds designated with an asterisk below, the statements of cash flows for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2018, the results of each of their operations, the changes in each of their net assets, and for the eight funds designated with an asterisk below, each of their cash flows for the periods indicated in the table below and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
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 Defensive Long Fund*, and Gotham Defensive Long 500 Fund* | Statements of operations and cash flows for the year ended September 30, 2018 and the statement of changes in net assets for each of the two years in the period ended September 30, 2018 | |
Gotham Hedged Core Fund, Gotham Large Value Fund, and Gotham Total Return Fund | Statement of operations for the year ended September 30, 2018 and the statement of changes in net assets for each of the two years in the period ended September 30, 2018 | |
Gotham Short Strategies Fund | Statement of operations for the year ended September 30, 2018 and the statement of changes in net assets for the year ended September 30, 2018 and for the period July 31, 2017 (commencement of operations) through September 30, 2017 | |
Gotham Master Neutral Fund | Statement of operations for the year ended September 30, 2018 and the statement of changes in net assets for the year ended September 30, 2018 and for the period April 28, 2017 (commencement of operations) through September 30, 2017 |
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
191
GOTHAM FUNDS
Report of Independent Registered Public Accounting Firm (Concluded)
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2018 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 27, 2018
We have served as the auditor of one or more Gotham Asset Management LLC investment companies since 2011.
192
GOTHAM FUNDS
Shareholder Tax Information
(Unaudited)
Certain tax information regarding each Fund is required to be provided to shareholders based upon each fund’s income and distributions for the taxable year ended September 30, 2018. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2018. During the fiscal year ended September 30, 2018, the following dividends and distributions were paid by each of the Funds:
Ordinary Income | Long-Term Capital Gain | |||||||
Absolute 500 | $ | — | $ | 244,260 | ||||
Absolute 500 Core | 28,805 | — | ||||||
Enhanced 500 | 42,759 | 1,561,279 | ||||||
Enhanced 500 Core | 41,082 | — | ||||||
Neutral 500 | 14,644 | 7,988 | ||||||
Hedged Plus | 18,183 | 34,014 | ||||||
Hedged Core | 36,682 | — | ||||||
Defensive Long | 10,050 | 36,317 | ||||||
Defensive Long 500 | 54,690 | — | ||||||
Short Strategies | 35,362 | — | ||||||
Large Value | 77,525 | 261,624 | ||||||
Total Return | 59,042 | 9,135 | ||||||
Master Neutral | 60,544 | — |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
Where appropriate, all designations are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of each Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations thereunder.
Under the Jobs and Growth Tax Relief Reconciliation Act of 2003, the following percentages of ordinary dividends paid during the fiscal year ended September 30, 2018 were designated as “qualified dividend income”, as defined in the Act, and are subject to reduced tax rates:
Absolute 500 Core | 100.00 | % | ||
Enhanced 500 | 100.00 | % | ||
Enhanced 500 Core | 100.00 | % | ||
Neutral 500 | 100.00 | % | ||
Hedged Plus | 100.00 | % | ||
Hedged Core | 100.00 | % | ||
Defensive Long | 100.00 | % | ||
Defensive Long 500 | 100.00 | % | ||
Short Strategies | 50.14 | % | ||
Large Value | 59.37 | % | ||
Total Return | 100.00 | % | ||
Master Neutral | 13.16 | % |
The percentage of total ordinary income dividends paid qualifying for the corporate dividends received deduction for each Fund is as follows:
Absolute 500 Core | 100.00 | % | ||
Enhanced 500 | 100.00 | % | ||
Enhanced 500 Core | 100.00 | % | ||
Neutral 500 | 100.00 | % | ||
Hedged Plus | 100.00 | % |
193
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Shareholder Tax Information
(Unaudited)
Hedged Core | 100.00 | % | ||
Defensive Long | 100.00 | % | ||
Defensive Long 500 | 100.00 | % | ||
Short Strategies | 100.00 | % | ||
Large Value | 57.98 | % | ||
Total Return | 100.00 | % | ||
Master Neutral | 18.66 | % |
The percentage of qualified interest income related dividends not subject to withholding tax for non-resident aliens and foreign corporations is as follows:
Short Strategies | 0.10 | % | ||
Large Value | 0.04 | % | ||
Total Return | 2.08 | % | ||
Master Neutral | 4.36 | % |
Because the Funds’ fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2018. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns will be made in conjunction with Form 1099-DIV and will be mailed in January 2019.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by a Fund, if any.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in a Fund.
194
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. Form N-Q is being rescinded. Once Form N-Q is rescinded, disclosure of the Fund’s complete holdings will be required to be made monthly on Form N-PORT, with every third month made available to the public by the Commission 60 days after the end of the Fund’s fiscal quarter.
Board Consideration of Investment Advisory Agreement
At a meeting held on June 25-26, 2018 (the “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 continuation for an additional one-year period of the advisory agreement between Gotham Asset Management, LLC (“Gotham” or the “Adviser”) and the Trust (the “Agreement”) on behalf of 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 Large Value Fund, Gotham Total Return Fund and the Gotham Master Neutral Fund (together, the “Funds”).
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 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 (including soft dollar arrangements, if any), (vii) the procedures for allocating investment opportunities between the Funds and other clients, (viii) results of any regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding that may have a material impact on Gotham’s ability to service the Funds, (x) compliance with the Funds’ investment objectives, policies and practices (including codes of ethics and proxy voting policies) and (xi) compliance with federal securities laws and other regulatory requirements. The Trustees noted the reports that were provided to them and discussions with management of the Adviser as provided at the Board meetings throughout the year covering matters such as the relative performance of the Funds; compliance with the investment objectives, policies, strategies and limitations for the Funds; the compliance of management personnel with the applicable code of ethics; and the adherence to the Trust’s pricing procedures as established by the Board.
Performance. The Trustees considered the investment performance for the Funds and Gotham. The Trustees reviewed historical performance charts which showed the performance of the Funds as compared to their respective benchmark indices and Lipper categories for the one year, two year, three year, five year, ten year, year-to-date, and since inception periods ended March 31, 2018, as applicable. The Trustees considered the short term and long term performance of the Funds, as applicable. The Trustees noted that they considered performance reports provided at Board meetings throughout the year.
Gotham Absolute 500 Fund. The Trustees noted that the Gotham Absolute 500 Fund outperformed the Lipper Alternative Long/Short Equity Funds Index for the one year, two year, three year and since inception periods ended March 31, 2018, and underperformed the index for the year-to-date period ended March 31, 2018. The Trustees concluded that the performance of the Gotham Absolute 500 Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
195
GOTHAM FUNDS
Other Information (Continued)
(Unaudited)
Gotham Absolute 500 Core Fund. The Trustees noted that the Gotham Absolute 500 Core Fund underperformed the HFRX Equity Hedge Index for the year-to-date period ended March 31, 2018 and outperformed the HFRX Equity Hedge Index for the one year and since inception periods ended March 31, 2018. The Trustees further noted that the Gotham Absolute 500 Core Fund outperformed the Lipper Alternative Long/Short Equity Funds Index for the year-to-date, one year and since inception periods ended March 31, 2018. The Trustees concluded that the performance of the Gotham Absolute 500 Core Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
Gotham Defensive Long Fund. The Trustees noted that the Gotham Defensive Long Fund underperformed the S&P 500 Daily Reinvested Index for the year-to-date, one year and since inception periods ended March 31, 2018, and underperformed the Lipper Alternative Long/Short Equity Funds Index for the year-to-date period ended March 31, 2018. The Trustees further noted that the Gotham Defensive Long Fund outperformed the Lipper Alternative Long/Short Equity Funds Index for the one year and since inception periods ended March 31, 2018. The Trustees concluded that the performance of the Gotham Defensive Long Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
Gotham Defensive Long 500 Fund. The Trustees noted that the Gotham Defensive Long 500 Fund underperformed the S&P 500 Daily Reinvested Index and the Lipper Alternative Long/Short Equity Funds Index for the year-to-date period ended March 31, 2018 and outperformed the S&P 500 Daily Reinvested Index and Lipper Alternative Long/Short Equity Funds Index for the one year and since inception periods ended March 31, 2018. The Trustees concluded that the performance of the Gotham Defensive Long 500 Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
Gotham Enhanced 500 Fund. The Trustees noted that the Gotham Enhanced 500 Fund outperformed the Lipper Alternative Long/Short Equity Funds Index for the one year, two year, three year and since inception periods ended March 31, 2018, and outperformed the S&P 500 Daily Reinvested Index for the one year, two year and three year periods ended March 31, 2018. The Trustees noted that the Gotham Enhanced 500 Fund underperformed the S&P 500 Daily Reinvested Index and the Lipper Alternative Long/Short Equity Funds Index for the year-to-date period ended March 31, 2018 and underperformed the S&P 500 Daily Reinvested Index for the since inception period ended March 31, 2018. The Trustees concluded that the performance of the Gotham Enhanced 500 Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
Gotham Enhanced 500 Core Fund. The Trustees noted that the Gotham Enhanced 500 Core Fund underperformed the S&P 500 Daily Reinvested Index and the Lipper Alternative Long/Short Equity Funds Index for the year-to date period ended March 31, 2018 and outperformed the S&P 500 Daily Reinvested Index and the Lipper Alternative Long/Short Equity Funds Index for the one year and since inception periods ended March 31, 2018. The Trustees concluded that the performance of the Gotham Enhanced 500 Core Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
Gotham Hedged Core Fund. The Trustees noted that the Gotham Hedged Core Fund underperformed the HFRX Equity Hedge Index and Lipper Alternative Long/Short Equity Funds Index for the year-to-date period ended March 31, 2018 and outperformed the HFRX Equity Hedge Index and Lipper Alternative Long/Short Equity Funds Index for the one year and since inception periods ended March 31, 2018. The Trustees concluded that the performance of the Gotham Hedged Core Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
Gotham Hedged Plus Fund. The Trustees noted that the Gotham Hedged Plus Fund outperformed the Lipper Alternative Long/Short Equity Funds Index and HFRX Equity Hedge Index for the one year, two year and since inception periods ended March 31, 2018 and underperformed the Lipper Alternative Long/Short Equity Funds Index and HFRX Equity Hedge Index for the year-to-date period ended March 31, 2018. The Trustees concluded that the performance of the Gotham Hedged Plus Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
196
GOTHAM FUNDS
Other Information (Continued)
(Unaudited)
Gotham Large Value Fund. The Trustees noted that the Gotham Large Value Fund outperformed the Lipper Multi-Cap Core Funds Index and S&P 500 Daily Reinvested Index for the year-to-date, one year and since inception periods ended March 31, 2018, and underperformed the Lipper Multi-Cap Core Funds Index and S&P 500 Daily Reinvested Index for the two year period ended March 31, 2018. The Trustees concluded that the performance of the Gotham Large Value Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
Gotham Master Neutral Fund. The Trustees noted that the Gotham Master Neutral Fund underperformed the HFRX Equity Hedge Index for the year-to-date and since inception periods ended March 31, 2018 and outperformed the Lipper Alternative Equity Market Neutral Funds Index for the year-to-date and since inception periods ended March 31, 2018. The Trustees concluded that the performance of the Gotham Master Neutral Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
Gotham Neutral 500 Fund. The Trustees noted that the Gotham Neutral 500 Fund underperformed the ICE BofAML US 3-Month Treasury Bill Index for the year-to-date period ended March 31, 2018 and outperformed the ICE BofAML US 3-Month Treasury Bill Index for the one year and since inception periods ended March 31, 2018. The Trustees further noted that the Gotham Neutral 500 Fund outperformed the Lipper Alternative Equity Market Neutral Funds Index for the year-to-date, one year and since inception periods ended March 31, 2018. The Trustees concluded that the performance of the Gotham Neutral 500 Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
Gotham Total Return Fund. The Trustees noted that the Institutional Class of the Gotham Total Return Fund outperformed the Lipper Alternative Long/Short Equity Funds Index and the HFRX Equity Hedge Index for the one year, two year, three year and since inception periods ended March 31, 2018, and underperformed the Lipper Alternative Long/Short Equity Funds Index and the HFRX Equity Hedge Index for the year-to-date period ended March 31, 2018. The Trustees also noted that the Investor Class of the Gotham Total Return Fund underperformed the Lipper Alternative Long/Short Equity Funds Index and the HFRX Equity Hedge Index for the period from January 2, 2018 (commencement of investment operations) through March 31, 2018. The Trustees concluded that the performance of the Gotham Total Return Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
Fees. The Trustees noted that the representatives of Gotham had provided information regarding its advisory fees and an analysis of these fees in relation to the services provided to the Funds and any other ancillary benefit resulting from the Gotham relationship with the Funds.
The Trustees also reviewed information regarding the fees Gotham charges to other clients and evaluated explanations provided by Gotham as to differences in fees charged to the Funds and other similarly managed accounts. The Trustees reviewed fees charged by other advisers that manage comparable mutual funds with similar strategies. The Trustees concluded that the advisory fees and services provided by Gotham are consistent with those of other advisers that manage mutual funds with investment objectives, strategies and policies similar to those of the Funds as measured by the information provided by Gotham.
The Board considered, among other data, the specific factors and related conclusions set forth below with respect to each Fund:
Gotham Absolute 500 Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were each higher than the gross advisory fee and net total expense ratio of the median of funds with a similar share class in the Lipper Alternative Long/Short Equity Funds Index. The Trustees also discussed the limitations of the comparative expense information of the Gotham Absolute 500 Fund, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the advisory fee was reasonable in light of the high quality of services received by the Fund from Gotham.
Gotham Absolute 500 Core Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were each lower than the gross advisory fee and net total expense ratio of the median of funds in the Lipper Alternative Long/Short Equity Funds Index, respectively. The Trustees also discussed the limitations of the comparative expense information of the Gotham Absolute 500 Core Fund, given the potential varying nature, extent and quality of the services
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GOTHAM FUNDS
Other Information (Continued)
(Unaudited)
provided by the advisors of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the Fund’s advisory fee was reasonable in light of the high quality of services received by the Fund from Gotham.
Gotham Defensive Long Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were each higher than the gross advisory fee and net total expense ratio of the median of funds in the Lipper Alternative Long/Short Equity Funds Index. The Trustees also discussed the limitations of the comparative expense information of the Gotham Defensive Long Fund, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the Fund’s advisory fee was reasonable in light of the high quality of services received by the Fund from Gotham.
Gotham Defensive Long 500 Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were each higher than the gross advisory fee and net total expense ratio of the median of funds in the Lipper Alternative Long/Short Equity Funds Index. The Trustees also discussed the limitations of the comparative expense information of the Gotham Defensive Long 500 Fund, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the Fund’s advisory fee was reasonable in light of the high quality of services received by the Fund from Gotham.
Gotham Enhanced 500 Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were each higher than the gross advisory fee and net total expense ratio of the median of funds with a similar share class in the Lipper Alternative Long/Short Equity Funds Index. The Trustees also discussed the limitations of the comparative expense information of the Gotham Enhanced 500 Fund, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the advisory fee was reasonable in light of the high quality of services received by the Fund from Gotham.
Gotham Enhanced 500 Core Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were each lower than the gross advisory fee and net total expense ratio of the median of funds in the Lipper Alternative Long/Short Equity Funds Index. The Trustees also discussed the limitations of the comparative expense information of the Gotham Enhanced 500 Core Fund, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the Fund’s advisory fee was reasonable in light of the high quality of services received by the Fund from Gotham.
Gotham Hedged Core Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were each lower than the gross advisory fee and net total expense ratio of the median of funds in the Lipper Alternative Long/Short Equity Funds Index. The Trustees also discussed the limitations of the comparative expense information of the Gotham Hedged Core Fund, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the Fund’s advisory fee was reasonable in light of the high quality of services received by the Fund from Gotham.
Gotham Hedged Plus Fund. With respect to advisory fees and expenses, the gross advisory fee and the net total expense ratio for the Fund’s Institutional Class shares were each lower than the gross advisory fee and net total expense ratio of the median of funds with a similar share class in the Fund’s applicable Lipper Alternative Long/Short Equity Funds Index. The Trustees also discussed the limitations of the comparative expense information of the Gotham Hedged Plus Fund, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the advisory fee was reasonable in light of the high quality of services received by the Fund from Gotham.
Gotham Large Value Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were each higher than the gross advisory fee and net total expense ratio of the median of funds with a similar share class in the Fund’s applicable Lipper Alternative Long/Short Equity Index. As of August 31, 2018, the Fund’s advisory fee was reduced from 0.80% to 0.75% and the Expense Limitation was reduced from 0.95% to 0.75%. The Trustees also discussed the limitations of the comparative expense information of the Gotham Large Value Fund, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the advisory fee was reasonable in light of the high quality of services received by the Fund from Gotham.
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GOTHAM FUNDS
Other Information (Continued)
(Unaudited)
Gotham Master Neutral Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were each lower than the gross advisory fee and net total expense ratio of the median of funds in the Lipper Lipper Alternative Equity Market-Neutral Fund Index. The Trustees discussed that the Gotham Master Neutral Fund is a “fund of funds,” and that there is no advisory fee in respect of assets invested in other funds advised by Gotham. The Trustees also discussed the limitations of the comparative expense information of the Gotham Master Neutral Fund, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the Fund’s advisory fee was reasonable in light of the high quality of services received by the Fund from Gotham.
Gotham Neutral 500 Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were each higher than the gross advisory fee and net total expense ratio of the median of funds in the Lipper Alternative Equity Market Neutral Funds Index. The Trustees also discussed the limitations of the comparative expense information of the Gotham Neutral 500 Fund, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the Fund’s advisory fee was reasonable in light of the high quality of services received by the Fund from Gotham.
Gotham Total Return Fund. With respect to advisory fees and expenses, the net total expense ratio was lower for the Fund’s Institutional Class shares than the net total expense ratio of the median of funds with a similar share class in the Lipper Alternative Long/Short Equity Funds Index. The Trustees discussed that the Gotham Total Return Fund is a “fund of funds,” and that there is no advisory fee in respect of assets invested in other funds advised by Gotham. The Trustees noted that the Gotham Total Return Fund does not collect an advisory fee because it invests only in other series of the Trust advised by Gotham. The Trustees also discussed the limitations of the comparative expense information of the Gotham Total Return Fund, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in the Lipper Fund category. Based upon their review, the Trustees concluded that the advisory fee was reasonable in light of the high quality of services received by the Fund from Gotham.
Nature and Quality of Services Provided by Adviser. The Trustees then considered the nature and quality of services provided by the Adviser. In evaluating the quality of services provided by Gotham, the Trustees considered the level and depth of knowledge of Gotham, including the professional experience and qualifications of 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 compliance policies and procedures and reports regarding Gotham compliance operations from the Trust Compliance Officer. The Board also considered any potential conflicts of interest that may arise in a portfolio manager’s management of the Funds investments on the one hand, and the investments of other accounts, on the other. The Trustees reviewed the services provided to each Fund by Gotham and concluded that the nature, extent and quality of the services provided were appropriate and consistent with the terms of the Gotham Agreement, that the quality of the services appeared to be consistent with industry norms and that the Funds are likely to benefit from the continued receipt of those services. They also concluded that Gotham has sufficient personnel, with the appropriate education and experience, to serve the Funds effectively and had demonstrated their ability to attract and retain qualified personnel.
Cost and Profitability. The Trustees then considered the costs of the services provided by Gotham, the compensation and benefits received by Gotham in providing services to the Funds, as well as Gotham’s profitability. The Trustees considered any direct or indirect revenues which would be received by Gotham. The Trustees noted that the level of profitability is an appropriate factor to consider, and the Trustees should be satisfied that Gotham’s profits are sufficient to continue as a healthy concern generally and as investment adviser of the Funds. Based on the information provided, the Trustees concluded that Gotham’s advisory fee level was reasonable in relation to the nature and quality of the services provided, taking into account the current size and projected continued growth of the Funds.
Economies of Scale. In considering the reasonableness of the contractual investment advisory fees of each Fund, the Board considered whether economies of scale will be realized as a Fund grows and whether fee rate levels reflect these economies for the benefit of Fund shareholders. The Board noted that while some Funds have not achieved asset levels where economies of scale are present, certain Funds have asset levels where such economies may have a higher likelihood of being recognized sooner in the event asset growth continues. The Board noted the Adviser’s belief that breakpoints are not warranted at this time because each Fund is currently operating under a contractual expense limitation agreement whereby the Adviser waives its advisory fee and/or reimburses a Fund’s expenses to maintain a net expense ratio, that contractual advisory fees for the Funds are comparable to fees for other
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GOTHAM FUNDS
Other Information (Concluded)
(Unaudited)
accounts of the Adviser using similar strategies, and that certain Funds utilizing a long-short all-cap strategy could have limited capacity for asset growth. Based on the foregoing information, the Board concluded that, it was not yet necessary to consider whether the fee structure of the funds provided an adequate mechanism for sharing the benefit of any such economies.
The Trustees determined to approve the Agreement for an additional one year period. In voting to approve the continuation of the Agreement, the Board considered all factors it deemed relevant and the information presented to the Board by Gotham. In arriving at its decision, the Board did not identify any single factor as being of paramount importance and each member of the Board gave varying weights to each factor according to his or her own judgment. The Board determined that the continuation of the Agreement would be in the best interests of the Funds and their shareholders. The Board, including a majority of the Independent Trustees, unanimously approved the Agreement for an additional one year period.
200
GOTHAM FUNDS
Privacy Notice
(Unaudited)
The privacy of your personal financial information is extremely important to us. When you open an account with us, we collect a significant amount of information from you in order to properly invest and administer your account. We take very seriously the obligation to keep that information private and confidential, and we want you to know how we protect that important information.
We collect nonpublic personal information about you from applications or other forms you complete and from your transactions with us or our affiliates. We do not disclose information about you, or our former clients, to our affiliates or to service providers or other third parties, except as permitted by law. We share only the information required to properly administer your accounts, which enables us to send transaction confirmations, monthly or quarterly statements, financials and tax forms. Even within FundVantage Trust and its affiliated entities, a limited number of people who actually service accounts will have access to your personal financial information. Further, we do not share information about our current or former clients with any outside marketing groups or sales entities.
To ensure the highest degree of security and confidentiality, FundVantage Trust and its affiliates maintain various physical, electronic and procedural safeguards to protect your personal information. We also apply special measures for authentication of information you request or submit to us on our web site www.gothamfunds.com.
If you have questions or comments about our privacy practices, please call us at 1-877-974-6852.
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GOTHAM FUNDS
Fund Management
(Unaudited)
FundVantage Trust (the “Trust”) is governed by a Board of Trustees (the “Board” or the “Trustees”). The primary responsibility of the Trustees is to represent the interest of the Trust’s shareholders and to provide oversight management of the Trust.
The following tables present certain information regarding the Board of Trustees and officers of the Trust. None of the Trustees are an “interested person” of the Trust, the Adviser, another investment adviser of a series of the Trust, or Foreside Funds Distributors LLC, the principal underwriter of the Trust (“Underwriter”), within the meaning of the 1940 Act and each Trustee is referred to as an “Independent Trustee” and is listed under such heading below. Employees of certain service providers to the Trust serve as officers of the Trust; such persons are not compensated by the Fund. The address of each Trustee and officer as it relates to the Trust’s business is 301 Bellevue Parkway, 2nd Floor, Wilmington, DE 19809.
The Statement of Additional Information for the Funds contains additional information about the Trustees and is available, without charge, upon request, by calling (877) 974-6852.
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Trust Complex by Trustee | Other Directorships Held by Trustee | |||||
INDEPENDENT TRUSTEES
| ||||||||||
ROBERT J. CHRISTIAN Date of Birth: 2/49 |
Trustee and Chairman of the Board |
Shall serve until death, resignation or removal. Trustee and Chairman since 2007. |
Retired since February 2006; Executive Vice President of Wilmington Trust Company from February 1996 to February 2006; President of Rodney Square Management Corporation (“RSMC”) (investment advisory firm) from 1996 to 2005; Vice President of RSMC from 2005 to 2006. |
41 |
Optimum Fund Trust (registered investment company with 6 portfolios). | |||||
IQBAL MANSUR Date of Birth: 6/55 |
Trustee |
Shall serve until death, resignation or removal. Trustee since 2007. |
University Professor, Widener University. |
41 |
None. | |||||
NICHOLAS M. MARSINI, JR. Date of Birth: 8/55 |
Trustee |
Shall serve until death, resignation or removal. Trustee since 2016. |
Retired since March 2016. President of PNC Bank Delaware from June 2011 to March 2016; Executive Vice President Finance of BNY Mellon from July 2010 to January 2011; Executive Vice President and Chief Financial Officer of PNC Global Investment Servicing from September 1997 to July 2010. |
41 |
Brinker Capital Destinations Trust (registered investment company with 10 portfolios). | |||||
STEPHEN M. WYNNE Date of Birth: 1/55 |
Trustee |
Shall serve until death, resignation or removal. Trustee since 2009. |
Retired since December 2010; Chief Executive Officer of US Funds Services, BNY Mellon Asset Servicing from July 2010 to December 2010; Chief Executive Officer of PNC Global Investment Servicing from March 2008 to July 2010; President, PNC Global Investment Servicing from 2003 to 2008. |
41 |
Copeland Trust (registered investment company with 2 portfolios). |
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GOTHAM FUNDS
Fund Management (Concluded)
(Unaudited)
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Trust Complex by Trustee | Other Directorships Held by Trustee | |||||
NANCY B. WOLCOTT Date of Birth: 11/54 |
Trustee |
Shall serve until death, resignation or removal. Trustee since 2011. |
Retired since May 2014; EVP, Head of GFI Client Service Delivery, BNY Mellon from January 2012 to May 2014; EVP, Head of US Funds Services, BNY Mellon from July 2010 to January 2012; President of PNC Global Investment Servicing from 2008 to July 2010; Chief Operating Officer of PNC Global Investment Servicing from 2007 to 2008; Executive Vice President of PFPC Worldwide Inc. from 2006 to 2007. |
41 |
Lincoln Variable Insurance Products Trust (registered investment company with 92 portfolios). |
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | |||
EXECUTIVE OFFICERS | ||||||
JOEL L. WEISS Date of Birth: 1/63 |
President and Chief Executive Officer |
Shall serve until death, resignation or removal. Officer since 2007. |
President of JW Fund Management LLC since June 2016; Vice President and Managing Director of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from 1993 to June 2016. | |||
T. RICHARD KEYES Date of Birth: 1/57 |
Treasurer and Chief Financial Officer |
Shall serve until death, resignation or removal. Officer since 2016. |
President of TRK Fund Consulting LLC since July 2016; Head of Tax - U.S. Fund Services of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from February 2006 to July 2016. | |||
VINCENZO A. SCARDUZIO Date of Birth: 4/72 |
Secretary |
Shall serve until death, resignation or removal. Officer since 2012. |
Director and Vice President Regulatory Administration of The Bank of New York Mellon and predecessor firms since 2001. | |||
DAVID C. LEBISKY Date of Birth: 5/72 |
Chief Compliance Officer and Anti-Money Laundering Officer |
Shall serve until death, resignation or removal. Officer since 2015. |
President of Lebisky Compliance Consulting LLC since October 2015; Consultant, Duff & Phelps, LLC since 2016; Senior Consultant, Freeh Group International Solutions, LLC (a global risk management firm) from 2015 to 2018; Scotia Institutional Investments US, LP, Director of Regulatory Administration from 2010 to 2014. |
203
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
240 Greenwich 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-0918
SIRIOS LONG/SHORT FUND
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $100,000 (investment minimum) Investment in Sirios Long/Short Fund Institutional
Class
vs. HFRX Equity Hedge Index
Total Returns for the Period Ended September 30, 2018 | ||
Since Inception† | ||
Institutional Class | 6.80%* | |
HFRX Equity Hedge Index | (1.29%)** |
† | Not annualized. |
* | The Sirios Long/Short Fund (the “Fund”) Institutional Class shares commenced operations on May 3, 2018. |
** | 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 (866) 640-5704. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated April 30, 2018, are 2.54% and 2.06%, respectively, for Institutional Class shares of the Fund’s average daily net assets. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered by this report. Sirios Capital Management, L.P. (the “Adviser”) has contractually agreed to waive or otherwise reduce its compensation and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses, excluding taxes, any class-specific fees and expenses (such as Rule 12b-1 distribution fees, shareholder service fees or transfer agency fees), “Acquired Fund Fees and Expenses,” dividend and interest expense on short sales of securities, interest, extraordinary items and brokerage commissions, do not exceed 1.60% of average daily
SIRIOS LONG/SHORT FUND
Annual Report
Performance Data (Concluded)
September 30, 2018
(Unaudited)
net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until April 30, 2020, unless the Board of Trustees approves its earlier termination. This agreement may be terminated only by the Fund’s Board of Trustees. 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 recoupment 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 the reimbursement. No reimbursement will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund intends to evaluate performance as compared to that of the HFRX Equity Hedge Index (“HFRX Index”). Hedge Fund Research, Inc. constructs the HFRX Index methodology. The HFRX Index is comprised of long/short equity hedge funds. The HFRX Index is unmanaged and its returns (i) do not include sales charges or fees, which would lower performance; and (ii) are subject to a variety of material distortions, as investments in hedge funds typically involve substantial risks, including the “risk of ruin.” It is impossible to invest directly in an index.
The Fund is non-diversified and invests in a limited number of securities. As a result, the Fund’s investment performance may be more volatile, as it may be more susceptible to risks associated with a single economic, political, or regulatory event than a fund that invests in a greater number of issuers.
Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase.
2
SIRIOS LONG/SHORT FUND
Fund Expense Disclosure
September 30, 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 from May 3, 2018, the commencement of operations, through September 30, 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.
3
SIRIOS LONG/SHORT FUND
Fund Expense Disclosure (Concluded)
September 30, 2018
(Unaudited)
Sirios Long/Short Fund | |||||||||||||||
Beginning Account Value May 3, 2018 | Ending Account Value September 30, 2018 | Expenses Paid During Period* | |||||||||||||
Institutional Class | |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,068.00 | $ | 8.86 | ** | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,014.54 | 10.61 | ** |
* | Expenses are equal to the annualized expense ratio for the period beginning May 3, 2018, commencement of operations, to September 30, 2018 of 2.10% for Institutional Class shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (149), then divided by 365 to reflect the period. The Institutional Class shares ending account values on the first line of the table are based on the actual total return for the Fund since commencement of operations of 6.80%. For comparative purposes, the Hypothetical expenses are as if the Institutional Class shares had been in existence from April 1, 2018, and are equal to the Institutional Class shares annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (183), then divided by 365 to reflect the period. |
** | These amounts include dividends paid on securities which the Fund has sold short (“Short-sale dividends”). The amount of short-sale dividends expense was 0.50% of average net assets for the Institutional Class shares of the Fund. |
4
SIRIOS LONG/SHORT FUND
Portfolio Holdings Summary Table
September 30, 2018
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||
LONG POSITIONS: | ||||||||
Common Stocks: | ||||||||
Healthcare-Products | 14.0 | % | $ | 1,493,997 | ||||
Aerospace & Defense | 10.6 | 1,129,558 | ||||||
Banks | 9.6 | 1,023,539 | ||||||
Transportation | 7.3 | 777,759 | ||||||
Retail | 7.2 | 765,009 | ||||||
Chemicals | 6.2 | 656,835 | ||||||
Insurance | 5.0 | 531,207 | ||||||
Semiconductors | 4.7 | 496,906 | ||||||
Oil & Gas | 4.3 | 460,197 | ||||||
Beverages | 4.0 | 432,260 | ||||||
Diversified Financial Services | 3.3 | 348,436 | ||||||
Computers | 3.1 | 335,260 | ||||||
Healthcare-Services | 2.2 | 239,061 | ||||||
Home Builders | 2.0 | 216,594 | ||||||
Oil & Gas Services | 1.8 | 195,854 | ||||||
Media | 1.2 | 129,521 | ||||||
Internet | 0.6 | 62,150 | ||||||
Cosmetics & Personal Care | 0.5 | 34,867 | ||||||
Telecommunications | 0.3 | 55,798 | ||||||
Short-term investments | 14.1 | 1,501,125 | ||||||
|
|
|
| |||||
Total Long Positions | 102.0 | 10,885,933 | ||||||
|
|
|
| |||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Home Furnishings | (0.2 | ) | (24,849 | ) | ||||
Oil & Gas | (1.0 | ) | (104,234 | ) | ||||
Biotechnology | (1.1 | ) | (116,082 | ) | ||||
Retail | (1.4 | ) | (144,434 | ) | ||||
Computers | (1.9 | ) | (204,921 | ) | ||||
Exchange Traded Funds | (19.1 | ) | (2,040,714 | ) | ||||
|
|
|
| |||||
Total Short Positions | (24.7 | ) | (2,635,234 | ) | ||||
|
|
|
| |||||
Other Assets In Excess of Liabilities | 22.7 | % | $ | 2,428,509 | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 10,679,208 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
5
SIRIOS LONG/SHORT FUND
Portfolio of Investments
September 30, 2018
Number | ||||||||
of Shares | Value | |||||||
LONG POSITIONS — 102.0% |
| |||||||
COMMON STOCKS — 87.9% |
| |||||||
Aerospace & Defense — 10.6% |
| |||||||
Airbus SE (France) | 5,436 | $ | 682,450 | |||||
General Dynamics Corp. | 2,184 | 447,108 | ||||||
|
| |||||||
1,129,558 | ||||||||
|
| |||||||
Banks — 9.6% | ||||||||
Bank of America Corp.† | 12,032 | 354,463 | ||||||
JPMorgan Chase & Co.† | 4,120 | 464,901 | ||||||
Regions Financial Corp.† | 9,992 | 183,353 | ||||||
Western Alliance Bancorp* | 366 | 20,822 | ||||||
|
| |||||||
1,023,539 | ||||||||
|
| |||||||
Beverages — 4.0% | ||||||||
Coca-Cola Co. (The)† | 5,129 | 236,908 | ||||||
Constellation Brands, Inc., Class A† | 906 | 195,352 | ||||||
|
| |||||||
432,260 | ||||||||
|
| |||||||
Chemicals — 6.2% | ||||||||
PPG Industries, Inc. | 884 | 96,471 | ||||||
Sherwin-Williams Co. (The) | 1,231 | 560,364 | ||||||
|
| |||||||
656,835 | ||||||||
|
| |||||||
Computers — 3.1% | ||||||||
Check Point Software Technologies Ltd. (Israel)* | 344 | 40,478 | ||||||
International Business Machines Corp.† | 1,396 | 211,089 | ||||||
Perspecta, Inc. | 3,254 | 83,693 | ||||||
|
| |||||||
335,260 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.5% |
| |||||||
Beiersdorf AG (Germany) | 495 | 55,798 | ||||||
|
|
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financial Services — 3.3% |
| |||||||
Affiliated Managers Group, Inc. | 2,196 | $ | 300,237 | |||||
BrightSphere Investment Group PLC | 3,887 | 48,199 | ||||||
|
| |||||||
348,436 | ||||||||
|
| |||||||
Healthcare-Products — 14.0% |
| |||||||
Abbott Laboratories† | 7,124 | 522,617 | ||||||
Becton Dickinson and Co. | 2,153 | 561,933 | ||||||
Boston Scientific Corp.†* | 10,635 | 409,447 | ||||||
|
| |||||||
1,493,997 | ||||||||
|
| |||||||
Healthcare-Services — 2.2% |
| |||||||
Universal Health Services, Inc., Class B† | 1,870 | 239,061 | ||||||
|
| |||||||
Home Builders — 2.0% |
| |||||||
DR Horton, Inc.† | 5,135 | 216,594 | ||||||
|
| |||||||
Insurance — 5.0% | ||||||||
Berkshire Hathaway, Inc., Class B†* | 2,481 | 531,207 | ||||||
|
| |||||||
Internet — 0.6% | ||||||||
Imperva, Inc.* | 1,338 | 62,150 | ||||||
|
| |||||||
Media — 1.2% | ||||||||
World Wrestling Entertainment, Inc., Class A† | 1,339 | 129,521 | ||||||
|
| |||||||
Oil & Gas — 4.3% | ||||||||
Andeavor | 327 | 50,194 | ||||||
BP PLC, SP ADR (United Kingdom) | 1,110 | 51,171 | ||||||
PBF Energy, Inc., Class A† | 3,491 | 174,236 |
The accompanying notes are an integral part of the financial statements.
6
SIRIOS LONG/SHORT FUND
Portfolio of Investments (Continued)
September 30, 2018
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Oil & Gas — (Continued) | ||||||||
Pioneer Natural Resources Co.† | 782 | $ | 136,217 | |||||
Royal Dutch Shell PLC, Class A, SP ADR (Netherlands) | 710 | 48,379 | ||||||
|
| |||||||
460,197 | ||||||||
|
| |||||||
Oil & Gas Services — 1.8% | ||||||||
Schlumberger Ltd. | 2,189 | 133,354 | ||||||
TechnipFMC PLC (United Kingdom) | 2,000 | 62,500 | ||||||
|
| |||||||
195,854 | ||||||||
|
| |||||||
Retail — 7.2% | ||||||||
BJ’s Wholesale Club Holdings, Inc.* | 9,857 | 263,970 | ||||||
Carmax, Inc.†* | 2,171 | 162,109 | ||||||
McDonald’s Corp.† | 2,026 | 338,930 | ||||||
|
| |||||||
765,009 | ||||||||
|
| |||||||
Semiconductors — 4.7% | ||||||||
Analog Devices, Inc.† | 1,745 | 161,343 | ||||||
Intel Corp.† | 3,328 | 157,381 | ||||||
NXP Semiconductors NV (Netherlands) | 2,084 | 178,182 | ||||||
|
| |||||||
496,906 | ||||||||
|
| |||||||
Telecommunications — 0.3% |
| |||||||
VEON Ltd., ADR (Netherlands) | 12,023 | 34,867 | ||||||
|
| |||||||
Transportation — 7.3% | ||||||||
CSX Corp.† | 2,591 | 191,864 | ||||||
FedEx Corp.† | 771 | 185,649 | ||||||
Kansas City Southern† | 1,862 | 210,927 |
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Old Dominion Freight Line, Inc.† | 1,174 | $ | 189,319 | |||||
|
| |||||||
777,759 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 9,384,808 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT — 14.1% |
| |||||||
Dreyfus Treasury & Cash Management, Institutional Shares, 1.96%(a) | 1,501,125 | 1,501,125 | ||||||
|
| |||||||
TOTAL LONG POSITIONS - 102.0% |
| 10,885,933 | ||||||
|
| |||||||
SHORT POSITIONS — (24.7)% |
| |||||||
COMMON STOCKS — (5.6)% |
| |||||||
Biotechnology — (1.1)% | ||||||||
Amgen, Inc. | (560 | ) | (116,082 | ) | ||||
|
| |||||||
Computers — (1.9)% | ||||||||
Accenture PLC, Class A (Ireland) | (1,204 | ) | (204,921 | ) | ||||
|
| |||||||
Home Furnishings — (0.2)% |
| |||||||
Electrolux AB, Series B (Sweden) | (1,128 | ) | (24,849 | ) | ||||
|
| |||||||
Oil & Gas — (1.0)% | ||||||||
Exxon Mobil Corp. | (1,226 | ) | (104,234 | ) | ||||
|
| |||||||
Retail — (1.4)% | ||||||||
Walmart, Inc. | (1,538 | ) | (144,434 | ) | ||||
|
| |||||||
TOTAL COMMON STOCKS (Proceeds $547,149) | (594,520 | ) | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
7
SIRIOS LONG/SHORT FUND
Portfolio of Investments (Continued)
September 30, 2018
Number | ||||||||
of Shares | Value | |||||||
EXCHANGE TRADED FUNDS — (19.1)% |
| |||||||
Industrial Select Sector SPDR Fund | (540 | ) | $ | (42,336 | ) | |||
iShares Russell 1000 ETF | (2,727 | ) | (440,983 | ) | ||||
iShares U.S. Real Estate ETF | (971 | ) | (77,700 | ) | ||||
SPDR S&P 500 ETF Trust | (4,747 | ) | (1,380,048 | ) | ||||
SPDR S&P Regional Banking ETF | (1,677 | ) | (99,647 | ) | ||||
|
| |||||||
(2,040,714 | ) | |||||||
|
| |||||||
TOTAL EXCHANGE TRADED FUNDS | (2,040,714 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (24.7)% |
| |||||||
(Proceeds $2,471,707) | (2,635,234 | ) | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 22.7% | 2,428,509 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 10,679,208 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
* | Non-income producing. |
(a) | Rate disclosed is the 7-day yield at September 30, 2018. |
The accompanying notes are an integral part of the financial statements.
8
SIRIOS LONG/SHORT FUND
Portfolio of Investments (Concluded)
September 30, 2018
Forward foreign currency contracts outstanding as of September 30, 2018 were as follows:
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized Appreciation | ||||||||||||||||||||||||||||||||||||||||||||||
SEK | 219,000 | USD | 24,740 | 12/19/18 | MS | $ | 84 | |||||||||||||||||||||||||||||||||||||||||||
USD | 736,364 | EUR | 626,000 | 12/19/18 | MS | 4,397 | ||||||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||||||||
$ | 4,481 | |||||||||||||||||||||||||||||||||||||||||||||||||
|
|
Legend | ||
ADR | American Depository Receipt | |
EUR | Euro | |
MS | Morgan Stanley | |
PLC | Public Limited Company | |
SEK | Swedish Krona | |
SP ADR | Sponsored American Depository Receipt | |
USD | United States Dollar |
The accompanying notes are an integral part of the financial statements.
9
SIRIOS LONG/SHORT FUND
Statement of Assets and Liabilities
September 30, 2018
Assets | ||||
Investments, at value (Cost $10,241,205) | $ | 10,885,933 | ||
Cash | 737 | |||
Deposits with brokers for securities sold short | 2,668,978 | |||
Receivable for investments sold | 36,308 | |||
Receivable from Investment Adviser | 12,561 | |||
Dividends and interest receivable | 8,034 | |||
Unrealized appreciation on forward foreign currency contracts* | 4,481 | |||
Prepaid expenses and other assets | 20,989 | |||
|
| |||
Total assets | 13,638,021 | |||
|
| |||
Liabilities | ||||
Securities sold short, at value (Proceeds received $2,471,707) | 2,635,234 | |||
Payable for investments purchased | 294,299 | |||
Payable for audit fees | 17,775 | |||
Dividends and fees on securities sold short | 5,579 | |||
Payable for administration and accounting fees | 2,691 | |||
Payable for printing fees | 993 | |||
Payable for custodian fees | 787 | |||
Payable for legal fees | 212 | |||
Accrued expenses | 1,243 | |||
|
| |||
Total liabilities | 2,958,813 | |||
|
| |||
Net Assets | $ | 10,679,208 | ||
|
| |||
Net Assets Consisted of: | ||||
Capital stock, $0.01 par value | $ | 10,000 | ||
Paid-in capital | 9,990,000 | |||
Accumulated net investment income | 8,806 | |||
Accumulated net realized gain from investments, securities sold short, forward foreign currency contracts and foreign currency transactions | 184,720 | |||
Net unrealized appreciation on investments, securities sold short and forward foreign currency contracts | 485,682 | |||
|
| |||
Net Assets | $ | 10,679,208 | ||
|
| |||
Institutional Class: | ||||
Shares outstanding | 1,000,000 | |||
|
| |||
Net asset value, offering and redemption price per share ($10,679,208 / 1,000,000 shares) | $ | 10.68 | ||
|
|
* | Primary risk exposure is foreign currency contracts. |
The accompanying notes are an integral part of the financial statements.
10
SIRIOS LONG/SHORT FUND
Statement of Operations
For the Period Ended September 30, 2018*
Investment Income | ||||
Dividends | $ | 55,608 | ||
Less: foreign taxes withheld | (289 | ) | ||
Interest | 10,225 | |||
Prime broker rebate income | 15,108 | |||
|
| |||
Total investment income | 80,652 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 56,264 | |||
Administration and accounting fees (Note 2) | 27,119 | |||
Dividends on securities sold short | 21,262 | |||
Audit fees | 17,775 | |||
Trustees’ and officers’ fees (Note 2) | 16,913 | |||
Registration and filing fees | 13,516 | |||
Legal fees | 12,374 | |||
Transfer agent fees (Note 2) | 11,880 | |||
Custodian fees (Note 2) | 7,015 | |||
Printing and shareholder reporting fees | 6,021 | |||
Other expenses | 2,783 | |||
|
| |||
Total expenses before waivers and reimbursements | 192,922 | |||
|
| |||
Less: waivers and reimbursements (Note 2) | (104,097 | ) | ||
|
| |||
Net expenses after waivers and reimbursements | 88,825 | |||
|
| |||
Net investment loss | (8,173 | ) | ||
|
| |||
Net realized and unrealized gain/(loss) from investment | ||||
Net realized gain from investments | 311,839 | |||
Net realized loss from securities sold short | (127,075 | ) | ||
Net realized gain from foreign currency transactions | 1,307 | |||
Net realized gain from forward foreign currency contracts** | 15,628 | |||
Net change in unrealized appreciation/(depreciation) on investments | 644,728 | |||
Net change in unrealized appreciation/(depreciation) on securities sold short | (163,527 | ) | ||
Net change in unrealized appreciation/(depreciation) on forward foreign currency contracts** | 4,481 | |||
|
| |||
Net realized and unrealized gain on investments | 687,381 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 679,208 | ||
|
|
* | The Sirios Long/Short Fund commenced operations on May 3, 2018. |
** | Primary risk is foreign currency contracts. |
The accompanying notes are an integral part of the financial statements.
11
SIRIOS LONG/SHORT FUND
Statement of Changes in Net Assets
For the Period Ended September 30, 2018* | |||||
Increase/(decrease) in net assets from operations: | |||||
Net investment loss | $ | (8,173 | ) | ||
Net realized gain from investments, securities sold short, forward foreign currency contracts and foreign currency transactions | 201,699 | ||||
Net change in unrealized appreciation/(depreciation) on investments, securities sold short and forward foreign currency contracts | 485,682 | ||||
|
| ||||
Net increase in net assets resulting from operations | 679,208 | ||||
|
| ||||
Increase in net assets derived from capital share transactions (Note 4) | 10,000,000 | ||||
|
| ||||
Total increase in net assets | 10,679,208 | ||||
|
| ||||
Net assets | |||||
Beginning of period | — | ||||
|
| ||||
End of period | $ | 10,679,208 | |||
|
| ||||
Accumulated net investment income, end of period | $ | 8,806 | |||
|
|
* | The Sirios Long/Short Fund commenced operations on May 3, 2018. |
The accompanying notes are an integral part of the financial statements.
12
SIRIOS LONG/SHORT 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 return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class | |||||
For the Period May 3, 2018* to September 30, 2018 | |||||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ | 10.00 | |||
|
| ||||
Net investment loss(1) | (0.01 | ) | |||
Net realized and unrealized gain on investments | 0.69 | ||||
|
| ||||
Net increase in net assets resulting from operations | 0.68 | ||||
|
| ||||
Net asset value, end of period | $ | 10.68 | |||
|
| ||||
Total investment return(2) | 6.80 | % | |||
Ratios/Supplemental Data | |||||
Net assets, end of period (in thousands) | $ | 10,679 | |||
Ratio of expenses to average net assets(3) | 2.10 | %(4) | |||
Ratio of expenses to average net assets without waivers and expense reimbursements(5) | 4.57 | %(4) | |||
Ratio of net investment loss to average net assets | (0.19 | )%(4) | |||
Portfolio turnover rate | 48.69 | %(6) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Ratio of expenses to average net assets with waivers and expense reimbursement, excluding short-sale dividend expense, was 1.60% for the period ended September 30, 2018. |
(4) | Annualized. |
(5) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
13
SIRIOS LONG/SHORT FUND
Notes to Financial Statements
September 30, 2018
1. Organization and Significant Accounting Policies
The Sirios Long/Short Fund (the “Fund”) is a non-diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), which commenced investment operations on May 3, 2018. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers Class A, Advisor Class, Institutional Class and Retail Class shares. As of September 30, 2018, Class A, Advisor Class and Retail Class shares have 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 price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Prices for equity securities normally are supplied by an independent pricing service approved by the Trust’s Board of Trustees (“Board of Trustees”). Fixed income securities are valued based on market quotations, which are furnished by an independent pricing service. Fixed income securities having remaining maturities of 60 days or less are generally valued at amortized cost, provided such amount approximates market value. Any assets held by the Fund that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that the Fund determines the daily NAV per share. Foreign securities may trade on weekends or other days when the Fund does not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of the Fund. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Forward foreign currency contracts are valued at the forward rate. Investments in any mutual fund are valued at their respective NAVs as determined by those mutual funds each business day (which may use fair value pricing as disclosed in their prospectuses). Securities that do not have a readily available current market value are valued in 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 Sirios Capital Management, L.P. (“Sirios” or the “Adviser”) the responsibility for applying the valuation methods.
14
SIRIOS LONG/SHORT FUND
Notes to Financial Statements (Continued)
September 30, 2018
Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security or asset will be determined in good faith by the Adviser. The Trust has established a Valuation Committee which performs certain functions including the oversight of the Adviser’s fair valuation determinations.
Fair Value Measurements — The inputs and valuations techniques used to measure fair value of the Fund’s net assets are summarized into three levels as described in the hierarchy below:
• Level 1 — | quoted prices in active markets for identical securities; | |
• Level 2 — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | |
• Level 3 — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of September 30, 2018, in valuing the Fund’s assets carried at fair value:
Level 2 | ||||||||||||||||
Other | Level 3 | |||||||||||||||
Total | Level 1 | Significant | Significant | |||||||||||||
Value at | Quoted | Observable | Unobservable | |||||||||||||
Assets | 09/30/18 | Price | Inputs | Inputs | ||||||||||||
Long Positions: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 1,129,558 | $ | 447,108 | $ | 682,450 | $ | — | ||||||||
Banks | 1,023,539 | 1,023,539 | — | — | ||||||||||||
Beverages | 432,260 | 432,260 | — | — | ||||||||||||
Chemicals | 656,835 | 656,835 | — | — | ||||||||||||
Computers | 335,260 | 335,260 | — | — | ||||||||||||
Cosmetics & Personal Care | 55,798 | — | 55,798 | — | ||||||||||||
Diversified Financial Services | 348,436 | 348,436 | — | — | ||||||||||||
Healthcare-Products | 1,493,997 | 1,493,997 | — | — | ||||||||||||
Healthcare-Services | 239,061 | 239,061 | — | — | ||||||||||||
Home Builders | 216,594 | 216,594 | — | — |
15
SIRIOS LONG/SHORT FUND
Notes to Financial Statements (Continued)
September 30, 2018
Level 2 | ||||||||||||||||
Other | Level 3 | |||||||||||||||
Total | Level 1 | Significant | Significant | |||||||||||||
Value at | Quoted | Observable | Unobservable | |||||||||||||
Assets | 09/30/18 | Price | Inputs | Inputs | ||||||||||||
Insurance | $ | 531,207 | $ | 531,207 | $ | — | $ | — | ||||||||
Internet | 62,150 | 62,150 | — | — | ||||||||||||
Media | 129,521 | 129,521 | — | — | ||||||||||||
Oil & Gas | 460,197 | 460,197 | — | — | ||||||||||||
Oil & Gas Services | 195,854 | 195,854 | — | — | ||||||||||||
Retail | 765,009 | 765,009 | — | — | ||||||||||||
Semiconductors | 496,906 | 496,906 | — | — | ||||||||||||
Telecommunications | 34,867 | 34,867 | — | — | ||||||||||||
Transportation | 777,759 | 777,759 | — | — | ||||||||||||
Short-Term Investment | 1,501,125 | 1,501,125 | — | — | ||||||||||||
Derivatives: | ||||||||||||||||
Forward Foreign Currency Contracts | 4,481 | — | 4,481 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 10,890,414 | $ | 10,147,685 | $ | 742,729 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Short Positions: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Biotechnology | $ | (116,082 | ) | $ | (116,082 | ) | $ | — | $ | — | ||||||
Computers | (204,921 | ) | (204,921 | ) | — | — | ||||||||||
Home Furnishings | (24,849 | ) | — | (24,849 | ) | — | ||||||||||
Oil & Gas | (104,234 | ) | (104,234 | ) | — | — | ||||||||||
Retail | (144,434 | ) | (144,434 | ) | — | — | ||||||||||
Exchange Traded Funds | (2,040,714 | ) | (2,040,714 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | $ | (2,635,234 | ) | $ | (2,610,385 | ) | $ | (24,849 | ) | $ | — | |||||
|
|
|
|
|
|
|
|
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.
16
SIRIOS LONG/SHORT FUND
Notes to Financial Statements (Continued)
September 30, 2018
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. 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 Level 3 are disclosed when the Fund had an amount of transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the year ended September 30, 2018, there were no transfers between Levels.
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. Accretion of discounts and amortization of premiums are recorded on a daily basis using the effective yield method except for short-term securities, which records discounts and premiums on a straight-line basis. Dividends are recorded on the ex-dividend date. Estimated components of distributions received from real estate investment trusts may be considered income, return of capital distributions or capital gain distributions. Return of capital distributions are recorded as a reduction of cost of the related investments. 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.
Cash and Cash Equivalents — Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months
17
SIRIOS LONG/SHORT FUND
Notes to Financial Statements (Continued)
September 30, 2018
or less. The Fund maintains deposits with a high quality financial institution in an amount that is in excess of federally insured limits.
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 investments in the Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currency transactions in the Statement of Operations.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Recent Accounting Pronouncement — Effective November 5, 2018, the SEC amended existing rules intended to modernize reporting and disclosure of information. These amendments relate to Regulation S-X which sets forth the form and content of financial statements. Management is evaluating the implications of adopting these amendments and their impact on the financial statements and accompanying notes.
18
SIRIOS LONG/SHORT FUND
Notes to Financial Statements (Continued)
September 30, 2018
Forward Foreign Currency Contracts — A forward foreign currency contract (“Forward Contract”) is a commitment to buy or sell a specific amount of a foreign currency at a negotiated price on a specified future date. Forward Contracts can help a fund manage the risk of changes in currency exchange rates. These contracts are marked-to-market daily at the applicable forward currency translation rates. The Fund records realized gains or losses at the time the Forward Contract is closed. A Forward Contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. The Fund’s maximum risk of loss from counterparty credit risk related to Forward Contracts is the fair value of the contract.
For the period ended September 30, 2018, the Fund’s average monthly volume of forward foreign currency contracts was as follows:
Forward Foreign | Forward Foreign | |
Currency | Currency | |
Contracts - Payable | Contracts - Receivable | |
(Value At Trade Date) | (Value At Trade Date) | |
$(472,673) | $472,673 |
Currency Risk — The Fund invests in securities of foreign issuers, including American Depositary Receipts. These markets are subject to special risks associated with foreign investments not typically associated with investing in U.S. markets. Because the foreign securities in which the Fund may invest generally trade in currencies other than the U.S. dollar, changes in currency exchange rates will affect the Fund’s NAV, the value of dividends and interest earned and gains and losses realized on the sale of securities. Because the NAV for the Fund is determined on the basis of U.S. dollars, the Fund may lose money by investing in a foreign security if the local currency of a foreign market depreciates against the U.S. dollar, even if the local currency value of the Fund’s holdings goes up. Generally, a strong U.S. dollar relative to these other currencies will adversely affect the value of the Fund’s holdings in foreign securities.
Foreign Securities Market Risk — Securities of many non-U.S. companies may be less liquid and their prices more volatile than securities of comparable U.S. companies. Securities of companies traded in many countries outside the U.S., particularly emerging markets countries, may be subject to further risks due to the inexperience of local investment professionals and financial institutions, the possibility 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.
Short Sales — The Fund may sell securities short. A short sale involves the sale by the 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
19
SIRIOS LONG/SHORT FUND
Notes to Financial Statements (Continued)
September 30, 2018
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 the Fund will be able to close out a short position at any particular time or at an acceptable price. Although the Fund’s gain is limited to the amount at which it sold a security short, its potential loss is unlimited. The Fund complies with guidelines established by the Securities and Exchange Commission and other applicable regulatory bodies with respect to coverage of short sales.
As of September 30, 2018, the Fund had securities sold short totaling $2,635,234, securities pledged as collateral totaling $2,421,107 and deposits with brokers for securities sold short totaling $2,668,978.
In accordance with the terms of its prime brokerage agreements, the Fund 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. The Fund received rebate income for the period ended September 30, 2018 totaling $15,108. These amounts are included in prime broker rebate income on the Statement of Operations. On the ex-dividend date, dividends on short sales are recorded as an expense to the Fund. For the period ended September 30, 2018, dividends on short sales totaled $21,262.
2. Transactions with Affiliates and Related Parties and Other Service Providers
Sirios Capital Management, L.P. serves as the investment advisor to the Fund pursuant to an investment advisory agreement with the Trust (“Advisory Agreement”). For its services, the Adviser earns a monthly fee at the annual rate of 1.35% of the Fund’s average daily net assets. The Adviser has contractually agreed to waive or otherwise reduce its compensation and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses, excluding taxes, any class-specific fees and expenses (such as Rule 12b-1 distribution fees, shareholder service fees or transfer agency fees), “Acquired Fund Fees and Expenses,” dividend and interest expense on short sales of securities, interest, extraordinary items and brokerage commissions, do not exceed 1.60% of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until April 30, 2020, unless the Board of Trustees approves its earlier termination. This agreement may be terminated only by the Fund’s Board of Trustees. 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 recoupment 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 the reimbursement. No reimbursement will occur unless the Fund’s expenses are below the Expense Limitation. As of September 30, 2018, the amount of potential recovery was as follows:
20
SIRIOS LONG/SHORT FUND
Notes to Financial Statements (Continued)
September 30, 2018
Expiration | ||||||
September 30, 2021 | ||||||
$71,400 |
For the period ended September 30, 2018, the Adviser earned advisory fees of $56,264 and waived fees and/or reimbursed expenses of $71,400.
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 period ended September 30, 2018, BNY Mellon accrued administration and accounting fees totaling $27,119 and waived fees totaling $20,996. For the period ended September 30, 2018, BNY Mellon accrued custodian fees totaling $7,015 and waived fees totaling $4,501.
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 period ended September 30, 2018, BNY Mellon accrued transfer agent fees totaling $11,880 and waived fees totaling $7,200.
BNY Mellon and the Transfer Agent have the ability to recover such amounts previously waived, if the Fund terminates its agreements with BNY Mellon and the Transfer Agent within three years of commencing operations. As of September 30, 2018, the amount of potential recovery was $32,697. The ability to recover such amounts previously waived expires on May 3, 2021.
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 for the period ended September 30, 2018 was $6,760. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Fund or the Trust.
21
SIRIOS LONG/SHORT FUND
Notes to Financial Statements (Continued)
September 30, 2018
JW Fund Management LLC (“JWFM”) provides a Principal Executive Officer and Principal Financial Officer, respectively, to the Trust. Duff & Phelps, LLC (“D&P”) provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and D&P are compensated for their services provided to the Trust.
3. Investment in Securities
For the period ended September 30, 2018 aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 12,867,470 | $ | 4,439,229 |
4. Capital Share Transactions
For the period ended September 30, 2018, transactions in capital shares (authorized shares unlimited) were as follows:
For the Period Ended | ||||||||
September 30, 2018* | ||||||||
Shares | Value | |||||||
Institutional Class | ||||||||
Sales | 1,000,000 | $ | 10,000,000 | |||||
Reinvestments | — | — | ||||||
Redemptions | — | — | ||||||
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|
|
| |||||
Net Increase | 1,000,000 | $ | 10,000,000 | |||||
|
|
|
|
* | The Fund commenced operations on May 3, 2018. |
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state, and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
22
SIRIOS LONG/SHORT FUND
Notes to Financial Statements (Continued)
September 30, 2018
Distributions are determined in accordance with federal income tax regulations, which may differ in amount or character from net investment income and realized gains for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the components of net assets based on the tax treatment; temporary differences do not require reclassifications. For the period ended September 30, 2018, these adjustments were to increase undistributed net investment income by $16,979 and decrease accumulated net realized gain/(loss) by $16,979. These permanent differences were primarily attributable to foreign currency gains.
During the period May 3, 2018 (commencement of operations) to September 30, 2018, the Fund had no distributions from ordinary income or long-term capital gains.
As of September 30, 2018, the components of distributable earnings on a tax basis were as follows:
Other | ||||||||
Capital Loss | Undistributed | Undistributed | Unrealized | Temporary | ||||
Carryforward | Ordinary Income | Long-Term Gain | Appreciation | Differences | ||||
$ — | $270,428 | $— | $408,780 | $— |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. Short-term capital gains are reported as ordinary income for federal income tax purposes.
As of September 30, 2018, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
| ||||||
Federal tax cost | $ | 10,313,626 | ||||
|
| |||||
Gross unrealized appreciation on investment | $ | 775,243 | ||||
Gross unrealized depreciation on investment | (366,463 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 408,780 | ||||
|
|
Pursuant to federal income tax rules applicable to regulated investment companies, the Fund 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, 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, 2018, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2018. For the period ended September 30, 2018, the Fund had no capital loss deferrals and no late year ordinary loss deferrals.
23
SIRIOS LONG/SHORT FUND
Notes to Financial Statements (Concluded)
September 30, 2018
Accumulated capital losses represent net capital loss carryovers as of September 30, 2018 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of September 30, 2018, 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.
24
SIRIOS LONG/SHORT FUND
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of FundVantage Trust and
Shareholders of Sirios Long/Short Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Sirios Long/Short Fund (the “Fund”) (one of the series constituting FundVantage Trust (the “Trust”)), including the portfolio of investments, as of September 30, 2018, and the related statement of operations, the statement of changes in net assets, and the financial highlights for the period May 3, 2018 (commencement of operations) to September 30, 2018 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the series constituting FundVantage Trust) at September 30, 2018, and the results of its operations, the changes in its net assets, and its financial highlights for the period May 3, 2018 (commencement of operations) to September 30, 2018, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audit, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2018, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audit provides a reasonable basis for our opinion.
25
SIRIOS LONG/SHORT FUND
Report of Independent Registered Public Accounting Firm
We have served as the auditor of one or more Sirios investment companies since 2018.
Philadelphia, Pennsylvania
November 28, 2018
26
SIRIOS LONG/SHORT FUND
Shareholder Tax Information
(Unaudited)
The Fund is required by Subchapter M of the Internal Revenue Code of 1986, as amended, to advise its shareholders of the U.S. federal tax status of distributions received by the Fund’s shareholders in respect of such fiscal year. During the period ended September 30, 2018, there were no distributions from the Sirios Long/Short Fund. Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
All designations are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations thereunder.
Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2018. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2019.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Fund, if any.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Fund.
27
SIRIOS LONG/SHORT FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (866) 640-5704 and on the Securities and Exchange Commission’s (“SEC”) website at http:// www.sec.gov.
Quarterly Portfolio Schedules
The Trust 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 website at http://www.sec.gov. Form N-Q is being rescinded. Once Form N-Q is rescinded, disclosure of the Fund’s complete holdings will be required to be made on Form N-PORT, with every third month made available to the public by the Commission 60 days after the end of the Fund’s fiscal quarter.
Board Consideration of Investment Advisory Agreement
At a special meeting held on April 25, 2018 (the “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 continuation of the investment advisory agreement between Sirios Capital Management, L.P. (“Sirios” or the “Adviser”) and the Trust (the “Agreement”) on behalf of the Sirios Long/Short Fund (the “Fund”). At the Meeting, the Board considered the approval of the Agreement with respect to the Fund for an initial two year period.
In determining whether to approve the Agreement, the Trustees considered information provided by the Adviser in accordance with Section 15(c) of the 1940 Act and a presentation by the adviser at the December 6-7, 2017 regular meeting of the Board regarding: (i) services to be performed for the Fund, (ii) the size and qualifications of the Adviser’s portfolio management staff, (iii) any potential or actual material conflicts of interest that may arise in connection with a portfolio manager’s management of the Fund, (iv) investment performance, (v) the capitalization and financial condition of Sirios, (vi) brokerage selection procedures (including soft dollar arrangements, if any), (vii) the procedures for allocating investment opportunities between the Fund and other clients of Sirios, (viii) results of any regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding that may have a material impact on Sirios’ ability to service the Fund, and (x) compliance with the Fund’s investment objectives, policies and practices (including codes of ethics and proxy voting policies), federal securities laws and other regulatory requirements.
28
SIRIOS LONG/SHORT FUND
Other Information
(Unaudited) (Continued)
Performance. The Trustees considered that the proposed strategy for the Fund was new, and therefore did not have historical performance information. However, the Trustees reviewed performance information of a separate account composite and a comparable account for the one year and since inception periods ended September 30, 2017, which the Trustees indicated they believed to be indicative of Sirios’ ability to execute the type of strategy proposed for the Fund.
Fees. The Trustees also noted that the representatives of Sirios had provided information regarding its proposed advisory fees and an analysis of those fees in relation to services to be provided to the Fund and any other ancillary benefit resulting from Sirios’ relationship with the Fund. The Trustees also reviewed information regarding the fees that Sirios charges to other clients, and evaluated the explanations provided by Sirios as to differences in fees to be charged to the Fund and similarly managed accounts. The Trustees evaluated explanations provided by Sirios regarding its belief that the proposed advisory fee is within the normal range of fees and concluded that the proposed advisory fee and services expected to be provided by Sirios 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 Sirios.
Experience and Qualifications. The Board then considered the level and depth of knowledge of Sirios, including the professional experience and qualifications of its senior personnel. In evaluating the quality of services to be provided by Sirios, the Board took into account its familiarity with Sirios’ management gained through previous Board meetings, and considered that Sirios had previously advised a series of the Trust. The Board also took into account Sirios’ compliance policies and procedures and reports regarding Sirios’ compliance operations from the Trust’s Chief Compliance Officer. The Board also considered any potential conflicts of interest that may arise in the 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 Sirios and concluded that the nature, extent and quality of the services proposed 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 receipt of those services. They also concluded that Sirios 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 Sirios, the compensation and benefits to be received by Sirios in providing services to the Fund, as well as Sirios’ profitability. The Trustees noted that Sirios’ level of profitability is an appropriate factor to consider, and the Trustees should be satisfied that Sirios’ 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 Sirios’ advisory fee level was reasonable in relation to the nature and quality of the services provided, taking into account the projected growth of the Fund.
29
SIRIOS LONG/SHORT FUND
Other Information
(Unaudited) (Concluded)
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 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 benefit of shareholders, but that the advisory fee, although subject to a contractual fee waiver, did not currently include breakpoint reductions as asset levels increased.
In voting to approve the Agreement, the Board considered all factors it deemed relevant and the information presented to the Board by Sirios. 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.
30
SIRIOS LONG/SHORT FUND
Privacy Notice
(Unaudited)
The privacy of your personal financial information is extremely important to us. When you open an account with us, we collect a significant amount of information from you in order to properly invest and administer your account. We take very seriously the obligation to keep that information private and confidential, and we want you to know how we protect that important information.
We collect nonpublic personal information about you from applications or other forms you complete and from your transactions with us or our affiliates. We do not disclose information about you, or our former clients, to our affiliates or to service providers or other third parties, except as permitted by law. We share only the information required to properly administer your accounts, which enables us to send transaction confirmations, monthly or quarterly statements, financials and tax forms. Even within FundVantage Trust and its affiliated entities, a limited number of people who actually service accounts will have access to your personal financial information. Further, we do not share information about our current or former clients with any outside marketing groups or sales entities.
To ensure the highest degree of security and confidentiality, FundVantage Trust and its affiliates maintain various physical, electronic and procedural safeguards to protect your personal information. We also apply special measures for authentication of information you request or submit to us on our web site.
If you have questions or comments about our privacy practices, please call us at (866) 640-5704.
31
SIRIOS LONG/SHORT FUND
Fund Management
(Unaudited)
FundVantage Trust (the “Trust”) is governed by a Board of Trustees (the “Trustees”). The primary responsibility of the Trustees is to represent the interest of the Trust’s shareholders and to provide oversight management of the Trust.
The following tables present certain information regarding the Board of Trustees and officers of the Trust. None of the Trustees are an “interested person” of the Trust, the Adviser, another investment adviser of a series of the Trust, or Foreside Funds Distributors LLC, the principal underwriter of the Trust (”Underwriter”), within the meaning of the 1940 Act and each Trustee is referred to as an “Independent Trustee” and is listed under such heading below. Employees of certain service providers to the Trust serve as officers of the Trust; such persons are not compensated by the Fund. The address of each Trustee and officer as it relates to the Trust’s business is 301 Bellevue Parkway, 2nd Floor, Wilmington, DE 19809.
The Statement of Additional Information for the Fund contains additional information about the Trustees and is available, without charge, upon request by calling (866) 640-5704.
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Trust Complex Overseen by Trustee
| Other Directorships Held by Trustee | |||||
INDEPENDENT TRUSTEES
| ||||||||||
ROBERT J. CHRISTIAN Date of Birth: 2/49 | Trustee and Chairman of the Board | Shall serve until death, resignation or removal. Trustee and Chairman since 2007. | Retired since February 2006; Executive Vice President of Wilmington Trust Company from February 1996 to February 2006; President of Rodney Square Management Corporation (“RSMC”) (investment advisory firm) from 1996 to 2005; Vice President of RSMC from 2005 to 2006.
| 41 | Optimum Fund Trust (registered investment company with 6 portfolios). | |||||
IQBAL MANSUR Date of Birth: 6/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2007.
| University Professor, Widener University. | 41 | None. |
32
SIRIOS LONG/SHORT FUND
Fund Management (Continued)
(Unaudited)
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Trust Complex Overseen by Trustee
| Other Directorships Held by Trustee | |||||
NICHOLAS M. MARSINI, JR. Date of Birth: 8/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2016. | Retired since March 2016. President of PNC Bank Delaware from June 2011 to March 2016; Executive Vice President of Finance of BNY Mellon from July 2010 to January 2011; Executive Vice President and Chief Financial Officer of PNC Global Investment Servicing from September 1997 to July 2010.
| 41 | Brinker Capital Destinations Trust (registered investment company with 10 portfolios). | |||||
STEPHEN M. WYNNE Date of Birth: 1/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2009. | Retired since December 2010; Chief Executive Officer of US Funds Services, BNY Mellon Asset Servicing from July 2010 to December 2010; Chief Executive Officer of PNC Global Investment Servicing from March 2008 to July 2010; President, PNC Global Investment Servicing from 2003 to 2008.
| 41 | Copeland Trust (registered investment company with 2 portfolios). | |||||
NANCY B. WOLCOTT Date of Birth: 11/54 | Trustee | Shall serve until death, resignation or removal. Trustee since 2011. | Retired since May 2014; EVP, Head of GFI Client Service Delivery, BNY Mellon from January 2012 to May 2014; EVP, Head of US Funds Services, BNY Mellon from July 2010 to January 2012; President of PNC Global Investment Servicing from 2008 to July 2010; Chief Operating Officer of PNC Global Investment Servicing from 2007 to 2008; Executive Vice President of PFPC Worldwide Inc. from 2006 to 2007.
| 41 | Lincoln Variable Insurance Products Trust (registered investment company with 92 portfolios). |
33
SIRIOS LONG/SHORT FUND
Fund Management (Concluded)
(Unaudited)
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served
| Principal Occupation(s) During Past Five Years | |||
EXECUTIVE OFFICERS
| ||||||
JOEL L. WEISS Date of Birth: 1/63 | President and Chief Executive Officer
| Shall serve until death, resignation or removal. Officer since 2007.
| President of JW Fund Management LLC since June 2016; Vice President and Managing Director of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from 1993 to June 2016.
| |||
T. RICHARD KEYES Date of Birth: 1/57 | Treasurer and Chief Financial Officer
| Shall serve until death, resignation or removal. Officer since 2016.
| President of TRK Fund Consulting LLC since July 2016; Head of Tax — U.S. Fund Services of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from February 2006 to July 2016.
| |||
VINCENZO A. SCARDUZIO Date of Birth: 4/72 | Secretary | Shall serve until death, resignation or removal. Officer since 2012.
| Director and Vice President Regulatory Administration of The Bank of New York Mellon and predecessor firms since 2001. | |||
DAVID C. LEBISKY Date of Birth: 5/72 | Chief Compliance Officer and Anti-Money Laundering Officer
| Shall serve until death, resignation or removal. Officer since 2015. | President of Lebisky Compliance Consulting LLC since October 2015; Consultant, Duff & Phelps, LLC since 2016; Senior Consultant, Freeh Group International Solutions, LLC (a global risk management firm) from 2015 to 2018; Scotia Institutional Investments US, LP, Director of Regulatory Administration from 2010 to 2014.
|
34
Investment Adviser
Sirios Capital Management, L.P.
One International Place
Boston, MA 02110
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
240 Greenwich 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
SIRIOS LONG/
SHORT FUND
of
FundVantage Trust
Institutional Class
ANNUAL REPORT
September 30, 2018
This report is submitted for the general information of the shareholders of the Sirios Long/Short Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Sirios Long/Short Fund.
SIR-0918
TOBAM EMERGING MARKETS FUND
Annual Investment Adviser’s Report
September 30, 2018
(Unaudited)
Dear Shareholders,
Portfolio Performance
Since September 30, 2017, the return of the Fund was 3.79%, corresponding to an out-performance of 4.60% over the return of Morgan Stanley Capital International Emerging Markets Net Total Return Index (benchmark). The Fund reduced the volatility of daily returns when compared to the benchmark by -5.13% since September 30, 2017.
* Net return | ||||||
Start of the period | End of the period | |||||
Date | 09/30/2017 | 09/30/2018 | ||||
Fund’s return | 3.79% | Benchmark’s return | -0.81% | |||
* Volatility | ||||||
Start of the period | End of the period | |||||
Date | 09/30/2017 | 09/30/2018 | ||||
Fund’s volatility | 12.89% | Benchmark’s volatility | 13.33% |
Performance data quoted here represents past performance. Past performance is no guarantee of future results. Investment return and principal value will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted. To obtain performance information current to the most recent month-end please call (1-844- 282-6161).
Risky assets (such as equities, high yield bonds, etc.) had a good year 2017 worldwide, with equity markets gaining between +10% (Europe) and +30% (emerging markets) which is consistent with expanding economies and subdued inflation numbers. The S&P was in the middle of the pack, with a 22% gain, reflecting strong growth of the US economy in 2017 (GDP above 3% in real terms for Q2 and Q3, and above the 3% prediction by industry analysts for Q4) and the US dollar losing -6.7% on a trade weighted basis.
The first half of 2018 was characterized by a return of stock market volatility as both realized and implied volatility picked up in February and remained in-line with historical levels. However, global equity risk was nominal over Q3. The S&P 500 returned 10.6% year to date with 7.7% coming from Q3 alone, while the DJ Stoxx 600 was up 1.4% year to date, with Italy and Greece underperforming respectively by -3.6% and -8.5% in Q3. Financial turbulence in Turkey and Argentina was contained and did not spread to other markets. The MSCI EM was down 7.5% year-to-date and 1.0% quarter to date, with Turkish Lira losing 25% over the quarter (37% year-to-date) and the Argentinian Peso losing 30% over the quarter (more than half its value year-to-date).
In 2018, under new leadership, the Federal Reserve entered the last part of its rate hike cycle while the European Central Bank announced it would phase out its Debt Purchase program by year end. This being said, after a 50bps re-pricing in January and February, the 10yr US Treasury has remained in the 2.8%-3.15% range for most of the year. In Europe, the 10yr German Bund rate, which spiked to above 0.7% earlier in the year, dropped to 0.3% due to political risk in Italy and was range bound between 0.3% and 0.5%. The continuation of low long-term rates has led the US Treasury yield curve to a slope of approximately 0.25% at the end of the 3rd quarter of 2018, its lowest point since the Great Financial crisis. This is perceived by many as an indication of an upcoming economic recession.
TOBAM EMERGING MARKETS FUND
Annual Investment Adviser’s Report (Continued)
September 30, 2018
(Unaudited)
The strong performance of equities, and subdued implicit volatility levels coupled with a surprisingly benign backdrop in fixed income did not prove to be as supportive for credit as one might have expected.
Management policy of the Fund
The Adviser seeks to enhance the Fund’s portfolio diversification in terms of various risk metrics by applying a systematic, quantitative investment approach designed to identify securities of emerging market issuers included in the MSCI® EM Index that have the lowest possible correlation to each other for inclusion in the Fund’s portfolio.
From September 30, 2017 to September 30, 2018, the relative return of the fund was +4.60%. This positive outperformance is due to the benchmark’s biases toward the Information Technology (“IT”) and Financial sectors which generated slightly negative performances. These sector biases drove the benchmark return of -0.81%. An illustration of strength of these biases is the weight of these two sectors as of September 30th, which was 50.13%.
Since commencement of operations, the Fund outperformed by +7.02% as a result of the benchmark’s biases.
Portfolio Changes
The strategy is rebalanced on a quarterly basis. Since September 30, 2017, the portfolio turnover of the Fund has been 33.19%.
Dividend Distribution
The Fund will distribute a dividend for the 2018 fiscal year according to the following schedule:
Distribution
|
Record Date
|
Ex-Date
|
Payment Date
| |||
Ordinary income
|
12 December 2018
|
13 December 2018
|
14 December 2018
|
2
TOBAM EMERGING MARKETS FUND
Annual Investment Adviser’s Report (Concluded)
September 30, 2018
(Unaudited)
Outlook
We don’t expect any major change in the management of the Fund in the coming months.
Sincerely,
TOBAM, Investment Adviser
This letter is intended to assist shareholders in understanding how the Fund performed during the fiscal year ended September 30, 2018 and reflects the views of the investment adviser at the time of this writing. Of course, these views may change and do not guarantee the future performance of the Fund or the markets. The specific securities identified and described do not represent all of the securities purchased or sold and you should not assume that investments in the securities identified and discussed will be profitable.
The above commentary is for informational purposes only and does not represent an offer, recommendation or solicitation to buy, hold or sell any security.
Portfolio composition is subject to change. The current and future portfolio holdings of the Fund are subject to investment risk. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
TOBAM’s quantitative investment process is supported by extensive proprietary computer code. TOBAM’s researchers, software developers, and IT teams follow a structured design, development, testing, change control, and review process during the development of its systems and the implementation within our investment process. These controls and their effectiveness are subject to regular internal reviews. However, despite these extensive controls it is possible that errors may occur in coding and within the investment process, as is the case with any complex software or data-driven model, and no guarantee or warranty can be provided that any quantitative investment model is completely free of errors. Any such errors could have a negative impact on investment results.
Investments in foreign markets entail special risks such as currency, political, economic and market risks. The risks of investing in emerging market countries are greater than the risks generally associated with foreign investments.
3
TOBAM EMERGING MARKETS FUND
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Comparison of Change in Value of $500,000 (investment minimum) Investment in
TOBAM Emerging Markets Fund’s Class I vs.
Morgan Stanley Capital International (“MSCI”) Emerging Markets Net Total Return Index (“MSCI EM Net TR Index”)
Average Annual Total Returns for the Periods Ended September 30, 2018 |
| |||||||||||
1 Year | Since Inception | |||||||||||
Class I | 3.79 | % | 12.11%* | |||||||||
MSCI EM Net TR Index | (0.81 | %) | 7.40%** |
* The TOBAM Emerging Markets Fund (the “Fund”) Class I shares commenced operations on April 25, 2017.
** Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (844) 282-6161. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The Fund’s “Total Annual Fund Operating Expenses” and “Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement” are 1.66% 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
4
TOBAM EMERGING MARKETS FUND
Annual Report
Performance Data (Concluded)
September 30, 2018
(Unaudited)
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 MSCI EM Net TR Index. The MSCI EM Net TR Index is a free float-adjusted, market capitalization-weighted index designed to measure the equity performance of emerging market countries in Africa, Asia, Europe, Latin America, and the Middle East. An index is unmanaged and it is not possible to invest in an index.
5
TOBAM EMERGING MARKETS FUND
Fund Expense Disclosure
September 30, 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 April 1, 2018 through September 30, 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.
6
TOBAM EMERGING MARKETS FUND
Fund Expense Disclosure (Concluded)
September 30, 2018
(Unaudited)
TOBAM Emerging Markets Fund | ||||||||||||
Beginning Account Value April 1, 2018 | Ending Account Value September 30, 2018 | Expenses Paid During Period* | ||||||||||
Class I | ||||||||||||
Actual | $1,000.00 | $ 896.30 | $5.04 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.75 | 5.37 |
* | Expenses are equal to the annualized expense ratio for the six-month period ended September 30, 2018 of 1.06% for Class I shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (183), then divided by 365 to reflect the period. 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 (10.37%) for Class I shares. |
7
TOBAM EMERGING MARKETS FUND
Portfolio Holdings Summary Table
September 30, 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 | 10.9% | $ | 5,444,711 | |||||
Food | 7.4 | 3,655,182 | ||||||
Retail | 6.5 | 3,223,351 | ||||||
Pharmaceuticals | 4.8 | 2,406,097 | ||||||
Auto Manufacturers | 4.0 | 1,989,263 | ||||||
Internet | 3.7 | 1,821,782 | ||||||
Mining | 3.5 | 1,698,761 | ||||||
Electronics | 3.2 | 1,600,262 | ||||||
Semiconductors | 3.0 | 1,509,454 | ||||||
Apparel | 3.0 | 1,495,304 | ||||||
Healthcare-Services | 2.8 | 1,407,012 | ||||||
Gas | 2.7 | 1,363,656 | ||||||
Engineering & Construction | 2.4 | 1,201,358 | ||||||
Forest Products & Paper | 2.3 | 1,150,542 | ||||||
Computers | 2.3 | 1,141,636 | ||||||
Banks | 2.3 | 1,134,341 | ||||||
Transportation | 2.3 | 1,126,653 | ||||||
Home Furnishings | 2.2 | 1,116,427 | ||||||
Auto Parts & Equipment | 2.1 | 1,066,792 | ||||||
Real Estate | 2.1 | 1,040,061 | ||||||
Chemicals | 2.1 | 1,023,115 | ||||||
Oil & Gas | 2.0 | 1,001,990 | ||||||
Cosmetics/Personal Care | 2.0 | 998,187 | ||||||
Aerospace/Defense | 1.8 | 914,067 | ||||||
Insurance | 1.8 | 908,243 | ||||||
Airlines | 1.7 | 842,843 | ||||||
Commercial Services | 1.4 | 677,859 | ||||||
Biotechnology | 1.3 | 637,630 | ||||||
Beverages | 1.1 | 553,402 |
% of Net | ||||||||
Assets | Value | |||||||
Common Stocks: (Continued) | ||||||||
Iron/Steel | 1.3% | $ | 668,774 | |||||
Software | 1.1 | 538,112 | ||||||
Healthcare-Products | 0.9 | 452,956 | ||||||
Shipbuilding | 0.8 | 394,749 | ||||||
Energy-Alternate Sources | 0.7 | 325,897 | ||||||
Household Products/Wares | 0.6 | 288,779 | ||||||
Investment Companies | 0.5 | 255,374 | ||||||
Entertainment | 0.5 | 243,321 | ||||||
Electric | 0.5 | 235,956 | ||||||
Coal | 0.4 | 221,999 | ||||||
Lodging | 0.4 | 209,749 | ||||||
Advertising | 0.4 | 184,606 | ||||||
Miscellaneous Manufacturing | 0.3 | 168,199 | ||||||
Machinery-Construction & Mining | 0.3 | 167,602 | ||||||
Water | 0.3 | 134,669 | ||||||
Electrical Component & Equipment | 0.2 | 113,843 | ||||||
Distribution/Wholesale | 0.2 | 111,099 | ||||||
Diversified Financial Services | 0.1 | 51,096 | ||||||
Preferred Stocks: | ||||||||
Chemicals | 0.8 | 378,090 | ||||||
Auto Manufacturers | 0.5 | 277,342 | ||||||
Oil & Gas | 0.5 | 264,367 | ||||||
Liabilities in Excess of Other Assets | (0.0) | (14,868) | ||||||
|
|
|
| |||||
NET ASSETS | 100.0% | $ | 49,821,692 | |||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
8
TOBAM EMERGING MARKETS FUND
Portfolio of Investments
September 30, 2018
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — 98.2% |
| |||||||
Brazil — 3.6% | ||||||||
Embraer SA | 111,600 | $ | 547,976 | |||||
Fibria Celulose SA | 32,900 | 613,431 | ||||||
Kroton Educacional SA | 34,300 | 96,142 | ||||||
Suzano Papel e Celulose SA | 45,200 | 537,111 | ||||||
|
| |||||||
1,794,660 | ||||||||
|
| |||||||
China — 22.0% | ||||||||
51job, Inc., ADR* | 1,492 | 114,869 | ||||||
AAC Technologies Holdings, Inc. | 28,500 | 294,300 | ||||||
Air China, Ltd., Class H | 206,000 | 198,157 | ||||||
Aluminum Corp. of China, Ltd., Class H* | 162,000 | 71,982 | ||||||
ANTA Sports Products, Ltd. | 122,000 | 582,408 | ||||||
Autohome, Inc., ADR | 5,001 | 387,127 | ||||||
Brilliance China Automotive Holdings, Ltd. | 162,000 | 261,220 | ||||||
China Evergrande Group | 69,000 | 192,641 | ||||||
China Huarong Asset Management Co., Ltd., Class H(a) | 278,000 | 51,096 | ||||||
China Medical System Holdings, Ltd. | 73,000 | 101,651 | ||||||
China Mengniu Dairy Co., Ltd. | 201,000 | 668,206 | ||||||
China Resources Beer Holdings Co., Ltd. | 138,000 | 553,402 | ||||||
China Resources Gas Group, Ltd. | 132,000 | 536,780 | ||||||
China Southern Airlines Co., Ltd., Class H | 222,000 | 141,499 | ||||||
China Vanke Co., Ltd., Class H | 46,100 | 151,980 |
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
China — (Continued) | ||||||||
Country Garden Services Holdings Co., Ltd.* | 54,275 | $ | 91,637 | |||||
CSPC Pharmaceutical Group, Ltd. | 106,000 | 224,215 | ||||||
ENN Energy Holdings, Ltd. | 62,000 | 539,004 | ||||||
GDS Holdings, Ltd., ADR* | 5,000 | 175,650 | ||||||
GOME Retail Holdings, Ltd.* | 1,241,000 | 126,733 | ||||||
Great Wall Motor Co., Ltd., Class H | 546,500 | 347,338 | ||||||
Guangdong Investment, Ltd. | 76,000 | 134,669 | ||||||
Guangzhou Automobile Group Co., Ltd., Class H | 286,800 | 316,878 | ||||||
Kingdee International Software Group Co., Ltd. | 102,000 | 110,712 | ||||||
Luye Pharma Group, Ltd.(a) | 135,000 | 120,867 | ||||||
Momo, Inc., SP ADR* | 9,758 | 427,400 | ||||||
New Oriental Education & Technology Group, Inc., SP ADR* | 2,702 | 199,975 | ||||||
Semiconductor Manufacturing International Corp.* | 394,000 | 424,589 | ||||||
Shandong Weigao Group Medical Polymer Co., Ltd., Class H | 356,000 | 351,305 | ||||||
Shenzhou International Group Holdings, Ltd. | 62,000 | 795,530 | ||||||
Sihuan Pharmaceutical Holdings Group, Ltd. | 320,000 | 65,375 | ||||||
TAL Education Group, ADR* | 14,848 | 381,742 |
The accompanying notes are an integral part of the financial statements.
9
TOBAM EMERGING MARKETS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
China — (Continued) | ||||||||
Tingyi Cayman Islands Holding Corp. | 326,000 | $ | 598,834 | |||||
Vipshop Holdings, Ltd., ADR* | 24,712 | 154,203 | ||||||
Want Want China Holdings, Ltd. | 893,000 | 751,202 | ||||||
YY, Inc., ADR* | 4,319 | 323,579 | ||||||
|
| |||||||
10,968,755 | ||||||||
|
| |||||||
Colombia — 0.5% | ||||||||
Grupo de Inversiones Suramericana SA | 21,767 | 255,374 | ||||||
|
| |||||||
Czech Republic — 0.3% | ||||||||
Komercni banka as | 3,636 | 148,765 | ||||||
|
| |||||||
Greece — 2.5% | ||||||||
Alpha Bank AE* | 169,520 | 243,926 | ||||||
Eurobank Ergasias SA* | 213,368 | 161,082 | ||||||
Hellenic Telecommunications Organization SA | 20,204 | 247,738 | ||||||
JUMBO SA | 17,941 | 266,629 | ||||||
National Bank Of Greece SA* | 33,860 | 68,826 | ||||||
OPAP SA | 23,178 | 243,321 | ||||||
|
| |||||||
1,231,522 | ||||||||
|
| |||||||
Hong Kong — 3.4% | ||||||||
China First Capital Group, Ltd.* | 138,000 | 74,039 | ||||||
Fullshare Holdings, Ltd. | 1,257,500 | 603,803 | ||||||
Haier Electronics Group Co., Ltd. | 41,000 | 111,001 | ||||||
Sino Biopharmaceutical, Ltd. | 358,500 | 333,453 | ||||||
Sun Art Retail Group, Ltd. | 425,000 | 551,354 | ||||||
|
| |||||||
1,673,650 | ||||||||
|
|
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Indonesia — 3.4% | ||||||||
Bank Danamon Indonesia Tbk PT | 302,600 | $ | 146,195 | |||||
Jasa Marga Persero Tbk PT | 356,100 | 106,730 | ||||||
Perusahaan Gas Negara Persero Tbk | 1,908,400 | 287,872 | ||||||
Telekomunikasi Indonesia Persero Tbk PT | 2,780,000 | 680,475 | ||||||
Unilever Indonesia Tbk PT | 91,500 | 288,779 | ||||||
United Tractors Tbk PT | 75,700 | 167,602 | ||||||
|
| |||||||
1,677,653 | ||||||||
|
| |||||||
Malaysia — 2.9% | ||||||||
AirAsia Group Bhd | 244,700 | 186,786 | ||||||
Axiata Group Bhd | 373,185 | 411,057 | ||||||
Maxis Bhd | 280,500 | 395,746 | ||||||
My EG Services Bhd | 347,900 | 146,992 | ||||||
Press Metal Aluminium Holdings Bhd | 49,800 | 58,460 | ||||||
Sime Darby Bhd | 176,200 | 111,099 | ||||||
Top Glove Corp. Bhd | 62,700 | 161,424 | ||||||
|
| |||||||
1,471,564 | ||||||||
|
| |||||||
Mexico — 0.3% | ||||||||
Gruma SAB de CV, Class B | 13,680 | 173,913 | ||||||
|
| |||||||
Peru — 0.9% | ||||||||
Cia de Minas Buenaventura SAA, ADR | 32,618 | 437,407 | ||||||
|
| |||||||
Poland — 1.8% | ||||||||
Alior Bank SA* | 6,156 | 105,062 | ||||||
Orange Polska SA* | 118,660 | 142,841 |
The accompanying notes are an integral part of the financial statements.
10
TOBAM EMERGING MARKETS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Poland — (Continued) | ||||||||
Polski Koncern Naftowy ORLEN SA | 23,756 | $ | 651,176 | |||||
|
| |||||||
899,079 | ||||||||
|
| |||||||
Russia — 2.7% | ||||||||
Alrosa PJSC | 126,800 | 206,524 | ||||||
MMC Norilsk Nickel PJSC | 1,006 | 174,919 | ||||||
Mobile TeleSystems PJSC, SP ADR | 14,954 | 127,558 | ||||||
PhosAgro PJSC, GDR | 19,807 | 268,979 | ||||||
Severstal PJSC | 32,940 | 548,166 | ||||||
|
| |||||||
1,326,146 | ||||||||
|
| |||||||
South Africa — 1.5% | ||||||||
AngloGold Ashanti, Ltd. | 56,131 | 485,016 | ||||||
Gold Fields, Ltd. | 110,365 | 264,453 | ||||||
|
| |||||||
749,469 | ||||||||
|
| |||||||
South Korea — 24.7% | ||||||||
AMOREPACIFIC Group | 3,500 | 294,315 | ||||||
BGF retail Co., Ltd. | 541 | 100,226 | ||||||
Celltrion Pharm, Inc.* | 2,570 | 185,482 | ||||||
Celltrion, Inc.* | 1,816 | 486,681 | ||||||
Cheil Worldwide, Inc. | 9,454 | 184,606 | ||||||
CJ Enm Co., Ltd. | 443 | 99,040 | ||||||
Coway Co., Ltd. | 8,512 | 666,073 | ||||||
Hanmi Pharm Co., Ltd. | 1,133 | 510,658 | ||||||
Hanmi Science Co., Ltd. | 2,409 | 190,652 | ||||||
Hanon Systems | 33,344 | 380,274 | ||||||
Hanssem Co., Ltd. | 1,854 | 128,041 | ||||||
HLB, Inc.* | 3,650 | 394,749 | ||||||
Hyundai Engineering & Construction Co., Ltd. | 5,362 | 326,119 | ||||||
Hyundai Glovis Co., Ltd. | 3,319 | 388,924 | ||||||
Hyundai Marine & Fire Insurance Co., Ltd. | 10,862 | 410,598 |
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
South Korea — (Continued) |
| |||||||
Hyundai Mobis Co., Ltd. | 3,340 | $ | 686,518 | |||||
Hyundai Motor Co. | 3,700 | 431,896 | ||||||
Kangwon Land, Inc. | 8,107 | 209,749 | ||||||
KEPCO Plant Service & Engineering Co., Ltd. | 1,824 | 55,898 | ||||||
Kia Motors Corp. | 17,637 | 557,892 | ||||||
Korea Aerospace Industries, Ltd.* | 11,557 | 366,091 | ||||||
LG Display Co., Ltd. | 6,227 | 107,598 | ||||||
LG Household & Health Care, Ltd. | 612 | 703,872 | ||||||
LG Innotek Co., Ltd. | 968 | 113,843 | ||||||
LG Uplus Corp. | 8,165 | 134,712 | ||||||
Lotte Shopping Co., Ltd. | 623 | 117,734 | ||||||
Medy-Tox, Inc. | 800 | 446,542 | ||||||
NCSoft Corp. | 1,742 | 695,012 | ||||||
Orion Corp. | 4,321 | 410,823 | ||||||
Pan Ocean Co., Ltd.* | 22,939 | 108,351 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 1,067 | 273,183 | ||||||
Samsung Life Insurance Co., Ltd. | 2,559 | 224,462 | ||||||
Samsung SDI Co., Ltd. | 692 | 161,161 | ||||||
Shinsegae, Inc. | 1,344 | 439,391 | ||||||
SillaJen, Inc.* | 5,438 | 501,745 | ||||||
SK Telecom Co., Ltd. | 2,012 | 510,113 | ||||||
Yuhan Corp. | 1,321 | 288,714 | ||||||
|
| |||||||
12,291,738 | ||||||||
|
| |||||||
Taiwan — 12.8% | ||||||||
Acer, Inc. | 113,000 | 93,333 | ||||||
Asustek Computer, Inc. | 49,000 | 423,892 | ||||||
AU Optronics Corp. | 927,000 | 390,935 | ||||||
Eclat Textile Co., Ltd. | 32,660 | 404,173 |
The accompanying notes are an integral part of the financial statements.
11
TOBAM EMERGING MARKETS FUND
Portfolio of Investments (Continued)
September 30, 2018
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Taiwan — (Continued) | ||||||||
Far EasTone Telecommunications Co., Ltd. | 284,000 | $ | 677,137 | |||||
Feng TAY Enterprise Co., Ltd. | 48,000 | 295,601 | ||||||
Globalwafers Co., Ltd. | 29,000 | 319,581 | ||||||
Hiwin Technologies Corp. | 820 | 6,775 | ||||||
HTC Corp.* | 118,000 | 156,684 | ||||||
Innolux Corp. | 855,000 | 296,909 | ||||||
Inventec Corp. | 365,000 | 327,502 | ||||||
Macronix International | 100,980 | 84,127 | ||||||
Micro-Star International Co., Ltd. | 107,000 | 289,426 | ||||||
Nanya Technology Corp. | 47,000 | 89,751 | ||||||
Nien Made Enterprise Co., Ltd. | 27,000 | 211,312 | ||||||
Phison Electronics Corp. | 27,000 | 215,183 | ||||||
Powertech Technology, Inc. | 109,000 | 296,978 | ||||||
President Chain Store Corp. | 32,000 | 375,703 | ||||||
TaiMed Biologics, Inc.* | 31,000 | 191,088 | ||||||
Taiwan High Speed Rail Corp. | 268,000 | 262,463 | ||||||
Taiwan Mobile Co., Ltd. | 153,000 | 548,600 | ||||||
Walsin Technology Corp. | 36,000 | 251,166 | ||||||
Win Semiconductors Corp. | 18,000 | 79,245 | ||||||
Yageo Corp. | 5,188 | 77,904 | ||||||
|
| |||||||
6,365,468 | ||||||||
|
| |||||||
Thailand — 12.6% | ||||||||
Advanced Info Service PCL | 121,700 | 756,535 | ||||||
Airports of Thailand PCL | 269,900 | 546,643 | ||||||
Bangkok Dusit Medical | ||||||||
Services PCL | 685,200 | 540,247 |
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Thailand ��� (Continued) | ||||||||
Bangkok Expressway & Metro PCL | 1,363,900 | $ | 366,915 | |||||
Banpu PCL | 375,800 | 221,999 | ||||||
Berli Jucker PCL | 207,600 | 381,966 | ||||||
Bumrungrad Hospital PCL | 63,500 | 365,020 | ||||||
Charoen Pokphand Foods PCL | 415,420 | 324,346 | ||||||
CP ALL PCL | 266,700 | 569,133 | ||||||
Delta Electronics Thailand PCL | 87,600 | 188,933 | ||||||
Energy Absolute PCL | 218,600 | 325,897 | ||||||
Glow Energy PCL | 86,700 | 235,956 | ||||||
Indorama Ventures PCL | 291,600 | 532,098 | ||||||
Minor International PCL | 75,100 | 95,226 | ||||||
PTT Global Chemical PCL | 39,700 | 99,763 | ||||||
Thai Oil PCL | 28,300 | 77,488 | ||||||
Thai Union Group PCL | 328,400 | 181,759 | ||||||
TMB Bank PCL | 2,113,600 | 150,379 | ||||||
True Corp. PCL | 1,703,200 | 318,704 | ||||||
|
| |||||||
6,279,007 | ||||||||
|
| |||||||
Turkey — 2.3% | ||||||||
Eregli Demir ve Celik Fabrikalari TAS | 66,101 | 120,608 | ||||||
Petkim Petrokimya Holding AS | 138,223 | 122,275 | ||||||
TAV Havalimanlari Holding AS | 32,086 | 165,968 | ||||||
Tupras Turkiye Petrol Rafinerileri AS | 12,310 | 273,326 | ||||||
Turk Hava Yollari AO* | 100,313 | 316,401 | ||||||
Turkiye Halk Bankasi AS | 99,322 | 110,106 |
The accompanying notes are an integral part of the financial statements.
12
TOBAM EMERGING MARKETS FUND
Portfolio of Investments (Concluded)
September 30, 2018
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Turkey — (Continued) | ||||||||
Ulker Biskuvi Sanayi AS* | 22,793 | $ | 63,907 | |||||
|
| |||||||
1,172,591 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 48,916,761 | ||||||
|
| |||||||
PREFERRED STOCKS — 1.8% |
| |||||||
Brazil — 1.3% | ||||||||
Braskem SA, Class A(b) | 26,200 | 378,090 | ||||||
Petroleo Brasileiro SA(b) | 50,600 | 264,367 | ||||||
|
| |||||||
642,457 | ||||||||
|
| |||||||
South Korea — 0.5% | ||||||||
Hyundai Motor Co.(b) | 3,631 | 277,342 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS |
| 919,799 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 100.0% |
| 49,836,560 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.0)% | (14,868 | ) | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 49,821,692 | ||||||
|
|
* | Non-income producing. |
(a) | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities were purchased in accordance with the guidelines approved by the Fund’s Board of Trustees and may be resold, in transactions exempt from registration, to qualified institutional buyers. At September 30, 2018, these securities amounted to $171,963 or 0.3% of net assets. These securities have been determined by the Adviser to be liquid securities. |
(b) | Preferred stocks are shares that carry certain preferential rights. The dividend rate may not be consistent each pay period and could be zero for a particular year. |
ADR | American Depository Receipt | |
GDR | Global Depository Receipt | |
PCL | Public Company Limited | |
SP ADR | Sponsored American Depository Receipt |
The accompanying notes are an integral part of the financial statements.
13
TOBAM EMERGING MARKETS FUND
Statement of Assets and Liabilities
September 30, 2018
Assets | ||||
Investments, at value (Cost $46,356,363) | $ | 49,836,560 | ||
Cash | 67,384 | |||
Foreign currency (Cost $105,154) | 105,622 | |||
Dividends receivable | 62,385 | |||
Prepaid expenses and other assets | 11,227 | |||
|
| |||
Total assets | 50,083,178 | |||
|
| |||
Liabilities | ||||
Deferred foreign capital gains tax | 148,258 | |||
Payable for administration and accounting fees | 31,329 | |||
Payable to Investment Adviser | 26,165 | |||
Payable for custodian fees | 22,528 | |||
Payable for audit fees | 18,133 | |||
Payable for printing fees | 7,293 | |||
Payable for transfer agent fees | 6,863 | |||
Payable for legal fees | 874 | |||
Accrued expenses | 43 | |||
|
| |||
Total liabilities | 261,486 | |||
|
| |||
Net Assets | $ | 49,821,692 | ||
|
| |||
Net Assets consisted of: | ||||
Capital stock, $0.01 par value | $ | 43,031 | ||
Paid-in capital | 43,104,298 | |||
Accumulated net investment income | 515,734 | |||
Accumulated net realized gain from investments and foreign currency transactions | 2,677,661 | |||
Net unrealized appreciation on investments and assets and liabilities denominated in foreign currency | 3,480,968 | |||
|
| |||
Net Assets | $ | 49,821,692 | ||
|
|
Class I: | ||||
Shares outstanding | 4,303,117 | |||
|
| |||
Net asset value, offering and redemption price per share ($49,821,692 / 4,303,117 shares) | $ | 11.58 | ||
|
|
The accompanying notes are an integral part of the financial statements.
14
TOBAM EMERGING MARKETS FUND
Statement of Operations
For the Year Ended September 30, 2018
Investment income | ||||
Dividends | $ | 1,324,165 | ||
Less: foreign taxes withheld | (155,495 | ) | ||
|
| |||
Total investment income | 1,168,670 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 420,150 | |||
Administration and accounting fees (Note 2) | 82,219 | |||
Custodian fees (Note 2) | 66,342 | |||
Legal fees | 45,676 | |||
Registration and filing fees | 32,515 | |||
Audit fees | 28,879 | |||
Trustees’ and officers’ fees (Note 2) | 28,035 | |||
Printing and shareholder reporting fees | 21,152 | |||
Transfer agent fees (Note 2) | 20,888 | |||
Other expenses | 9,975 | |||
|
| |||
Total expenses before waivers and reimbursements | 755,831 | |||
|
| |||
Less: waivers and reimbursements (Note 2) | (254,667 | ) | ||
|
| |||
Net expenses after waivers and reimbursements | 501,164 | |||
|
| |||
Net investment income | 667,506 | |||
|
| |||
Net realized and unrealized gain/(loss) from investments | ||||
Net realized gain from investments | 2,724,673 | |||
Net realized loss from foreign currency transactions | (27,566 | ) | ||
Net change in unrealized appreciation/(depreciation) on investments* | (1,563,679 | ) | ||
Net change in unrealized appreciation/(depreciation) on foreign currency transactions | 1,353 | |||
|
| |||
Net realized and unrealized gain on investments | 1,134,781 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 1,802,287 | ||
|
|
* | Includes net increase in deferred foreign capital gains tax of $148,258. |
The accompanying notes are an integral part of the financial statements.
15
TOBAM EMERGING MARKETS FUND
Statements of Changes in Net Assets
For the | For the | |||||||||
Year Ended | Period Ended | |||||||||
September 30, 2018 | September 30, 2017* | |||||||||
Increase in net assets from operations: | ||||||||||
Net investment income | $ | 667,506 | $ | 642,606 | ||||||
Net realized gain from investments and foreign currency transactions | 2,697,107 | 36,733 | ||||||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency transactions | (1,562,326 | ) | 5,043,294 | |||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 1,802,287 | 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 | 1,801,985 | 48,019,707 | ||||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 48,019,707 | — | ||||||||
|
|
|
| |||||||
End of period | $ | 49,821,692 | $ | 48,019,707 | ||||||
|
|
|
| |||||||
Accumulated net investment income, end of period | $ | 515,734 | $ | 627,225 | ||||||
|
|
|
|
* | The TOBAM Emerging Markets Fund commenced operations on April 25, 2017. |
The accompanying notes are an integral part of the financial statements.
16
TOBAM EMERGING MARKETS FUND
Financial Highlights
Contained below is per share operating performance data for Class I shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class I | ||||||||||
For the Year | For the Period | |||||||||
Ended | April 25, 2017* | |||||||||
September 30, 2018 | to September 30, 2017 | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of period | $ | 11.35 | $ | 10.00 | ||||||
|
|
|
| |||||||
Net investment income(1) | 0.16 | 0.15 | ||||||||
Net realized and unrealized gain on investments | 0.27 | 1.20 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 0.43 | 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 | $ | 11.58 | $ | 11.35 | ||||||
|
|
|
| |||||||
Total investment return(2) | 3.79 | % | 13.50 | % | ||||||
Ratios/Supplemental Data | ||||||||||
Net assets, end of period (in thousands) | $ | 49,822 | $ | 48,020 | ||||||
Ratio of expenses to average net assets | 0.95 | % | 0.85 | %(3) | ||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 1.44 | % | 1.66 | %(3) | ||||||
Ratio of net investment income to average net assets | 1.27 | % | 3.29 | %(3) | ||||||
Portfolio turnover rate | 33.19 | % | 13.73 | %(5) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
17
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements
September 30, 2018
1. Organization and Significant Accounting Policies
The TOBAM Emerging Markets Fund (the “Fund”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), and commenced investment operations on April 25, 2017. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers separate classes of shares: Class A, Class C and Class I Shares. As of September 30, 2018, Class A and Class C shares have not been issued.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. The Fund’s equity securities listed on any national or foreign exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter market are valued at their closing sale or official closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Prices for equity securities normally are supplied by an independent pricing service approved by the Trust’s Board of Trustees. Fixed income securities are valued based on market quotations, which are furnished by an independent pricing service. Fixed income securities having remaining maturities of 60 days or less are generally valued at amortized cost, provided such amount approximates fair value. Any assets held by the Fund that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that the Fund determines the daily NAV per share. Foreign securities may trade on weekends or other days when the Fund does not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of the Fund. Investments in other open-end investment companies are valued based on the NAV of such investment companies (which may use fair value pricing as disclosed in their prospectuses). Securities that do not have a readily available current market value are valued in accordance with procedures adopted by the Trust’s Board of Trustees. The Board of Trustees has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available and has delegated to TOBAM (“TOBAM” or the “Adviser”) the responsibility for applying the valuation methods. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. In the event that market quotes are not readily
18
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2018
available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security or asset will be determined in good faith by the Adviser. The Trust has established a Valuation Committee which performs certain functions including the oversight of the Adviser’s fair valuation determinations.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 — | quoted prices in active markets for identical securities; | |
• Level 2 — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | |
• Level 3 — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Securities listed on a non-U.S. exchange are generally fair valued daily by an independent fair value pricing service approved by the Board of Trustees and categorized as Level 2 investments within the hierarchy. The fair valuations for these securities may not be the same as quoted or published prices of the securities on their primary markets. Securities for which daily fair value prices from the independent fair value pricing service are not available are generally valued at the last quoted sale price at the close of an exchange on which the security is traded and categorized as Level 1 investments within the hierarchy. Values of foreign securities, currencies, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of said currencies against the U.S. dollar, as of valuation time, as provided by an independent pricing service approved by the Board of Trustees.
The following is a summary of the inputs used, as of September 30, 2018, in valuing the Fund’s investments carried at fair value:
Level 2 | ||||||||||||||||
Other | Level 3 | |||||||||||||||
Total | Level 1 | Significant | Significant | |||||||||||||
Value at | Quoted | Observable | Unobservable | |||||||||||||
09/30/18 | Price | Inputs | Inputs | |||||||||||||
Common Stocks: | ||||||||||||||||
Brazil | $ | 1,794,660 | $ | 1,794,660 | $ | — | $ | — | ||||||||
China | 10,968,755 | 2,763,379 | 8,205,376 | — | ||||||||||||
Colombia | 255,374 | 255,374 | — | — |
19
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2018
Level 2 | ||||||||||||||||
Other | Level 3 | |||||||||||||||
Total | Level 1 | Significant | Significant | |||||||||||||
Value at | Quoted | Observable | Unobservable | |||||||||||||
09/30/18 | Price | Inputs | Inputs | |||||||||||||
Common Stocks: (Continued) | ||||||||||||||||
Czech Republic | $ | 148,765 | $ | — | $ | 148,765 | $ | — | ||||||||
Greece | 1,231,522 | 266,629 | 964,893 | — | ||||||||||||
Hong Kong | 1,673,650 | 74,039 | 1,599,611 | — | ||||||||||||
Indonesia | 1,677,653 | — | 1,677,653 | — | ||||||||||||
Malaysia | 1,471,564 | — | 1,471,564 | — | ||||||||||||
Mexico | 173,913 | 173,913 | — | — | ||||||||||||
Peru | 437,407 | 437,407 | — | — | ||||||||||||
Poland | 899,079 | — | 899,079 | — | ||||||||||||
Russia | 1,326,146 | 396,537 | 929,609 | — | ||||||||||||
South Africa | 749,469 | — | 749,469 | — | ||||||||||||
South Korea | 12,291,738 | 1,726,000 | 10,565,738 | — | ||||||||||||
Taiwan | 6,365,468 | — | 6,365,468 | — | ||||||||||||
Thailand | 6,279,007 | — | 6,279,007 | — | ||||||||||||
Turkey | 1,172,591 | — | 1,172,591 | — | ||||||||||||
Preferred Stocks: | ||||||||||||||||
Brazil | 642,457 | 642,457 | — | — | ||||||||||||
South Korea | 277,342 | — | 277,342 | — | ||||||||||||
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|
|
|
| |||||||||
Total Investments | $ | 49,836,560 | $ | 8,530,395 | $ | 41,306,165 | $ | — | ||||||||
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At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
20
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2018
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. 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 Level 3 are disclosed when the Fund had an amount of transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the year ended September 30, 2018, there were no transfers between Levels.
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 in the Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currency transactions in the Statement of Operations.
21
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2018
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 and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (the “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.
22
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2018
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 — Effective November 5, 2018, the SEC amended existing rules intended to modernize reporting and disclosure of information. These amendments relate to Regulation S-X which sets forth the form and content of financial statements. Management is evaluating the implications of adopting these amendments and their impact on the financial statements and accompanying notes.
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 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 September 30, 2018, the amount of potential recovery was as follows:
Expiration | ||||
September 30, 2020 |
September 30, 2021 |
Total | ||
$135,477 | $254,667 | $390,144 |
For the year ended September 30, 2018, the Adviser earned advisory fees of $420,150 and waived fees of $254,667.
23
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2018
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 fees previously waived in prior periods, if the Fund terminates its agreements with BNY Mellon and the Transfer Agent within three years of commencing operations. As of September 30, 2018, the amount of potential recovery was $22,228. The ability to recover such amounts previously waived expires on April 25, 2020.
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 year ended September 30, 2018 was $7,915. 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. Duff & Phelps, LLC (“D&P”) provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and D&P are compensated for their services provided to the Trust.
24
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2018
3. Investment in Securities
For the year ended September 30, 2018, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 18,006,791 | $ | 17,339,720 |
4. Capital Share Transactions
For the year ended September 30, 2018 and for the period April 25, 2017 (commencement of operations) to September 30, 2017, transactions in capital shares (authorized shares unlimited) were as follows:
For the Year Ended | For the Period Ended | |||||||||||||||
September 30, 2018 | September 30, 2017 | |||||||||||||||
Shares |
Amount |
Shares |
Amount | |||||||||||||
Sales | — | $ | — | 4,230,008 | $ | 42,297,074 | ||||||||||
Reinvestments | 73,109 | 850,255 | — | — | ||||||||||||
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| |||||||||
Net increase | 73,109 | $ | 850,255 | 4,230,008 | $ | 42,297,074 | ||||||||||
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|
* | There is a 1.00% redemption fee that may be charged on shares redeemed which have been held for 30 days or less. The redemption fee is retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. |
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as tax benefit or expense in the current year. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
Distributions are determined in accordance with federal income tax regulations, which may differ in amount or character from net investment income and realized gains for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the components of net assets based on the tax treatment; temporary
25
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2018
differences do not require reclassifications. For the year ended September 30, 2018, these adjustments were to increase undistributed net investment income by $11,862 and decrease accumulated net realized gain by $11,862. These permanent differences were primarily attributable to the reclassification of gains and losses on foreign currency transactions to ordinary income and to a reclass on gains on the sale of a Passive Foreign Investment Company. Net assets were not affected by these adjustments.
For the year ended September 30, 2018, the tax character of distributions paid by the Fund was $850,557 of ordinary income dividends. 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. Distributions from net investment income and short-term gains are treated as ordinary income for federal income tax purposes.
As of September 30, 2018, the components of distributable earnings on a tax basis were as follows:
Capital Loss | Undistributed | Undistributed | Unrealized | Qualified Late-Year | ||||
Carryforward | Ordinary Income | Long-Term Gain | Appreciation | Losses | ||||
$ — | $2,681,413 | $708,919 | $3,284,031 | $— |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes.
As of September 30, 2018, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost | $ | 46,553,300 | ||||
|
| |||||
Gross unrealized appreciation | $ | 7,651,452 | ||||
Gross unrealized depreciation | (4,368,192 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 3,283,260 | ||||
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|
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 year ended September 30, 2018, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2018. As of September 30, 2018, 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, 2018 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of September 30, 2018, the Fund did not have any capital loss carryforwards.
26
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Concluded)
September 30, 2018
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were available to be issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
27
TOBAM EMERGING MARKETS FUND
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of FundVantage Trust and
Shareholders of TOBAM Emerging Markets Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of TOBAM Emerging Markets Fund (the “Fund”) (one of the series constituting FundVantage Trust (the “Trust”)), including the portfolio of investments, as of September 30, 2018, and the related statement of operations for the year then ended, the statements of changes in net assets and the financial highlights for the year then ended and the period April 25, 2017 (commencement of operations) to September 30, 2017, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the series constituting FundVantage Trust) at September 30, 2018, the results of its operations for the year then ended and the changes in its net assets and its financial highlights for the year then ended and the period April 25, 2017 (commencement of operations) to September 30, 2017, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2018, by correspondence with the custodian. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more TOBAM investment companies since 2017.
Philadelphia, Pennsylvania
November 28, 2018
28
TOBAM EMERGING MARKETS FUND
Shareholder Tax Information
(Unaudited)
The Fund is required by Subchapter M of the Internal Revenue Code to advise its shareholders of the U.S. federal tax status of distributions received by the Fund’s shareholders in respect of such fiscal year. During the year ended September 30, 2018, the Fund paid $850,557 of ordinary income dividends to its shareholders. Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
The Fund designates 28.02% of the ordinary income distribution as qualified dividend income pursuant to the Jobs and Growth Tax Relief Reconciliation Act of 2003.
The percentage of ordinary income dividends qualifying for the corporate dividends received deduction is 0.13%.
The TOBAM Emerging Markets Fund paid foreign taxes and recognized foreign source income as follows:
Foreign Taxes Paid | Foreign Source Income | |
$80,054 | $1,319,776 |
All designations are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations thereunder.
Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2018. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2019.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Fund, if any.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Fund.
29
TOBAM EMERGING MARKETS FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (844) 282-6161 and on the Securities and Exchange Commission’s (“SEC”) website at http:// www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended December 31 and June 30) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at http://www.sec.gov. Form N-Q is being rescinded. Once Form N-Q is rescinded, disclosure of the Fund’s complete holdings will be required to be made on Form N-PORT, with every third month made available to the public by the Commission 60 days after the end of the Fund’s fiscal quarter.
30
TOBAM EMERGING MARKETS FUND
Privacy Notice
(Unaudited)
The privacy of your personal financial information is extremely important to us. When you open an account with us, we collect a significant amount of information from you in order to properly invest and administer your account. We take very seriously the obligation to keep that information private and confidential, and we want you to know how we protect that important information.
We collect nonpublic personal information about you from applications or other forms you complete and from your transactions with us or our affiliates. We do not disclose information about you, or our former clients, to our affiliates or to service providers or other third parties, except as permitted by law. We share only the information required to properly administer your accounts, which enables us to send transaction confirmations, monthly or quarterly statements, financials and tax forms. Even within FundVantage Trust and its affiliated entities, a limited number of people who actually service accounts will have access to your personal financial information. Further, we do not share information about our current or former clients with any outside marketing groups or sales entities.
To ensure the highest degree of security and confidentiality, FundVantage Trust and its affiliates maintain various physical, electronic and procedural safeguards to protect your personal information. We also apply special measures for authentication of information you request or submit to us on our web site.
If you have questions or comments about our privacy practices, please call us at (844) 282-6161.
31
TOBAM EMERGING MARKETS FUND
Fund Management
(Unaudited)
FundVantage Trust (the “Trust”) is governed by a Board of Trustees (the “Trustees”). The primary responsibility of the Trustees is to represent the interest of the Trust’s shareholders and to provide oversight management of the Trust.
The following tables present certain information regarding the Board of Trustees and officers of the Trust. None of the Trustees are an “interested person” of the Trust, the Adviser, another investment adviser of a series of the Trust, or Foreside Funds Distributors LLC, the principal underwriter of the Trust (“Underwriter”), within the meaning of the 1940 Act and each Trustee is referred to as an “Independent Trustee” and is listed under such heading below. Employees of certain service providers to the Trust serve as officers of the Trust; such persons are not compensated by the Fund. The address of each Trustee and Officer as it relates to the Trust’s business is 301 Bellevue Parkway, 2nd Floor, Wilmington, DE 19809.
The Statement of Additional Information for the Fund contains additional information about the Trustees and is available, without charge, upon request by calling (844) 282-6161.
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Funds in Trust Complex Overseen by Trustee
| Other Directorships Held by Trustee | |||||
INDEPENDENT TRUSTEES
| ||||||||||
ROBERT J. CHRISTIAN Date of Birth: 2/49 | Trustee and Chairman of the Board | Shall serve until death, resignation or removal. Trustee and Chairman since 2007. | Retired since February 2006; Executive Vice President of Wilmington Trust Company from February 1996 to February 2006; President of Rodney Square Management Corporation (“RSMC”) (investment advisory firm) from 1996 to 2005; Vice President of RSMC from 2005 to 2006.
| 41 | Optimum Fund Trust (registered investment company with 6 portfolios). | |||||
IQBAL MANSUR Date of Birth: 6/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2007.
| University Professor, Widener University. | 41 | None. |
32
TOBAM EMERGING MARKETS FUND
Fund Management (Continued)
(Unaudited)
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Funds in Trust Complex Overseen by Trustee
| Other Directorships Held by Trustee | |||||
NICHOLAS M. MARSINI, JR. Date of Birth: 8/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2016. | Retired since March 2016. President of PNC Bank Delaware from June 2011 to March 2016; Executive Vice President of Finance of BNY Mellon from July 2010 to January 2011; Executive Vice President and Chief Financial Officer of PNC Global Investment Servicing from September 1997 to July 2010.
| 41 | Brinker Capital Destinations Trust (registered investment company with 10 portfolios). | |||||
STEPHEN M. WYNNE Date of Birth: 1/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2009. | Retired since December 2010; Chief Executive Officer of US Funds Services, BNY Mellon Asset Servicing from July 2010 to December 2010; Chief Executive Officer of PNC Global Investment Servicing from March 2008 to July 2010; President, PNC Global Investment Servicing from 2003 to 2008.
| 41 | Copeland Trust (registered investment company with 2 portfolios). | |||||
NANCY B. WOLCOTT Date of Birth: 11/54 | Trustee | Shall serve until death, resignation or removal. Trustee since 2011. | Retired since May 2014; EVP, Head of GFI Client Service Delivery, BNY Mellon from January 2012 to May 2014; EVP, Head of US Funds Services, BNY Mellon from July 2010 to January 2012; President of PNC Global Investment Servicing from 2008 to July 2010; Chief Operating Officer of PNC Global Investment Servicing from 2007 to 2008; Executive Vice President of PFPC Worldwide Inc. from 2006 to 2007.
| 41 | Lincoln Variable Insurance Products Trust (registered investment company with 92 portfolios). |
33
TOBAM EMERGING MARKETS FUND
Fund Management (Concluded)
(Unaudited)
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served
| Principal Occupation(s) During Past Five Years | |||
EXECUTIVE OFFICERS
| ||||||
JOEL L. WEISS Date of Birth: 1/63 | President and Chief Executive Officer
| Shall serve until death, resignation or removal. Officer since 2007. | President of JW Fund Management LLC since June 2016; Vice President and Managing Director of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from 1993 to June 2016.
| |||
T. RICHARD KEYES Date of Birth: 1/57 | Treasurer and Chief Financial Officer
| Shall serve until death, resignation or removal. Officer since 2016.
| President of TRK Fund Consulting LLC since July 2016; Head of Tax — U.S. Fund Services of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from February 2006 to July 2016.
| |||
VINCENZO A. SCARDUZIO Date of Birth: 4/72 | Secretary | Shall serve until death, resignation or removal. Officer since 2012.
| Director and Vice President Regulatory Administration of The Bank of New York Mellon and predecessor firms since 2001. | |||
DAVID C. LEBISKY Date of Birth: 5/72 | Chief Compliance Officer and
| Shall serve until death, resignation or removal. Officer since 2015. | President of Lebisky Compliance Consulting LLC since October 2015; Consultant, Duff & Phelps, LLC since 2016; Senior Consultant, Freeh Group International Solutions, LLC (a global risk management firm) from 2015 to 2018; Scotia Institutional Investments US, LP, Director of Regulatory Administration from 2010 to 2014.
|
34
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
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103-7096
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
TOBAM EMERGING
MARKETS FUND
of
FundVantage Trust
Class I
ANNUAL REPORT
September 30, 2018
This report is submitted for the general information of the shareholders of the TOBAM Emerging Markets Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the TOBAM Emerging Markets Fund.
TOB-0918
VERPLANCK BALANCED FUND
of
FundVantage Trust
ANNUAL REPORT
September 30, 2018
This report is submitted for the general information of the shareholders of the Verplanck Balanced Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Verplanck Balanced Fund.
VERPLANCK BALANCED FUND
Annual Report
Performance Data
September 30, 2018
(Unaudited)
Total Returns for the Period Ended September 30, 2018 | ||||||
Since Inception† | ||||||
Verplanck Balanced Fund | 0.16%* | |||||
Bloomberg Barclays U.S. Aggregate Bond Index | -0.51%** | |||||
S&P 500® Index | 0.16%** |
† | Not Annualized. |
* | The Verplanck Balanced Fund (the “Fund”) commenced operations on August 28, 2018. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (844) 741-5050.
The Fund intends to evaluate performance as compared to that of the Bloomberg Barclays U.S. Aggregate Bond Index and the S&P 500® Index. The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index which represents the U.S. investment grade bond market and the S&P 500® Index is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. References to an index over a specific period are provided for your information only and should not be considered indicative of an investment in the Verplanck Balanced Fund. Note that an index is unmanaged and the information contained herein does not reflect any investment management fees or transaction costs. It is impossible to invest directly in an index.
All mutual fund investing involves risk, including possible loss of principal. The Fund is subject to the risks of the fixed-income securities in its portfolio such as credit, prepayment and interest rate risk. As interest rates rise, the value of bond prices will decline and an investor may lose money.
1
VERPLANCK BALANCED FUND
Fund Expense Disclosure
September 30, 2018
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested from August 28, 2018, the commencement of operations, through September 30, 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 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.
Verplanck Balanced Fund | |||||||||||||||
Beginning Account Value August 28, 2018 | Ending Account Value September 30, 2018 | Expenses Paid During Period* | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,001.60 | $ | 0.15 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,024.35 | 0.87 |
* | Expenses are equal to the annualized expense ratio for the period beginning August 28, 2018, commencement of operations, to September 30, 2018 of 0.17% for the Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (32), then divided by 365 to reflect the period. The Fund’s ending account value on the first line of the table is based on the actual total returns for the Fund since commencement of operations of 0.16%. For comparative purposes, the Hypothetical expenses are as if the shares had been in existence from April 1, 2018, and are equal to the shares annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (183), then divided by 365 to reflect the period. |
2
VERPLANCK BALANCED FUND
Portfolio Holdings Summary Table
September 30, 2018
(Unaudited)
The following table presents a summary by security type of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||||||
Common Stocks: | ||||||||||||||
Basic Materials | 1.0 | % | $ | 8,356,295 | ||||||||||
Communications | 7.8 | 66,618,593 | ||||||||||||
Consumer, Cyclical | 4.1 | 34,928,763 | ||||||||||||
Consumer, Non-cyclical | 11.4 | 97,053,531 | ||||||||||||
Energy | 2.4 | 20,728,584 | ||||||||||||
Financial | 9.4 | 79,899,471 | ||||||||||||
Industrial | 6.6 | 56,181,833 | ||||||||||||
Technology | 9.0 | 76,876,433 | ||||||||||||
Utilities | 1.3 | 10,692,060 | ||||||||||||
U.S. Treasury Obligations | 17.6 | 150,182,729 | ||||||||||||
Mortgage-Backed Securities | 13.3 | 112,840,973 | ||||||||||||
Corporate Bonds and Notes | 13.0 | 109,721,627 | ||||||||||||
Commercial Mortgage-Backed Securities | 0.9 | 7,979,492 | ||||||||||||
Foreign Government Bonds & Notes | 0.8 | 6,584,377 | ||||||||||||
U.S. Government Agency Obligations | 0.6 | 5,374,829 | ||||||||||||
Municipal Bonds | 0.3 | 2,869,812 | ||||||||||||
Asset-Backed Securities | 0.3 | 2,678,756 | ||||||||||||
Short-Term Investments | 3.3 | 27,902,795 | ||||||||||||
TBA Sale Commitments | (0.1 | ) | (621,613 | ) | ||||||||||
Liabilities in excess of other assets | (3.0 | ) | (25,517,119 | ) | ||||||||||
|
|
|
| |||||||||||
NET ASSETS | 100.0 | % | $ | 851,332,221 | ||||||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
3
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ /Shares | Value $ | |||||||||||||
Asset-Backed Securities — 0.31% | ||||||||||||||||
BMW Vehicle Lease Trust | 2.18 | 06/22/2020 | 300,000 | 297,936 | ||||||||||||
BMW Vehicle Owner Trust 2018-A | 2.51 | 06/25/2024 | 300,000 | 294,955 | ||||||||||||
Capital One Multi-Asset Execution Trust | 2.08 | 03/15/2023 | 485,000 | 478,063 | ||||||||||||
Citibank Credit Card Issuance Trust | 2.49 | 01/20/2023 | 300,000 | 295,853 | ||||||||||||
Citibank Credit Card Issuance Trust | 2.68 | 06/07/2023 | 242,000 | 238,978 | ||||||||||||
Discover Card Execution Note Trust | 2.39 | 07/15/2024 | 250,000 | 243,530 | ||||||||||||
Ford Credit Floorplan Master Owner Trust A | 1.55 | 07/15/2021 | 840,000 | 829,441 | ||||||||||||
|
| |||||||||||||||
Total Asset-Backed Securities (Cost $2,730,176) | 2,678,756 | |||||||||||||||
|
| |||||||||||||||
Common Stocks — 53.02% | ||||||||||||||||
Basic Materials — 0.98% | ||||||||||||||||
Air Products & Chemicals Inc | 3,735 | 623,932 | ||||||||||||||
Albemarle Corp | 1,948 | 194,371 | ||||||||||||||
CF Industries Holdings Inc | 4,630 | 252,057 | ||||||||||||||
Dowdupont Inc | 41,500 | 2,668,865 | ||||||||||||||
Eastman Chemical Co | 2,033 | 194,599 | ||||||||||||||
FMC Corp | 1,745 | 152,129 | ||||||||||||||
Freeport-McMoRan Inc | 24,217 | 337,101 | ||||||||||||||
International Flavors & Fragrances Inc | 1,090 | 151,641 | ||||||||||||||
International Paper Co | 7,614 | 374,228 | ||||||||||||||
LyondellBasell Industries NV | 5,504 | 564,215 | ||||||||||||||
Mosaic Co/The | 6,643 | 215,765 | ||||||||||||||
Newmont Mining Corp | 12,119 | 365,994 | ||||||||||||||
Nucor Corp | 4,926 | 312,555 | ||||||||||||||
PPG Industries Inc | 4,756 | 519,022 | ||||||||||||||
Praxair Inc | 4,843 | 778,415 | ||||||||||||||
Sherwin-Williams Co/The | 1,431 | 651,406 | ||||||||||||||
|
| |||||||||||||||
8,356,295 | ||||||||||||||||
|
| |||||||||||||||
Communications — 7.83% | ||||||||||||||||
Alphabet Inc * | 5,634 | 6,724,010 | ||||||||||||||
Alphabet Inc * | 5,486 | 6,622,041 | ||||||||||||||
Amazon.com Inc * | 7,293 | 14,607,879 | ||||||||||||||
Arista Networks Inc * | 787 | 209,232 | ||||||||||||||
AT&T Inc | 133,284 | 4,475,677 | ||||||||||||||
Booking Holdings Inc * | 900 | 1,785,600 | ||||||||||||||
CBS Corp | 9,574 | 550,026 | ||||||||||||||
CenturyLink Inc | 15,642 | 331,610 | ||||||||||||||
Charter Communications Inc * | 3,624 | 1,180,989 | ||||||||||||||
Cisco Systems Inc | 87,818 | 4,272,346 | ||||||||||||||
Comcast Corp | 83,134 | 2,943,775 | ||||||||||||||
Discovery Inc * | 5,396 | 159,614 | ||||||||||||||
Discovery Inc * | 3,783 | 121,056 | ||||||||||||||
eBay Inc * | 18,185 | 600,469 | ||||||||||||||
Expedia Group Inc | 2,048 | 267,223 |
The accompanying notes are an integral part of the financial statements.
4
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Shares | Value $ | |||||||
Common Stocks — 53.02% | ||||||||
Communications — 7.83% | ||||||||
F5 Networks Inc * | 1,250 | 249,275 | ||||||
Facebook Inc * | 44,263 | 7,279,493 | ||||||
Interpublic Group Of Cos Inc/The | 4,016 | 91,846 | ||||||
Juniper Networks Inc | 7,764 | 232,687 | ||||||
Motorola Solutions Inc | 4,285 | 557,650 | ||||||
Netflix Inc * | 7,748 | 2,898,759 | ||||||
News Corp | 11,241 | 148,269 | ||||||
News Corp | 1,496 | 20,346 | ||||||
Omnicom Group Inc | 4,589 | 312,144 | ||||||
Symantec Corp | 9,946 | 211,651 | ||||||
TripAdvisor Inc * | 2,168 | 110,720 | ||||||
Twenty-First Century Fox Inc | 27,255 | 1,262,724 | ||||||
Twenty-First Century Fox Inc | 462 | 21,169 | ||||||
Twitter Inc * | 11,655 | 331,701 | ||||||
VeriSign Inc * | 2,668 | 427,200 | ||||||
Verizon Communications Inc | 75,836 | 4,048,884 | ||||||
Viacom Inc | 4,557 | 153,844 | ||||||
Walt Disney Co/The | 29,149 | 3,408,684 | ||||||
|
| |||||||
66,618,593 | ||||||||
|
| |||||||
Consumer, Cyclical — 4.10% | ||||||||
Advance Auto Parts Inc | 826 | 139,041 | ||||||
Alaska Air Group Inc | 2,101 | 144,675 | ||||||
American Airlines Group Inc | 4,489 | 185,530 | ||||||
Aptiv PLC | 4,400 | 369,160 | ||||||
AutoZone Inc * | 453 | 351,392 | ||||||
Best Buy Co Inc | 5,153 | 408,942 | ||||||
BorgWarner Inc | 2,434 | 104,127 | ||||||
CarMax Inc * | 2,139 | 159,719 | ||||||
Carnival Corp | 6,999 | 446,326 | ||||||
Chipotle Mexican Grill Inc * | 368 | 167,263 | ||||||
Copart Inc * | 3,660 | 188,600 | ||||||
Costco Wholesale Corp | 6,904 | 1,621,612 | ||||||
Darden Restaurants Inc | 1,512 | 168,119 | ||||||
Delta Air Lines Inc | 11,735 | 678,635 | ||||||
Dollar General Corp | 4,692 | 512,836 | ||||||
Dollar Tree Inc * | 3,378 | 275,476 | ||||||
DR Horton Inc | 4,740 | 199,933 | ||||||
Fastenal Co | 3,521 | 204,288 | ||||||
Foot Locker Inc | 974 | 49,655 | ||||||
Ford Motor Co | 58,040 | 536,870 | ||||||
Gap Inc/The | 5,430 | 156,656 | ||||||
General Motors Co | 19,012 | 640,134 | ||||||
Genuine Parts Co | 2,343 | 232,894 | ||||||
Goodyear Tire & Rubber Co/The | 4,140 | 96,835 |
The accompanying notes are an integral part of the financial statements.
5
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Shares | Value $ | |||||||
Common Stocks — 53.02% | ||||||||
Consumer, Cyclical — 4.10% | ||||||||
Hanesbrands Inc | 2,700 | 49,761 | ||||||
Harley-Davidson Inc | 3,878 | 175,673 | ||||||
Hasbro Inc | 1,824 | 191,739 | ||||||
Hilton Worldwide Holdings Inc | 3,612 | 291,777 | ||||||
Home Depot Inc/The | 23,990 | 4,969,528 | ||||||
Kohl’s Corp | 1,545 | 115,180 | ||||||
L Brands Inc | 3,454 | 104,656 | ||||||
Leggett & Platt Inc | 1,921 | 84,121 | ||||||
Lennar Corp | 2,860 | 133,533 | ||||||
LKQ Corp * | 5,292 | 167,598 | ||||||
Lowe’s Cos Inc | 18,329 | 2,104,536 | ||||||
Macy’s Inc | 5,002 | 173,719 | ||||||
Marriott International Inc | 6,414 | 846,840 | ||||||
Mattel Inc * | 5,842 | 91,719 | ||||||
McDonald’s Corp | 17,787 | 2,975,587 | ||||||
MGM Resorts International | 8,552 | 238,686 | ||||||
Michael Kors Holdings Ltd * | 1,376 | 94,339 | ||||||
Mohawk Industries Inc * | 843 | 147,820 | ||||||
Newell Brands Inc | 6,973 | 141,552 | ||||||
Nike Inc | 24,048 | 2,037,347 | ||||||
Nordstrom Inc | 848 | 50,719 | ||||||
Norwegian Cruise Line Holdings Ltd * | 3,169 | 181,996 | ||||||
O’Reilly Automotive Inc * | 2,361 | 820,023 | ||||||
PACCAR Inc | 6,614 | 451,009 | ||||||
PulteGroup Inc | 5,976 | 148,026 | ||||||
PVH Corp | 1,269 | 183,244 | ||||||
Ralph Lauren Corp | 804 | 110,590 | ||||||
Ross Stores Inc | 7,276 | 721,052 | ||||||
Royal Caribbean Cruises Ltd | 2,416 | 313,935 | ||||||
Southwest Airlines Co | 12,870 | 803,732 | ||||||
Starbucks Corp | 25,183 | 1,431,402 | ||||||
Tapestry Inc | 3,701 | 186,049 | ||||||
Target Corp | 10,286 | 907,328 | ||||||
Tiffany & Co | 1,629 | 210,092 | ||||||
TJX Cos Inc/The | 11,400 | 1,277,028 | ||||||
Tractor Supply Co | 1,548 | 140,682 | ||||||
Ulta Beauty Inc * | 1,098 | 309,768 | ||||||
Under Armour Inc * | 4,755 | 92,532 | ||||||
Under Armour Inc * | 2,701 | 57,315 | ||||||
United Continental Holdings Inc * | 4,579 | 407,806 | ||||||
VF Corp | 6,033 | 563,784 | ||||||
Walgreens Boots Alliance Inc | 14,871 | 1,084,096 | ||||||
Whirlpool Corp | 1,112 | 132,050 | ||||||
WW Grainger Inc | 1,105 | 394,938 |
The accompanying notes are an integral part of the financial statements.
6
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Shares | Value $ | |||||||
Common Stocks — 53.02% | ||||||||
Consumer, Cyclical — 4.10% | ||||||||
Wynn Resorts Ltd | 836 | 106,222 | ||||||
Yum! Brands Inc | 7,358 | 668,916 | ||||||
|
| |||||||
34,928,763 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 11.40% | ||||||||
Abbott Laboratories | 30,552 | 2,241,295 | ||||||
AbbVie Inc | 28,466 | 2,692,314 | ||||||
ABIOMED Inc * | 759 | 341,360 | ||||||
Aetna Inc | 5,374 | 1,090,116 | ||||||
Alexion Pharmaceuticals Inc * | 4,001 | 556,179 | ||||||
Align Technology Inc * | 1,317 | 515,237 | ||||||
Allergan PLC | 6,030 | 1,148,594 | ||||||
Altria Group Inc | 32,977 | 1,988,843 | ||||||
Amerisourcebergen Corp | 4,037 | 372,292 | ||||||
Anthem Inc | 5,765 | 1,579,898 | ||||||
Archer-Daniels-Midland Co | 10,068 | 506,118 | ||||||
Automatic Data Processing Inc | 8,535 | 1,285,883 | ||||||
Avery Dennison Corp | 1,675 | 181,486 | ||||||
Baxter International Inc | 9,440 | 727,730 | ||||||
Becton Dickinson and Co | 4,862 | 1,268,982 | ||||||
Biogen Inc * | 3,722 | 1,315,020 | ||||||
Boston Scientific Corp * | 24,439 | 940,902 | ||||||
Bristol-Myers Squibb Co | 29,064 | 1,804,293 | ||||||
Brown-Forman Corp | 9,226 | 466,374 | ||||||
Campbell Soup Co | 3,277 | 120,037 | ||||||
Cardinal Health Inc | 5,188 | 280,152 | ||||||
Celgene Corp * | 13,959 | 1,249,191 | ||||||
Centene Corp * | 3,571 | 517,009 | ||||||
Church & Dwight Co Inc | 3,092 | 183,572 | ||||||
Cigna Corp | 4,099 | 853,617 | ||||||
Cintas Corp | 2,189 | 433,006 | ||||||
Clorox Co/The | 1,693 | 254,644 | ||||||
Coca-Cola Co/The | 71,762 | 3,314,687 | ||||||
Colgate-Palmolive Co | 16,204 | 1,084,858 | ||||||
Conagra Brands Inc | 6,305 | 214,181 | ||||||
Constellation Brands Inc | 3,237 | 697,962 | ||||||
Cooper Cos Inc/The | 852 | 236,132 | ||||||
Coty Inc | 9,868 | 123,942 | ||||||
CVS Health Corp | 20,629 | 1,623,915 | ||||||
Danaher Corp | 9,915 | 1,077,364 | ||||||
DaVita Inc * | 3,294 | 235,949 | ||||||
DENTSPLY SIRONA Inc | 4,583 | 172,962 | ||||||
Ecolab Inc | 4,348 | 681,679 | ||||||
Edwards Lifesciences Corp * | 3,780 | 658,098 | ||||||
Eli Lilly & Co | 16,106 | 1,728,335 |
The accompanying notes are an integral part of the financial statements.
7
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Shares | Value $ | |||||||
Common Stocks — 53.02% | ||||||||
Consumer, Non-cyclical — 11.40% | ||||||||
Envision Healthcare Corp * | 1,131 | 51,721 | ||||||
Equifax Inc | 2,267 | 296,002 | ||||||
Estee Lauder Cos Inc/The Class A | 3,563 | 517,775 | ||||||
Express Scripts Holding Co * | 13,672 | �� | 1,298,977 | |||||
FleetCor Technologies Inc * | 1,624 | 370,012 | ||||||
Gartner Inc * | 1,583 | 250,906 | ||||||
General Mills Inc | 9,211 | 395,336 | ||||||
Gilead Sciences Inc | 25,249 | 1,949,475 | ||||||
Global Payments Inc | 2,608 | 332,259 | ||||||
H&R Block Inc | 5,203 | 133,977 | ||||||
HCA Healthcare Inc | 4,475 | 622,562 | ||||||
Henry Schein Inc * | 2,057 | 174,907 | ||||||
Hershey Co/The | 3,051 | 311,202 | ||||||
Hologic Inc * | 4,289 | 175,763 | ||||||
Hormel Foods Corp | 5,405 | 212,957 | ||||||
Humana Inc | 2,467 | 835,129 | ||||||
IDEXX Laboratories Inc * | 1,518 | 378,984 | ||||||
IHS Markit Ltd * | 6,067 | 327,375 | ||||||
Illumina Inc * | 2,477 | 909,208 | ||||||
Incyte Corp * | 2,612 | 180,437 | ||||||
Intuitive Surgical Inc * | 1,893 | 1,086,582 | ||||||
IQVIA Holdings Inc * | 2,400 | 311,376 | ||||||
JM Smucker Co/The | 1,679 | 172,282 | ||||||
Johnson & Johnson | 48,334 | 6,678,309 | ||||||
Kellogg Co | 4,570 | 319,991 | ||||||
Kimberly-Clark Corp | 6,340 | 720,478 | ||||||
Kraft Heinz Co/The | 10,062 | 554,517 | ||||||
Kroger Co/The | 19,191 | 558,650 | ||||||
Laboratory Corp Of America Holdings * | 1,758 | 305,329 | ||||||
McCormick & Co Inc | 2,286 | 301,180 | ||||||
McKesson Corp | 4,062 | 538,824 | ||||||
Medtronic PLC | 24,155 | 2,376,127 | ||||||
Merck & Co Inc | 50,260 | 3,565,444 | ||||||
Molson Coors Brewing Co | 3,017 | 185,546 | ||||||
Mondelez International Inc | 28,169 | 1,210,140 | ||||||
Monster Beverage Corp * | 6,756 | 393,740 | ||||||
Moody’s Corp | 3,124 | 522,333 | ||||||
Mylan NV * | 9,157 | 335,146 | ||||||
Nektar Therapeutics * | 2,680 | 163,373 | ||||||
Nielsen Holdings PLC | 4,458 | 123,308 | ||||||
PayPal Holdings Inc * | 19,164 | 1,683,366 | ||||||
PepsiCo Inc | 27,576 | 3,082,997 | ||||||
Perrigo Co PLC | 3,244 | 229,675 | ||||||
Pfizer Inc | 103,568 | 4,564,242 |
The accompanying notes are an integral part of the financial statements.
8
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Shares | Value $ | |||||||
Common Stocks — 53.02% | ||||||||
Consumer, Non-cyclical — 11.40% | ||||||||
Philip Morris International Inc | 28,998 | 2,364,497 | ||||||
Procter & Gamble Co/The | 45,777 | 3,810,020 | ||||||
Quanta Services Inc * | 3,108 | 103,745 | ||||||
Quest Diagnostics Inc | 2,678 | 288,983 | ||||||
Regeneron Pharmaceuticals Inc * | 1,336 | 539,797 | ||||||
ResMed Inc | 2,506 | 289,042 | ||||||
Robert Half International Inc | 2,608 | 183,551 | ||||||
Rollins Inc | 1,429 | 86,726 | ||||||
S&P Global Inc | 5,039 | 984,570 | ||||||
Stryker Corp | 5,178 | 920,027 | ||||||
Sysco Corp | 9,644 | 706,423 | ||||||
Thermo Fisher Scientific Inc | 6,838 | 1,669,019 | ||||||
Total System Services Inc | 2,537 | 250,503 | ||||||
Tyson Foods Inc | 4,095 | 243,775 | ||||||
United Rentals Inc * | 1,405 | 229,858 | ||||||
UnitedHealth Group Inc | 17,854 | 4,749,878 | ||||||
Universal Health Services Inc | 1,348 | 172,328 | ||||||
Varian Medical Systems Inc * | 1,722 | 192,743 | ||||||
Verisk Analytics Inc * | 2,484 | 299,446 | ||||||
Vertex Pharmaceuticals Inc * | 4,424 | 852,682 | ||||||
WellCare Health Plans Inc * | 826 | 264,725 | ||||||
Western Union Co/The | 8,365 | 159,437 | ||||||
Zimmer Biomet Holdings Inc | 3,548 | 466,456 | ||||||
Zoetis Inc | 8,226 | 753,173 | ||||||
|
| |||||||
97,053,531 | ||||||||
|
| |||||||
Energy — 2.43% | ||||||||
Anadarko Petroleum Corp | 10,753 | 724,860 | ||||||
Andeavor | 2,666 | 409,231 | ||||||
Apache Corp | 7,248 | 345,512 | ||||||
Baker Hughes a GE Co | 6,800 | 230,044 | ||||||
Cabot Oil & Gas Corp | 8,692 | 195,744 | ||||||
Chevron Corp | 33,569 | 4,104,817 | ||||||
Cimarex Energy Co | 1,417 | 131,696 | ||||||
Concho Resources Inc * | 3,452 | 527,293 | ||||||
ConocoPhillips | 21,640 | 1,674,936 | ||||||
Devon Energy Corp | 10,130 | 404,592 | ||||||
EOG Resources Inc | 10,257 | 1,308,485 | ||||||
EQT Corp | 5,583 | 246,936 | ||||||
Halliburton Co | 15,343 | 621,852 | ||||||
Helmerich & Payne Inc | 2,051 | 141,047 | ||||||
Hess Corp | 6,431 | 460,331 | ||||||
HollyFrontier Corp | 3,201 | 223,750 | ||||||
Kinder Morgan Inc | 26,793 | 475,040 | ||||||
Marathon Oil Corp | 23,329 | 543,099 |
The accompanying notes are an integral part of the financial statements.
9
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Shares | Value $ | |||||||
Common Stocks — 53.02% | ||||||||
Energy — 2.43% | ||||||||
Marathon Petroleum Corp | 9,947 | 795,462 | ||||||
National Oilwell Varco Inc | 5,810 | 250,295 | ||||||
Newfield Exploration Co * | 4,345 | 125,266 | ||||||
Noble Energy Inc | 10,070 | 314,083 | ||||||
Occidental Petroleum Corp | 12,757 | 1,048,243 | ||||||
ONEOK Inc | 6,641 | 450,193 | ||||||
Phillips 66 | 9,573 | 1,079,069 | ||||||
Pioneer Natural Resources Co | 3,210 | 559,150 | ||||||
Schlumberger Ltd | 24,864 | 1,514,715 | ||||||
TechnipFMC PLC (United Kingdom) | 6,670 | 208,438 | ||||||
Valero Energy Corp | 9,214 | 1,048,092 | ||||||
Williams Cos Inc/The | 20,828 | 566,313 | ||||||
|
| |||||||
20,728,584 | ||||||||
|
| |||||||
Financial — 9.39% | ||||||||
Affiliated Managers Group Inc | 926 | 126,603 | ||||||
Aflac Inc | 15,908 | 748,790 | ||||||
Alexandria Real Estate Equities Inc REIT | 2,457 | 309,066 | ||||||
Alliance Data Systems Corp | 782 | 184,677 | ||||||
Allstate Corp/The | 8,438 | 832,831 | ||||||
American Express Co | 16,966 | 1,806,709 | ||||||
American International Group Inc | 19,848 | 1,056,708 | ||||||
American Tower Corp REIT | 7,784 | 1,131,015 | ||||||
Ameriprise Financial Inc | 3,334 | 492,298 | ||||||
Aon PLC | 4,800 | 738,144 | ||||||
Apartment Investment & Management Co REIT | 4,644 | 204,940 | ||||||
Arthur J Gallagher & Co | 3,047 | 226,819 | ||||||
Assurant Inc | 1,391 | 150,158 | ||||||
Avalonbay Communities Inc REIT | 2,565 | 464,650 | ||||||
Bank Of America Corp | 167,548 | 4,935,964 | ||||||
BB&T Corp | 12,103 | 587,480 | ||||||
Berkshire Hathaway Inc * | 34,779 | 7,446,532 | ||||||
Blackrock Inc | 1,823 | 859,235 | ||||||
Boston Properties Inc REIT | 2,823 | 347,483 | ||||||
Brighthouse Financial Inc * | 2,083 | 92,152 | ||||||
Capital One Financial Corp | 9,256 | 878,672 | ||||||
Cboe Global Markets Inc | 1,371 | 131,561 | ||||||
CBRE Group Inc * | 5,698 | 251,282 | ||||||
Charles Schwab Corp/The | 20,852 | 1,024,876 | ||||||
Chubb Ltd | 7,657 | 1,023,281 | ||||||
Cincinnati Financial Corp | 2,958 | 227,204 | ||||||
Citigroup Inc | 49,564 | 3,555,721 | ||||||
Citizens Financial Group Inc | 8,888 | 342,810 | ||||||
CME Group Inc | 5,352 | 910,964 |
The accompanying notes are an integral part of the financial statements.
10
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Shares | Value $ | |||||||
Common Stocks — 53.02% | ||||||||
Financial — 9.39% | ||||||||
Comerica Inc | 2,649 | 238,940 | ||||||
Crown Castle International Corp REIT | 7,207 | 802,355 | ||||||
Digital Realty Trust Inc REIT | 3,642 | 409,652 | ||||||
Discover Financial Services | 7,506 | 573,834 | ||||||
Duke Realty Corp REIT | 7,181 | 203,725 | ||||||
E*TRADE Financial Corp * | 3,699 | 193,791 | ||||||
Equinix Inc REIT | 1,480 | 640,677 | ||||||
Equity Residential REIT | 6,217 | 411,938 | ||||||
Essex Property Trust Inc REIT | 1,262 | 311,348 | ||||||
Everest Re Group Ltd | 724 | 165,412 | ||||||
Extra Space Storage Inc REIT | 2,210 | 191,474 | ||||||
Federal Realty Investment Trust REIT | 1,171 | 148,096 | ||||||
Fifth Third Bancorp | 7,966 | 222,411 | ||||||
Franklin Resources Inc | 7,158 | 217,675 | ||||||
Goldman Sachs Group Inc/The | 8,198 | 1,838,320 | ||||||
Hartford Financial Services Group Inc/The | 3,716 | 185,651 | ||||||
HCP Inc REIT | 8,394 | 220,930 | ||||||
Host Hotels & Resorts Inc REIT | 9,476 | 199,944 | ||||||
Huntington Bancshares Inc/Oh | 9,923 | 148,051 | ||||||
Intercontinental Exchange Inc | 8,811 | 659,856 | ||||||
Invesco Ltd | 6,976 | 159,611 | ||||||
Iron Mountain Inc REIT | 4,712 | 162,658 | ||||||
Jefferies Financial Group Inc | 5,800 | 127,368 | ||||||
JPmorgan Chase & Co | 65,127 | 7,348,931 | ||||||
KeyCorp | 13,874 | 275,954 | ||||||
Kimco Realty Corp REIT | 11,275 | 188,744 | ||||||
Lincoln National Corp | 5,467 | 369,897 | ||||||
Loews Corp | 5,741 | 288,370 | ||||||
M&T Bank Corp | 2,893 | 476,014 | ||||||
Macerich Co/The REIT | 3,528 | 195,063 | ||||||
Marsh & McLennan Cos Inc | 8,817 | 729,342 | ||||||
Mastercard Inc Class A | 16,198 | 3,605,837 | ||||||
MetLife Inc | 17,069 | 797,464 | ||||||
Mid-America Apartment Communities Inc REIT | 2,577 | 258,164 | ||||||
Morgan Stanley | 25,224 | 1,174,682 | ||||||
Nasdaq Inc | 2,445 | 209,781 | ||||||
Northern Trust Corp | 5,138 | 524,744 | ||||||
People’s United Financial Inc | 8,936 | 152,984 | ||||||
PNC Financial Services Group Inc/The | 8,359 | 1,138,412 | ||||||
Principal Financial Group Inc | 4,811 | 281,876 | ||||||
Progressive Corp/The | 12,138 | 862,284 | ||||||
Prologis Inc REIT | 10,612 | 719,387 | ||||||
Prudential Financial Inc | 7,359 | 745,614 |
The accompanying notes are an integral part of the financial statements.
11
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Shares | Value $ | |||||||
Common Stocks — 53.02% | ||||||||
Financial — 9.39% | ||||||||
Public Storage REIT | 2,714 | 547,224 | ||||||
Raymond James Financial Inc | 2,029 | 186,769 | ||||||
Realty Income Corp REIT | 5,672 | 322,680 | ||||||
Regency Centers Corp REIT | 3,909 | 252,795 | ||||||
Regions Financial Corp | 18,100 | 332,135 | ||||||
SBA Communications Corp REIT * | 2,299 | 369,288 | ||||||
Simon Property Group Inc REIT | 5,598 | 989,446 | ||||||
SL Green Realty Corp REIT | 1,747 | 170,385 | ||||||
State Street Corp | 8,026 | 672,418 | ||||||
SunTrust Banks Inc | 5,903 | 394,261 | ||||||
SVB Financial Group * | 957 | 297,464 | ||||||
Synchrony Financial | 12,201 | 379,207 | ||||||
T Rowe Price Group Inc | 4,412 | 481,702 | ||||||
Torchmark Corp | 3,318 | 287,637 | ||||||
Travelers Cos Inc/The | 7,433 | 964,134 | ||||||
UDR Inc REIT | 5,013 | 202,676 | ||||||
Unum Group | 5,743 | 224,379 | ||||||
US Bancorp | 31,444 | 1,660,558 | ||||||
Ventas Inc REIT | 6,057 | 329,380 | ||||||
Visa Inc Class A | 34,141 | 5,124,223 | ||||||
Vornado Realty Trust REIT | 3,086 | 225,278 | ||||||
Wells Fargo & Co | 84,432 | 4,437,746 | ||||||
Welltower Inc REIT | 6,490 | 417,437 | ||||||
Weyerhaeuser Co REIT | 13,774 | 444,487 | ||||||
Willis Towers Watson PLC | 1,907 | 268,773 | ||||||
Zions Bancorp NA | 1,019 | 51,103 | ||||||
|
| |||||||
79,899,471 | ||||||||
|
| |||||||
Industrial — 6.60% | ||||||||
3M Co | 12,009 | 2,530,416 | ||||||
Agilent Technologies Inc | 5,679 | 400,597 | ||||||
Allegion PLC | 1,521 | 137,757 | ||||||
AMETEK Inc | 3,474 | 274,863 | ||||||
Amgen Inc | 13,370 | 2,771,467 | ||||||
Amphenol Corp | 6,002 | 564,308 | ||||||
AO Smith Corp | 2,597 | 138,602 | ||||||
Arconic Inc | 2,992 | 65,854 | ||||||
Ball Corp | 6,722 | 295,701 | ||||||
Boeing Co/The | 11,330 | 4,213,627 | ||||||
Caterpillar Inc | 11,573 | 1,764,767 | ||||||
CH Robinson Worldwide Inc | 2,472 | 242,058 | ||||||
Corning Inc | 24,780 | 874,734 | ||||||
CSX Corp | 19,210 | 1,422,500 | ||||||
Cummins Inc | 2,626 | 383,580 | ||||||
Deere & Co | 5,974 | 898,071 |
The accompanying notes are an integral part of the financial statements.
12
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Shares | Value $ | |||||||
Common Stocks — 53.02% | ||||||||
Industrial — 6.60% | ||||||||
Dover Corp | 2,871 | 254,170 | ||||||
Eaton Corp PLC | 6,913 | 599,564 | ||||||
Emerson Electric Co | 12,787 | 979,228 | ||||||
Expeditors International of Washington Inc | 3,138 | 230,737 | ||||||
Exxon Mobil Corp | 74,009 | 6,292,245 | ||||||
FedEx Corp | 4,715 | 1,135,325 | ||||||
FLIR Systems Inc | 2,649 | 162,834 | ||||||
Flowserve Corp | 2,278 | 124,584 | ||||||
Fluor Corp | 2,919 | 169,594 | ||||||
Fortive Corp | 4,702 | 395,908 | ||||||
Fortune Brands Home & Security Inc | 2,680 | 140,325 | ||||||
Garmin Ltd | 1,769 | 123,918 | ||||||
General Dynamics Corp | 6,015 | 1,231,391 | ||||||
General Electric Co | 147,716 | 1,667,714 | ||||||
Harris Corp | 2,010 | 340,112 | ||||||
Honeywell International Inc | 13,505 | 2,247,232 | ||||||
Huntington Ingalls Industries Inc | 820 | 209,986 | ||||||
Illinois Tool Works Inc | 6,370 | 898,934 | ||||||
Ingersoll-Rand PLC | 4,500 | 460,350 | ||||||
Jacobs Engineering Group Inc | 144 | 11,016 | ||||||
Jb Hunt Transport Services Inc | 808 | 96,104 | ||||||
Johnson Controls International PLC | 16,119 | 564,165 | ||||||
Kansas City Southern | 1,617 | 183,174 | ||||||
L3 Technologies Inc | 1,859 | 395,261 | ||||||
Lockheed Martin Corp | 5,001 | 1,730,146 | ||||||
Martin Marietta Materials Inc | 1,015 | 184,679 | ||||||
Masco Corp | 5,916 | 216,526 | ||||||
Mettler-Toledo International Inc * | 409 | 249,073 | ||||||
Norfolk Southern Corp | 5,330 | 962,065 | ||||||
Northrop Grumman Corp | 4,311 | 1,368,182 | ||||||
Packaging Corp of America | 1,664 | 182,524 | ||||||
Parker-Hannifin Corp | 2,101 | 386,437 | ||||||
Pentair PLC | 3,228 | 139,934 | ||||||
PerkinElmer Inc | 1,071 | 104,176 | ||||||
Raytheon Co | 5,421 | 1,120,304 | ||||||
Republic Services Inc | 5,419 | 393,745 | ||||||
Rockwell Automation Inc | 2,149 | 402,980 | ||||||
Rockwell Collins Inc | 2,854 | 400,901 | ||||||
Roper Technologies Inc | 1,126 | 333,532 | ||||||
Sealed Air Corp | 2,182 | 87,607 | ||||||
Snap-on Inc | 653 | 119,891 | ||||||
Stanley Black & Decker Inc | 2,383 | 348,967 | ||||||
Stericycle Inc * | 2,045 | 120,001 | ||||||
TE Connectivity Ltd | 4,800 | 422,064 |
The accompanying notes are an integral part of the financial statements.
13
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Shares | Value $ | |||||||
Common Stocks — 53.02% | ||||||||
Industrial — 6.60% | ||||||||
Textron Inc | 3,670 | 262,295 | ||||||
TransDigm Group Inc * | 866 | 322,412 | ||||||
Union Pacific Corp | 15,069 | 2,453,685 | ||||||
United Parcel Service Inc | 14,556 | 1,699,413 | ||||||
United Technologies Corp | 14,682 | 2,052,690 | ||||||
Vulcan Materials Co | 2,199 | 244,529 | ||||||
Walmart Inc | 26,355 | 2,474,998 | ||||||
Waste Management Inc | 8,398 | 758,843 | ||||||
Waters Corp * | 1,602 | 311,877 | ||||||
WestRock Co | 3,780 | 202,003 | ||||||
Xylem Inc/Ny | 2,912 | 232,581 | ||||||
|
| |||||||
56,181,833 | ||||||||
|
| |||||||
Technology — 9.03% | ||||||||
Accenture PLC (Ireland) | 11,189 | 1,904,368 | ||||||
Activision Blizzard Inc | 12,625 | 1,050,274 | ||||||
Adobe Inc * | 8,310 | 2,243,284 | ||||||
Advanced Micro Devices Inc * | 15,558 | 480,587 | ||||||
Akamai Technologies Inc * | 2,716 | 198,675 | ||||||
Analog Devices Inc | 5,285 | 488,651 | ||||||
ANSYS Inc * | 1,500 | 280,020 | ||||||
Apple Inc | 89,420 | 20,185,671 | ||||||
Applied Materials Inc | 21,755 | 840,831 | ||||||
Autodesk Inc * | 3,745 | 584,632 | ||||||
Broadcom Inc | 7,200 | 1,776,456 | ||||||
Broadridge Financial Solutions Inc | 2,138 | 282,109 | ||||||
CA Inc | 4,583 | 202,339 | ||||||
Cadence Design Systems Inc * | 4,993 | 226,283 | ||||||
Cerner Corp * | 5,005 | 322,372 | ||||||
Citrix Systems Inc * | 2,789 | 310,025 | ||||||
Cognizant Technology Solutions Corp | 9,388 | 724,284 | ||||||
DXC Technology Co | 5,176 | 484,060 | ||||||
Electronic Arts Inc * | 4,889 | 589,076 | ||||||
Fidelity National Information Services Inc | 4,902 | 534,661 | ||||||
Fiserv Inc * | 10,051 | 828,001 | ||||||
Hewlett Packard Enterprise Co | 31,385 | 511,889 | ||||||
HP Inc | 31,413 | 809,513 | ||||||
Intel Corp | 85,842 | 4,059,468 | ||||||
International Business Machines Corp | 16,839 | 2,546,225 | ||||||
Intuit Inc | 4,795 | 1,090,383 | ||||||
IPG Photonics Corp * | 677 | 105,659 | ||||||
KLA-Tencor Corp | 2,572 | 261,598 | ||||||
Lam Research Corp | 2,346 | 355,888 | ||||||
Microchip Technology Inc | 4,032 | 318,165 | ||||||
Micron Technology Inc * | 19,604 | 886,689 |
The accompanying notes are an integral part of the financial statements.
14
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Shares/ Principal Amount $ | Value $ | |||||||||||||
Common Stocks — 53.02% | ||||||||||||||||
Technology — 9.03% | ||||||||||||||||
Microsoft Corp | 139,445 | 15,948,325 | ||||||||||||||
MSCI Inc | 1,628 | 288,823 | ||||||||||||||
NetApp Inc | 4,367 | 375,082 | ||||||||||||||
NVIDIA Corp | 10,687 | 3,003,261 | ||||||||||||||
Oracle Corp | 59,617 | 3,073,853 | ||||||||||||||
Paychex Inc | 5,569 | 410,157 | ||||||||||||||
Qorvo Inc * | 2,099 | 161,392 | ||||||||||||||
QUALCOMM Inc | 26,313 | 1,895,325 | ||||||||||||||
Red Hat Inc * | 2,882 | 392,759 | ||||||||||||||
salesforce.com Inc * | 12,263 | 1,950,185 | ||||||||||||||
Seagate Technology PLC | 5,073 | 240,207 | ||||||||||||||
Skyworks Solutions Inc | 3,015 | 273,491 | ||||||||||||||
Synopsys Inc * | 2,646 | 260,922 | ||||||||||||||
Take-Two Interactive Software Inc * | 2,071 | 285,777 | ||||||||||||||
Texas Instruments Inc | 20,235 | 2,171,013 | ||||||||||||||
Western Digital Corp | 4,312 | 252,424 | ||||||||||||||
Xerox Corp | 1,674 | 45,165 | ||||||||||||||
Xilinx Inc | 4,567 | 366,136 | ||||||||||||||
|
| |||||||||||||||
76,876,433 | ||||||||||||||||
|
| |||||||||||||||
Utilities — 1.26% | ||||||||||||||||
AES Corp | 39,738 | 556,332 | ||||||||||||||
Alliant Energy Corp | 25,577 | 1,088,813 | ||||||||||||||
American Water Works Co Inc | 7,436 | 654,145 | ||||||||||||||
CenterPoint Energy Inc | 27,143 | 750,504 | ||||||||||||||
CMS Energy Corp | 22,357 | 1,095,493 | ||||||||||||||
Consolidated Edison Inc | 14,637 | 1,115,193 | ||||||||||||||
Eversource Energy | 19,966 | 1,226,711 | ||||||||||||||
NiSource Inc | 28,851 | 718,967 | ||||||||||||||
PPL Corp | 31,276 | 915,136 | ||||||||||||||
Sempra Energy | 9,183 | 1,044,566 | ||||||||||||||
WEC Energy Group Inc | 22,861 | 1,526,200 | ||||||||||||||
|
| |||||||||||||||
10,692,060 | ||||||||||||||||
|
| |||||||||||||||
Total Common Stocks (Cost $448,538,953) | 451,335,563 | |||||||||||||||
|
| |||||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Agencies — 0.09% | ||||||||||||||||
Private Export Funding Corp | 2.25 | 03/15/2020 | 485,000 | 480,960 | ||||||||||||
Private Export Funding Corp | 2.80 | 05/15/2022 | 284,000 | 281,222 | ||||||||||||
|
| |||||||||||||||
762,182 | ||||||||||||||||
|
| |||||||||||||||
Finance — 3.78% | ||||||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland) | 3.95 | 02/01/2022 | 910,000 | 907,477 | ||||||||||||
Aflac Inc | 3.63 | 11/15/2024 | 167,000 | 166,337 |
The accompanying notes are an integral part of the financial statements.
15
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Finance — 3.78% | ||||||||||||||||
Air Lease Corp | 2.50 | 03/01/2021 | 100,000 | 97,680 | ||||||||||||
Alexandria Real Estate Equities Inc | 2.75 | 01/15/2020 | 150,000 | 148,637 | ||||||||||||
Alleghany Corp | 4.95 | 06/27/2022 | 100,000 | 104,007 | ||||||||||||
American Express Credit Corp | 2.38 | 05/26/2020 | 236,000 | 233,077 | ||||||||||||
American Express Credit Corp | 2.60 | 09/14/2020 | 150,000 | 148,640 | ||||||||||||
American Homes 4 Rent LP | 4.25 | 02/15/2028 | 10,000 | 9,567 | ||||||||||||
American International Group Inc | 4.13 | 02/15/2024 | 390,000 | 390,969 | ||||||||||||
American International Group Inc | 4.20 | 04/01/2028 | 30,000 | 29,684 | ||||||||||||
American International Group Inc | 4.80 | 07/10/2045 | 100,000 | 98,962 | ||||||||||||
American International Group Inc | 4.75 | 04/01/2048 | 20,000 | 19,661 | ||||||||||||
American International Group Inc | 5.75 | 04/01/2048 | 100,000 | 97,125 | ||||||||||||
Ameriprise Financial Inc | 4.00 | 10/15/2023 | 146,000 | 148,175 | ||||||||||||
Anthem Inc | 3.50 | 08/15/2024 | 25,000 | 24,494 | ||||||||||||
Anthem Inc | 4.63 | 05/15/2042 | 130,000 | 127,033 | ||||||||||||
Anthem Inc | 4.38 | 12/01/2047 | 30,000 | 28,451 | ||||||||||||
Aon PLC | 4.60 | 06/14/2044 | 125,000 | 121,331 | ||||||||||||
AvalonBay Communities Inc | 3.90 | 10/15/2046 | 142,000 | 130,370 | ||||||||||||
AvalonBay Communities Inc | 4.15 | 07/01/2047 | 50,000 | 48,021 | ||||||||||||
Banco Santander SA (Spain) | 3.85 | 04/12/2023 | 200,000 | 195,400 | ||||||||||||
Bank of America Corp | 5.00 | 05/13/2021 | 315,000 | 327,339 | ||||||||||||
Bank of America Corp | 2.50 | 10/21/2022 | 280,000 | 268,117 | ||||||||||||
Bank of America Corp | 4.00 | 04/01/2024 | 280,000 | 282,800 | ||||||||||||
Bank of America Corp | 4.20 | 08/26/2024 | 150,000 | 150,701 | ||||||||||||
Bank of America Corp | 3.95 | 04/21/2025 | 150,000 | 146,865 | ||||||||||||
Bank of America Corp | 3.25 | 10/21/2027 | 150,000 | 139,131 | ||||||||||||
Bank of America Corp | 6.11 | 01/29/2037 | 230,000 | 264,511 | ||||||||||||
Bank of America Corp | 3.00 | 12/20/2023 | 630,000 | 611,374 | ||||||||||||
Bank of America Corp | 3.86 | 07/23/2024 | 50,000 | 50,000 | ||||||||||||
Bank of America Corp | 3.97 | 03/05/2029 | 50,000 | 48,785 | ||||||||||||
Bank of America Corp | 3.95 | 01/23/2049 | 25,000 | 22,875 | ||||||||||||
Bank of America Corp | 4.27 | 07/23/2029 | 60,000 | 59,928 | ||||||||||||
Bank of America Corp | 3.59 | 07/21/2028 | 140,000 | 133,477 | ||||||||||||
Bank of America Corp | 3.82 | 01/20/2028 | 143,000 | 139,156 | ||||||||||||
Bank of America Corp | 4.44 | 01/20/2048 | 48,000 | 47,722 | ||||||||||||
Bank of Montreal (Canada) | 3.10 | 04/13/2021 | 100,000 | 99,601 | ||||||||||||
Bank of Nova Scotia/The (Canada) | 3.12 | 04/20/2021 | 100,000 | 99,497 |
The accompanying notes are an integral part of the financial statements.
16
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Finance — 3.78% | ||||||||||||||||
Bank of Nova Scotia/The (Canada) | 4.65 | 10/12/2022 | 100,000 | 93,812 | ||||||||||||
Barclays PLC (United Kingdom) | 2.88 | 06/08/2020 | 200,000 | 197,800 | ||||||||||||
Barclays PLC (United Kingdom) | 4.95 | 01/10/2047 | 200,000 | 185,804 | ||||||||||||
Berkshire Hathaway Inc | 3.40 | 01/31/2022 | 235,000 | 236,770 | ||||||||||||
Berkshire Hathaway Inc | 3.13 | 03/15/2026 | 235,000 | 226,722 | ||||||||||||
BlackRock Inc | 3.38 | 06/01/2022 | 200,000 | 200,803 | ||||||||||||
BNP Paribas SA (France) | 5.00 | 01/15/2021 | 242,000 | 250,357 | ||||||||||||
Boston Properties LP | 5.88 | 10/15/2019 | 200,000 | 204,699 | ||||||||||||
Boston Properties LP | 3.13 | 09/01/2023 | 100,000 | 97,230 | ||||||||||||
Branch Banking & Trust Co | 2.85 | 04/01/2021 | 436,000 | 431,261 | ||||||||||||
Capital One Financial Corp | 2.40 | 10/30/2020 | 138,000 | 135,111 | ||||||||||||
Chubb Corp/The | 6.00 | 05/11/2037 | 85,000 | 102,859 | ||||||||||||
Chubb INA Holdings Inc | 2.30 | 11/03/2020 | 100,000 | 98,181 | ||||||||||||
Chubb INA Holdings Inc | 2.70 | 03/13/2023 | 119,000 | 115,048 | ||||||||||||
Chubb INA Holdings Inc | 4.35 | 11/03/2045 | 27,000 | 27,574 | ||||||||||||
Cigna Corp | 3.05 | 10/15/2027 | 330,000 | 297,360 | ||||||||||||
Citigroup Inc | 2.45 | 01/10/2020 | 150,000 | 148,691 | ||||||||||||
Citigroup Inc | 4.05 | 07/30/2022 | 100,000 | 100,846 | ||||||||||||
Citigroup Inc | 3.38 | 03/01/2023 | 100,000 | 98,387 | ||||||||||||
Citigroup Inc | 3.88 | 10/25/2023 | 25,000 | 25,184 | ||||||||||||
Citigroup Inc | 3.75 | 06/16/2024 | 100,000 | 99,153 | ||||||||||||
Citigroup Inc | 4.45 | 09/29/2027 | 170,000 | 168,036 | ||||||||||||
Citigroup Inc | 4.13 | 07/25/2028 | 130,000 | 125,597 | ||||||||||||
Citigroup Inc | 4.75 | 05/18/2046 | 120,000 | 117,051 | ||||||||||||
Citigroup Inc | 4.65 | 07/23/2048 | 50,000 | 50,567 | ||||||||||||
Citigroup Inc | 2.88 | 07/24/2023 | 400,000 | 386,700 | ||||||||||||
Citigroup Inc | 3.88 | 01/24/2039 | 20,000 | 18,429 | ||||||||||||
Citigroup Inc | 4.08 | 04/23/2029 | 40,000 | 39,260 | ||||||||||||
Citigroup Inc | 3.67 | 07/24/2028 | 180,000 | 171,392 | ||||||||||||
Citigroup Inc | 3.89 | 01/10/2028 | 148,000 | 143,684 | ||||||||||||
Citigroup Inc | 4.28 | 04/24/2048 | 20,000 | 19,123 | ||||||||||||
CME Group Inc | 3.00 | 03/15/2025 | 135,000 | 130,095 | ||||||||||||
CNA Financial Corp | 3.45 | 08/15/2027 | 100,000 | 92,592 | ||||||||||||
Cooperatieve Rabobank UA (Netherlands) | 3.88 | 02/08/2022 | 100,000 | 100,754 | ||||||||||||
Cooperatieve Rabobank UA (Netherlands) | 3.75 | 07/21/2026 | 485,000 | 458,087 | ||||||||||||
Cooperatieve Rabobank UA (Netherlands) | 5.25 | 05/24/2041 | 32,000 | 35,927 | ||||||||||||
Credit Suisse AG/New York NY (Switzerland) | 3.63 | 09/09/2024 | 250,000 | 246,395 |
The accompanying notes are an integral part of the financial statements.
17
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Finance — 3.78% | ||||||||||||||||
Credit Suisse Group Funding Guernsey Ltd (Switzerland) | 3.80 | 06/09/2023 | 480,000 | 474,211 | ||||||||||||
Deutsche Bank AG/New York NY (Germany) | 4.25 | 10/14/2021 | 90,000 | 89,435 | ||||||||||||
Discover Bank | 3.45 | 07/27/2026 | 250,000 | 232,622 | ||||||||||||
Discover Financial Services | 5.20 | 04/27/2022 | 100,000 | 103,518 | ||||||||||||
E*TRADE Financial Corp | 3.80 | 08/24/2027 | 150,000 | 142,573 | ||||||||||||
ERP Operating LP | 4.63 | 12/15/2021 | 146,000 | 150,521 | ||||||||||||
ERP Operating LP | 3.38 | 06/01/2025 | 100,000 | 97,445 | ||||||||||||
ERP Operating LP | 3.50 | 03/01/2028 | 10,000 | 9,652 | ||||||||||||
Fifth Third Bancorp | 4.30 | 01/16/2024 | 150,000 | 151,901 | ||||||||||||
Fifth Third Bank/Cincinnati OH | 2.25 | 06/14/2021 | 260,000 | 252,356 | ||||||||||||
GE Capital International Funding Co Unlimited Co | 4.42 | 11/15/2035 | 328,000 | 308,699 | ||||||||||||
Goldman Sachs Group Inc/The | 5.38 | 03/15/2020 | 335,000 | 345,315 | ||||||||||||
Goldman Sachs Group Inc/The | 5.25 | 07/27/2021 | 485,000 | 507,794 | ||||||||||||
Goldman Sachs Group Inc/The | 5.75 | 01/24/2022 | 61,000 | 64,899 | ||||||||||||
Goldman Sachs Group Inc/The | 4.25 | 10/21/2025 | 100,000 | 99,089 | ||||||||||||
Goldman Sachs Group Inc/The | 3.85 | 01/26/2027 | 48,000 | 46,569 | ||||||||||||
Goldman Sachs Group Inc/The | 5.15 | 05/22/2045 | 200,000 | 204,116 | ||||||||||||
Goldman Sachs Group Inc/The | 4.75 | 10/21/2045 | 289,000 | 293,967 | ||||||||||||
Goldman Sachs Group Inc/The | 3.81 | 04/23/2029 | 50,000 | 47,696 | ||||||||||||
Goldman Sachs Group Inc/The | 4.22 | 05/01/2029 | 70,000 | 68,975 | ||||||||||||
Goldman Sachs Group Inc/The | 4.41 | 04/23/2039 | 30,000 | 29,079 | ||||||||||||
HCP Inc | 4.25 | 11/15/2023 | 25,000 | 25,062 | ||||||||||||
HCP Inc | 3.88 | 08/15/2024 | 100,000 | 97,777 | ||||||||||||
Hospitality Properties Trust | 3.95 | 01/15/2028 | 200,000 | 181,108 | ||||||||||||
Host Hotels & Resorts LP | 4.75 | 03/01/2023 | 200,000 | 204,297 | ||||||||||||
HSBC Holdings PLC (United Kingdom) | 2.95 | 05/25/2021 | 242,000 | 238,728 | ||||||||||||
HSBC Holdings PLC (United Kingdom) | 4.88 | 01/14/2022 | 200,000 | 207,398 | ||||||||||||
HSBC Holdings PLC (United Kingdom) | 6.50 | 09/15/2037 | 300,000 | 355,775 | ||||||||||||
HSBC Holdings PLC (United Kingdom) | 3.26 | 03/13/2023 | 300,000 | 293,941 | ||||||||||||
Intercontinental Exchange Inc | 2.75 | 12/01/2020 | 170,000 | 168,540 | ||||||||||||
Jefferies Group LLC / Jefferies Group Capital Finance Inc | 4.85 | 01/15/2027 | 150,000 | 147,480 | ||||||||||||
JPMorgan Chase & Co | 4.25 | 10/15/2020 | 412,000 | 419,952 | ||||||||||||
JPMorgan Chase & Co | 4.50 | 01/24/2022 | 485,000 | 499,973 | ||||||||||||
JPMorgan Chase & Co | 3.25 | 09/23/2022 | 242,000 | 239,860 | ||||||||||||
JPMorgan Chase & Co | 3.62 | 05/13/2024 | 143,000 | 141,734 | ||||||||||||
JPMorgan Chase & Co | 3.88 | 09/10/2024 | 260,000 | 257,519 | ||||||||||||
JPMorgan Chase & Co | 5.60 | 07/15/2041 | 385,000 | 444,399 |
The accompanying notes are an integral part of the financial statements.
18
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Finance — 3.78% | ||||||||||||||||
JPMorgan Chase & Co | 3.80 | 07/23/2024 | 40,000 | 39,945 | ||||||||||||
JPMorgan Chase & Co | 2.78 | 04/25/2023 | 100,000 | 97,131 | ||||||||||||
JPMorgan Chase & Co | 3.51 | 01/23/2029 | 45,000 | 42,624 | ||||||||||||
JPMorgan Chase & Co | 4.00 | 04/23/2029 | 45,000 | 44,238 | ||||||||||||
JPMorgan Chase & Co | 3.90 | 01/23/2049 | 35,000 | 31,598 | ||||||||||||
JPMorgan Chase & Co | 4.20 | 07/23/2029 | 50,000 | 49,851 | ||||||||||||
JPMorgan Chase & Co | 3.96 | 11/15/2048 | 50,000 | 45,671 | ||||||||||||
JPMorgan Chase Bank NA | 3.09 | 04/26/2021 | 250,000 | 249,270 | ||||||||||||
Kimco Realty Corp | 3.80 | 04/01/2027 | 125,000 | 119,473 | ||||||||||||
Liberty Property LP | 4.13 | 06/15/2022 | 150,000 | 152,103 | ||||||||||||
Lincoln National Corp | 4.85 | 06/24/2021 | 100,000 | 102,989 | ||||||||||||
Lincoln National Corp | 3.80 | 03/01/2028 | 10,000 | 9,654 | ||||||||||||
Lincoln National Corp | 4.35 | 03/01/2048 | 10,000 | 9,309 | ||||||||||||
Lloyds Banking Group PLC (United Kingdom) | 4.58 | 12/10/2025 | 276,000 | 270,975 | ||||||||||||
Loews Corp | 6.00 | 02/01/2035 | 142,000 | 162,866 | ||||||||||||
Markel Corp | 3.50 | 11/01/2027 | 200,000 | 186,269 | ||||||||||||
Markel Corp | 4.30 | 11/01/2047 | 100,000 | 91,571 | ||||||||||||
Mercury General Corp | 4.40 | 03/15/2027 | 100,000 | 96,298 | ||||||||||||
MetLife Inc | 4.75 | 02/08/2021 | 155,000 | 159,894 | ||||||||||||
MetLife Inc | 4.05 | 03/01/2045 | 242,000 | 226,410 | ||||||||||||
Mitsubishi UFJ Financial Group Inc (Japan) | 3.54 | 07/26/2021 | 50,000 | 50,039 | ||||||||||||
Mitsubishi UFJ Financial Group Inc (Japan) | 2.67 | 07/25/2022 | 150,000 | 144,668 | ||||||||||||
Mitsubishi UFJ Financial Group Inc (Japan) | 3.85 | 03/01/2026 | 235,000 | 231,063 | ||||||||||||
Mitsubishi UFJ Financial Group Inc (Japan) | 3.29 | 07/25/2027 | 150,000 | 140,953 | ||||||||||||
Mizuho Financial Group Inc (Japan) | 2.95 | 02/28/2022 | 242,000 | 235,733 | ||||||||||||
Morgan Stanley | 5.75 | 01/25/2021 | 269,000 | 282,750 | ||||||||||||
Morgan Stanley | 3.13 | 01/23/2023 | 50,000 | 48,757 | ||||||||||||
Morgan Stanley | 3.75 | 02/25/2023 | 500,000 | 499,906 | ||||||||||||
Morgan Stanley | 3.63 | 01/20/2027 | 73,000 | 70,100 | ||||||||||||
Morgan Stanley | 3.95 | 04/23/2027 | 270,000 | 259,149 | ||||||||||||
Morgan Stanley | 4.38 | 01/22/2047 | 53,000 | 51,505 | ||||||||||||
Morgan Stanley | 3.77 | 01/24/2029 | 60,000 | 57,594 | ||||||||||||
Morgan Stanley | 3.97 | 07/22/2038 | 200,000 | 186,733 | ||||||||||||
National Retail Properties Inc | 5.50 | 07/15/2021 | 100,000 | 105,410 |
The accompanying notes are an integral part of the financial statements.
19
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Finance — 3.78% | ||||||||||||||||
National Retail Properties Inc | 3.50 | 10/15/2027 | 100,000 | 93,843 | ||||||||||||
Northern Trust Corp | 3.38 | 05/08/2032 | 150,000 | 139,817 | ||||||||||||
Omega Healthcare Investors Inc | 4.50 | 01/15/2025 | 75,000 | 73,554 | ||||||||||||
Omega Healthcare Investors Inc | 5.25 | 01/15/2026 | 125,000 | 126,574 | ||||||||||||
ORIX Corp (Japan) | 2.90 | 07/18/2022 | 100,000 | 96,706 | ||||||||||||
PNC Bank NA | 2.60 | 07/21/2020 | 398,000 | 395,149 | ||||||||||||
PNC Bank NA | 3.25 | 06/01/2025 | 310,000 | 300,618 | ||||||||||||
Progressive Corp/The | 3.70 | 01/26/2045 | 142,000 | 127,688 | ||||||||||||
Progressive Corp/The | 4.13 | 04/15/2047 | 20,000 | 19,474 | ||||||||||||
Prudential Financial Inc | 5.70 | 09/15/2048 | 50,000 | 49,829 | ||||||||||||
Realty Income Corp | 3.65 | 01/15/2028 | 150,000 | 144,405 | ||||||||||||
Royal Bank Of Scotland Group PLC (United Kingdom) | 6.13 | 12/15/2022 | 185,000 | 193,435 | ||||||||||||
Santander Holdings USA Inc | 4.50 | 07/17/2025 | 300,000 | 296,246 | ||||||||||||
Santander UK PLC (United Kingdom) | 4.00 | 03/13/2024 | 100,000 | 100,199 | ||||||||||||
Senior Housing Properties Trust | 4.75 | 02/15/2028 | 10,000 | 9,670 | ||||||||||||
Simon Property Group LP | 2.35 | 01/30/2022 | 90,000 | 86,965 | ||||||||||||
Simon Property Group LP | 2.75 | 06/01/2023 | 50,000 | 48,191 | ||||||||||||
Simon Property Group LP | 3.30 | 01/15/2026 | 50,000 | 48,095 | ||||||||||||
Simon Property Group LP | 4.25 | 11/30/2046 | 100,000 | 97,255 | ||||||||||||
SL Green Operating Partnership LP | 3.25 | 10/15/2022 | 200,000 | 193,959 | ||||||||||||
Sumitomo Mitsui Banking Corp (Japan) | 2.45 | 01/16/2020 | 485,000 | 480,583 | ||||||||||||
Sumitomo Mitsui Banking Corp (Japan) | 3.20 | 07/18/2022 | 300,000 | 294,484 | ||||||||||||
Sumitomo Mitsui Financial Group Inc (Japan) | 3.01 | 10/19/2026 | 242,000 | 223,488 | ||||||||||||
Sumitomo Mitsui Financial Group Inc (Japan) | 3.45 | 01/11/2027 | 48,000 | 45,741 | ||||||||||||
Svenska Handelsbanken AB (Sweden) | 2.45 | 03/30/2021 | 485,000 | 474,221 | ||||||||||||
Toronto-Dominion Bank/The (5 Year Swap Rate + 2.205%) (a) | 3.63 | 09/15/2031 | 100,000 | 93,983 | ||||||||||||
Toronto-Dominion Bank/The (Canada) | 2.13 | 04/07/2021 | 200,000 | 194,512 | ||||||||||||
Toronto-Dominion Bank/The (Canada) | 1.80 | 07/13/2021 | 135,000 | 129,794 | ||||||||||||
Travelers Cos Inc/The | 4.60 | 08/01/2043 | 15,000 | 15,618 | ||||||||||||
Travelers Cos Inc/The | 3.75 | 05/15/2046 | 142,000 | 131,267 | ||||||||||||
UBS AG/Stamford CT (Switzerland) | 2.35 | 03/26/2020 | 250,000 | 247,005 | ||||||||||||
UnitedHealth Group Inc | 2.70 | 07/15/2020 | 142,000 | 141,107 | ||||||||||||
UnitedHealth Group Inc | 2.95 | 10/15/2027 | 140,000 | 131,133 | ||||||||||||
UnitedHealth Group Inc | 4.63 | 07/15/2035 | 20,000 | 21,290 | ||||||||||||
UnitedHealth Group Inc | 6.63 | 11/15/2037 | 100,000 | 129,894 | ||||||||||||
UnitedHealth Group Inc | 4.20 | 01/15/2047 | 17,000 | 16,839 | ||||||||||||
UnitedHealth Group Inc | 4.25 | 06/15/2048 | 25,000 | 25,091 | ||||||||||||
US Bancorp | 3.00 | 03/15/2022 | 242,000 | 239,326 | ||||||||||||
US Bancorp | 3.15 | 04/27/2027 | 200,000 | 190,570 |
The accompanying notes are an integral part of the financial statements.
20
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Finance — 3.78% | ||||||||||||||||
US Bank NA/Cincinnati OH | 2.35 | 01/23/2020 | 250,000 | 247,937 | ||||||||||||
Ventas Realty LP | 3.85 | 04/01/2027 | 200,000 | 192,776 | ||||||||||||
Ventas Realty LP | 4.00 | 03/01/2028 | 15,000 | 14,478 | ||||||||||||
Voya Financial Inc | 3.13 | 07/15/2024 | 200,000 | 188,685 | ||||||||||||
Wells Fargo & Co | 2.10 | 07/26/2021 | 36,000 | 34,667 | ||||||||||||
Wells Fargo & Co | 4.30 | 07/22/2027 | 247,000 | 246,065 | ||||||||||||
Wells Fargo & Co | 5.38 | 02/07/2035 | 200,000 | 223,575 | ||||||||||||
Wells Fargo & Co | 4.40 | 06/14/2046 | 117,000 | 110,212 | ||||||||||||
Wells Fargo & Co | 4.75 | 12/07/2046 | 97,000 | 96,628 | ||||||||||||
Wells Fargo Bank NA | 5.85 | 02/01/2037 | 250,000 | 289,621 | ||||||||||||
Wells Fargo Bank NA | 3.33 | 07/23/2021 | 250,000 | 249,708 | ||||||||||||
Westpac Banking Corp (Australia) | 4.88 | 11/19/2019 | 242,000 | 247,136 | ||||||||||||
Westpac Banking Corp (Australia) | 2.85 | 05/13/2026 | 135,000 | 124,916 | ||||||||||||
|
| |||||||||||||||
32,174,814 | ||||||||||||||||
|
| |||||||||||||||
Industrial — 7.11% | ||||||||||||||||
21St Century Fox America Inc | 5.65 | 08/15/2020 | 75,000 | 78,137 | ||||||||||||
21St Century Fox America Inc | 3.38 | 11/15/2026 | 100,000 | 97,550 | ||||||||||||
21St Century Fox America Inc | 4.75 | 09/15/2044 | 50,000 | 53,545 | ||||||||||||
3M Co | 2.25 | 09/19/2026 | 242,000 | 219,935 | ||||||||||||
Abbott Laboratories | 2.55 | 03/15/2022 | 81,000 | 78,637 | ||||||||||||
Abbott Laboratories | 3.25 | 04/15/2023 | 200,000 | 198,413 | ||||||||||||
Abbott Laboratories | 2.95 | 03/15/2025 | 228,000 | 217,673 | ||||||||||||
Abbott Laboratories | 3.75 | 11/30/2026 | 287,000 | 286,195 | ||||||||||||
Abbott Laboratories | 4.90 | 11/30/2046 | 158,000 | 171,594 | ||||||||||||
AbbVie Inc | 3.20 | 05/14/2026 | 270,000 | 251,406 | ||||||||||||
AbbVie Inc | 4.25 | 11/14/2028 | 40,000 | 39,548 | ||||||||||||
AbbVie Inc | 4.70 | 05/14/2045 | 140,000 | 134,510 | ||||||||||||
AbbVie Inc | 4.45 | 05/14/2046 | 130,000 | 119,504 | ||||||||||||
AbbVie Inc | 4.88 | 11/14/2048 | 30,000 | 29,517 | ||||||||||||
Activision Blizzard Inc | 3.40 | 06/15/2027 | 100,000 | 94,634 | ||||||||||||
Air Products & Chemicals Inc | 3.35 | 07/31/2024 | 100,000 | 99,200 | ||||||||||||
Alibaba Group Holding Ltd (China) | 3.60 | 11/28/2024 | 285,000 | 280,231 | ||||||||||||
Alibaba Group Holding Ltd (China) | 4.00 | 12/06/2037 | 200,000 | 183,628 | ||||||||||||
Allergan Finance LLC | 3.25 | 10/01/2022 | 100,000 | 98,183 | ||||||||||||
Allergan Funding SCS | 3.80 | 03/15/2025 | 80,000 | 78,339 | ||||||||||||
Allergan Funding SCS | 4.75 | 03/15/2045 | 100,000 | 97,224 | ||||||||||||
Alphabet Inc | 2.00 | 08/15/2026 | 200,000 | 180,232 | ||||||||||||
Altria Group Inc | 5.38 | 01/31/2044 | 135,000 | 145,184 | ||||||||||||
Amazon.com Inc | 2.60 | 12/05/2019 | 200,000 | 199,415 | ||||||||||||
Amazon.com Inc | 5.20 | 12/03/2025 | 200,000 | 219,631 | ||||||||||||
Amazon.com Inc | 3.88 | 08/22/2037 | 65,000 | 63,638 | ||||||||||||
America Movil SAB de CV (Mexico) | 6.38 | 03/01/2035 | 100,000 | 118,617 | ||||||||||||
America Movil SAB de CV (Mexico) | 6.13 | 03/30/2040 | 100,000 | 118,233 |
The accompanying notes are an integral part of the financial statements.
21
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Industrial — 7.11% | ||||||||||||||||
American Airlines 2014-1 Class A Pass Through Trust | 3.70 | 04/01/2028 | 155,977 | 152,218 | ||||||||||||
American Airlines 2016-1 Class AA Pass Through Trust | 3.58 | 07/15/2029 | 175,449 | 170,794 | ||||||||||||
American Honda Finance Corp (Japan) | 2.00 | 02/14/2020 | 48,000 | 47,365 | ||||||||||||
American Honda Finance Corp (Japan) | 2.65 | 02/12/2021 | 15,000 | 14,825 | ||||||||||||
American Honda Finance Corp (Japan) | 1.70 | 09/09/2021 | 100,000 | 95,763 | ||||||||||||
American Honda Finance Corp (Japan) | 3.45 | 07/14/2023 | 50,000 | 49,924 | ||||||||||||
American Tower Corp | 5.05 | 09/01/2020 | 150,000 | 154,680 | ||||||||||||
American Tower Corp | 3.00 | 06/15/2023 | 100,000 | 96,273 | ||||||||||||
Amgen Inc | 2.12 | 05/01/2020 | 100,000 | 98,432 | ||||||||||||
Amgen Inc | 3.63 | 05/15/2022 | 25,000 | 25,130 | ||||||||||||
Amgen Inc | 4.40 | 05/01/2045 | 140,000 | 135,525 | ||||||||||||
Amgen Inc | 4.66 | 06/15/2051 | 100,000 | 98,932 | ||||||||||||
Anadarko Petroleum Corp | 4.85 | 03/15/2021 | 20,000 | 20,554 | ||||||||||||
Anadarko Petroleum Corp | 6.45 | 09/15/2036 | 50,000 | 57,054 | ||||||||||||
Anadarko Petroleum Corp | 6.20 | 03/15/2040 | 115,000 | 127,521 | ||||||||||||
Analog Devices Inc | 2.95 | 01/12/2021 | 200,000 | 198,250 | ||||||||||||
Analog Devices Inc | 3.90 | 12/15/2025 | 200,000 | 196,305 | ||||||||||||
Anheuser-Busch InBev Finance Inc | 2.65 | 02/01/2021 | 450,000 | 443,466 | ||||||||||||
Anheuser-Busch InBev Finance Inc | 4.70 | 02/01/2036 | 328,000 | 328,440 | ||||||||||||
Anheuser-Busch InBev Finance Inc | 4.90 | 02/01/2046 | 50,000 | 50,566 | ||||||||||||
Anheuser-Busch InBev Worldwide Inc | 3.75 | 07/15/2042 | 200,000 | 173,246 | ||||||||||||
Anheuser-Busch InBev Worldwide Inc | 4.75 | 04/15/2058 | 200,000 | 194,129 | ||||||||||||
Apache Corp | 3.25 | 04/15/2022 | 25,000 | 24,609 | ||||||||||||
Apache Corp | 5.10 | 09/01/2040 | 100,000 | 98,904 | ||||||||||||
Apple Inc | 2.50 | 02/09/2022 | 97,000 | 94,870 | ||||||||||||
Apple Inc | 2.70 | 05/13/2022 | 330,000 | 324,336 | ||||||||||||
Apple Inc | 3.35 | 02/09/2027 | 50,000 | 48,911 | ||||||||||||
Apple Inc | 3.20 | 05/11/2027 | 100,000 | 96,682 | ||||||||||||
Apple Inc | 4.45 | 05/06/2044 | 285,000 | 298,083 | ||||||||||||
Apple Inc | 3.85 | 08/04/2046 | 50,000 | 47,948 | ||||||||||||
Apple Inc | 3.75 | 11/13/2047 | 200,000 | 187,676 | ||||||||||||
Applied Materials Inc | 3.30 | 04/01/2027 | 200,000 | 192,606 | ||||||||||||
Arrow Electronics Inc | 3.50 | 04/01/2022 | 100,000 | 98,275 | ||||||||||||
Ascension Health | 3.95 | 11/15/2046 | 15,000 | 14,552 | ||||||||||||
Ascension Health | 4.85 | 11/15/2053 | 44,000 | 48,369 | ||||||||||||
AstraZeneca PLC (United Kingdom) | 6.45 | 09/15/2037 | 135,000 | 169,477 | ||||||||||||
AT&T Inc | 3.88 | 08/15/2021 | 36,000 | 36,311 | ||||||||||||
AT&T Inc | 3.00 | 06/30/2022 | 100,000 | 97,524 | ||||||||||||
AT&T Inc | 3.80 | 03/01/2024 | 100,000 | 99,016 | ||||||||||||
AT&T Inc | 4.45 | 04/01/2024 | 240,000 | 244,765 | ||||||||||||
AT&T Inc | 3.40 | 05/15/2025 | 340,000 | 323,703 | ||||||||||||
AT&T Inc | 4.25 | 03/01/2027 | 270,000 | 266,512 |
The accompanying notes are an integral part of the financial statements.
22
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Industrial — 7.11% | ||||||||||||||||
AT&T Inc | 5.35 | 09/01/2040 | 125,000 | 123,967 | ||||||||||||
AT&T Inc | 4.75 | 05/15/2046 | 180,000 | 164,454 | ||||||||||||
AT&T Inc | 4.55 | 03/09/2049 | 153,000 | 134,268 | ||||||||||||
Automatic Data Processing Inc | 3.38 | 09/15/2025 | 150,000 | 148,826 | ||||||||||||
Baker Hughes A Ge Co LLC / Baker Hughes Co-Obligor Inc | 2.77 | 12/15/2022 | 35,000 | 33,910 | ||||||||||||
Baker Hughes A Ge Co LLC / Baker Hughes Co-Obligor Inc | 3.34 | 12/15/2027 | 25,000 | 23,503 | ||||||||||||
Baker Hughes A Ge Co LLC / Baker Hughes Co-Obligor Inc | 4.08 | 12/15/2047 | 25,000 | 22,688 | ||||||||||||
Barrick North America Finance LLC (Canada) | 5.70 | 05/30/2041 | 10,000 | 10,815 | ||||||||||||
Barrick North America Finance LLC (Canada) | 5.75 | 05/01/2043 | 25,000 | 27,755 | ||||||||||||
Baxalta Inc | 4.00 | 06/23/2025 | 260,000 | 257,470 | ||||||||||||
Becton Dickinson And Co | 3.13 | 11/08/2021 | 90,000 | 88,570 | ||||||||||||
Becton Dickinson And Co | 3.73 | 12/15/2024 | 250,000 | 244,843 | ||||||||||||
Becton Dickinson And Co | 4.67 | 06/06/2047 | 120,000 | 118,688 | ||||||||||||
BHP Billiton Finance USA Ltd (Australia) | 5.00 | 09/30/2043 | 142,000 | 157,634 | ||||||||||||
Biogen Inc | 4.05 | 09/15/2025 | 250,000 | 250,671 | ||||||||||||
Board of Trustees of The Leland Stanford Junior University/The | 3.65 | 05/01/2048 | 110,000 | 105,115 | ||||||||||||
Boeing Co/The | 4.88 | 02/15/2020 | 224,000 | 229,640 | ||||||||||||
Boeing Co/The | 5.88 | 02/15/2040 | 75,000 | 92,720 | ||||||||||||
Boston Scientific Corp | 3.85 | 05/15/2025 | 30,000 | 29,844 | ||||||||||||
BP Capital Markets PLC (United Kingdom) | 2.75 | 05/10/2023 | 200,000 | 192,179 | ||||||||||||
BP Capital Markets PLC (United Kingdom) | 3.12 | 05/04/2026 | 200,000 | 190,709 | ||||||||||||
BP Capital Markets PLC (United Kingdom) | 3.28 | 09/19/2027 | 35,000 | 33,480 | ||||||||||||
Bristol-Myers Squibb Co | 2.00 | 08/01/2022 | 209,000 | 199,722 | ||||||||||||
Bristol-Myers Squibb Co | 3.25 | 02/27/2027 | 50,000 | 48,704 | ||||||||||||
Bristol-Myers Squibb Co | 3.25 | 08/01/2042 | 200,000 | 171,744 | ||||||||||||
Broadcom Corp / Broadcom Cayman Finance Ltd | 3.88 | 01/15/2027 | 50,000 | 47,072 | ||||||||||||
Broadcom Corp / Broadcom Cayman Finance Ltd | 3.50 | 01/15/2028 | 90,000 | 81,778 | ||||||||||||
Bunge Ltd Finance Corp | 3.00 | 09/25/2022 | 300,000 | 287,056 | ||||||||||||
Burlington Northern Santa Fe LLC | 3.85 | 09/01/2023 | 242,000 | 247,071 | ||||||||||||
Burlington Northern Santa Fe LLC | 4.38 | 09/01/2042 | 138,000 | 141,180 | ||||||||||||
Burlington Resources Finance Co | 7.20 | 08/15/2031 | 94,000 | 119,646 | ||||||||||||
CA Inc | 3.60 | 08/15/2022 | 200,000 | 198,558 | ||||||||||||
Campbell Soup Co | 2.50 | 08/02/2022 | 100,000 | 94,866 | ||||||||||||
Campbell Soup Co | 4.15 | 03/15/2028 | 30,000 | 28,636 | ||||||||||||
Canadian National Railway Co (Canada) | 3.65 | 02/03/2048 | 10,000 | 9,260 | ||||||||||||
Canadian Natural Resources Ltd (Canada) | 2.95 | 01/15/2023 | 100,000 | 96,459 | ||||||||||||
Canadian Natural Resources Ltd (Canada) | 3.85 | 06/01/2027 | 280,000 | 272,683 |
The accompanying notes are an integral part of the financial statements.
23
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Industrial — 7.11% | ||||||||||||||||
Canadian Natural Resources Ltd (Canada) | 6.45 | 06/30/2033 | 100,000 | 116,469 | ||||||||||||
Canadian Natural Resources Ltd (Canada) | 6.50 | 02/15/2037 | 75,000 | 89,008 | ||||||||||||
Canadian Pacific Railway Co (Canada) | 2.90 | 02/01/2025 | 100,000 | 95,070 | ||||||||||||
Canadian Pacific Railway Co (Canada) | 4.00 | 06/01/2028 | 100,000 | 100,415 | ||||||||||||
Cardinal Health Inc | 3.08 | 06/15/2024 | 130,000 | 122,805 | ||||||||||||
Cardinal Health Inc | 3.41 | 06/15/2027 | 120,000 | 110,751 | ||||||||||||
Caterpillar Inc | 5.30 | 09/15/2035 | 67,000 | 75,563 | ||||||||||||
Caterpillar Inc | 4.30 | 05/15/2044 | 100,000 | 103,449 | ||||||||||||
CBS Corp | 4.30 | 02/15/2021 | 125,000 | 127,005 | ||||||||||||
CBS Corp | 2.50 | 02/15/2023 | 100,000 | 94,085 | ||||||||||||
CBS Corp | 4.00 | 01/15/2026 | 15,000 | 14,701 | ||||||||||||
CBS Corp | 3.38 | 02/15/2028 | 150,000 | 137,450 | ||||||||||||
CBS Corp | 4.60 | 01/15/2045 | 100,000 | 94,461 | ||||||||||||
Celgene Corp | 3.25 | 02/20/2023 | 40,000 | 39,224 | ||||||||||||
Celgene Corp | 3.63 | 05/15/2024 | 110,000 | 108,463 | ||||||||||||
Celgene Corp | 3.88 | 08/15/2025 | 140,000 | 137,919 | ||||||||||||
Celgene Corp | 3.90 | 02/20/2028 | 20,000 | 19,251 | ||||||||||||
Celgene Corp | 5.00 | 08/15/2045 | 130,000 | 129,189 | ||||||||||||
Celgene Corp | 4.35 | 11/15/2047 | 30,000 | 26,856 | ||||||||||||
Cenovus Energy Inc (Canada) | 4.25 | 04/15/2027 | 100,000 | 96,665 | ||||||||||||
Cenovus Energy Inc (Canada) | 5.40 | 06/15/2047 | 35,000 | 35,012 | ||||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | 4.91 | 07/23/2025 | 300,000 | 304,628 | ||||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | 5.38 | 05/01/2047 | 300,000 | 284,252 | ||||||||||||
Chevron Corp | 2.10 | 05/16/2021 | 114,000 | 111,199 | ||||||||||||
Chevron Corp | 2.95 | 05/16/2026 | 200,000 | 190,991 | ||||||||||||
Church & Dwight Co Inc | 3.15 | 08/01/2027 | 125,000 | 115,742 | ||||||||||||
Cimarex Energy Co | 3.90 | 05/15/2027 | 100,000 | 95,531 | ||||||||||||
Cisco Systems Inc | 4.45 | 01/15/2020 | 426,000 | 434,531 | ||||||||||||
Cisco Systems Inc | 2.90 | 03/04/2021 | 207,000 | 206,263 | ||||||||||||
Cisco Systems Inc | 2.50 | 09/20/2026 | 146,000 | 135,032 | ||||||||||||
Citrix Systems Inc | 4.50 | 12/01/2027 | 135,000 | 130,093 | ||||||||||||
Coca-Cola Co/The | 3.15 | 11/15/2020 | 100,000 | 100,292 | ||||||||||||
Coca-Cola Co/The | 2.50 | 04/01/2023 | 50,000 | 48,377 | ||||||||||||
Coca-Cola Co/The | 2.88 | 10/27/2025 | 100,000 | 95,732 | ||||||||||||
Comcast Corp | 2.75 | 03/01/2023 | 145,000 | 140,201 | ||||||||||||
Comcast Corp | 3.15 | 03/01/2026 | 100,000 | 94,409 | ||||||||||||
Comcast Corp | 3.55 | 05/01/2028 | 20,000 | 19,148 | ||||||||||||
Comcast Corp | 3.20 | 07/15/2036 | 250,000 | 208,602 | ||||||||||||
Comcast Corp | 6.45 | 03/15/2037 | 108,000 | 128,571 | ||||||||||||
Comcast Corp | 3.90 | 03/01/2038 | 25,000 | 22,914 |
The accompanying notes are an integral part of the financial statements.
24
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Industrial — 7.11% | ||||||||||||||||
Comcast Corp | 4.60 | 08/15/2045 | 85,000 | 83,232 | ||||||||||||
Comcast Corp | 4.00 | 03/01/2048 | 185,000 | 166,043 | ||||||||||||
Concho Resources Inc | 4.88 | 10/01/2047 | 100,000 | 101,175 | ||||||||||||
Conocophillips | 6.50 | 02/01/2039 | 122,000 | 158,377 | ||||||||||||
Constellation Brands Inc | 2.70 | 05/09/2022 | 150,000 | 144,640 | ||||||||||||
Corning Inc | 4.38 | 11/15/2057 | 20,000 | 17,517 | ||||||||||||
Costco Wholesale Corp | 1.70 | 12/15/2019 | 128,000 | 126,272 | ||||||||||||
Costco Wholesale Corp | 3.00 | 05/18/2027 | 30,000 | 28,536 | ||||||||||||
Crown Castle International Corp | 4.88 | 04/15/2022 | 35,000 | 36,113 | ||||||||||||
CSX Corp | 3.25 | 06/01/2027 | 140,000 | 132,675 | ||||||||||||
CSX Corp | 3.80 | 03/01/2028 | 15,000 | 14,787 | ||||||||||||
CSX Corp | 4.30 | 03/01/2048 | 15,000 | 14,684 | ||||||||||||
CSX Corp | 4.50 | 08/01/2054 | 100,000 | 96,028 | ||||||||||||
Cummins Inc | 4.88 | 10/01/2043 | 10,000 | 10,881 | ||||||||||||
CVS Health Corp | 2.12 | 06/01/2021 | 130,000 | 125,479 | ||||||||||||
CVS Health Corp | 3.88 | 07/20/2025 | 150,000 | 147,816 | ||||||||||||
CVS Health Corp | 2.13 | 06/01/2026 | 140,000 | 128,388 | ||||||||||||
CVS Health Corp | 4.30 | 03/25/2028 | 210,000 | 208,353 | ||||||||||||
CVS Health Corp | 4.78 | 03/25/2038 | 100,000 | 99,521 | ||||||||||||
CVS Health Corp | 5.13 | 07/20/2045 | 160,000 | 164,486 | ||||||||||||
CVS Health Corp | 5.05 | 03/25/2048 | 160,000 | 163,655 | ||||||||||||
Daimler Finance North America LLC (Germany) | 8.50 | 01/18/2031 | 100,000 | 139,213 | ||||||||||||
Darden Restaurants Inc | 4.55 | 02/15/2048 | 5,000 | 4,684 | ||||||||||||
Deere & Co | 2.60 | 06/08/2022 | 200,000 | 195,113 | ||||||||||||
Deere & Co | 3.90 | 06/09/2042 | 73,000 | 71,226 | ||||||||||||
Devon Energy Corp | 4.75 | 05/15/2042 | 25,000 | 23,863 | ||||||||||||
Discovery Communications LLC | 2.95 | 03/20/2023 | 120,000 | 114,774 | ||||||||||||
Discovery Communications LLC | 3.95 | 03/20/2028 | 130,000 | 123,494 | ||||||||||||
Discovery Communications LLC | 4.88 | 04/01/2043 | 100,000 | 93,703 | ||||||||||||
Discovery Communications LLC | 5.20 | 09/20/2047 | 120,000 | 117,328 | ||||||||||||
Dollar Tree Inc | 4.20 | 05/15/2028 | 30,000 | 29,138 | ||||||||||||
Dominion Energy Gas Holdings LLC | 3.55 | 11/01/2023 | 200,000 | 197,470 | ||||||||||||
Dow Chemical Co/The | 4.25 | 11/15/2020 | 100,000 | 101,829 | ||||||||||||
Dow Chemical Co/The | 3.00 | 11/15/2022 | 150,000 | 146,211 | ||||||||||||
Dow Chemical Co/The | 5.25 | 11/15/2041 | 30,000 | 31,803 | ||||||||||||
DXC Technology Co | 4.75 | 04/15/2027 | 90,000 | 92,125 | ||||||||||||
Eastman Chemical Co | 3.80 | 03/15/2025 | 150,000 | 148,048 | ||||||||||||
Eaton Corp | 3.10 | 09/15/2027 | 100,000 | 93,304 | ||||||||||||
eBay Inc | 3.80 | 03/09/2022 | 10,000 | 10,074 | ||||||||||||
eBay Inc | 3.60 | 06/05/2027 | 10,000 | 9,499 | ||||||||||||
Ecolab Inc | 2.38 | 08/10/2022 | 150,000 | 143,796 | ||||||||||||
EI du Pont de Nemours & Co | 4.63 | 01/15/2020 | 100,000 | 102,059 | ||||||||||||
EI du Pont de Nemours & Co | 2.80 | 02/15/2023 | 100,000 | 97,248 |
The accompanying notes are an integral part of the financial statements.
25
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Industrial — 7.11% | ||||||||||||||||
Eli Lilly & Co | 2.75 | 06/01/2025 | 32,000 | 30,612 | ||||||||||||
Eli Lilly & Co | 3.10 | 05/15/2027 | 200,000 | 192,640 | ||||||||||||
Enable Midstream Partners LP | 5.00 | 05/15/2044 | 135,000 | 121,520 | ||||||||||||
Enbridge Inc (Canada) | 5.50 | 12/01/2046 | 60,000 | 66,986 | ||||||||||||
Energy Transfer Partners LP | 3.60 | 02/01/2023 | 15,000 | 14,741 | ||||||||||||
Energy Transfer Partners LP | 4.05 | 03/15/2025 | 200,000 | 195,772 | ||||||||||||
Energy Transfer Partners LP | 4.75 | 01/15/2026 | 270,000 | 272,791 | ||||||||||||
Energy Transfer Partners LP / Regency Energy Finance Corp | 5.88 | 03/01/2022 | 100,000 | 105,811 | ||||||||||||
Enterprise Products Operating LLC | 2.80 | 02/15/2021 | 15,000 | 14,808 | ||||||||||||
Enterprise Products Operating LLC | 4.90 | 05/15/2046 | 200,000 | 206,833 | ||||||||||||
Enterprise Products Operating LLC | 4.25 | 02/15/2048 | 15,000 | 14,120 | ||||||||||||
Enterprise Products Operating LLC | 4.95 | 10/15/2054 | 75,000 | 74,993 | ||||||||||||
Estee Lauder Cos Inc/The | 4.15 | 03/15/2047 | 13,000 | 13,040 | ||||||||||||
Express Scripts Holding Co | 3.50 | 06/15/2024 | 250,000 | 243,254 | ||||||||||||
Express Scripts Holding Co | 3.40 | 03/01/2027 | 270,000 | 250,919 | ||||||||||||
Exxon Mobil Corp | 2.22 | 03/01/2021 | 142,000 | 139,178 | ||||||||||||
Exxon Mobil Corp | 2.40 | 03/06/2022 | 112,000 | 109,047 | ||||||||||||
Exxon Mobil Corp | 4.11 | 03/01/2046 | 142,000 | 143,949 | ||||||||||||
FedEx Corp | 3.25 | 04/01/2026 | 100,000 | 96,372 | ||||||||||||
FedEx Corp | 3.30 | 03/15/2027 | 200,000 | 191,131 | ||||||||||||
FedEx Corp | 4.55 | 04/01/2046 | 80,000 | 78,350 | ||||||||||||
FedEx Corp | 4.40 | 01/15/2047 | 35,000 | 33,431 | ||||||||||||
Fiserv Inc | 3.80 | 10/01/2023 | 100,000 | 99,975 | ||||||||||||
Fiserv Inc | 4.20 | 10/01/2028 | 100,000 | 100,210 | ||||||||||||
Ford Motor Co | 4.35 | 12/08/2026 | 80,000 | 75,291 | ||||||||||||
Ford Motor Co | 7.40 | 11/01/2046 | 75,000 | 84,041 | ||||||||||||
Ford Motor Co | 5.29 | 12/08/2046 | 240,000 | 213,758 | ||||||||||||
Ford Motor Credit Co LLC | 2.60 | 11/04/2019 | 200,000 | 198,386 | ||||||||||||
Ford Motor Credit Co LLC | 2.98 | 08/03/2022 | 400,000 | 379,363 | ||||||||||||
Fortive Corp | 3.15 | 06/15/2026 | 35,000 | 32,585 | ||||||||||||
General Dynamics Corp | 2.25 | 11/15/2022 | 159,000 | 152,063 | ||||||||||||
General Electric Co | 2.70 | 10/09/2022 | 235,000 | 226,767 | ||||||||||||
General Electric Co | 6.75 | 03/15/2032 | 142,000 | 171,718 | ||||||||||||
General Electric Co | 5.88 | 01/14/2038 | 121,000 | 135,066 | ||||||||||||
General Motors Co | 5.15 | 04/01/2038 | 150,000 | 139,512 | ||||||||||||
General Motors Co | 5.20 | 04/01/2045 | 10,000 | 9,085 | ||||||||||||
General Motors Co | 6.75 | 04/01/2046 | 155,000 | 167,773 | ||||||||||||
General Motors Financial Co Inc | 3.20 | 07/06/2021 | 490,000 | 483,873 | ||||||||||||
General Motors Financial Co Inc | 4.30 | 07/13/2025 | 25,000 | 24,317 | ||||||||||||
General Motors Financial Co Inc | 4.35 | 01/17/2027 | 250,000 | 238,843 | ||||||||||||
Georgia-Pacific LLC | 8.88 | 05/15/2031 | 75,000 | 109,037 | ||||||||||||
Gilead Sciences Inc | 2.55 | 09/01/2020 | 300,000 | 296,984 | ||||||||||||
Gilead Sciences Inc | 3.25 | 09/01/2022 | 100,000 | 99,506 |
The accompanying notes are an integral part of the financial statements.
26
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Industrial — 7.11% | ||||||||||||||||
Gilead Sciences Inc | 2.95 | 03/01/2027 | 50,000 | 46,422 | ||||||||||||
Gilead Sciences Inc | 4.75 | 03/01/2046 | 136,000 | 140,183 | ||||||||||||
Gilead Sciences Inc | 4.15 | 03/01/2047 | 24,000 | 22,738 | ||||||||||||
Glaxosmithkline Capital Inc (United Kingdom) | 3.38 | 05/15/2023 | 45,000 | 44,814 | ||||||||||||
Glaxosmithkline Capital Inc (United Kingdom) | 3.88 | 05/15/2028 | 140,000 | 141,442 | ||||||||||||
Glaxosmithkline Capital Inc (United Kingdom) | 6.38 | 05/15/2038 | 100,000 | 128,527 | ||||||||||||
Glaxosmithkline Capital PLC (United Kingdom) | 2.85 | 05/08/2022 | 242,000 | 237,930 | ||||||||||||
Grupo Televisa SAB (Mexico) | 6.62 | 03/18/2025 | 150,000 | 169,222 | ||||||||||||
Halliburton Co | 3.25 | 11/15/2021 | 453,000 | 453,603 | ||||||||||||
Halliburton Co | 6.70 | 09/15/2038 | 53,000 | 65,541 | ||||||||||||
Harris Corp | 4.40 | 06/15/2028 | 150,000 | 150,539 | ||||||||||||
Hewlett Packard Enterprise Co | 3.50 | 10/05/2021 | 100,000 | 99,892 | ||||||||||||
Hewlett Packard Enterprise Co | 4.40 | 10/15/2022 | 121,000 | 124,284 | ||||||||||||
Home Depot Inc/The | 4.40 | 04/01/2021 | 142,000 | 146,095 | ||||||||||||
Home Depot Inc/The | 4.88 | 02/15/2044 | 200,000 | 221,373 | ||||||||||||
Home Depot Inc/The | 3.50 | 09/15/2056 | 24,000 | 20,741 | ||||||||||||
Hubbell Inc | 3.35 | 03/01/2026 | 142,000 | 134,115 | ||||||||||||
Husky Energy Inc (Canada) | 6.80 | 09/15/2037 | 75,000 | 92,343 | ||||||||||||
Illinois Tool Works Inc | 2.65 | 11/15/2026 | 142,000 | 131,320 | ||||||||||||
Ingersoll-Rand Global Holding Co Ltd | 3.75 | 08/21/2028 | 10,000 | 9,719 | ||||||||||||
Intel Corp | 3.30 | 10/01/2021 | 114,000 | 114,602 | ||||||||||||
Intel Corp | 3.15 | 05/11/2027 | 50,000 | 48,315 | ||||||||||||
Intel Corp | 4.90 | 07/29/2045 | 100,000 | 110,766 | ||||||||||||
Intel Corp | 4.10 | 05/11/2047 | 50,000 | 49,586 | ||||||||||||
International Business Machines Corp | 3.45 | 02/19/2026 | 306,000 | 302,414 | ||||||||||||
International Business Machines Corp | 4.70 | 02/19/2046 | 146,000 | 158,528 | ||||||||||||
International Paper Co | 3.65 | 06/15/2024 | 200,000 | 197,670 | ||||||||||||
International Paper Co | 4.80 | 06/15/2044 | 100,000 | 97,145 | ||||||||||||
Interpublic Group of Cos Inc/The | 3.50 | 10/01/2020 | 200,000 | 200,018 | ||||||||||||
Interpublic Group of Cos Inc/The | 3.75 | 10/01/2021 | 150,000 | 150,297 | ||||||||||||
Interpublic Group of Cos Inc/The | 4.65 | 10/01/2028 | 150,000 | 150,224 | ||||||||||||
Interpublic Group of Cos Inc/The | 5.40 | 10/01/2048 | 100,000 | 99,408 | ||||||||||||
John Deere Capital Corp | 1.95 | 06/22/2020 | 200,000 | 196,450 | ||||||||||||
John Deere Capital Corp | 2.80 | 03/06/2023 | 200,000 | 195,519 | ||||||||||||
Johnson & Johnson | 3.63 | 03/03/2037 | 30,000 | 28,865 | ||||||||||||
Johnson & Johnson | 4.50 | 12/05/2043 | 200,000 | 214,476 | ||||||||||||
Johnson & Johnson | 3.70 | 03/01/2046 | 27,000 | 25,691 | ||||||||||||
Johnson Controls International PLC | 5.13 | 09/14/2045 | 200,000 | 207,564 | ||||||||||||
Juniper Networks Inc | 5.95 | 03/15/2041 | 100,000 | 99,357 | ||||||||||||
Kellogg Co | 4.00 | 12/15/2020 | 150,000 | 152,342 |
The accompanying notes are an integral part of the financial statements.
27
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Industrial — 7.11% | ||||||||||||||||
Keurig Dr Pepper Inc | 4.42 | 12/15/2046 | 100,000 | 91,243 | ||||||||||||
Kimberly-Clark Corp | 3.90 | 05/04/2047 | 5,000 | 4,787 | ||||||||||||
Kinder Morgan Energy Partners LP | 4.15 | 03/01/2022 | 275,000 | 278,178 | ||||||||||||
Kinder Morgan Energy Partners LP | 6.50 | 02/01/2037 | 75,000 | 84,126 | ||||||||||||
Kinder Morgan Energy Partners LP | 5.00 | 08/15/2042 | 130,000 | 127,445 | ||||||||||||
Kinder Morgan Inc | 3.15 | 01/15/2023 | 70,000 | 68,097 | ||||||||||||
Kraft Heinz Foods Co | 3.50 | 07/15/2022 | 100,000 | 99,239 | ||||||||||||
Kraft Heinz Foods Co | 6.88 | 01/26/2039 | 54,000 | 63,095 | ||||||||||||
Kraft Heinz Foods Co | 4.38 | 06/01/2046 | 150,000 | 132,480 | ||||||||||||
Kroger Co/The | 6.15 | 01/15/2020 | 100,000 | 103,713 | ||||||||||||
Kroger Co/The | 3.30 | 01/15/2021 | 100,000 | 100,006 | ||||||||||||
Kroger Co/The | 5.40 | 07/15/2040 | 100,000 | 102,407 | ||||||||||||
Kroger Co/The | 4.45 | 02/01/2047 | 120,000 | 109,878 | ||||||||||||
Lockheed Martin Corp | 3.35 | 09/15/2021 | 100,000 | 100,002 | ||||||||||||
LyondellBasell Industries NV | 4.63 | 02/26/2055 | 140,000 | 125,820 | ||||||||||||
Macy’s Retail Holdings Inc | 2.88 | 02/15/2023 | 120,000 | 113,643 | ||||||||||||
Marriott International Inc | 3.25 | 09/15/2022 | 100,000 | 98,185 | ||||||||||||
Marriott International Inc | 3.13 | 06/15/2026 | 15,000 | 13,995 | ||||||||||||
Masco Corp | 5.95 | 03/15/2022 | 100,000 | 106,767 | ||||||||||||
Mastercard Inc | 3.38 | 04/01/2024 | 100,000 | 99,983 | ||||||||||||
McCormick & Co Inc | 2.70 | 08/15/2022 | 240,000 | 232,481 | ||||||||||||
McDonald’s Corp | 2.20 | 05/26/2020 | 200,000 | 197,183 | ||||||||||||
McDonald’s Corp | 3.63 | 05/20/2021 | 100,000 | 100,999 | ||||||||||||
McDonald’s Corp | 4.70 | 12/09/2035 | 25,000 | 25,987 | ||||||||||||
McKesson Corp | 3.95 | 02/16/2028 | 10,000 | 9,656 | ||||||||||||
Medtronic Inc | 3.50 | 03/15/2025 | 242,000 | 239,988 | ||||||||||||
Medtronic Inc | 4.63 | 03/15/2045 | 100,000 | 105,913 | ||||||||||||
Merck & Co Inc | 2.40 | 09/15/2022 | 218,000 | 211,317 | ||||||||||||
Merck & Co Inc | 3.70 | 02/10/2045 | 53,000 | 50,470 | ||||||||||||
Methanex Corp (Canada) | 4.25 | 12/01/2024 | 100,000 | 97,762 | ||||||||||||
Microsoft Corp | 2.00 | 11/03/2020 | 242,000 | 237,716 | ||||||||||||
Microsoft Corp | 2.40 | 02/06/2022 | 194,000 | 189,508 | ||||||||||||
Microsoft Corp | 3.12 | 11/03/2025 | 242,000 | 236,884 | ||||||||||||
Microsoft Corp | 3.30 | 02/06/2027 | 107,000 | 104,948 | ||||||||||||
Microsoft Corp | 4.20 | 11/03/2035 | 242,000 | 252,446 | ||||||||||||
Microsoft Corp | 4.10 | 02/06/2037 | 68,000 | 70,240 | ||||||||||||
Microsoft Corp | 3.95 | 08/08/2056 | 264,000 | 258,274 | ||||||||||||
Mosaic Co/The | 4.25 | 11/15/2023 | 30,000 | 30,309 | ||||||||||||
Mosaic Co/The | 4.88 | 11/15/2041 | 95,000 | 87,392 | ||||||||||||
Motorola Solutions Inc | 3.75 | 05/15/2022 | 150,000 | 148,726 | ||||||||||||
MPLX LP | 3.38 | 03/15/2023 | 90,000 | 88,108 | ||||||||||||
MPLX LP | 4.00 | 03/15/2028 | 65,000 | 62,518 | ||||||||||||
MPLX LP | 4.50 | 04/15/2038 | 35,000 | 32,987 | ||||||||||||
MPLX LP | 4.70 | 04/15/2048 | 30,000 | 27,957 |
The accompanying notes are an integral part of the financial statements.
28
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Industrial — 7.11% | ||||||||||||||||
MPLX LP | 4.90 | 04/15/2058 | 25,000 | 22,627 | ||||||||||||
Mylan NV | 3.95 | 06/15/2026 | 100,000 | 94,593 | ||||||||||||
Mylan NV | 5.25 | 06/15/2046 | 135,000 | 126,272 | ||||||||||||
NBCUniversal Media LLC | 5.15 | 04/30/2020 | 300,000 | 309,386 | ||||||||||||
New York And Presbyterian Hospital/The | 4.02 | 08/01/2045 | 78,000 | 75,706 | ||||||||||||
Newell Brands Inc | 3.15 | 04/01/2021 | 100,000 | 98,397 | ||||||||||||
Newmont Mining Corp | 6.25 | 10/01/2039 | 100,000 | 113,356 | ||||||||||||
NIKE Inc | 2.25 | 05/01/2023 | 73,000 | 69,796 | ||||||||||||
NIKE Inc | 3.88 | 11/01/2045 | 71,000 | 68,468 | ||||||||||||
Noble Energy Inc | 4.15 | 12/15/2021 | 100,000 | 101,219 | ||||||||||||
Noble Energy Inc | 4.95 | 08/15/2047 | 100,000 | 95,765 | ||||||||||||
Norfolk Southern Corp | 2.90 | 02/15/2023 | 90,000 | 87,768 | ||||||||||||
Norfolk Southern Corp | 3.85 | 01/15/2024 | 85,000 | 85,877 | ||||||||||||
Norfolk Southern Corp | 3.15 | 06/01/2027 | 100,000 | 94,741 | ||||||||||||
Norfolk Southern Corp | 4.65 | 01/15/2046 | 65,000 | 67,010 | ||||||||||||
Norfolk Southern Corp | 5.10 | 08/01/2118 | 10,000 | 9,872 | ||||||||||||
Northrop Grumman Corp | 2.55 | 10/15/2022 | 150,000 | 144,617 | ||||||||||||
Northrop Grumman Corp | 2.93 | 01/15/2025 | 150,000 | 142,494 | ||||||||||||
Northrop Grumman Corp | 3.25 | 01/15/2028 | 300,000 | 282,097 | ||||||||||||
Northrop Grumman Corp | 4.03 | 10/15/2047 | 100,000 | 93,778 | ||||||||||||
Novartis Capital Corp (Switzerland) | 3.00 | 11/20/2025 | 100,000 | 96,182 | ||||||||||||
Novartis Capital Corp (Switzerland) | 4.40 | 05/06/2044 | 100,000 | 106,676 | ||||||||||||
Nutrien Ltd (Canada) | 4.00 | 12/15/2026 | 150,000 | 145,019 | ||||||||||||
Nutrien Ltd (Canada) | 4.90 | 06/01/2043 | 100,000 | 98,440 | ||||||||||||
Occidental Petroleum Corp | 3.40 | 04/15/2026 | 100,000 | 97,769 | ||||||||||||
Occidental Petroleum Corp | 4.10 | 02/15/2047 | 92,000 | 89,154 | ||||||||||||
ONEOK Inc | 4.00 | 07/13/2027 | 200,000 | 193,392 | ||||||||||||
ONEOK Partners LP | 5.00 | 09/15/2023 | 100,000 | 104,217 | ||||||||||||
Oracle Corp | 3.88 | 07/15/2020 | 10,000 | 10,162 | ||||||||||||
Oracle Corp | 2.80 | 07/08/2021 | 136,000 | 134,932 | ||||||||||||
Oracle Corp | 2.50 | 10/15/2022 | 542,000 | 525,888 | ||||||||||||
Oracle Corp | 3.25 | 11/15/2027 | 80,000 | 76,977 | ||||||||||||
Oracle Corp | 4.13 | 05/15/2045 | 104,000 | 100,817 | ||||||||||||
Oracle Corp | 4.00 | 07/15/2046 | 59,000 | 56,227 | ||||||||||||
Oracle Corp | 4.00 | 11/15/2047 | 50,000 | 47,479 | ||||||||||||
Owens Corning | 4.20 | 12/01/2024 | 100,000 | 99,042 | ||||||||||||
PACCAR Financial Corp | 2.30 | 08/10/2022 | 150,000 | 143,782 | ||||||||||||
Partners Healthcare System Inc | 4.12 | 07/01/2055 | 164,000 | 155,357 | ||||||||||||
PepsiCo Inc | 2.25 | 05/02/2022 | 200,000 | 193,677 | ||||||||||||
PepsiCo Inc | 4.45 | 04/14/2046 | 100,000 | 105,408 | ||||||||||||
PepsiCo Inc | 3.45 | 10/06/2046 | 121,000 | 109,108 | ||||||||||||
Petro-Canada (Canada) | 6.80 | 05/15/2038 | 105,000 | 133,368 | ||||||||||||
Pfizer Inc | 7.20 | 03/15/2039 | 170,000 | 234,279 | ||||||||||||
Pfizer Inc | 4.20 | 09/15/2048 | 50,000 | 50,187 |
The accompanying notes are an integral part of the financial statements.
29
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Industrial — 7.11% | ||||||||||||||||
Philip Morris International Inc | 2.00 | 02/21/2020 | 48,000 | 47,349 | ||||||||||||
Philip Morris International Inc | 3.38 | 08/11/2025 | 50,000 | 48,701 | ||||||||||||
Philip Morris International Inc | 3.12 | 03/02/2028 | 100,000 | 94,590 | ||||||||||||
Philip Morris International Inc | 3.88 | 08/21/2042 | 50,000 | 44,882 | ||||||||||||
Philip Morris International Inc | 4.25 | 11/10/2044 | 100,000 | 94,215 | ||||||||||||
Phillips 66 | 4.88 | 11/15/2044 | 50,000 | 51,830 | ||||||||||||
Plains All American Pipeline LP / Paa Finance Corp | 4.50 | 12/15/2026 | 20,000 | 19,980 | ||||||||||||
Plains All American Pipeline LP / Paa Finance Corp | 5.15 | 06/01/2042 | 200,000 | 188,514 | ||||||||||||
PPG Industries Inc | 2.30 | 11/15/2019 | 100,000 | 99,275 | ||||||||||||
Praxair Inc | 3.00 | 09/01/2021 | 75,000 | 74,275 | ||||||||||||
Praxair Inc | 3.20 | 01/30/2026 | 92,000 | 89,727 | ||||||||||||
President & Fellows of Harvard College | 4.88 | 10/15/2040 | 194,000 | 222,721 | ||||||||||||
President & Fellows of Harvard College | 3.15 | 07/15/2046 | 100,000 | 88,579 | ||||||||||||
Procter & Gamble Co/The | 1.70 | 11/03/2021 | 100,000 | 96,134 | ||||||||||||
Procter & Gamble Co/The | 2.45 | 11/03/2026 | 100,000 | 92,662 | ||||||||||||
Providence St Joseph Health Obligated Group | 3.74 | 10/01/2047 | 10,000 | 9,058 | ||||||||||||
QUALCOMM Inc | 2.25 | 05/20/2020 | 242,000 | 238,833 | ||||||||||||
QUALCOMM Inc | 4.65 | 05/20/2035 | 242,000 | 245,749 | ||||||||||||
Republic Services Inc | 3.55 | 06/01/2022 | 200,000 | 199,948 | ||||||||||||
Reynolds American Inc | 4.45 | 06/12/2025 | 100,000 | 100,737 | ||||||||||||
Reynolds American Inc | 6.15 | 09/15/2043 | 100,000 | 111,453 | ||||||||||||
Rio Tinto Alcan Inc (Canada) | 6.12 | 12/15/2033 | 67,000 | 80,341 | ||||||||||||
Rockwell Collins Inc | 4.80 | 12/15/2043 | 25,000 | 25,643 | ||||||||||||
Rockwell Collins Inc | 4.35 | 04/15/2047 | 70,000 | 66,803 | ||||||||||||
Rogers Communications Inc (Canada) | 4.30 | 02/15/2048 | 15,000 | 14,446 | ||||||||||||
Royal Caribbean Cruises Ltd | 7.50 | 10/15/2027 | 100,000 | 118,403 | ||||||||||||
RPM International Inc | 6.13 | 10/15/2019 | 200,000 | 205,251 | ||||||||||||
Sabine Pass Liquefaction LLC | 6.25 | 03/15/2022 | 830,000 | 892,131 | ||||||||||||
Schlumberger Investment SA | 3.65 | 12/01/2023 | 192,000 | 193,381 | ||||||||||||
Seagate HDD Cayman | 4.75 | 06/01/2023 | 200,000 | 199,053 | ||||||||||||
Shell International Finance BV (Netherlands) | 1.88 | 05/10/2021 | 485,000 | 469,391 | ||||||||||||
Shell International Finance BV (Netherlands) | 3.25 | 05/11/2025 | 100,000 | 97,819 | ||||||||||||
Shell International Finance BV (Netherlands) | 3.75 | 09/12/2046 | 145,000 | 136,015 | ||||||||||||
Sherwin-Williams Co/The | 3.45 | 06/01/2027 | 190,000 | 180,811 | ||||||||||||
Sherwin-Williams Co/The | 4.55 | 08/01/2045 | 242,000 | 232,132 | ||||||||||||
Snap-on Inc | 3.25 | 03/01/2027 | 100,000 | 96,185 | ||||||||||||
Southwest Airlines Co | 2.65 | 11/05/2020 | 100,000 | 98,576 | ||||||||||||
Spirit Airlines Pass Through Trust 2015-1A | 4.10 | 10/01/2029 | 124,405 | 123,938 | ||||||||||||
Starbucks Corp | 2.70 | 06/15/2022 | 142,000 | 138,316 |
The accompanying notes are an integral part of the financial statements.
30
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Industrial — 7.11% | ||||||||||||||||
Starbucks Corp | 2.45 | 06/15/2026 | 92,000 | 82,848 | ||||||||||||
Starbucks Corp | 4.00 | 11/15/2028 | 100,000 | 99,718 | ||||||||||||
Suncor Energy Inc (Canada) | 6.50 | 06/15/2038 | 110,000 | 135,906 | ||||||||||||
Suncor Energy Inc (Canada) | 4.00 | 11/15/2047 | 20,000 | 18,767 | ||||||||||||
Sunoco Logistics Partners Operations LP | 4.25 | 04/01/2024 | 150,000 | 149,506 | ||||||||||||
Sunoco Logistics Partners Operations LP | 5.35 | 05/15/2045 | 15,000 | 14,626 | ||||||||||||
Sunoco Logistics Partners Operations LP | 5.40 | 10/01/2047 | 250,000 | 247,292 | ||||||||||||
Sysco Corp | 2.60 | 06/12/2022 | 100,000 | 96,646 | ||||||||||||
Sysco Corp | 4.50 | 04/01/2046 | 100,000 | 98,448 | ||||||||||||
Target Corp | 4.00 | 07/01/2042 | 140,000 | 134,525 | ||||||||||||
Telefonica Emisiones SAU (Spain) | 5.21 | 03/08/2047 | 270,000 | 264,158 | ||||||||||||
Texas Instruments Inc | 4.15 | 05/15/2048 | 25,000 | 25,102 | ||||||||||||
Time Warner Cable LLC | 7.30 | 07/01/2038 | 150,000 | 171,813 | ||||||||||||
Total Capital Canada Ltd (France) | 2.75 | 07/15/2023 | 50,000 | 48,380 | ||||||||||||
Total Capital International SA (France) | 2.75 | 06/19/2021 | 150,000 | 148,438 | ||||||||||||
Toyota Motor Credit Corp (Japan) | 1.55 | 10/18/2019 | 170,000 | 167,749 | ||||||||||||
Toyota Motor Credit Corp (Japan) | 1.90 | 04/08/2021 | 155,000 | 150,156 | ||||||||||||
Toyota Motor Credit Corp (Japan) | 3.30 | 01/12/2022 | 242,000 | 241,989 | ||||||||||||
Transcanada Pipelines Ltd (Canada) | 4.88 | 01/15/2026 | 100,000 | 104,602 | ||||||||||||
Transcanada Pipelines Ltd (Canada) | 6.20 | 10/15/2037 | 18,000 | 21,017 | ||||||||||||
Transcanada Pipelines Ltd (Canada) | 4.88 | 05/15/2048 | 20,000 | 20,442 | ||||||||||||
Tyson Foods Inc | 4.55 | 06/02/2047 | 100,000 | 92,915 | ||||||||||||
Unilever Capital Corp (Netherlands) | 4.25 | 02/10/2021 | 242,000 | 248,090 | ||||||||||||
Unilever Capital Corp (Netherlands) | 5.90 | 11/15/2032 | 142,000 | 173,803 | ||||||||||||
Union Pacific Corp | 4.16 | 07/15/2022 | 142,000 | 145,523 | ||||||||||||
Union Pacific Corp | 3.00 | 04/15/2027 | 100,000 | 94,367 | ||||||||||||
Union Pacific Corp | 3.95 | 09/10/2028 | 35,000 | 35,154 | ||||||||||||
Union Pacific Corp | 4.75 | 09/15/2041 | 100,000 | 104,902 | ||||||||||||
Union Pacific Corp | 4.80 | 09/10/2058 | 35,000 | 36,180 | ||||||||||||
United Airlines 2015-1 Class AA Pass Through Trust | 3.45 | 06/01/2029 | 129,171 | 124,653 | ||||||||||||
United Parcel Service Inc | 3.13 | 01/15/2021 | 24,000 | 24,034 | ||||||||||||
United Parcel Service Inc | 2.45 | 10/01/2022 | 108,000 | 104,415 | ||||||||||||
United Parcel Service Inc | 2.40 | 11/15/2026 | 146,000 | 133,317 | ||||||||||||
United Parcel Service Inc | 3.75 | 11/15/2047 | 100,000 | 92,851 | ||||||||||||
United Technologies Corp | 2.30 | 05/04/2022 | 200,000 | 191,479 | ||||||||||||
United Technologies Corp | 3.65 | 08/16/2023 | 150,000 | 149,334 | ||||||||||||
United Technologies Corp | 3.13 | 05/04/2027 | 30,000 | 28,024 | ||||||||||||
United Technologies Corp | 4.50 | 06/01/2042 | 100,000 | 98,862 | ||||||||||||
United Technologies Corp | 4.05 | 05/04/2047 | 100,000 | 91,402 | ||||||||||||
United Technologies Corp | 4.63 | 11/16/2048 | 35,000 | 35,195 | ||||||||||||
Vale Overseas Ltd (Brazil) | 4.38 | 01/11/2022 | 100,000 | 100,750 | ||||||||||||
Vale Overseas Ltd (Brazil) | 6.88 | 11/21/2036 | 100,000 | 116,120 | ||||||||||||
Verizon Communications Inc | 3.50 | 11/01/2021 | 260,000 | 260,948 |
The accompanying notes are an integral part of the financial statements.
31
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Industrial — 7.11% | ||||||||||||||||
Verizon Communications Inc | 2.95 | 03/15/2022 | 150,000 | 147,618 | ||||||||||||
Verizon Communications Inc | 3.13 | 03/16/2022 | 100,000 | 99,035 | ||||||||||||
Verizon Communications Inc | 5.15 | 09/15/2023 | 100,000 | 107,045 | ||||||||||||
Verizon Communications Inc | 4.13 | 03/16/2027 | 290,000 | 291,322 | ||||||||||||
Verizon Communications Inc | 4.50 | 08/10/2033 | 160,000 | 158,683 | ||||||||||||
Verizon Communications Inc | 5.25 | 03/16/2037 | 150,000 | 159,925 | ||||||||||||
Verizon Communications Inc | 4.81 | 03/15/2039 | 130,000 | 131,054 | ||||||||||||
Verizon Communications Inc | 4.75 | 11/01/2041 | 100,000 | 98,341 | ||||||||||||
Verizon Communications Inc | 4.86 | 08/21/2046 | 76,000 | 75,811 | ||||||||||||
Verizon Communications Inc | 5.50 | 03/16/2047 | 120,000 | 131,397 | ||||||||||||
Verizon Communications Inc | 5.01 | 04/15/2049 | 110,000 | 112,337 | ||||||||||||
Visa Inc | 2.80 | 12/14/2022 | 135,000 | 132,321 | ||||||||||||
Visa Inc | 4.30 | 12/14/2045 | 146,000 | 150,963 | ||||||||||||
Visa Inc | 3.65 | 09/15/2047 | 20,000 | 18,629 | ||||||||||||
Vodafone Group PLC (United Kingdom) | 4.38 | 05/30/2028 | 75,000 | 73,892 | ||||||||||||
Vodafone Group PLC (United Kingdom) | 5.00 | 05/30/2038 | 60,000 | 59,163 | ||||||||||||
Vodafone Group PLC (United Kingdom) | 5.25 | 05/30/2048 | 60,000 | 60,240 | ||||||||||||
Walgreen Co | 3.10 | 09/15/2022 | 70,000 | 68,397 | ||||||||||||
Walgreens Boots Alliance Inc | 3.45 | 06/01/2026 | 90,000 | 85,405 | ||||||||||||
Walmart Inc | 3.40 | 06/26/2023 | 85,000 | 85,370 | ||||||||||||
Walmart Inc | 3.30 | 04/22/2024 | 242,000 | 241,636 | ||||||||||||
Walmart Inc | 3.70 | 06/26/2028 | 65,000 | 65,018 | ||||||||||||
Walmart Inc | 3.95 | 06/28/2038 | 30,000 | 29,938 | ||||||||||||
Walmart Inc | 4.05 | 06/29/2048 | 60,000 | 60,088 | ||||||||||||
Walt Disney Co/The | 1.95 | 03/04/2020 | 135,000 | 133,164 | ||||||||||||
Walt Disney Co/The | 2.95 | 06/15/2027 | 100,000 | 94,991 | ||||||||||||
Warner Media LLC | 2.95 | 07/15/2026 | 20,000 | 18,135 | ||||||||||||
Warner Media LLC | 3.80 | 02/15/2027 | 520,000 | 497,411 | ||||||||||||
Warner Media LLC | 4.85 | 07/15/2045 | 150,000 | 139,893 | ||||||||||||
Waste Management Inc | 3.15 | 11/15/2027 | 100,000 | 95,182 | ||||||||||||
Waste Management Inc | 3.90 | 03/01/2035 | 100,000 | 97,696 | ||||||||||||
Williams Cos Inc/The | 3.35 | 08/15/2022 | 15,000 | 14,730 | ||||||||||||
Williams Cos Inc/The | 4.00 | 09/15/2025 | 15,000 | 14,759 | ||||||||||||
Williams Cos Inc/The | 7.50 | 01/15/2031 | 80,000 | 97,169 | ||||||||||||
Williams Cos Inc/The | 8.75 | 03/15/2032 | 70,000 | 93,272 | ||||||||||||
Williams Cos Inc/The | 5.10 | 09/15/2045 | 100,000 | 100,519 | ||||||||||||
WW Grainger Inc | 3.75 | 05/15/2046 | 97,000 | 88,123 | ||||||||||||
Wyeth LLC | 6.45 | 02/01/2024 | 364,000 | 415,567 | ||||||||||||
Xerox Corp | 3.80 | 05/15/2024 | 100,000 | 93,929 | ||||||||||||
Xerox Corp | 6.75 | 12/15/2039 | 100,000 | 100,096 | ||||||||||||
|
| |||||||||||||||
60,549,561 | ||||||||||||||||
|
| |||||||||||||||
Sovereign — 1.11% | ||||||||||||||||
Asian Development Bank | 1.63 | 03/16/2021 | 485,000 | 469,622 | ||||||||||||
Asian Development Bank | 1.75 | 06/08/2021 | 100,000 | 96,788 |
The accompanying notes are an integral part of the financial statements.
32
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Sovereign — 1.11% | ||||||||||||||||
Asian Development Bank | 1.75 | 09/13/2022 | 100,000 | 95,104 | ||||||||||||
Asian Development Bank | 2.75 | 03/17/2023 | 70,000 | 68,999 | ||||||||||||
Asian Development Bank | 2.75 | 01/19/2028 | 30,000 | 28,932 | ||||||||||||
Council Of Europe Development Bank | 1.63 | 03/16/2021 | 285,000 | 275,654 | ||||||||||||
Ecopetrol SA (Columbia) | 5.88 | 09/18/2023 | 200,000 | 213,100 | ||||||||||||
Ecopetrol SA (Columbia) | 4.13 | 01/16/2025 | 200,000 | 194,000 | ||||||||||||
Equinor ASA (Norway) | 3.70 | 03/01/2024 | 142,000 | 143,192 | ||||||||||||
Equinor ASA (Norway) | 3.95 | 05/15/2043 | 132,000 | 128,591 | ||||||||||||
European Bank For Reconstruction & Development | 1.75 | 11/26/2019 | 150,000 | 148,208 | ||||||||||||
European Bank For Reconstruction & Development | 2.13 | 03/07/2022 | 150,000 | 145,420 | ||||||||||||
European Investment Bank | 1.25 | 12/16/2019 | 250,000 | 245,416 | ||||||||||||
European Investment Bank | 1.38 | 06/15/2020 | 485,000 | 472,784 | ||||||||||||
European Investment Bank | 2.00 | 03/15/2021 | 485,000 | 473,950 | ||||||||||||
European Investment Bank | 2.25 | 03/15/2022 | 97,000 | 94,418 | ||||||||||||
European Investment Bank | 2.50 | 03/15/2023 | 300,000 | 292,378 | ||||||||||||
Inter-American Development Bank | 1.63 | 05/12/2020 | 400,000 | 392,173 | ||||||||||||
Inter-American Development Bank | 1.88 | 06/16/2020 | 485,000 | 476,840 | ||||||||||||
Inter-American Development Bank | 2.50 | 01/18/2023 | 100,000 | 97,715 | ||||||||||||
Inter-American Development Bank | 2.00 | 06/02/2026 | 485,000 | 447,058 | ||||||||||||
International Bank for Reconstruction & Development | 1.63 | 03/09/2021 | 485,000 | 469,854 | ||||||||||||
International Bank for Reconstruction & Development | 1.38 | 09/20/2021 | 281,000 | 268,112 | ||||||||||||
International Bank for Reconstruction & Development | 1.63 | 02/10/2022 | 328,000 | 313,346 | ||||||||||||
International Finance Corp | 1.63 | 07/16/2020 | 150,000 | 146,650 | ||||||||||||
Kreditanstalt fuer Wiederaufbau (Germany) | 4.00 | 01/27/2020 | 250,000 | 253,730 | ||||||||||||
Kreditanstalt fuer Wiederaufbau (Germany) | 1.88 | 06/30/2020 | 200,000 | 196,518 | ||||||||||||
Kreditanstalt fuer Wiederaufbau (Germany) | 2.75 | 09/08/2020 | 728,000 | 725,575 | ||||||||||||
Kreditanstalt fuer Wiederaufbau (Germany) | 1.50 | 06/15/2021 | 350,000 | 336,413 | ||||||||||||
Kreditanstalt fuer Wiederaufbau (Germany) | 2.13 | 03/07/2022 | 121,000 | 117,406 | ||||||||||||
Kreditanstalt fuer Wiederaufbau (Germany) | 2.13 | 06/15/2022 | 100,000 | 96,733 | ||||||||||||
Kreditanstalt fuer Wiederaufbau (Germany) | 2.38 | 12/29/2022 | 100,000 | 97,193 | ||||||||||||
Kreditanstalt fuer Wiederaufbau (Germany) 1 | 0.00 | 06/29/2037 | 285,000 | 153,509 | ||||||||||||
Landwirtschaftliche Rentenbank (Germany) | 1.75 | 07/27/2026 | 200,000 | 179,946 | ||||||||||||
Nexen Energy (China) | 6.40 | 05/15/2037 | 114,000 | 137,912 | ||||||||||||
Petroleos Mexicanos (Mexico) | 5.50 | 01/21/2021 | 200,000 | 206,382 | ||||||||||||
Petroleos Mexicanos (Mexico) | 6.50 | 06/02/2041 | 375,000 | 351,562 | ||||||||||||
Petroleos Mexicanos (Mexico) | 6.75 | 09/21/2047 | 200,000 | 190,838 | ||||||||||||
Syngenta Finance NV (Switzerland) | 3.12 | 03/28/2022 | 235,000 | 227,543 | ||||||||||||
|
| |||||||||||||||
9,469,564 | ||||||||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
33
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Utilities — 0.80% | ||||||||||||||||
American Electric Power Co Inc | 2.95 | 12/15/2022 | 80,000 | 78,204 | ||||||||||||
American Water Capital Corp | 3.75 | 09/01/2047 | 50,000 | 45,426 | ||||||||||||
Atmos Energy Corp | 4.13 | 10/15/2044 | 117,000 | 114,526 | ||||||||||||
Commonwealth Edison Co | 3.65 | 06/15/2046 | 242,000 | 219,238 | ||||||||||||
Commonwealth Edison Co | 4.00 | 03/01/2048 | 5,000 | 4,825 | ||||||||||||
Consolidated Edison Co of New York Inc | 6.30 | 08/15/2037 | 142,000 | 176,753 | ||||||||||||
Consolidated Edison Inc | 2.00 | 03/15/2020 | 150,000 | 147,489 | ||||||||||||
Dominion Energy Inc | 7.00 | 06/15/2038 | 75,000 | 94,454 | ||||||||||||
DTE Electric Co | 3.70 | 03/15/2045 | 121,000 | 112,329 | ||||||||||||
Duke Energy Carolinas LLC | 3.90 | 06/15/2021 | 185,000 | 188,453 | ||||||||||||
Duke Energy Carolinas LLC | 2.95 | 12/01/2026 | 100,000 | 94,964 | ||||||||||||
Duke Energy Corp | 1.80 | 09/01/2021 | 15,000 | 14,346 | ||||||||||||
Duke Energy Corp | 3.15 | 08/15/2027 | 100,000 | 93,002 | ||||||||||||
Duke Energy Corp | 3.75 | 09/01/2046 | 80,000 | 70,300 | ||||||||||||
Duke Energy Florida LLC | 6.40 | 06/15/2038 | 242,000 | 310,136 | ||||||||||||
Duke Energy Indiana LLC | 3.75 | 05/15/2046 | 12,000 | 10,973 | ||||||||||||
Edison International | 2.40 | 09/15/2022 | 100,000 | 94,699 | ||||||||||||
Emera US Finance LP (Canada) | 3.55 | 06/15/2026 | 25,000 | 23,546 | ||||||||||||
Exelon Generation Co LLC | 3.40 | 03/15/2022 | 200,000 | 198,186 | ||||||||||||
Exelon Generation Co LLC | 6.25 | 10/01/2039 | 200,000 | 217,750 | ||||||||||||
Exelon Generation Co LLC | 5.60 | 06/15/2042 | 15,000 | 15,361 | ||||||||||||
Florida Power & Light Co | 3.13 | 12/01/2025 | 142,000 | 137,831 | ||||||||||||
Florida Power & Light Co | 5.95 | 02/01/2038 | 142,000 | 173,579 | ||||||||||||
Florida Power & Light Co | 3.70 | 12/01/2047 | 20,000 | 18,418 | ||||||||||||
Georgia Power Co | 3.25 | 03/30/2027 | 150,000 | 139,913 | ||||||||||||
Georgia Power Co | 4.30 | 03/15/2042 | 242,000 | 229,817 | ||||||||||||
LG&E & KU Energy LLC | 3.75 | 11/15/2020 | 100,000 | 100,406 | ||||||||||||
Midamerican Energy Co | 3.50 | 10/15/2024 | 182,000 | 181,729 | ||||||||||||
National Rural Utilities Cooperative Finance Corp | 2.30 | 11/01/2020 | 242,000 | 237,586 | ||||||||||||
National Rural Utilities Cooperative Finance Corp | 3.40 | 02/07/2028 | 15,000 | 14,561 | ||||||||||||
NextEra Energy Capital Holdings Inc | 3.55 | 05/01/2027 | 85,000 | 81,780 | ||||||||||||
NiSource Inc | 5.25 | 02/15/2043 | 100,000 | 105,748 | ||||||||||||
Ohio Edison Co | 6.88 | 07/15/2036 | 100,000 | 128,788 | ||||||||||||
Pacific Gas & Electric Co | 2.45 | 08/15/2022 | 172,000 | 163,496 | ||||||||||||
Pacific Gas & Electric Co | 4.00 | 12/01/2046 | 100,000 | 87,573 | ||||||||||||
PacifiCorp | 3.85 | 06/15/2021 | 242,000 | 245,212 | ||||||||||||
PacifiCorp | 5.75 | 04/01/2037 | 158,000 | 187,850 | ||||||||||||
PacifiCorp | 4.12 | 01/15/2049 | 70,000 | 68,738 | ||||||||||||
PECO Energy Co | 3.90 | 03/01/2048 | 5,000 | 4,768 | ||||||||||||
Piedmont Natural Gas Co Inc | 3.64 | 11/01/2046 | 6,000 | 5,322 | ||||||||||||
PPL Electric Utilities Corp | 4.75 | 07/15/2043 | 242,000 | 257,880 | ||||||||||||
Progress Energy Inc | 3.15 | 04/01/2022 | 57,000 | 56,035 |
The accompanying notes are an integral part of the financial statements.
34
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Corporate Bonds and Notes — 12.89% | ||||||||||||||||
Utilities — 0.80% | ||||||||||||||||
Public Service Co of Colorado | 4.10 | 06/15/2048 | 65,000 | 64,444 | ||||||||||||
Public Service Electric & Gas Co | 1.90 | 03/15/2021 | 109,000 | 105,722 | ||||||||||||
San Diego Gas & Electric Co | 2.50 | 05/15/2026 | 142,000 | 130,335 | ||||||||||||
San Diego Gas & Electric Co | 4.50 | 08/15/2040 | 117,000 | 119,275 | ||||||||||||
Sempra Energy | 2.90 | 02/01/2023 | 100,000 | 96,520 | ||||||||||||
Sempra Energy | 3.80 | 02/01/2038 | 20,000 | 18,044 | ||||||||||||
Sempra Energy | 4.00 | 02/01/2048 | 15,000 | 13,394 | ||||||||||||
South Carolina Electric & Gas Co | 4.35 | 02/01/2042 | 204,000 | 195,134 | ||||||||||||
Southern California Edison Co | 6.00 | 01/15/2034 | 92,000 | 107,117 | ||||||||||||
Southern California Edison Co | 5.55 | 01/15/2037 | 132,000 | 147,812 | ||||||||||||
Southern Co Gas Capital Corp | 5.88 | 03/15/2041 | 100,000 | 114,057 | ||||||||||||
Southern Co/The | 4.25 | 07/01/2036 | 100,000 | 95,105 | ||||||||||||
Southern Power Co | 5.25 | 07/15/2043 | 100,000 | 101,803 | ||||||||||||
Southwestern Electric Power Co | 3.90 | 04/01/2045 | 125,000 | 113,391 | ||||||||||||
Virginia Electric & Power Co | 3.15 | 01/15/2026 | 92,000 | 88,422 | ||||||||||||
Virginia Electric & Power Co | 8.88 | 11/15/2038 | 117,000 | 181,736 | ||||||||||||
Xcel Energy Inc | 2.60 | 03/15/2022 | 125,000 | 121,205 | ||||||||||||
|
| |||||||||||||||
6,765,506 | ||||||||||||||||
|
| |||||||||||||||
Total Corporate Bonds and Notes (Cost $115,415,639) | 109,721,627 | |||||||||||||||
|
| |||||||||||||||
Foreign Government Bonds & Notes — 0.77% | ||||||||||||||||
Chile Government International Bond (Chile) | 3.13 | 01/21/2026 | 388,000 | 372,604 | ||||||||||||
Colombia Government International Bond (Colombia) | 4.38 | 07/12/2021 | 200,000 | 203,600 | ||||||||||||
Colombia Government International Bond (Colombia) | 6.13 | 01/18/2041 | 200,000 | 226,500 | ||||||||||||
Development Bank Of Japan, Inc. (Japan) | 2.00 | 10/19/2021 | 350,000 | 336,475 | ||||||||||||
Export Development Canada (Canada) | 1.63 | 12/03/2019 | 240,000 | 236,712 | ||||||||||||
Export-Import Bank Of Korea (South Korea) | 2.38 | 04/21/2027 | 300,000 | 263,485 | ||||||||||||
Hungary Government International Bond (Hungary) | 5.75 | 11/22/2023 | 200,000 | 216,600 | ||||||||||||
Israel Government Aid Bond (Israel) | 5.50 | 12/04/2023 | 19,000 | 21,120 | ||||||||||||
Israel Government Aid Bond (Israel) | 5.50 | 04/26/2024 | 51,000 | 57,024 | ||||||||||||
Israel Government Aid Bond (Israel) | 5.50 | 09/18/2033 | 291,000 | 356,802 | ||||||||||||
Israel Government International Bond (Israel) | 4.00 | 06/30/2022 | 200,000 | 204,007 | ||||||||||||
Japan Bank For International Cooperation (Japan) | 2.38 | 07/21/2022 | 200,000 | 193,507 | ||||||||||||
Japan Bank For International Cooperation (Japan) | 1.88 | 07/21/2026 | 300,000 | 268,282 | ||||||||||||
Korea Development Bank (The) (South Korea) | 3.00 | 01/13/2026 | 242,000 | 226,254 | ||||||||||||
Korea International Bond (South Korea) | 2.75 | 01/19/2027 | 200,000 | 188,252 |
The accompanying notes are an integral part of the financial statements.
35
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Foreign Government Bonds & Notes — 0.77% | ||||||||||||||||
Mexico Government International Bond (Mexico) | 4.00 | 10/02/2023 | 300,000 | 301,971 | ||||||||||||
Mexico Government International Bond (Mexico) | 6.05 | 01/11/2040 | 300,000 | 333,153 | ||||||||||||
Mexico Government International Bond (Mexico) | 4.60 | 02/10/2048 | 300,000 | 282,000 | ||||||||||||
Panama Government International Bond (Panama) | 3.75 | 03/16/2025 | 200,000 | 199,102 | ||||||||||||
Panama Government International Bond (Panama) | 6.70 | 01/26/2036 | 100,000 | 124,901 | ||||||||||||
Panama Government International Bond (Panama) | 4.50 | 04/16/2050 | 200,000 | 198,302 | ||||||||||||
Peruvian Government International Bond (Peru) | 4.12 | 08/25/2027 | 200,000 | 206,202 | ||||||||||||
Philippine Government International Bond (Philippines) | 4.00 | 01/15/2021 | 300,000 | 305,036 | ||||||||||||
Philippine Government International Bond (Philippines) | 9.50 | 02/02/2030 | 200,000 | 295,855 | ||||||||||||
Philippine Government International Bond (Philippines) | 3.95 | 01/20/2040 | 200,000 | 193,090 | ||||||||||||
Province Of Alberta Canada (Canada) | 3.30 | 03/15/2028 | 30,000 | 29,450 | ||||||||||||
Province Of Ontario Canada (Canada) | 2.50 | 04/27/2026 | 242,000 | 227,243 | ||||||||||||
Province Of Quebec Canada (Canada) | 2.75 | 08/25/2021 | 142,000 | 140,397 | ||||||||||||
Republic Of Poland Government International Bond (Poland) | 3.25 | 04/06/2026 | 142,000 | 137,749 | ||||||||||||
Uruguay Government International Bond (Uruguay) | 4.38 | 10/27/2027 | 200,000 | 203,702 | ||||||||||||
Uruguay Government International Bond (Uruguay) | 4.98 | �� | 04/20/2055 | 35,000 | 35,000 | |||||||||||
|
| |||||||||||||||
Total Foreign Government Bonds & Notes (Cost $6,989,781) | 6,584,377 | |||||||||||||||
|
| |||||||||||||||
Municipal Bonds — 0.34% | ||||||||||||||||
Bay Area Toll Authority | 6.26 | 04/01/2049 | 95,000 | 129,608 | ||||||||||||
City of New York NY | 6.27 | 12/01/2037 | 100,000 | 126,071 | ||||||||||||
Commonwealth of Massachusetts | 4.20 | 12/01/2021 | 200,000 | 204,594 | ||||||||||||
Commonwealth of Massachusetts Transportation Fund Revenue | 5.73 | 06/01/2040 | 25,000 | 30,518 | ||||||||||||
Dallas Area Rapid Transit | 6.00 | 12/01/2044 | 100,000 | 129,043 | ||||||||||||
East Bay Municipal Utility District Water System Revenue | 5.87 | 06/01/2040 | 145,000 | 180,187 | ||||||||||||
New Jersey Economic Development Authority | 7.42 | 02/15/2029 | 164,000 | 196,672 | ||||||||||||
New Jersey Turnpike Authority | 7.41 | 01/01/2040 | 165,000 | 236,080 | ||||||||||||
Ohio State University/The | 4.91 | 06/01/2040 | 140,000 | 157,546 | ||||||||||||
Ohio State University/The | 4.80 | 06/01/2111 | 53,000 | 56,879 |
The accompanying notes are an integral part of the financial statements.
36
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Municipal Bonds — 0.34% | ||||||||||||||||
Ohio Water Development Authority Water Pollution Control Loan Fund | 4.88 | 12/01/2034 | 50,000 | 53,866 | ||||||||||||
Port Authority of New York & New Jersey | 4.46 | 10/01/2062 | 95,000 | 98,446 | ||||||||||||
Salt River Project Agricultural Improvement & Power District | 4.84 | 01/01/2041 | 180,000 | 201,566 | ||||||||||||
South Carolina Public Service Authority | 2.39 | 12/01/2023 | 332,000 | 308,574 | ||||||||||||
State Board of Administration Finance Corp | 3.00 | 07/01/2020 | 90,000 | 89,946 | ||||||||||||
State of California | 3.50 | 04/01/2028 | 30,000 | 29,355 | ||||||||||||
State of California | 7.30 | 10/01/2039 | 240,000 | 335,090 | ||||||||||||
State of Connecticut | 5.85 | 03/15/2032 | 100,000 | 113,821 | ||||||||||||
State of Illinois | 5.10 | 06/01/2033 | 200,000 | 191,950 | ||||||||||||
|
| |||||||||||||||
Total Municipal Bonds (Cost $3,104,988) | 2,869,812 | |||||||||||||||
|
| |||||||||||||||
Commercial Mortgage-Backed Securities — 0.94% | ||||||||||||||||
COMM 2013-CCRE9 Mortgage Trust (a) | 4.23 | 07/10/2045 | 109,000 | 112,839 | ||||||||||||
COMM 2014-LC17 Mortgage Trust | 3.92 | 10/10/2047 | 702,000 | 713,060 | ||||||||||||
COMM 2014-UBS4 Mortgage Trust | 3.42 | 08/10/2047 | 582,000 | 575,808 | ||||||||||||
GS Mortgage Securities Corp II | 3.12 | 05/10/2050 | 242,000 | 234,750 | ||||||||||||
GS Mortgage Securities Trust 2014-GC18 | 2.92 | 01/10/2047 | 6,218 | 6,216 | ||||||||||||
GS Mortgage Securities Trust 2014-GC22 | 3.52 | 06/10/2047 | 99,510 | 99,953 | ||||||||||||
GS Mortgage Securities Trust 2016-GS2 | 3.05 | 05/10/2049 | 728,000 | 696,302 | ||||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10 | 2.88 | 12/15/2047 | 19,061 | 18,873 | ||||||||||||
JPMBB Commercial Mortgage Securities Trust 2015-C29 | 3.30 | 05/15/2048 | 485,000 | 482,752 | ||||||||||||
Morgan Stanley Capital I Trust 2015-UBS8 | 3.54 | 12/15/2048 | 470,000 | 464,454 | ||||||||||||
Morgan Stanley Capital I Trust 2017-H1 | 3.26 | 06/15/2050 | 500,000 | 479,804 | ||||||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C4 | 2.79 | 12/10/2045 | 504,000 | 493,490 | ||||||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C6 | 3.24 | 04/10/2046 | 209,691 | 207,605 | ||||||||||||
Wells Fargo Commercial Mortgage Trust 2018-C44 | 4.21 | 05/15/2051 | 200,000 | 204,393 | ||||||||||||
Fannie Mae-Aces | 2.98 | 04/25/2022 | 490,517 | 487,156 | ||||||||||||
Fannie Mae-Aces | 2.51 | 11/25/2022 | 400,000 | 387,787 | ||||||||||||
Fannie Mae-Aces | 2.96 | 02/25/2027 | 647,000 | 616,111 | ||||||||||||
Fannie Mae-Aces | 2.99 | 12/25/2027 | 200,000 | 190,694 | ||||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates | 3.06 | 12/25/2024 | 500,000 | 492,898 | ||||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates | 2.21 | 06/25/2025 | 296,902 | 282,592 | ||||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates | 3.24 | 08/25/2027 | 750,000 | 731,955 | ||||||||||||
|
| |||||||||||||||
Total Commercial Mortgage-Backed Securities (Cost $8,498,394) | 7,979,492 | |||||||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
37
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Mortgage-Backed Securities — 13.25% | ||||||||||||||||
Fannie Mae Pool | 4.00 | 05/01/2020 | 2,602 | 2,655 | ||||||||||||
Fannie Mae Pool | 4.00 | 03/01/2022 | 7,509 | 7,663 | ||||||||||||
Fannie Mae Pool | 3.50 | 04/01/2024 | 32,564 | 32,747 | ||||||||||||
Fannie Mae Pool | 4.50 | 05/01/2025 | 144,063 | 149,498 | ||||||||||||
Fannie Mae Pool | 3.50 | 10/01/2025 | 186,793 | 187,844 | ||||||||||||
Fannie Mae Pool | 3.50 | 10/01/2025 | 75,281 | 75,704 | ||||||||||||
Fannie Mae Pool 2 | 3.50 | 11/30/2025 | 225,000 | 226,134 | ||||||||||||
Fannie Mae Pool 2 | 3.50 | 11/30/2025 | 100,000 | 100,410 | ||||||||||||
Fannie Mae Pool | 3.50 | 12/01/2025 | 151,132 | 151,982 | ||||||||||||
Fannie Mae Pool | 3.50 | 01/01/2026 | 28,938 | 29,101 | ||||||||||||
Fannie Mae Pool | 3.50 | 02/01/2026 | 32,572 | 32,755 | ||||||||||||
Fannie Mae Pool | 3.50 | 06/01/2026 | 7,090 | 7,140 | ||||||||||||
Fannie Mae Pool | 3.00 | 11/01/2026 | 129,415 | 128,602 | ||||||||||||
Fannie Mae Pool | 3.00 | 05/01/2027 | 79,617 | 79,116 | ||||||||||||
Fannie Mae Pool | 3.50 | 08/01/2027 | 173,483 | 174,459 | ||||||||||||
Fannie Mae Pool | 3.00 | 08/01/2027 | 103,423 | 102,772 | ||||||||||||
Fannie Mae Pool | 2.50 | 01/01/2028 | 220,699 | 214,699 | ||||||||||||
Fannie Mae Pool | 3.00 | 02/01/2028 | 270,062 | 268,363 | ||||||||||||
Fannie Mae Pool 2 | 4.00 | 02/29/2028 | 200,000 | 203,992 | ||||||||||||
Fannie Mae Pool 2 | 4.00 | 03/29/2028 | 100,000 | 101,902 | ||||||||||||
Fannie Mae Pool | 2.50 | 05/01/2028 | 112,990 | 109,846 | ||||||||||||
Fannie Mae Pool | 3.00 | 08/01/2028 | 82,110 | 81,391 | ||||||||||||
Fannie Mae Pool | 2.50 | 09/01/2028 | 113,615 | 110,456 | ||||||||||||
Fannie Mae Pool | 4.50 | 03/01/2029 | 2,418 | 2,495 | ||||||||||||
Fannie Mae Pool | 4.50 | 08/01/2029 | 96,329 | 99,668 | ||||||||||||
Fannie Mae Pool | 2.50 | 08/01/2030 | 193,042 | 187,130 | ||||||||||||
Fannie Mae Pool | 3.50 | 11/01/2030 | 30,747 | 30,465 | ||||||||||||
Fannie Mae Pool | 3.00 | 02/01/2031 | 192,304 | 190,128 | ||||||||||||
Fannie Mae Pool | 2.50 | 07/01/2031 | 168,618 | 162,827 | ||||||||||||
Fannie Mae Pool | 2.00 | 08/01/2031 | 269,884 | 253,172 | ||||||||||||
Fannie Mae Pool | 2.50 | 09/01/2031 | 400,000 | 386,263 | ||||||||||||
Fannie Mae Pool | 2.50 | 11/01/2031 | 235,712 | 227,617 | ||||||||||||
Fannie Mae Pool | 2.00 | 11/01/2031 | 40,886 | 38,354 | ||||||||||||
Fannie Mae Pool | 2.50 | 12/01/2031 | 193,306 | 186,668 | ||||||||||||
Fannie Mae Pool | 2.50 | 01/01/2032 | 239,133 | 230,921 | ||||||||||||
Fannie Mae Pool | 2.50 | 01/01/2032 | 59,350 | 57,312 | ||||||||||||
Fannie Mae Pool | 2.50 | 02/01/2032 | 241,877 | 233,571 | ||||||||||||
Fannie Mae Pool | 2.00 | 02/01/2032 | 61,682 | 57,859 | ||||||||||||
Fannie Mae Pool | 3.00 | 04/01/2032 | 68,620 | 67,843 | ||||||||||||
Fannie Mae Pool 2 | 3.00 | 04/30/2032 | 1,325,000 | 1,308,563 | ||||||||||||
Fannie Mae Pool 2 | 2.50 | 04/30/2032 | 575,000 | 554,748 | ||||||||||||
Fannie Mae Pool | 3.50 | 08/01/2032 | 53,939 | 54,145 | ||||||||||||
Fannie Mae Pool | 2.50 | 12/01/2032 | 209,841 | 202,635 | ||||||||||||
Fannie Mae Pool | 3.00 | 01/01/2033 | 23,542 | 23,276 | ||||||||||||
Fannie Mae Pool | 3.00 | 04/01/2033 | 165,679 | 163,805 |
The accompanying notes are an integral part of the financial statements.
38
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Mortgage-Backed Securities — 13.25% | ||||||||||||||||
Fannie Mae Pool | 3.00 | 05/01/2033 | 169,941 | 168,019 | ||||||||||||
Fannie Mae Pool | 5.50 | 06/01/2033 | 14,395 | 15,585 | ||||||||||||
Fannie Mae Pool | 2.50 | 08/01/2033 | 199,133 | 192,294 | ||||||||||||
Fannie Mae Pool | 3.50 | 08/01/2033 | 191,831 | 192,562 | ||||||||||||
Fannie Mae Pool | 5.50 | 08/01/2033 | 85,757 | 92,583 | ||||||||||||
Fannie Mae Pool | 4.00 | 10/01/2033 | 241,050 | 247,041 | ||||||||||||
Fannie Mae Pool | 5.50 | 11/01/2033 | 1,111 | 1,200 | ||||||||||||
Fannie Mae Pool | 5.50 | 02/01/2034 | 58,199 | 62,854 | ||||||||||||
Fannie Mae Pool | 3.00 | 05/01/2034 | 404,621 | 397,683 | ||||||||||||
Fannie Mae Pool | 5.50 | 05/01/2034 | 155,511 | 167,965 | ||||||||||||
Fannie Mae Pool | 3.00 | 11/01/2034 | 22,905 | 22,513 | ||||||||||||
Fannie Mae Pool | 3.50 | 01/01/2035 | 203,605 | 203,249 | ||||||||||||
Fannie Mae Pool | 4.50 | 02/01/2035 | 449,148 | 465,609 | ||||||||||||
Fannie Mae Pool | 3.00 | 02/01/2035 | 169,439 | 166,533 | ||||||||||||
Fannie Mae Pool | 3.00 | 02/01/2035 | 67,162 | 66,011 | ||||||||||||
Fannie Mae Pool | 5.00 | 03/01/2035 | 212,612 | 225,716 | ||||||||||||
Fannie Mae Pool | 5.00 | 07/01/2035 | 26,150 | 27,762 | ||||||||||||
Fannie Mae Pool | 3.50 | 11/01/2035 | 30,128 | 30,122 | ||||||||||||
Fannie Mae Pool | 2.50 | 08/01/2036 | 59,564 | 56,570 | ||||||||||||
Fannie Mae Pool | 2.50 | 10/01/2036 | 51,955 | 49,344 | ||||||||||||
Fannie Mae Pool | 3.00 | 11/01/2036 | 20,894 | 20,374 | ||||||||||||
Fannie Mae Pool | 3.00 | 12/01/2036 | 103,035 | 100,470 | ||||||||||||
Fannie Mae Pool | 3.00 | 12/01/2036 | 81,961 | 79,921 | ||||||||||||
Fannie Mae Pool | 3.00 | 12/01/2036 | 61,685 | 60,149 | ||||||||||||
Fannie Mae Pool | 3.00 | 02/01/2037 | 63,512 | 61,931 | ||||||||||||
Fannie Mae Pool | 3.50 | 02/01/2037 | 62,575 | 62,441 | ||||||||||||
Fannie Mae Pool | 3.00 | 02/01/2037 | 43,783 | 42,692 | ||||||||||||
Fannie Mae Pool | 3.00 | 04/01/2037 | 64,512 | 62,906 | ||||||||||||
Fannie Mae Pool | 5.50 | 09/01/2037 | 119,881 | 129,326 | ||||||||||||
Fannie Mae Pool | 3.50 | 11/01/2037 | 46,357 | 46,084 | ||||||||||||
Fannie Mae Pool | 3.50 | 01/01/2038 | 94,637 | 94,150 | ||||||||||||
Fannie Mae Pool | 5.50 | 02/01/2038 | 78,436 | 84,692 | ||||||||||||
Fannie Mae Pool | 5.00 | 02/01/2038 | 38,375 | 40,285 | ||||||||||||
Fannie Mae Pool | 4.00 | 03/01/2038 | 71,666 | 73,000 | ||||||||||||
Fannie Mae Pool | 6.00 | 05/01/2038 | 142,835 | 156,237 | ||||||||||||
Fannie Mae Pool | 5.50 | 10/01/2038 | 64,525 | 69,611 | ||||||||||||
Fannie Mae Pool | 5.00 | 01/01/2039 | 127,360 | 135,158 | ||||||||||||
Fannie Mae Pool | 4.50 | 03/01/2039 | 1,618 | 1,685 | ||||||||||||
Fannie Mae Pool | 5.50 | 04/01/2039 | 165,009 | 177,511 | ||||||||||||
Fannie Mae Pool | 3.50 | 06/01/2039 | 73,287 | 72,563 | ||||||||||||
Fannie Mae Pool | 4.50 | 09/01/2039 | 57,046 | 59,415 | ||||||||||||
Fannie Mae Pool | 6.00 | 10/01/2039 | 56,252 | 61,980 | ||||||||||||
Fannie Mae Pool | 5.00 | 12/01/2039 | 61,997 | 65,961 | ||||||||||||
Fannie Mae Pool | 4.50 | 02/01/2040 | 69,951 | 72,821 | ||||||||||||
Fannie Mae Pool | 4.00 | 02/01/2040 | 18,236 | 18,553 |
The accompanying notes are an integral part of the financial statements.
39
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Mortgage-Backed Securities — 13.25% | ||||||||||||||||
Fannie Mae Pool | 4.50 | 04/01/2040 | 117,972 | 122,837 | ||||||||||||
Fannie Mae Pool | 4.50 | 05/01/2040 | 220,281 | 229,314 | ||||||||||||
Fannie Mae Pool | 4.50 | 07/01/2040 | 47,623 | 49,558 | ||||||||||||
Fannie Mae Pool | 4.00 | 07/01/2040 | 47,273 | 48,090 | ||||||||||||
Fannie Mae Pool | 5.00 | 08/01/2040 | 77,188 | 82,104 | ||||||||||||
Fannie Mae Pool | 5.00 | 09/01/2040 | 131,307 | 139,553 | ||||||||||||
Fannie Mae Pool | 4.00 | 01/01/2041 | 229,140 | 233,130 | ||||||||||||
Fannie Mae Pool | 3.50 | 01/01/2041 | 217,678 | 215,916 | ||||||||||||
Fannie Mae Pool | 5.00 | 02/01/2041 | 165,560 | 176,133 | ||||||||||||
Fannie Mae Pool | 5.00 | 02/01/2041 | 111,509 | 118,597 | ||||||||||||
Fannie Mae Pool | 3.50 | 03/01/2041 | 192,199 | 190,643 | ||||||||||||
Fannie Mae Pool | 5.00 | 04/01/2041 | 212,804 | 226,429 | ||||||||||||
Fannie Mae Pool | 4.00 | 01/01/2042 | 855,354 | 870,238 | ||||||||||||
Fannie Mae Pool | 4.00 | 01/01/2042 | 254,650 | 259,227 | ||||||||||||
Fannie Mae Pool | 4.00 | 01/01/2042 | 153,858 | 156,535 | ||||||||||||
Fannie Mae Pool | 5.50 | 02/01/2042 | 152,269 | 164,211 | ||||||||||||
Fannie Mae Pool | 3.50 | 05/01/2042 | 276,973 | 274,732 | ||||||||||||
Fannie Mae Pool | 5.00 | 05/01/2042 | 103,940 | 110,677 | ||||||||||||
Fannie Mae Pool | 3.50 | 09/01/2042 | 246,710 | 244,712 | ||||||||||||
Fannie Mae Pool | 3.50 | 10/01/2042 | 226,313 | 224,481 | ||||||||||||
Fannie Mae Pool | 3.50 | 11/01/2042 | 516,108 | 511,929 | ||||||||||||
Fannie Mae Pool | 3.50 | 11/01/2042 | 173,139 | 171,739 | ||||||||||||
Fannie Mae Pool | 3.00 | 11/01/2042 | 147,638 | 142,591 | ||||||||||||
Fannie Mae Pool | 3.00 | 01/01/2043 | 358,545 | 346,163 | ||||||||||||
Fannie Mae Pool | 3.00 | 01/01/2043 | 204,858 | 197,884 | ||||||||||||
Fannie Mae Pool | 3.00 | 01/01/2043 | 70,014 | 67,614 | ||||||||||||
Fannie Mae Pool | 3.00 | 04/01/2043 | 321,716 | 310,494 | ||||||||||||
Fannie Mae Pool | 3.00 | 04/01/2043 | 70,640 | 68,185 | ||||||||||||
Fannie Mae Pool | 3.50 | 05/01/2043 | 319,571 | 316,793 | ||||||||||||
Fannie Mae Pool | 3.00 | 05/01/2043 | 50,601 | 48,842 | ||||||||||||
Fannie Mae Pool | 3.00 | 06/01/2043 | 367,518 | 354,674 | ||||||||||||
Fannie Mae Pool | 3.00 | 07/01/2043 | 424,347 | 409,496 | ||||||||||||
Fannie Mae Pool | 3.00 | 07/01/2043 | 356,912 | 344,606 | ||||||||||||
Fannie Mae Pool | 3.00 | 08/01/2043 | 556,750 | 537,319 | ||||||||||||
Fannie Mae Pool | 3.50 | 08/01/2043 | 246,920 | 244,702 | ||||||||||||
Fannie Mae Pool | 3.00 | 08/01/2043 | 179,923 | 173,635 | ||||||||||||
Fannie Mae Pool | 3.00 | 08/01/2043 | 169,167 | 163,255 | ||||||||||||
Fannie Mae Pool | 4.00 | 09/01/2043 | 239,566 | 243,357 | ||||||||||||
Fannie Mae Pool | 4.00 | 09/01/2043 | 143,980 | 146,563 | ||||||||||||
Fannie Mae Pool | 3.00 | 10/01/2043 | 366,496 | 353,714 | ||||||||||||
Fannie Mae Pool | 3.00 | 10/01/2043 | 345,231 | 333,159 | ||||||||||||
Fannie Mae Pool | 5.00 | 11/01/2043 | 61,357 | 64,585 | ||||||||||||
Fannie Mae Pool | 5.50 | 05/01/2044 | 90,958 | 98,006 | ||||||||||||
Fannie Mae Pool | 4.00 | 06/01/2044 | 198,829 | 201,352 | ||||||||||||
Fannie Mae Pool | 4.00 | 08/01/2044 | 190,807 | 193,121 |
The accompanying notes are an integral part of the financial statements.
40
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Mortgage-Backed Securities — 13.25% | ||||||||||||||||
Fannie Mae Pool | 3.50 | 10/01/2044 | 384,568 | 380,175 | ||||||||||||
Fannie Mae Pool | 4.00 | 10/01/2044 | 114,282 | 115,812 | ||||||||||||
Fannie Mae Pool | 4.00 | 10/01/2044 | 13,906 | 14,070 | ||||||||||||
Fannie Mae Pool | 3.50 | 12/01/2044 | 350,932 | 346,923 | ||||||||||||
Fannie Mae Pool | 4.00 | 12/01/2044 | 213,437 | 215,965 | ||||||||||||
Fannie Mae Pool | 3.00 | 01/01/2045 | 351,563 | 339,262 | ||||||||||||
Fannie Mae Pool | 3.50 | 02/01/2045 | 507,464 | 501,548 | ||||||||||||
Fannie Mae Pool | 3.50 | 02/01/2045 | 307,916 | 304,373 | ||||||||||||
Fannie Mae Pool | 4.00 | 03/01/2045 | 27,851 | 28,176 | ||||||||||||
Fannie Mae Pool | 3.50 | 06/01/2045 | 180,165 | 178,064 | ||||||||||||
Fannie Mae Pool | 3.50 | 08/01/2045 | 578,409 | 571,665 | ||||||||||||
Fannie Mae Pool | 3.50 | 08/01/2045 | 235,618 | 232,871 | ||||||||||||
Fannie Mae Pool | 3.50 | 09/01/2045 | 335,346 | 331,436 | ||||||||||||
Fannie Mae Pool | 4.50 | 09/01/2045 | 137,837 | 142,572 | ||||||||||||
Fannie Mae Pool | 4.00 | 10/01/2045 | 70,918 | 71,725 | ||||||||||||
Fannie Mae Pool | 4.00 | 10/01/2045 | 44,962 | 45,465 | ||||||||||||
Fannie Mae Pool | 3.00 | 11/01/2045 | 851,905 | 817,131 | ||||||||||||
Fannie Mae Pool | 4.00 | 11/01/2045 | 551,180 | 557,394 | ||||||||||||
Fannie Mae Pool | 3.50 | 11/01/2045 | 179,006 | 176,919 | ||||||||||||
Fannie Mae Pool | 4.50 | 11/01/2045 | 162,024 | 168,002 | ||||||||||||
Fannie Mae Pool | 4.00 | 11/01/2045 | 17,116 | 17,310 | ||||||||||||
Fannie Mae Pool | 3.00 | 12/01/2045 | 605,412 | 580,356 | ||||||||||||
Fannie Mae Pool | 3.50 | 12/01/2045 | 345,335 | 341,308 | ||||||||||||
Fannie Mae Pool | 3.50 | 12/01/2045 | 294,382 | 290,949 | ||||||||||||
Fannie Mae Pool | 4.50 | 12/01/2045 | 146,361 | 151,123 | ||||||||||||
Fannie Mae Pool | 3.50 | 01/01/2046 | 351,602 | 347,466 | ||||||||||||
Fannie Mae Pool | 3.50 | 01/01/2046 | 332,043 | 328,171 | ||||||||||||
Fannie Mae Pool | 4.00 | 01/01/2046 | 288,218 | 291,423 | ||||||||||||
Fannie Mae Pool | 3.00 | 01/01/2046 | 229,507 | 220,008 | ||||||||||||
Fannie Mae Pool | 3.50 | 02/01/2046 | 331,402 | 327,503 | ||||||||||||
Fannie Mae Pool | 4.00 | 02/01/2046 | 263,133 | 266,060 | ||||||||||||
Fannie Mae Pool | 3.50 | 03/01/2046 | 346,926 | 342,809 | ||||||||||||
Fannie Mae Pool | 3.50 | 03/01/2046 | 340,330 | 336,221 | ||||||||||||
Fannie Mae Pool | 3.50 | 03/01/2046 | 338,106 | 333,538 | ||||||||||||
Fannie Mae Pool | 3.50 | 03/01/2046 | 334,051 | 330,087 | ||||||||||||
Fannie Mae Pool | 3.50 | 03/01/2046 | 329,488 | 325,544 | ||||||||||||
Fannie Mae Pool | 3.50 | 03/01/2046 | 314,565 | 310,832 | ||||||||||||
Fannie Mae Pool | 4.00 | 03/01/2046 | 247,478 | 250,218 | ||||||||||||
Fannie Mae Pool | 3.00 | 05/01/2046 | 397,060 | 380,453 | ||||||||||||
Fannie Mae Pool | 3.00 | 06/01/2046 | 238,355 | 228,348 | ||||||||||||
Fannie Mae Pool | 4.00 | 07/01/2046 | 159,896 | 161,539 | ||||||||||||
Fannie Mae Pool | 2.50 | 08/01/2046 | 189,576 | 175,593 | ||||||||||||
Fannie Mae Pool | 4.50 | 08/01/2046 | 146,651 | 151,333 | ||||||||||||
Fannie Mae Pool | 2.50 | 08/01/2046 | 21,946 | 20,327 | ||||||||||||
Fannie Mae Pool | 3.00 | 09/01/2046 | 248,040 | 237,588 |
The accompanying notes are an integral part of the financial statements.
41
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Mortgage-Backed Securities — 13.25% | ||||||||||||||||
Fannie Mae Pool | 3.00 | 09/01/2046 | 246,643 | 236,263 | ||||||||||||
Fannie Mae Pool | 3.00 | 09/01/2046 | 84,599 | 81,034 | ||||||||||||
Fannie Mae Pool | 2.50 | 09/01/2046 | 24,105 | 22,327 | ||||||||||||
Fannie Mae Pool | 3.00 | 10/01/2046 | 275,913 | 264,273 | ||||||||||||
Fannie Mae Pool | 3.00 | 10/01/2046 | 78,718 | 75,397 | ||||||||||||
Fannie Mae Pool | 3.00 | 10/01/2046 | 23,673 | 22,676 | ||||||||||||
Fannie Mae Pool | 3.00 | 11/01/2046 | 277,786 | 266,053 | ||||||||||||
Fannie Mae Pool | 3.00 | 11/01/2046 | 252,957 | 242,259 | ||||||||||||
Fannie Mae Pool | 3.00 | 11/01/2046 | 83,972 | 80,429 | ||||||||||||
Fannie Mae Pool | 4.50 | 11/01/2046 | 57,774 | 59,868 | ||||||||||||
Fannie Mae Pool | 3.00 | 11/01/2046 | 41,872 | 40,102 | ||||||||||||
Fannie Mae Pool | 3.00 | 12/01/2046 | 299,121 | 286,486 | ||||||||||||
Fannie Mae Pool | 3.00 | 12/01/2046 | 259,450 | 248,478 | ||||||||||||
Fannie Mae Pool | 3.00 | 12/01/2046 | 227,133 | 217,527 | ||||||||||||
Fannie Mae Pool | 3.50 | 12/01/2046 | 207,672 | 205,143 | ||||||||||||
Fannie Mae Pool | 2.50 | 12/01/2046 | 22,794 | 21,113 | ||||||||||||
Fannie Mae Pool | 3.00 | 01/01/2047 | 172,351 | 165,062 | ||||||||||||
Fannie Mae Pool | 4.50 | 01/01/2047 | 51,770 | 53,457 | ||||||||||||
Fannie Mae Pool | 3.00 | 02/01/2047 | 292,521 | 280,144 | ||||||||||||
Fannie Mae Pool | 3.50 | 02/01/2047 | 39,045 | 38,550 | ||||||||||||
Fannie Mae Pool | 4.50 | 03/01/2047 | 191,631 | 197,855 | ||||||||||||
Fannie Mae Pool | 4.50 | 03/01/2047 | 182,522 | 188,495 | ||||||||||||
Fannie Mae Pool 2 | 3.50 | 03/31/2047 | 2,275,000 | 2,238,666 | ||||||||||||
Fannie Mae Pool | 4.50 | 04/01/2047 | 180,388 | 186,270 | ||||||||||||
Fannie Mae Pool 2 | 4.00 | 04/30/2047 | 3,425,000 | 3,458,447 | ||||||||||||
Fannie Mae Pool | 4.00 | 04/30/2047 | 375,000 | 378,164 | ||||||||||||
Fannie Mae Pool | 4.00 | 05/01/2047 | 258,254 | 260,954 | ||||||||||||
Fannie Mae Pool 2 | 4.50 | 05/31/2047 | 525,000 | 541,553 | ||||||||||||
Fannie Mae Pool 2 | 4.50 | 05/31/2047 | 125,000 | 128,747 | ||||||||||||
Fannie Mae Pool | 4.00 | 06/01/2047 | 277,265 | 280,149 | ||||||||||||
Fannie Mae Pool | 4.00 | 08/01/2047 | 184,965 | 186,885 | ||||||||||||
Fannie Mae Pool | 4.00 | 08/01/2047 | 71,941 | 72,685 | ||||||||||||
Fannie Mae Pool | 4.00 | 09/01/2047 | 201,491 | 203,577 | ||||||||||||
Fannie Mae Pool | 4.50 | 10/01/2047 | 122,416 | 126,365 | ||||||||||||
Fannie Mae Pool | 3.50 | 11/01/2047 | 120,558 | 118,705 | ||||||||||||
Fannie Mae Pool 2 | 3.50 | 12/01/2047 | 499,999 | 492,313 | ||||||||||||
Fannie Mae Pool | 4.50 | 01/01/2048 | 49,261 | 50,844 | ||||||||||||
Fannie Mae Pool | 4.00 | 02/01/2048 | 496,715 | 501,826 | ||||||||||||
Fannie Mae Pool | 4.50 | 03/01/2048 | 505,000 | 512,569 | ||||||||||||
Fannie Mae Pool | 3.50 | 03/01/2048 | 220,582 | 217,193 | ||||||||||||
Fannie Mae Pool | 4.00 | 03/01/2048 | 121,132 | 122,378 | ||||||||||||
Fannie Mae Pool | 3.50 | 04/01/2048 | 174,574 | 171,890 | ||||||||||||
Fannie Mae Pool | 3.50 | 05/01/2048 | 123,392 | 121,495 | ||||||||||||
Fannie Mae Pool | 4.50 | 05/01/2048 | 100,000 | 103,193 | ||||||||||||
Fannie Mae Pool | 4.50 | 05/01/2048 | 24,749 | 25,543 |
The accompanying notes are an integral part of the financial statements.
42
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Mortgage-Backed Securities — 13.25% | ||||||||||||||||
Fannie Mae Pool | 4.00 | 06/01/2048 | 196,398 | 198,419 | ||||||||||||
Fannie Mae Pool | 3.50 | 08/01/2048 | 24,954 | 24,571 | ||||||||||||
Fannie Mae Pool | 3.50 | 10/01/2048 | 50,000 | 49,689 | ||||||||||||
Fannie Mae Pool | 3.50 | 10/01/2048 | 49,995 | 49,228 | ||||||||||||
Freddie Mac Gold Pool | 4.00 | 10/01/2020 | 57,217 | 58,416 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 07/31/2025 | 175,000 | 175,764 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 10/01/2025 | 22,636 | 22,755 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 11/01/2025 | 157,931 | 158,936 | ||||||||||||
Freddie Mac Gold Pool | 5.50 | 12/01/2025 | 885 | 942 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 07/01/2026 | 66,708 | 67,054 | ||||||||||||
Freddie Mac Gold Pool | 4.00 | 07/01/2026 | 56,926 | 58,272 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 01/01/2027 | 103,100 | 103,694 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 02/01/2027 | 78,184 | 77,295 | ||||||||||||
Freddie Mac Gold Pool | 2.50 | 11/01/2027 | 99,739 | 96,895 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 02/01/2029 | 187,818 | 185,999 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 06/01/2029 | 224,735 | 222,558 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 02/01/2031 | 216,493 | 213,394 | ||||||||||||
Freddie Mac Gold Pool | 4.50 | 03/01/2031 | 150,576 | 156,015 | ||||||||||||
Freddie Mac Gold Pool | 2.50 | 11/01/2031 | 231,407 | 223,220 | ||||||||||||
Freddie Mac Gold Pool | 2.50 | 11/01/2031 | 47,676 | 45,989 | ||||||||||||
Freddie Mac Gold Pool | 2.50 | 12/01/2031 | 206,931 | 199,609 | ||||||||||||
Freddie Mac Gold Pool | 2.00 | 01/01/2032 | 199,753 | 187,210 | ||||||||||||
Freddie Mac Gold Pool | 2.50 | 02/01/2032 | 195,384 | 188,466 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 02/01/2032 | 99,991 | 98,556 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 03/31/2032 | 675,000 | 664,930 | ||||||||||||
Freddie Mac Gold Pool | 2.50 | 03/31/2032 | 425,000 | 409,711 | ||||||||||||
Freddie Mac Gold Pool | 2.50 | 11/01/2032 | 313,550 | 302,442 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 12/01/2032 | 198,562 | 195,709 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 02/01/2033 | 191,198 | 188,454 | ||||||||||||
Freddie Mac Gold Pool | 2.50 | 03/01/2033 | 193,535 | 186,679 | ||||||||||||
Freddie Mac Gold Pool | 2.50 | 04/01/2033 | 100,000 | 96,457 | ||||||||||||
Freddie Mac Gold Pool | 2.50 | 06/01/2033 | 197,732 | 190,727 | ||||||||||||
Freddie Mac Gold Pool | 2.50 | 07/01/2033 | 198,979 | 191,930 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 12/01/2034 | 460,286 | 451,545 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 03/01/2035 | 183,030 | 183,199 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 04/01/2035 | 51,641 | 50,456 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 05/01/2035 | 158,306 | 158,452 | ||||||||||||
Freddie Mac Gold Pool | 4.00 | 10/01/2035 | 160,414 | 163,849 | ||||||||||||
Freddie Mac Gold Pool | 5.50 | 03/01/2036 | 69,056 | 74,672 | ||||||||||||
Freddie Mac Gold Pool | 4.50 | 06/01/2036 | 485,736 | 503,772 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 11/01/2036 | 82,172 | 80,128 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 02/01/2037 | 86,231 | 84,058 | ||||||||||||
Freddie Mac Gold Pool | 5.00 | 02/01/2037 | 81,915 | 86,847 | ||||||||||||
Freddie Mac Gold Pool | 5.50 | 06/01/2037 | 56,576 | 61,287 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 06/01/2037 | 43,416 | 43,436 |
The accompanying notes are an integral part of the financial statements.
43
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Mortgage-Backed Securities — 13.25% | ||||||||||||||||
Freddie Mac Gold Pool | 5.50 | 12/01/2037 | 111,745 | 120,472 | ||||||||||||
Freddie Mac Gold Pool | 5.50 | 07/01/2038 | 54,965 | 59,124 | ||||||||||||
Freddie Mac Gold Pool | 5.00 | 10/01/2038 | 53,353 | 56,624 | ||||||||||||
Freddie Mac Gold Pool | 5.50 | 03/01/2039 | 55,579 | 59,640 | ||||||||||||
Freddie Mac Gold Pool | 5.00 | 04/01/2039 | 67,090 | 70,870 | ||||||||||||
Freddie Mac Gold Pool | 4.50 | 06/01/2039 | 43,050 | 44,902 | ||||||||||||
Freddie Mac Gold Pool | 4.50 | 10/01/2039 | 69,380 | 72,374 | ||||||||||||
Freddie Mac Gold Pool | 4.00 | 11/01/2039 | 120,322 | 122,559 | ||||||||||||
Freddie Mac Gold Pool | 5.50 | 12/01/2039 | 81,112 | 86,384 | ||||||||||||
Freddie Mac Gold Pool | 5.50 | 03/01/2040 | 164,139 | 177,133 | ||||||||||||
Freddie Mac Gold Pool | 4.00 | 12/01/2040 | 214,803 | 218,813 | ||||||||||||
Freddie Mac Gold Pool | 4.00 | 12/01/2040 | 165,181 | 168,264 | ||||||||||||
Freddie Mac Gold Pool | 4.50 | 12/01/2040 | 98,484 | 102,752 | ||||||||||||
Freddie Mac Gold Pool | 5.50 | 06/01/2041 | 73,043 | 78,753 | ||||||||||||
Freddie Mac Gold Pool | 5.50 | 06/01/2041 | 71,632 | 77,244 | ||||||||||||
Freddie Mac Gold Pool | 4.00 | 11/01/2041 | 267,014 | 272,006 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 11/01/2041 | 249,700 | 247,688 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 04/01/2042 | 348,964 | 346,154 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | �� | 06/01/2042 | 126,070 | 125,054 | |||||||||||
Freddie Mac Gold Pool | 3.50 | 09/01/2042 | 130,831 | 129,777 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 09/01/2042 | 120,208 | 119,239 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 10/01/2042 | 395,354 | 381,937 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 10/01/2042 | 70,310 | 67,899 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 12/01/2042 | 110,604 | 106,812 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 01/01/2043 | 519,612 | 501,736 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 02/01/2043 | 230,966 | 222,967 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 02/01/2043 | 132,031 | 127,518 | ||||||||||||
Freddie Mac Gold Pool | 2.50 | 02/01/2043 | 37,513 | 34,738 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 03/01/2043 | 96,568 | 93,223 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 06/01/2043 | 134,395 | 133,312 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 07/01/2043 | 13,464 | 13,355 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 08/01/2043 | 415,097 | 400,610 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 08/01/2043 | 312,256 | 301,441 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 08/01/2043 | 232,982 | 231,105 | ||||||||||||
Freddie Mac Gold Pool | 4.50 | 11/01/2043 | 169,100 | 174,935 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 01/01/2044 | 147,989 | 146,801 | ||||||||||||
Freddie Mac Gold Pool | 4.50 | 05/01/2044 | 10,418 | 10,758 | ||||||||||||
Freddie Mac Gold Pool | 5.00 | 06/01/2044 | 84,829 | 89,140 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 06/01/2044 | 80,922 | 80,237 | ||||||||||||
Freddie Mac Gold Pool | 4.00 | 07/01/2044 | 280,579 | 284,174 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 01/01/2045 | 208,159 | 205,536 | ||||||||||||
Freddie Mac Gold Pool | 4.00 | 01/01/2045 | 174,348 | 176,580 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 02/01/2045 | 153,160 | 151,167 | ||||||||||||
Freddie Mac Gold Pool | 4.50 | 03/01/2045 | 197,791 | 204,465 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 07/01/2045 | 377,854 | 372,937 |
The accompanying notes are an integral part of the financial statements.
44
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Mortgage-Backed Securities — 13.25% | ||||||||||||||||
Freddie Mac Gold Pool | 3.00 | 09/01/2045 | 355,943 | 341,750 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 11/01/2045 | 71,911 | 70,975 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 12/01/2045 | 488,939 | 482,576 | ||||||||||||
Freddie Mac Gold Pool | 4.00 | 12/01/2045 | 331,769 | 336,441 | ||||||||||||
Freddie Mac Gold Pool | 4.00 | 12/01/2045 | 182,187 | 184,295 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 01/01/2046 | 324,169 | 319,908 | ||||||||||||
Freddie Mac Gold Pool | 4.00 | 01/01/2046 | 279,836 | 283,075 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 03/01/2046 | 492,085 | 471,662 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 03/01/2046 | 325,464 | 321,144 | ||||||||||||
Freddie Mac Gold Pool | 4.00 | 03/01/2046 | 21,828 | 22,080 | ||||||||||||
Freddie Mac Gold Pool | 4.00 | 04/01/2046 | 999,525 | 1,011,088 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 04/01/2046 | 378,203 | 362,507 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 04/01/2046 | 347,581 | 342,878 | ||||||||||||
Freddie Mac Gold Pool | 4.50 | 04/01/2046 | 41,292 | 42,641 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 05/01/2046 | 390,497 | 374,291 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 06/01/2046 | 268,875 | 265,133 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 09/01/2046 | 246,060 | 235,848 | ||||||||||||
Freddie Mac Gold Pool | 2.50 | 09/01/2046 | 33,811 | 31,308 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 11/01/2046 | 631,293 | 604,896 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 11/01/2046 | 251,116 | 240,616 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 12/01/2046 | 274,627 | 263,229 | ||||||||||||
Freddie Mac Gold Pool | 2.50 | 12/01/2046 | 32,794 | 30,366 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 01/01/2047 | 441,725 | 423,007 | ||||||||||||
Freddie Mac Gold Pool | 4.00 | 03/01/2047 | 260,831 | 263,771 | ||||||||||||
Freddie Mac Gold Pool | 4.50 | 03/01/2047 | 235,659 | 243,377 | ||||||||||||
Freddie Mac Gold Pool | 5.00 | 03/01/2047 | 226,117 | 238,334 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 03/01/2047 | 76,709 | 73,512 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 04/01/2047 | 264,221 | 260,331 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 04/30/2047 | 3,075,000 | 3,026,473 | ||||||||||||
Freddie Mac Gold Pool | 4.00 | 04/30/2047 | 1,950,000 | 1,969,113 | ||||||||||||
Freddie Mac Gold Pool | 4.50 | 04/30/2047 | 300,000 | 309,621 | ||||||||||||
Freddie Mac Gold Pool | 4.00 | 04/30/2047 | 250,000 | 252,128 | ||||||||||||
Freddie Mac Gold Pool | 4.50 | 04/30/2047 | 125,000 | 128,814 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 04/30/2047 | 100,001 | 100,574 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 11/01/2047 | 337,985 | 332,901 | ||||||||||||
Freddie Mac Gold Pool | 4.50 | 11/01/2047 | 215,365 | 222,431 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 12/01/2047 | 99,416 | 95,187 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 12/01/2047 | 49,090 | 48,351 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 03/01/2048 | 199,244 | 190,756 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 03/01/2048 | 49,463 | 48,717 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 04/01/2048 | 200,000 | 191,513 | ||||||||||||
Freddie Mac Gold Pool | 5.00 | 05/01/2048 | 142,788 | 150,047 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 05/01/2048 | 123,715 | 121,848 | ||||||||||||
Freddie Mac Gold Pool | 3.00 | 06/01/2048 | 198,825 | 190,387 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 06/01/2048 | 196,770 | 193,797 |
The accompanying notes are an integral part of the financial statements.
45
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Mortgage-Backed Securities — 13.25% | ||||||||||||||||
Freddie Mac Gold Pool | 3.50 | 07/01/2048 | 499,999 | 492,437 | ||||||||||||
Freddie Mac Gold Pool | 4.50 | 07/01/2048 | 196,250 | 202,680 | ||||||||||||
Freddie Mac Gold Pool | 4.00 | 08/01/2048 | 496,288 | 501,437 | ||||||||||||
Freddie Mac Gold Pool | 3.50 | 08/01/2048 | 100,000 | 98,486 | ||||||||||||
Ginnie Mae I Pool | 5.50 | 07/15/2038 | 161,050 | 173,042 | ||||||||||||
Ginnie Mae I Pool | 5.50 | 12/15/2038 | 74,872 | 80,454 | ||||||||||||
Ginnie Mae I Pool | 5.00 | 03/15/2039 | 38,906 | 41,309 | ||||||||||||
Ginnie Mae I Pool | 5.00 | 04/15/2039 | 189,669 | 201,078 | ||||||||||||
Ginnie Mae I Pool | 5.00 | 07/15/2039 | 32,951 | 34,998 | ||||||||||||
Ginnie Mae I Pool | 4.50 | 11/15/2039 | 93,870 | 97,915 | ||||||||||||
Ginnie Mae I Pool | 5.00 | 12/15/2039 | 3,555 | 3,777 | ||||||||||||
Ginnie Mae I Pool | 4.50 | 05/15/2040 | 21,131 | 22,097 | ||||||||||||
Ginnie Mae I Pool | 4.50 | 08/15/2040 | 5,004 | 5,222 | ||||||||||||
Ginnie Mae I Pool | 5.00 | 12/15/2040 | 35,362 | 37,563 | ||||||||||||
Ginnie Mae I Pool | 5.00 | 04/15/2041 | 29,239 | 30,555 | ||||||||||||
Ginnie Mae I Pool | 5.00 | 05/15/2041 | 135,887 | 142,440 | ||||||||||||
Ginnie Mae I Pool | 3.00 | 11/15/2042 | 126,866 | 123,392 | ||||||||||||
Ginnie Mae I Pool | 3.00 | 05/15/2043 | 14,836 | 14,480 | ||||||||||||
Ginnie Mae I Pool | 3.50 | 11/15/2044 | 23,549 | 23,407 | ||||||||||||
Ginnie Mae I Pool | 3.50 | 02/15/2045 | 220,314 | 218,984 | ||||||||||||
Ginnie Mae I Pool | 3.00 | 03/15/2045 | 142,776 | 138,434 | ||||||||||||
Ginnie Mae I Pool | 3.50 | 03/15/2045 | 39,591 | 39,352 | ||||||||||||
Ginnie Mae I Pool | 4.00 | 07/15/2045 | 26,549 | 27,011 | ||||||||||||
Ginnie Mae I Pool | 3.00 | 08/15/2045 | 152,098 | 147,472 | ||||||||||||
Ginnie Mae I Pool | 4.00 | 12/15/2045 | 30,481 | 31,027 | ||||||||||||
Ginnie Mae I Pool | 4.00 | 03/15/2046 | 179,022 | 182,552 | ||||||||||||
Ginnie Mae I Pool | 4.00 | 03/15/2046 | 56,723 | 57,739 | ||||||||||||
Ginnie Mae I Pool | 4.00 | 05/15/2046 | 109,380 | 111,285 | ||||||||||||
Ginnie Mae I Pool | 3.50 | 06/15/2046 | 125,426 | 124,708 | ||||||||||||
Ginnie Mae I Pool | 4.50 | 08/15/2046 | 204,666 | 212,095 | ||||||||||||
Ginnie Mae I Pool | 4.50 | 08/15/2046 | 103,397 | 107,582 | ||||||||||||
Ginnie Mae I Pool | 2.50 | 09/15/2046 | 51,257 | 48,113 | ||||||||||||
Ginnie Mae I Pool | 4.50 | 10/15/2046 | 85,150 | 88,566 | ||||||||||||
Ginnie Mae I Pool | 4.50 | 12/15/2047 | 99,991 | 103,991 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 01/20/2027 | 248,450 | 246,664 | ||||||||||||
Ginnie Mae II Pool | 2.50 | 08/20/2027 | 32,686 | 31,881 | ||||||||||||
Ginnie Mae II Pool | 2.50 | 03/20/2028 | 29,722 | 28,988 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 10/20/2028 | 30,884 | 30,737 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 07/20/2030 | 52,440 | 53,216 | ||||||||||||
Ginnie Mae II Pool | 2.50 | 12/20/2030 | 153,618 | 149,059 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 07/20/2032 | 42,771 | 42,382 | ||||||||||||
Ginnie Mae II Pool | 5.50 | 02/20/2034 | 16,912 | 18,215 | ||||||||||||
Ginnie Mae II Pool | 5.00 | 06/30/2038 | 100,000 | 104,426 | ||||||||||||
Ginnie Mae II Pool | 5.00 | 06/20/2040 | 34,423 | 36,809 | ||||||||||||
Ginnie Mae II Pool | 4.00 | 08/20/2040 | 57,348 | 58,854 |
The accompanying notes are an integral part of the financial statements.
46
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Mortgage-Backed Securities — 13.25% | ||||||||||||||||
Ginnie Mae II Pool | 5.00 | 09/20/2040 | 72,798 | 77,536 | ||||||||||||
Ginnie Mae II Pool | 4.00 | 10/20/2040 | 59,697 | 61,265 | ||||||||||||
Ginnie Mae II Pool | 4.50 | 10/20/2040 | 43,903 | 46,022 | ||||||||||||
Ginnie Mae II Pool | 4.00 | 01/20/2041 | 54,172 | 55,596 | ||||||||||||
Ginnie Mae II Pool | 4.00 | 04/20/2041 | 52,505 | 53,887 | ||||||||||||
Ginnie Mae II Pool | 4.50 | 04/20/2041 | 36,367 | 38,119 | ||||||||||||
Ginnie Mae II Pool | 5.00 | 04/20/2041 | 6,996 | 7,449 | ||||||||||||
Ginnie Mae II Pool | 4.50 | 05/20/2041 | 145,915 | 152,937 | ||||||||||||
Ginnie Mae II Pool | 4.50 | 08/20/2041 | 269,567 | 282,499 | ||||||||||||
Ginnie Mae II Pool | 4.00 | 10/20/2041 | 60,134 | 61,711 | ||||||||||||
Ginnie Mae II Pool | 4.00 | 04/20/2042 | 57,300 | 58,803 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 04/20/2042 | 44,604 | 44,606 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 05/20/2042 | 300,828 | 300,842 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 08/20/2042 | 170,266 | 170,274 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 08/20/2042 | 106,208 | 103,792 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 09/20/2042 | 255,286 | 249,478 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 09/20/2042 | 88,559 | 88,563 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 10/20/2042 | 263,737 | 263,749 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 11/20/2042 | 311,349 | 304,266 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 01/20/2043 | 368,542 | 368,559 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 01/20/2043 | 322,706 | 315,365 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 03/20/2043 | 121,417 | 121,422 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 04/20/2043 | 121,103 | 121,109 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 05/20/2043 | 97,484 | 97,489 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 08/20/2043 | 196,653 | 196,662 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 09/20/2043 | 200,829 | 200,838 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 11/20/2043 | 259,455 | 253,551 | ||||||||||||
Ginnie Mae II Pool | 5.00 | 12/20/2043 | 14,807 | 15,693 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 02/20/2044 | 266,634 | 266,646 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 07/20/2044 | 226,483 | 226,145 | ||||||||||||
Ginnie Mae II Pool | 4.50 | 07/20/2044 | 10,776 | 11,288 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 10/20/2044 | 288,552 | 287,898 | ||||||||||||
Ginnie Mae II Pool | 4.50 | 10/20/2044 | 14,186 | 14,859 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 02/20/2045 | 317,497 | 316,533 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 02/20/2045 | 185,009 | 180,665 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 03/20/2045 | 270,631 | 269,810 | ||||||||||||
Ginnie Mae II Pool | 4.50 | 03/20/2045 | 161,319 | 169,009 | ||||||||||||
Ginnie Mae II Pool | 5.50 | 03/20/2045 | 124,187 | 133,833 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 04/20/2045 | 323,555 | 314,657 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 04/20/2045 | 269,776 | 268,957 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 07/20/2045 | 387,940 | 386,762 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 09/20/2045 | 290,785 | 289,903 | ||||||||||||
Ginnie Mae II Pool | 4.00 | 10/20/2045 | 210,302 | 215,555 | ||||||||||||
Ginnie Mae II Pool | 4.00 | 11/20/2045 | 306,691 | 314,356 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 11/20/2045 | 193,336 | 192,987 |
The accompanying notes are an integral part of the financial statements.
47
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Mortgage-Backed Securities — 13.25% | ||||||||||||||||
Ginnie Mae II Pool | 3.50 | 12/20/2045 | 290,133 | 289,252 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 01/20/2046 | 247,254 | 246,465 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 03/20/2046 | 295,349 | 294,361 | ||||||||||||
Ginnie Mae II Pool | 4.00 | 03/20/2046 | 238,133 | 243,502 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 03/20/2046 | 197,848 | 192,182 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 04/20/2046 | 314,742 | 313,593 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 04/20/2046 | 202,912 | 197,039 | ||||||||||||
Ginnie Mae II Pool | 5.00 | 04/20/2046 | 104,090 | 110,282 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 05/20/2046 | 353,019 | 343,183 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 05/20/2046 | 327,848 | 326,600 | ||||||||||||
Ginnie Mae II Pool | 4.50 | 05/20/2046 | 146,505 | 153,471 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 06/20/2046 | 366,349 | 355,519 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 06/20/2046 | 222,196 | 221,281 | ||||||||||||
Ginnie Mae II Pool | 5.00 | 06/20/2046 | 96,639 | 102,409 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 07/20/2046 | 375,398 | 364,299 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 07/20/2046 | 226,016 | 225,051 | ||||||||||||
Ginnie Mae II Pool | 4.50 | 07/20/2046 | 86,973 | 91,099 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 08/20/2046 | 240,148 | 233,048 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 08/20/2046 | 230,481 | 229,497 | ||||||||||||
Ginnie Mae II Pool | 5.00 | 08/20/2046 | 107,096 | 113,468 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 09/20/2046 | 236,193 | 229,318 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 10/20/2046 | 238,857 | 231,722 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 10/20/2046 | 182,286 | 181,451 | ||||||||||||
Ginnie Mae II Pool | 5.50 | 10/20/2046 | 57,467 | 61,472 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 11/20/2046 | 241,447 | 234,196 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 11/20/2046 | 224,248 | 223,186 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 11/20/2046 | 208,501 | 202,440 | ||||||||||||
Ginnie Mae II Pool | 4.50 | 11/20/2046 | 154,500 | 162,395 | ||||||||||||
Ginnie Mae II Pool | 2.50 | 11/20/2046 | 135,959 | 127,604 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 12/20/2046 | 244,729 | 237,342 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 12/20/2046 | 230,765 | 229,637 | ||||||||||||
Ginnie Mae II Pool | 2.50 | 12/20/2046 | 107,169 | 100,583 | ||||||||||||
Ginnie Mae II Pool | 4.50 | 12/20/2046 | 66,719 | 70,035 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 01/20/2047 | 247,473 | 239,991 | ||||||||||||
Ginnie Mae II Pool | 4.50 | 01/20/2047 | 175,160 | 183,488 | ||||||||||||
Ginnie Mae II Pool | 4.00 | 01/20/2047 | 169,678 | 172,693 | ||||||||||||
Ginnie Mae II Pool | 2.50 | 01/20/2047 | 28,976 | 27,194 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 02/20/2047 | 339,989 | 329,710 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 02/20/2047 | 244,233 | 243,039 | ||||||||||||
Ginnie Mae II Pool | 4.00 | 02/20/2047 | 211,887 | 215,653 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 04/30/2047 | 3,150,000 | 3,132,158 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 04/30/2047 | 1,650,000 | 1,597,922 | ||||||||||||
Ginnie Mae II Pool | 4.00 | 05/31/2047 | 4,325,000 | 4,398,491 | ||||||||||||
Ginnie Mae II Pool | 4.00 | 05/31/2047 | 250,000 | 253,926 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 06/20/2047 | 176,318 | 175,455 |
The accompanying notes are an integral part of the financial statements.
48
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
Mortgage-Backed Securities — 13.25% | ||||||||||||||||
Ginnie Mae II Pool | 4.00 | 06/20/2047 | 84,171 | 85,965 | ||||||||||||
Ginnie Mae II Pool | 4.50 | 06/30/2047 | 775,000 | 800,888 | ||||||||||||
Ginnie Mae II Pool | 4.50 | 06/30/2047 | 200,000 | 206,493 | ||||||||||||
Ginnie Mae II Pool | 4.00 | 08/20/2047 | 87,942 | 89,848 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 10/20/2047 | 188,588 | 182,794 | ||||||||||||
Ginnie Mae II Pool | 4.50 | 10/20/2047 | 40,341 | 41,732 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 11/20/2047 | 190,060 | 189,128 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 11/20/2047 | 24,083 | 23,342 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 12/20/2047 | 263,808 | 262,514 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 12/20/2047 | 168,990 | 163,779 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 01/20/2048 | 609,064 | 606,075 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 02/20/2048 | 197,370 | 191,279 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 02/20/2048 | 194,418 | 193,463 | ||||||||||||
Ginnie Mae II Pool | 3.00 | 03/20/2048 | 394,632 | 382,453 | ||||||||||||
Ginnie Mae II Pool | 5.00 | 03/20/2048 | 100,116 | 104,666 | ||||||||||||
Ginnie Mae II Pool | 3.50 | 06/20/2048 | 197,595 | 196,625 | ||||||||||||
|
| |||||||||||||||
Total Mortgage-Backed Securities (Cost $116,923,879) | 112,840,973 | |||||||||||||||
|
| |||||||||||||||
U.S. Government Agency Obligations — 0.63% | ||||||||||||||||
Federal Farm Credit Banks | 2.35 | 02/12/2021 | 250,000 | 246,898 | ||||||||||||
Federal Home Loan Banks | 2.13 | 02/11/2020 | 250,000 | 247,909 | ||||||||||||
Federal Home Loan Banks | 2.63 | 05/28/2020 | 200,000 | 199,436 | ||||||||||||
Federal Home Loan Banks | 1.38 | 09/28/2020 | 220,000 | 213,806 | ||||||||||||
Federal Home Loan Banks | 2.25 | 01/29/2021 | 75,000 | 73,821 | ||||||||||||
Federal Home Loan Banks | 2.25 | 01/29/2021 | 25,000 | 24,640 | ||||||||||||
Federal Home Loan Banks | 1.12 | 07/14/2021 | 485,000 | 462,471 | ||||||||||||
Federal Home Loan Banks | 2.51 | 12/29/2022 | 100,000 | 97,368 | ||||||||||||
Federal Home Loan Banks | 5.50 | 07/15/2036 | 120,000 | 152,665 | ||||||||||||
Federal Home Loan Mortgage Corp | 1.25 | 10/02/2019 | 485,000 | 478,317 | ||||||||||||
Federal Home Loan Mortgage Corp | 1.70 | 09/29/2020 | 10,000 | 9,766 | ||||||||||||
Federal Home Loan Mortgage Corp | 2.38 | 01/13/2022 | 485,000 | 476,622 | ||||||||||||
Federal Home Loan Mortgage Corp | 6.25 | 07/15/2032 | 242,000 | 319,056 | ||||||||||||
Federal National Mortgage Association 1 | 0.00 | 10/09/2019 | 590,000 | 573,739 | ||||||||||||
Federal National Mortgage Association | 2.62 | 09/06/2024 | 485,000 | 473,306 | ||||||||||||
Federal National Mortgage Association | 6.25 | 05/15/2029 | 109,000 | 137,448 | ||||||||||||
Federal National Mortgage Association | 6.63 | 11/15/2030 | 485,000 | 639,067 | ||||||||||||
Tennessee Valley Authority | 3.88 | 02/15/2021 | 97,000 | 99,115 | ||||||||||||
Tennessee Valley Authority | 2.88 | 09/15/2024 | 65,000 | 63,981 | ||||||||||||
Tennessee Valley Authority | 7.13 | 05/01/2030 | 73,000 | 98,340 | ||||||||||||
Tennessee Valley Authority | 5.25 | 09/15/2039 | 107,000 | 131,160 | ||||||||||||
Tennessee Valley Authority | 4.63 | 09/15/2060 | 97,000 | 113,286 | ||||||||||||
Tennessee Valley Authority | 4.25 | 09/15/2065 | 39,000 | 42,612 | ||||||||||||
|
| |||||||||||||||
Total U.S. Government Agency Obligations (Cost $5,680,510) | 5,374,829 | |||||||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
49
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
U.S. Treasury Obligations — 17.64% | ||||||||||||||||
United States Treasury Note/Bond | 1.00 | 10/15/2019 | 472,000 | 463,943 | ||||||||||||
United States Treasury Note/Bond | 1.50 | 10/31/2019 | 607,000 | 599,341 | ||||||||||||
United States Treasury Note/Bond | 1.25 | 10/31/2019 | 250,000 | 246,182 | ||||||||||||
United States Treasury Note/Bond | 1.00 | 11/15/2019 | 472,000 | 463,205 | ||||||||||||
United States Treasury Note/Bond | 3.38 | 11/15/2019 | 375,000 | 377,725 | ||||||||||||
United States Treasury Note/Bond | 1.00 | 11/30/2019 | 970,000 | 951,168 | ||||||||||||
United States Treasury Note/Bond | 1.75 | 11/30/2019 | 555,000 | 548,951 | ||||||||||||
United States Treasury Note/Bond | 1.38 | 12/15/2019 | 2,252,000 | 2,216,637 | ||||||||||||
United States Treasury Note/Bond | 1.12 | 12/31/2019 | 630,000 | 617,769 | ||||||||||||
United States Treasury Note/Bond | 1.88 | 12/31/2019 | 520,000 | 514,638 | ||||||||||||
United States Treasury Note/Bond | 1.62 | 12/31/2019 | 142,000 | 140,103 | ||||||||||||
United States Treasury Note/Bond | 1.38 | 01/15/2020 | 582,000 | 572,111 | ||||||||||||
United States Treasury Note/Bond | 1.25 | 01/31/2020 | 888,000 | 870,795 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 01/31/2020 | 520,000 | 515,044 | ||||||||||||
United States Treasury Note/Bond | 1.38 | 01/31/2020 | 485,000 | 476,456 | ||||||||||||
United States Treasury Note/Bond | 3.62 | 02/15/2020 | 1,052,000 | 1,064,205 | ||||||||||||
United States Treasury Note/Bond | 1.38 | 02/15/2020 | 582,000 | 571,292 | ||||||||||||
United States Treasury Note/Bond | 1.38 | 02/29/2020 | 1,279,000 | 1,254,619 | ||||||||||||
United States Treasury Note/Bond | 2.25 | 02/29/2020 | 660,000 | 655,411 | ||||||||||||
United States Treasury Note/Bond | 1.25 | 02/29/2020 | 270,000 | 264,389 | ||||||||||||
United States Treasury Note/Bond | 1.62 | 03/15/2020 | 700,000 | 688,816 | ||||||||||||
United States Treasury Note/Bond | 1.38 | 03/31/2020 | 689,000 | 675,005 | ||||||||||||
United States Treasury Note/Bond | 2.25 | 03/31/2020 | 600,000 | 595,477 | ||||||||||||
United States Treasury Note/Bond | 1.12 | 03/31/2020 | 350,000 | 341,619 | ||||||||||||
United States Treasury Note/Bond | 1.50 | 04/15/2020 | 375,000 | 367,852 | ||||||||||||
United States Treasury Note/Bond | 1.38 | 04/30/2020 | 689,000 | 674,063 | ||||||||||||
United States Treasury Note/Bond | 2.38 | 04/30/2020 | 300,000 | 298,113 | ||||||||||||
United States Treasury Note/Bond | 1.12 | 04/30/2020 | 39,000 | 38,007 | ||||||||||||
United States Treasury Note/Bond | 3.50 | 05/15/2020 | 757,000 | 765,368 | ||||||||||||
United States Treasury Note/Bond | 1.50 | 05/15/2020 | 600,000 | 587,836 | ||||||||||||
United States Treasury Note/Bond | 2.50 | 05/31/2020 | 800,000 | 796,188 | ||||||||||||
United States Treasury Note/Bond | 1.50 | 05/31/2020 | 739,000 | 723,527 | ||||||||||||
United States Treasury Note/Bond | 1.38 | 05/31/2020 | 252,000 | 246,202 | ||||||||||||
United States Treasury Note/Bond | 1.50 | 06/15/2020 | 40,000 | 39,144 | ||||||||||||
United States Treasury Note/Bond | 2.50 | 06/30/2020 | 975,000 | 969,973 | ||||||||||||
United States Treasury Note/Bond | 1.62 | 06/30/2020 | 839,000 | 822,154 | ||||||||||||
United States Treasury Note/Bond | 1.88 | 06/30/2020 | 285,000 | 280,502 | ||||||||||||
United States Treasury Note/Bond | 2.62 | 07/31/2020 | 1,300,000 | 1,295,734 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 07/31/2020 | 540,000 | 532,259 | ||||||||||||
United States Treasury Note/Bond | 1.62 | 07/31/2020 | 339,000 | 331,823 | ||||||||||||
United States Treasury Note/Bond | 2.62 | 08/15/2020 | 802,000 | 799,149 | ||||||||||||
United States Treasury Note/Bond | 1.50 | 08/15/2020 | 585,000 | 571,106 | ||||||||||||
United States Treasury Note/Bond | 8.75 | 08/15/2020 | 195,000 | 215,917 | ||||||||||||
United States Treasury Note/Bond | 2.12 | 08/31/2020 | 628,000 | 619,831 | ||||||||||||
United States Treasury Note/Bond | 1.38 | 08/31/2020 | 557,000 | 542,074 |
The accompanying notes are an integral part of the financial statements.
50
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
U.S. Treasury Obligations — 17.64% | ||||||||||||||||
United States Treasury Note/Bond | 1.38 | 09/15/2020 | 585,000 | 569,004 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 09/30/2020 | 1,485,000 | 1,461,159 | ||||||||||||
United States Treasury Note/Bond | 1.38 | 09/30/2020 | 1,071,000 | 1,040,962 | ||||||||||||
United States Treasury Note/Bond | 2.75 | 09/30/2020 | 750,000 | 748,975 | ||||||||||||
United States Treasury Note/Bond | 1.38 | 10/31/2020 | 970,000 | 941,468 | ||||||||||||
United States Treasury Note/Bond | 1.75 | 10/31/2020 | 479,000 | 468,503 | ||||||||||||
United States Treasury Note/Bond | 2.62 | 11/15/2020 | 1,216,000 | 1,210,395 | ||||||||||||
United States Treasury Note/Bond | 1.75 | 11/15/2020 | 340,000 | 332,390 | ||||||||||||
United States Treasury Note/Bond | 1.62 | 11/30/2020 | 970,000 | 945,257 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 11/30/2020 | 866,000 | 850,676 | ||||||||||||
United States Treasury Note/Bond | 1.88 | 12/15/2020 | 405,000 | 396,647 | ||||||||||||
United States Treasury Note/Bond | 1.75 | 12/31/2020 | 970,000 | 946,962 | ||||||||||||
United States Treasury Note/Bond | 2.38 | 12/31/2020 | 602,000 | 595,815 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 01/15/2021 | 180,000 | 176,597 | ||||||||||||
United States Treasury Note/Bond | 1.38 | 01/31/2021 | 1,140,000 | 1,102,015 | ||||||||||||
United States Treasury Note/Bond | 2.12 | 01/31/2021 | 306,000 | 300,956 | ||||||||||||
United States Treasury Note/Bond | 3.62 | 02/15/2021 | 680,000 | 691,661 | ||||||||||||
United States Treasury Note/Bond | 2.25 | 02/15/2021 | 525,000 | 517,679 | ||||||||||||
United States Treasury Note/Bond | 1.12 | 02/28/2021 | 970,000 | 930,935 | ||||||||||||
United States Treasury Note/Bond | 2.38 | 03/15/2021 | 110,000 | 108,750 | ||||||||||||
United States Treasury Note/Bond | 1.25 | 03/31/2021 | 570,000 | 548,024 | ||||||||||||
United States Treasury Note/Bond | 2.38 | 04/15/2021 | 1,050,000 | 1,037,367 | ||||||||||||
United States Treasury Note/Bond | 1.38 | 04/30/2021 | 970,000 | 934,231 | ||||||||||||
United States Treasury Note/Bond | 3.12 | 05/15/2021 | 970,000 | 976,138 | ||||||||||||
United States Treasury Note/Bond | 2.62 | 05/15/2021 | 700,000 | 695,598 | ||||||||||||
United States Treasury Note/Bond | 1.38 | 05/31/2021 | 411,000 | 395,266 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 05/31/2021 | 319,000 | 311,872 | ||||||||||||
United States Treasury Note/Bond | 2.62 | 06/15/2021 | 1,350,000 | 1,341,035 | ||||||||||||
United States Treasury Note/Bond | 1.12 | 06/30/2021 | 83,000 | 79,181 | ||||||||||||
United States Treasury Note/Bond | 2.62 | 07/15/2021 | 1,700,000 | 1,688,246 | ||||||||||||
United States Treasury Note/Bond | 1.12 | 07/31/2021 | 602,000 | 573,381 | ||||||||||||
United States Treasury Note/Bond | 2.75 | 08/15/2021 | 1,200,000 | 1,195,547 | ||||||||||||
United States Treasury Note/Bond | 2.12 | 08/15/2021 | 477,000 | 467,087 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 08/31/2021 | 370,000 | 360,952 | ||||||||||||
United States Treasury Note/Bond | 1.12 | 08/31/2021 | 165,000 | 156,918 | ||||||||||||
United States Treasury Note/Bond | 2.75 | 09/15/2021 | 700,000 | 697,348 | ||||||||||||
United States Treasury Note/Bond | 2.12 | 09/30/2021 | 543,000 | 531,122 | ||||||||||||
United States Treasury Note/Bond | 1.12 | 09/30/2021 | 182,000 | 172,843 | ||||||||||||
United States Treasury Note/Bond | 1.25 | 10/31/2021 | 673,000 | 640,586 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 10/31/2021 | 594,000 | 578,477 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 11/15/2021 | 810,000 | 788,516 | ||||||||||||
United States Treasury Note/Bond | 8.00 | 11/15/2021 | 182,000 | 209,620 | ||||||||||||
United States Treasury Note/Bond | 1.75 | 11/30/2021 | 824,000 | 795,482 | ||||||||||||
United States Treasury Note/Bond | 1.88 | 11/30/2021 | 289,000 | 280,183 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 12/31/2021 | 444,000 | 431,634 |
The accompanying notes are an integral part of the financial statements.
51
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
U.S. Treasury Obligations — 17.64% | ||||||||||||||||
United States Treasury Note/Bond | 2.12 | 12/31/2021 | 56,000 | 54,663 | ||||||||||||
United States Treasury Note/Bond | 1.88 | 01/31/2022 | 729,000 | 705,165 | ||||||||||||
United States Treasury Note/Bond | 1.50 | 01/31/2022 | 575,000 | 549,462 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 02/15/2022 | 380,000 | 369,001 | ||||||||||||
United States Treasury Note/Bond | 1.75 | 02/28/2022 | 680,000 | 654,553 | ||||||||||||
United States Treasury Note/Bond | 1.88 | 03/31/2022 | 775,000 | 748,420 | ||||||||||||
United States Treasury Note/Bond | 1.75 | 03/31/2022 | 478,000 | 459,627 | ||||||||||||
United States Treasury Note/Bond | 1.88 | 04/30/2022 | 670,000 | 646,472 | ||||||||||||
United States Treasury Note/Bond | 1.75 | 04/30/2022 | 370,000 | 355,417 | ||||||||||||
United States Treasury Note/Bond | 1.75 | 05/15/2022 | 250,000 | 240,020 | ||||||||||||
United States Treasury Note/Bond | 1.75 | 05/31/2022 | 845,000 | 810,870 | ||||||||||||
United States Treasury Note/Bond | 1.88 | 05/31/2022 | 425,000 | 409,693 | ||||||||||||
United States Treasury Note/Bond | 1.75 | 06/30/2022 | 840,000 | 805,383 | ||||||||||||
United States Treasury Note/Bond | 2.12 | 06/30/2022 | 600,000 | 583,125 | ||||||||||||
United States Treasury Note/Bond | 1.88 | 07/31/2022 | 835,000 | 803,394 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 07/31/2022 | 176,000 | 170,129 | ||||||||||||
United States Treasury Note/Bond | 1.62 | 08/31/2022 | 675,000 | 642,621 | ||||||||||||
United States Treasury Note/Bond | 1.88 | 08/31/2022 | 396,000 | 380,609 | ||||||||||||
United States Treasury Note/Bond | 1.88 | 09/30/2022 | 670,000 | 643,409 | ||||||||||||
United States Treasury Note/Bond | 1.88 | 10/31/2022 | 1,050,000 | 1,007,467 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 10/31/2022 | 650,000 | 626,742 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 11/30/2022 | 737,000 | 710,082 | ||||||||||||
United States Treasury Note/Bond | 2.12 | 12/31/2022 | 914,000 | 884,331 | ||||||||||||
United States Treasury Note/Bond | 1.75 | 01/31/2023 | 1,730,000 | 1,646,406 | ||||||||||||
United States Treasury Note/Bond | 2.38 | 01/31/2023 | 680,000 | 664,381 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 02/15/2023 | 762,000 | 732,651 | ||||||||||||
United States Treasury Note/Bond | 7.12 | 02/15/2023 | 125,000 | 146,338 | ||||||||||||
United States Treasury Note/Bond | 2.62 | 02/28/2023 | 1,000,000 | 987,188 | ||||||||||||
United States Treasury Note/Bond | 1.50 | 02/28/2023 | 1,000,000 | 940,547 | ||||||||||||
United States Treasury Note/Bond | 2.50 | 03/31/2023 | 1,150,000 | 1,128,662 | ||||||||||||
United States Treasury Note/Bond | 1.50 | 03/31/2023 | 550,000 | 516,785 | ||||||||||||
United States Treasury Note/Bond | 2.75 | 04/30/2023 | 1,500,000 | 1,487,637 | ||||||||||||
United States Treasury Note/Bond | 1.62 | 04/30/2023 | 1,133,000 | 1,069,269 | ||||||||||||
United States Treasury Note/Bond | 1.75 | 05/15/2023 | 1,740,000 | 1,650,349 | ||||||||||||
United States Treasury Note/Bond | 2.75 | 05/31/2023 | 900,000 | 892,582 | ||||||||||||
United States Treasury Note/Bond | 1.62 | 05/31/2023 | 641,000 | 604,368 | ||||||||||||
United States Treasury Note/Bond | 2.62 | 06/30/2023 | 1,200,000 | 1,182,938 | ||||||||||||
United States Treasury Note/Bond | 1.38 | 06/30/2023 | 1,110,000 | 1,033,211 | ||||||||||||
United States Treasury Note/Bond | 2.75 | 07/31/2023 | 710,000 | 703,704 | ||||||||||||
United States Treasury Note/Bond | 1.25 | 07/31/2023 | 38,000 | 35,110 | ||||||||||||
United States Treasury Note/Bond | 2.50 | 08/15/2023 | 724,000 | 709,294 | ||||||||||||
United States Treasury Note/Bond | 2.75 | 08/31/2023 | 730,000 | 723,612 | ||||||||||||
United States Treasury Note/Bond | 2.88 | 09/30/2023 | 1,040,000 | 1,036,384 | ||||||||||||
United States Treasury Note/Bond | 2.75 | 11/15/2023 | 1,411,000 | 1,397,276 | ||||||||||||
United States Treasury Note/Bond | 2.12 | 11/30/2023 | 392,000 | 376,381 |
The accompanying notes are an integral part of the financial statements.
52
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
U.S. Treasury Obligations — 17.64% | ||||||||||||||||
United States Treasury Note/Bond | 2.25 | 12/31/2023 | 679,000 | 655,500 | ||||||||||||
United States Treasury Note/Bond | 2.25 | 01/31/2024 | 679,000 | 654,943 | ||||||||||||
United States Treasury Note/Bond | 2.75 | 02/15/2024 | 705,000 | 697,482 | ||||||||||||
United States Treasury Note/Bond | 2.12 | 02/29/2024 | 728,000 | 697,373 | ||||||||||||
United States Treasury Note/Bond | 2.12 | 03/31/2024 | 440,000 | 421,197 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 04/30/2024 | 940,000 | 893,073 | ||||||||||||
United States Treasury Note/Bond | 2.50 | 05/15/2024 | 1,302,000 | 1,269,806 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 05/31/2024 | 970,000 | 920,780 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 06/30/2024 | 690,000 | 654,368 | ||||||||||||
United States Treasury Note/Bond | 2.12 | 07/31/2024 | 690,000 | 658,330 | ||||||||||||
United States Treasury Note/Bond | 2.38 | 08/15/2024 | 1,276,000 | 1,233,882 | ||||||||||||
United States Treasury Note/Bond | 1.88 | 08/31/2024 | 855,000 | 803,867 | ||||||||||||
United States Treasury Note/Bond | 2.12 | 09/30/2024 | 680,000 | 647,886 | ||||||||||||
United States Treasury Note/Bond | 2.25 | 11/15/2024 | 1,069,000 | 1,024,444 | ||||||||||||
United States Treasury Note/Bond | 2.12 | 11/30/2024 | 595,000 | 565,947 | ||||||||||||
United States Treasury Note/Bond | 2.25 | 12/31/2024 | 565,000 | 541,098 | ||||||||||||
United States Treasury Note/Bond | 2.50 | 01/31/2025 | 560,000 | 543,878 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 02/15/2025 | 958,000 | 902,241 | ||||||||||||
United States Treasury Note/Bond | 2.75 | 02/28/2025 | 830,000 | 817,971 | ||||||||||||
United States Treasury Note/Bond | 2.62 | 03/31/2025 | 580,000 | 566,927 | ||||||||||||
United States Treasury Note/Bond | 2.88 | 04/30/2025 | 900,000 | 892,898 | ||||||||||||
United States Treasury Note/Bond | 2.12 | 05/15/2025 | 1,871,000 | 1,771,530 | ||||||||||||
United States Treasury Note/Bond | 2.88 | 05/31/2025 | 800,000 | 793,375 | ||||||||||||
United States Treasury Note/Bond | 2.75 | 06/30/2025 | 595,000 | 585,447 | ||||||||||||
United States Treasury Note/Bond | 2.88 | 07/31/2025 | 595,000 | 589,933 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 08/15/2025 | 1,325,000 | 1,241,670 | ||||||||||||
United States Treasury Note/Bond | 2.75 | 08/31/2025 | 775,000 | 762,255 | ||||||||||||
United States Treasury Note/Bond | 3.00 | 09/30/2025 | 600,000 | 599,320 | ||||||||||||
United States Treasury Note/Bond | 2.25 | 11/15/2025 | 1,030,000 | 979,023 | ||||||||||||
United States Treasury Note/Bond | 1.50 | 08/15/2026 | 785,000 | 700,919 | ||||||||||||
United States Treasury Note/Bond | 2.00 | 11/15/2026 | 2,012,000 | 1,861,414 | ||||||||||||
United States Treasury Note/Bond | 2.25 | 02/15/2027 | 1,164,000 | 1,095,661 | ||||||||||||
United States Treasury Note/Bond | 2.38 | 05/15/2027 | 910,000 | 863,967 | ||||||||||||
United States Treasury Note/Bond | 2.25 | 08/15/2027 | 750,000 | 703,359 | ||||||||||||
United States Treasury Note/Bond | 2.25 | 11/15/2027 | 2,180,000 | 2,040,514 | ||||||||||||
United States Treasury Note/Bond | 2.75 | 02/15/2028 | 425,000 | 414,358 | ||||||||||||
United States Treasury Note/Bond | 2.88 | 05/15/2028 | 1,640,000 | 1,615,272 | ||||||||||||
United States Treasury Note/Bond | 2.88 | 08/15/2028 | 1,490,000 | 1,467,068 | ||||||||||||
United States Treasury Note/Bond | 5.50 | 08/15/2028 | 130,000 | 156,924 | ||||||||||||
United States Treasury Note/Bond | 5.25 | 11/15/2028 | 490,000 | 582,813 | ||||||||||||
United States Treasury Note/Bond | 5.25 | 02/15/2029 | 115,000 | 137,281 | ||||||||||||
United States Treasury Note/Bond | 6.12 | 08/15/2029 | 199,000 | 255,046 | ||||||||||||
United States Treasury Note/Bond | 6.25 | 05/15/2030 | 172,000 | 225,260 | ||||||||||||
United States Treasury Note/Bond | 5.38 | 02/15/2031 | 448,000 | 553,612 | ||||||||||||
United States Treasury Note/Bond | 4.50 | 02/15/2036 | 347,000 | 411,710 |
The accompanying notes are an integral part of the financial statements.
53
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ | Value $ | |||||||||||||
U.S. Treasury Obligations — 17.64% | ||||||||||||||||
United States Treasury Note/Bond | 5.00 | 05/15/2037 | 75,000 | 94,910 | ||||||||||||
United States Treasury Note/Bond | 4.38 | 02/15/2038 | 320,000 | 377,625 | ||||||||||||
United States Treasury Note/Bond | 4.50 | 05/15/2038 | 427,000 | 512,333 | ||||||||||||
United States Treasury Note/Bond | 3.50 | 02/15/2039 | 400,000 | 421,391 | ||||||||||||
United States Treasury Note/Bond | 4.25 | 05/15/2039 | 533,000 | 621,570 | ||||||||||||
United States Treasury Note/Bond | 4.50 | 08/15/2039 | 390,000 | 469,874 | ||||||||||||
United States Treasury Note/Bond | 4.38 | 11/15/2039 | 599,000 | 710,774 | ||||||||||||
United States Treasury Note/Bond | 4.62 | 02/15/2040 | 147,000 | 180,230 | ||||||||||||
United States Treasury Note/Bond | 4.38 | 05/15/2040 | 255,000 | 303,002 | ||||||||||||
United States Treasury Note/Bond | 3.75 | 08/15/2041 | 200,000 | 218,273 | ||||||||||||
United States Treasury Note/Bond | 3.12 | 11/15/2041 | 360,000 | 356,428 | ||||||||||||
United States Treasury Note/Bond | 3.12 | 02/15/2042 | 325,000 | 321,674 | ||||||||||||
United States Treasury Note/Bond | 3.00 | 05/15/2042 | 315,000 | 305,095 | ||||||||||||
United States Treasury Note/Bond | 2.75 | 08/15/2042 | 582,000 | 538,964 | ||||||||||||
United States Treasury Note/Bond | 2.75 | 11/15/2042 | 625,000 | 578,418 | ||||||||||||
United States Treasury Note/Bond | 3.12 | 02/15/2043 | 100,000 | 98,789 | ||||||||||||
United States Treasury Note/Bond | 2.88 | 05/15/2043 | 744,000 | 703,371 | ||||||||||||
United States Treasury Note/Bond | 3.62 | 08/15/2043 | 24,000 | 25,754 | ||||||||||||
United States Treasury Note/Bond | 3.75 | 11/15/2043 | 571,000 | 625,223 | ||||||||||||
United States Treasury Note/Bond | 3.62 | 02/15/2044 | 914,000 | 981,836 | ||||||||||||
United States Treasury Note/Bond | 3.38 | 05/15/2044 | 1,451,000 | 1,496,174 | ||||||||||||
United States Treasury Note/Bond | 3.12 | 08/15/2044 | 707,000 | 698,135 | ||||||||||||
United States Treasury Note/Bond | 3.00 | 11/15/2044 | 775,000 | 748,087 | ||||||||||||
United States Treasury Note/Bond | 2.50 | 02/15/2045 | 1,238,000 | 1,084,266 | ||||||||||||
United States Treasury Note/Bond | 3.00 | 05/15/2045 | 1,423,000 | 1,373,084 | ||||||||||||
United States Treasury Note/Bond | 2.88 | 08/15/2045 | 362,000 | 340,874 | ||||||||||||
United States Treasury Note/Bond | 3.00 | 11/15/2045 | 1,005,000 | 969,236 | ||||||||||||
United States Treasury Note/Bond | 2.50 | 02/15/2046 | 953,000 | 831,716 | ||||||||||||
United States Treasury Note/Bond | 2.50 | 05/15/2046 | 946,000 | 824,942 | ||||||||||||
United States Treasury Note/Bond | 2.25 | 08/15/2046 | 1,011,000 | 834,865 | ||||||||||||
United States Treasury Note/Bond | 2.88 | 11/15/2046 | 1,133,000 | 1,065,551 | ||||||||||||
United States Treasury Note/Bond | 3.00 | 02/15/2047 | 1,000,000 | 963,711 | ||||||||||||
United States Treasury Note/Bond | 3.00 | 05/15/2047 | 575,000 | 553,797 | ||||||||||||
United States Treasury Note/Bond | 2.75 | 08/15/2047 | 440,000 | 402,961 | ||||||||||||
United States Treasury Note/Bond | 2.75 | 11/15/2047 | 680,000 | 622,492 | ||||||||||||
United States Treasury Note/Bond | 3.00 | 02/15/2048 | 800,000 | 769,906 | ||||||||||||
United States Treasury Note/Bond | 3.12 | 05/15/2048 | 675,000 | 666,009 | ||||||||||||
United States Treasury Note/Bond | 3.00 | 08/15/2048 | 695,000 | 668,856 | ||||||||||||
|
| |||||||||||||||
Total U.S. Treasury Obligations (Cost $156,378,792) | 150,182,729 | |||||||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
54
VERPLANCK BALANCED FUND
Portfolio of Investments
September 30, 2018
Coupon Rate % | Maturity Date | Principal Amount $ /Shares | Value $ | |||||||||||||
SHORT-TERM INVESTMENTS — 3.28% | ||||||||||||||||
Money Market Fund — 3.28% | ||||||||||||||||
Goldman Sachs Financial Square Government Fund, Institutional Shares | | 1.983 | | 27,902,795 | 27,902,795 | |||||||||||
|
| |||||||||||||||
Total Short-Term Investments (Cost $27,902,795) | 27,902,795 | |||||||||||||||
|
| |||||||||||||||
Total Investments (Cost $892,163,907) — 103.07% | 877,470,953 | |||||||||||||||
TBA SALES COMMITMENTS — (0.07%) | ||||||||||||||||
Mortgage-Backed Securities — (0.07%) | ||||||||||||||||
Fannie Mae Pool | 5.50 | 08/31/2036 | (100,000 | ) | (106,711 | ) | ||||||||||
Fannie Mae Pool | 5.00 | 06/30/2037 | (325,000 | ) | (341,150 | ) | ||||||||||
Fannie Mae Pool | 3.00 | 05/31/2047 | (100,000 | ) | (95,678 | ) | ||||||||||
Ginnie Mae I Pool | 5.00 | 06/30/2038 | (75,000 | ) | (78,074 | ) | ||||||||||
|
| |||||||||||||||
Total TBA SALES COMMITMENTS (Proceeds $624,803) | (621,613 | ) | ||||||||||||||
|
| |||||||||||||||
Liabilities in excess of other assets — (3.00%) | $ | (25,517,119 | ) | |||||||||||||
|
| |||||||||||||||
Net Assets — 100.00% | $ | 851,332,221 | ||||||||||||||
|
|
* | Non-income producing. |
1 | Zero coupon bond. |
2 | TBA - To be announced. |
3 | Rate disclosed is the 7-day yield at September 30, 2018. |
(a) | Variable rate investments. The rate shown is based on the latest available information as of September 30, 2018. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate or spread in their description. |
Legend | ||
LLC | Limited Liability Company | |
LP | Limited Partnership | |
Ltd | Limited | |
PLC | Public Limited Company | |
TBA | To Be Announced |
The accompanying notes are an integral part of the financial statements.
55
VERPLANCK BALANCED FUND
Statement of Assets and Liabilities
September 30, 2018
Assets | ||||
Investments, at value (Cost $892,163,907) | $ | 877,470,953 | ||
Receivable for investments sold | 5,109,412 | |||
Dividends and interest receivable | 2,817,404 | |||
Prepaid expenses and other assets | 10,653 | |||
|
| |||
Total assets | 885,408,422 | |||
|
| |||
Liabilities | ||||
TBA sale commitments at value (Proceeds $624,803) | 621,613 | |||
Payable for investments purchased | 33,335,721 | |||
Payable to Investment Adviser | 43,831 | |||
Payable for audit fees | 35,000 | |||
Payable for administration and accounting fees | 28,972 | |||
Payable for custodian fees | 3,767 | |||
Payable for transfer agent fees | 1,754 | |||
Payable for legal fees | 599 | |||
Accrued expenses | 4,944 | |||
|
| |||
Total liabilities | 34,076,201 | |||
|
| |||
Net Assets | $ | 851,332,221 | ||
|
| |||
Net Assets Consisted of: | ||||
Capital stock, $0.01 par value | $ | 84,998 | ||
Paid-in capital | 864,713,144 | |||
Accumulated net investment income | 1,549,237 | |||
Accumulated net realized loss from investments | (325,394 | ) | ||
Net unrealized depreciation on investments and TBA sale commitments | (14,689,764 | ) | ||
|
| |||
Net Assets | $ | 851,332,221 | ||
|
|
Shares outstanding | 8,499,801 | |||
|
| |||
Net asset value, offering and redemption price per share ($851,332,221 / 8,499,801 shares) | $ | 100.16 | ||
|
|
The accompanying notes are an integral part of the financial statements.
56
VERPLANCK BALANCED FUND
Statement of Operations
For the Period Ended September 30, 2018*
Investment Income | ||||
Interest | $ | 865,419 | ||
Dividends | 764,358 | |||
Less: foreign taxes withheld | (10,253 | ) | ||
|
| |||
Total investment income | 1,619,524 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 43,831 | |||
Audit fees | 35,000 | |||
Administration and accounting fees (Note 2) | 28,971 | |||
Custodian fees (Note 2) | 3,767 | |||
Legal fees | 2,630 | |||
Transfer agent fees (Note 2) | 1,754 | |||
Trustees’ and officers’ fees (Note 2) | 1,218 | |||
Printing and shareholder reporting fees | 877 | |||
Other expenses | 8,341 | |||
|
| |||
Total expenses | 126,389 | |||
|
| |||
Net investment income | 1,493,135 | |||
|
| |||
Net realized and unrealized gain/(loss) from investments: | ||||
Net realized loss from investments | (269,292 | ) | ||
Net change in unrealized appreciation/(depreciation) on investments** | 125,043 | |||
Net change in unrealized gain on TBA sale commitments | 3,190 | |||
|
| |||
Net realized and unrealized loss on investments | (141,059 | ) | ||
|
| |||
Net increase in net assets resulting from operations | $ | 1,352,076 | ||
|
|
* | The Verplanck Balanced Fund commenced operations on August 28, 2018. |
** | Net change in unrealized appreciation excludes the unrealized appreciation/(depreciation) from the Predecessor Fund at the time of the reorganization of $(14,817,997). See Note 1. |
The accompanying notes are an integral part of the financial statements.
57
VERPLANCK BALANCED FUND
Statement of Changes in Net Assets
For the | |||||
Period Ended | |||||
September 30, 2018* | |||||
Increase/(decrease) in net assets from operations: | |||||
Net investment income | $ | 1,493,135 | |||
Net realized loss from investments | (269,292 | ) | |||
Net change in unrealized appreciation/(depreciation) on investments and TBA sale commitments | 128,233 | ||||
|
| ||||
Net increase in net assets resulting from operations | 1,352,076 | ||||
|
| ||||
Increase in Net Assets Derived from Capital Share Transactions (Note 5) | 849,980,145 | ||||
|
| ||||
Total increase in net assets | 851,332,221 | ||||
|
| ||||
Net assets | |||||
Beginning of period | — | ||||
|
| ||||
End of period | $ | 851,332,221 | |||
|
| ||||
Accumulated net investment income, end of period | $ | 1,549,237 | |||
|
|
* | The Verplanck Balanced Fund commenced operations on August 28, 2018. |
The accompanying notes are an integral part of the financial statements.
58
VERPLANCK BALANCED FUND
Financial Highlights
Contained below is per share operating performance data for the Verplanck Balanced Fund, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
For the Period | |||||
August 28, 2018* | |||||
to September 30, 2018 | |||||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ | 100.00 | |||
|
| ||||
Net investment income(1) | 0.18 | ||||
Net realized and unrealized loss on investments | (0.02 | ) | |||
|
| ||||
Net increase in net assets resulting from operations | 0.16 | ||||
|
| ||||
Net asset value, end of period | $ | 100.16 | |||
|
| ||||
Total investment return(2) | 0.16 | % | |||
Ratio/Supplemental Data | |||||
Net assets, end of period (in thousands) | $ | 851,332 | |||
Ratio of expenses to average net assets | 0.17 | %(3) | |||
Ratio of net investment income to average net assets | 2.00 | %(3) | |||
Portfolio turnover rate | | 5.05 | %(4)(5) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover rate excludes securities received from a subscription-in-kind (Note 3). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
59
VERPLANCK BALANCED FUND
Notes to Financial Statements
September 30, 2018
1. Organization and Significant Accounting Policies
Verplanck Balanced 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 August 28, 2018. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. However, beneficial interests of the Fund are not registered under the Securities Act of 1933, as amended (the “1933 Act”) because such interests will be issued solely through private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. The sole owners of interests in the Fund will be the Power Authority of the State of New York Master Decommissioning Trust IP3 Unit Fund, the Entergy Nuclear Generation Company Master Decommissioning Trust Qualified Fund, and the Entergy Nuclear Palisades Master Decommissioning Trust Qualified Fund (the “Decommissioning Trusts”). 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 is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
On August 28, 2018, the Fund, as the result of a reorganization, acquired substantially all of the assets of a privately offered common trust fund (“Predecessor Fund”) managed by BNY Mellon Asset Management North America Corporation (the “Advisor”), in exchange for shares of Verplanck. 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 valued its securities pursuant to the Fund’s valuation procedures. The assets acquired were comprised of $815,927,402 of securities, $2,247,805 of interest receivable and $31,804,938 of cash. For financial statement purposes, assets received and shares issued by the Fund were recorded at fair value, and the Fund 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 the Fund’s unrealized depreciation at the time of reorganization (the Fund had no assets or liabilities prior to the reorganization) as follows:
Predecessor Fund | Net assets | |||
Predecessor Fund | unrealized | of | ||
net assets | (depreciation) | the Fund | ||
at time of | at time of | immediately after | ||
reorganization | reorganization | reorganization | ||
$849,980,145 | $(14,817,997) | $849,980,145 |
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities listed on any national or foreign exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter market are valued at their closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Prices for equity securities normally are supplied by an independent pricing service approved by the Trust’s Board of Trustees (“Board of Trustees”). Fixed income securities are valued based on market quotations, which are furnished by an independent pricing service approved by the Board of Trustees. Fixed income securities having remaining maturities of 60 days or less are generally valued at amortized cost, provided such amounts approximates market value. Debt securities are valued on the basis of broker quotations or valuations provided by a pricing service, which utilizes information with respect to recent sales, market transactions in comparable securities, quotations from dealers, and various relationships between securities in determining value. Due to continued volatility in the current market, valuations developed through pricing techniques may materially vary from the actual amounts realized upon sale of the securities. Any assets held by the 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 the NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of the Fund. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into
60
VERPLANCK BALANCED FUND
Notes to Financial Statements (Continued)
September 30, 2018
U.S. dollars using current exchange rates. Securities that do not have a readily available current market value are valued in accordance with the procedures adopted by the Board of Trustees. The Board of Trustees has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available and has delegated to the Advisor 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 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. Transfers in and out are recognized at the value at the end of the period.
The fair value of the Fund’s bonds are generally based on the quotes received from brokers or independent pricing services. Bonds with quotes that are based on actual trades with a sufficient level of activity on or near the measurement date are classified as Level 2 assets.
Significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that foreign markets close (where the security is principally traded) and the time that the Fund calculates its NAV (generally, the close of the NYSE) that may impact the value of securities traded in these foreign markets. As a result, the Fund fair values foreign securities using an independent pricing service which considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange traded funds and certain indexes as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy.
Securities listed on a non-U.S. exchange are generally fair valued daily by an independent fair value pricing service approved by the Board of Trustees and categorized as Level 2 investments within the hierarchy. The fair valuations for these securities may not be the same as quoted or published prices of the securities on their primary markets. Securities for which daily fair value prices from the independent fair value pricing service are not available are generally valued at the last quoted sale price at the close of an exchange on which the security is traded and categorized as Level 1 investments within the hierarchy. Values of foreign securities, currencies, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of said currencies against the U.S. dollar, as of valuation time, as provided by an independent pricing service approved by the Board of Trustees.
The following is a summary of the inputs used, as of September 30, 2018, in valuing the Fund’s investments carried at fair value:
Level 2 | ||||||||||||||||
Other | Level 3 | |||||||||||||||
Level 1 | Significant | Significant | ||||||||||||||
Total Value at | Quoted | Observable | Unobservable | |||||||||||||
09/30/18 | Prices | Inputs | Inputs | |||||||||||||
Assets | $ | $ | $ | $ | ||||||||||||
Asset-Backed Securities | 2,678,756 | — | 2,678,756 | — | ||||||||||||
Common Stocks | 451,335,563 | 451,335,563 | — | — | ||||||||||||
Corporate Bonds and Notes | 109,721,627 | — | 109,721,627 | — | ||||||||||||
U.S. Government Agency Obligations | 5,374,829 | — | 5,374,829 | — | ||||||||||||
Mortgage-Backed Securities | 112,840,973 | — | 112,840,973 | — |
61
VERPLANCK BALANCED FUND
Notes to Financial Statements (Continued)
September 30, 2018
Level 2 | ||||||||||||||||
Other | Level 3 | |||||||||||||||
Level 1 | Significant | Significant | ||||||||||||||
Total Value at | Quoted | Observable | Unobservable | |||||||||||||
09/30/18 | Prices | Inputs | Inputs | |||||||||||||
Foreign Government Bonds & Notes | $ | 6,584,377 | $ | — | $ | 6,584,377 | $ | — | ||||||||
Municipal Bonds | 2,869,812 | — | 2,869,812 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 7,979,492 | — | 7,979,492 | — | ||||||||||||
U.S. Treasury Obligations | 150,182,729 | — | 150,182,729 | — | ||||||||||||
Short-Term Investments | 27,902,795 | — | 27,902,795 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 877,470,953 | $ | 451,335,563 | $ | 426,135,390 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
TBA Sale Commitments | $ | (621,613 | ) | $ | — | $ | (621,613 | ) | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | $ | (621,613 | ) | $ | — | $ | (621,613 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that 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. 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 Level 3 are disclosed when the Fund had an amount of transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the year ended September 30, 2018, there were no transfers between Levels.
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. Gains and losses on principal paydowns from mortgage backed securities are recorded as interest income on the Statement of Operations. Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums are recorded on a daily basis using the effective yield method except for short-term securities, which records discounts and premiums on a straight-line basis. Dividends are recorded on the ex-dividend date. Estimated components of distributions received from real estate investment trusts may be considered income, return of capital distributions or capital gain distributions. Return of capital distributions are recorded as a reduction of costs of the related investments. General expenses of the Trust are generally allocated to the 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.
62
VERPLANCK BALANCED FUND
Notes to Financial Statements (Continued)
September 30, 2018
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 investments on the Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currency transactions on the Statement of Operations.
Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid annually to shareholders. Distributions from net realized capital gains, if any, are declared and paid annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences may include the treatment of non-taxable dividends 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, (“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 — Effective November 5, 2018, the SEC amended existing rules intended to modernize reporting and disclosure of information. These amendments relate to Regulation S-X which sets forth the form and content of financial statements. Management is evaluating the implications of adopting these amendments and their impact on the financial statements and accompanying notes.
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.
Mortgage-Related And Other Asset-Backed Securities Risk — Mortgage-related and asset-backed securities are subject to certain other risks. The value of these securities will be influenced by the factors affecting the housing market and the assets underlying such securities. As a result, during periods of declining asset value, difficult or frozen credit markets, swings in interest rates, or deteriorating economic conditions, mortgage-related and asset-backed securities may decline in value, face valuation difficulties, become more volatile and/or become illiquid.
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VERPLANCK BALANCED FUND
Notes to Financial Statements (Continued)
September 30, 2018
Debt Investment Risk — Debt investments are affected primarily by the financial condition of the companies or other entities that have issued them and by changes in interest rates. There is a risk that an issuer of a Fund’s debt investments may not be able to meet its financial obligations (e.g., may not be able to make principal and/or interest payments when they are due or otherwise default on other financial terms) and/or go bankrupt. Securities such as high-yield/high-risk bonds, e.g., bonds with low credit ratings by Moody’s (Ba or lower) or Standard & Poor’s (BB and lower) or if unrated are of comparable quality as determined by the manager, are especially subject to credit risk during periods of economic uncertainty or during economic downturns and are more likely to default on their interest and/or principal payments than higher rated securities. Debt investments may be affected by changes in interest rates. Debt investments with longer durations tend to be more sensitive to changes in interest rates, making them more volatile than debt investments with shorter durations or floating or adjustable interest rates. The value of debt investments may fall when interest rates rise.
TBA Purchase and Sale Commitments — The Fund may enter into to-be-announced (TBA) purchase or sale commitments (collectively, TBA transactions), pursuant to which it agrees to purchase or sell, respectively, mortgage-backed securities for a fixed unit price, with payment and delivery at a scheduled future date beyond the customary settlement period for such securities. With TBA transactions, the particular securities to be received or delivered by the Fund are not identified at the trade date; however, the securities must meet specified terms, including issuer, rate, and mortgage term, and be within industry-accepted “good delivery” standards. The Fund may enter into TBA transactions with the intention of taking possession of or relinquishing the underlying securities, may elect to extend the settlement by “rolling” the transaction, and/or may use TBA transactions to gain or reduce interim exposure to underlying securities. Until settlement, the Fund maintains liquid assets sufficient to settle its commitment to purchase a TBA or, in the case of a sale commitment, the Fund maintains an entitlement to the security to be sold.
To mitigate counterparty risk, the Fund has entered into agreements with TBA counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all TBA commitments with a particular counterparty. At any time, the Fund’s risk of loss from a particular counterparty related to its TBA commitments is the aggregate unrealized gain on appreciated TBAs in excess of unrealized loss on depreciated TBAs and collateral received, if any, from such counterparty. As of September 30, 2018, no collateral was pledged by the Fund or counterparties for TBAs.
2. Transactions with Related Parties and Other Service Providers
BNY Mellon Asset Management North America Corporation 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 0.12% (12 basis points) on the first $250 million average daily net assets of the Fund, 0.10% of the next $100 million average daily net assets of the Fund, and 0.02% on average daily net assets of the Fund in excess of $350 million.
For the period ended September 30, 2018, the Adviser earned advisory fees of $43,831.
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.
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. The remuneration paid to the Trustees by the Fund during the period ended September 30, 2018 was $10,292. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Fund or the Trust.
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VERPLANCK BALANCED FUND
Notes to Financial Statements (Continued)
September 30, 2018
JW Fund Management LLC (“JWFM”) provides a Principal Executive Officer and Principal Financial Officer, respectively, to the Trust. Duff & Phelps, LLC (“D&P”) provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and D&P are compensated for their services provided to the Trust.
3. Investment in Securities
For the period ended September 30, 2018, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 5,017,525 | $ | 3,293,175 | ||||
U.S. Government Securities | 71,875,167 | 39,648,850 |
The Fund had a subscription-in-kind on August 28, 2018, which resulted in securities being transferred into the Fund. These securities are excluded from the aggregate purchases above.
4. Capital Share Transactions
For the period ended September 30, 2018, transactions in capital shares (authorized shares unlimited) were as follows:
For the Period Ended | ||||||||
September 30, 2018 | ||||||||
Shares |
Amount | |||||||
Verplanck Balanced Fund: | ||||||||
Sales* | 8,499,801 | $ | 849,980,145 | |||||
|
|
|
| |||||
Net increase | 8,499,801 | $ | 849,980,145 | |||||
|
|
|
|
* | The Fund had a subscription in-kind due to a reorganization in the amount of $849,980,145 on August 28, 2018. |
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.
In order to present net assets components on the Statement of Assets and Liabilities that more closely represent their tax character, certain reclassifications are made to the net asset components. Net investment income, net realized gains and net assets were not affected by these adjustments. The following permanent difference as of September 30, 2018, primarily attributed to paydown loss reclass, was reclassified among following accounts:
Increase/(Decrease) | Increase/(Decrease) | |||||||
Undistributed | Accumulated | Increase/(Decrease) | ||||||
Net Investment | Net Realized | Additional | ||||||
Income | Loss | Paid-In Capital | ||||||
Verplanck Balanced Fund | $56,102 | $(56,102) | $— |
During the period from August 28, 2018 (commencement of operations) to September 30, 2018, the Fund had no distributions from ordinary income or long-term capital gains. Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
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VERPLANCK BALANCED FUND
Notes to Financial Statements (Concluded)
September 30, 2018
As of September 30, 2018, the components of distributable earnings (deficit) on a tax basis were as follows:
Capital Loss | Undistributed | Undistributed | Unrealized | Qualified Late-Year | ||||
Carryforward | Ordinary Income | Long-Term Gain | Depreciation | Losses | ||||
$(296,772) | $1,549,237 | $— | $(14,718,386) | $— |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. Short-term capital gains are reported as ordinary income for federal income tax purposes.
As of September 30, 2018, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost | $ | 892,192,529 | ||||
|
| |||||
Gross unrealized appreciation | $ | 10,390,603 | ||||
| Gross unrealized depreciation | (25,108,989 | ) | |||
|
| |||||
Net unrealized depreciation | $ | (14,718,386 | ) | |||
|
|
Pursuant to federal income tax rules applicable to regulated investment companies, the Fund 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, 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 year ended September 30, 2018, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2018. For the period ended September 30, 2018, the Fund had no capital loss deferrals and no late year ordinary loss deferrals.
Accumulated capital losses represent net capital loss carryovers as of September 30, 2018 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of September 30, 2018, the Fund had capital loss carryforwards of $296,772, of which $165,214 are long-term losses and $131,558 are short-term losses and have an unlimited period of capital loss carryforward.
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.
66
VERPLANCK BALANCED FUND
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of FundVantage Trust and
Shareholders of the Verplanck Balanced Fund:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Verplanck Balanced Fund (the “Fund”) (one of the series constituting FundVantage Trust (the “Trust”)), including the portfolio of investments, as of September 30, 2018, and the related statement of operations, the statement of changes in net assets, and the financial highlights for the period August 28, 2018 (commencement of operations) to September 30, 2018 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the series constituting FundVantage Trust) at September 30, 2018, and the results of its operations, the changes in its net assets, and its financial highlights for the period August 28, 2018 (commencement of operations) to September 30, 2018, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audit, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2018, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audit provides a reasonable basis for our opinion.
We have served as the auditor of one or more Verplanck investment companies since 2018.
Philadelphia, Pennsylvania
November 28, 2018
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VERPLANCK BALANCED FUND
Shareholder Tax Information
(Unaudited)
The Fund is required by Subchapter M of the Internal Revenue Code to advise its shareholders of the U.S. federal tax status of distributions received by the Fund’s shareholders in respect of such fiscal year. During the fiscal year ended September 30, 2018, there were no distributions from the Verplanck Balanced Fund. Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
All designations are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations thereunder.
Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2018. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2019.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Fund, if any.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Fund.
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VERPLANCK BALANCED 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) 741-5050 and on the Securities and Exchange Commission’s (“SEC”) website at http:// www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended July 31 and January 31) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at http://www.sec.gov. Form N-Q is being rescinded. Once Form N-Q is rescinded, disclosure of the Fund’s complete holdings will be required to be made on Form N-PORT, with every third month made available to the public by the Commission 60 days after the end of the Fund’s fiscal quarter.
Board Consideration of Investment Advisory Agreement
At a meeting held on June 26, 2018 (the “Meeting”), the Board of Trustees (the “Board” or the “Trustees”) of FundVantage Trust (the “Trust”), including a majority of the Trustees who are not “interested persons” within the meaning of Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Trustees”), unanimously approved an investment advisory agreement between BNY Mellon Asset Management N.A. (the “Adviser,” or “BNY Mellon AMNA”) and the Trust (the “Agreement”) on behalf of the Verplanck Balanced Fund (the “Fund”). At the Meeting, the Board considered the approval of the Agreement for an initial two year period.
At the Meeting, the Trustees considered information that the Adviser provided regarding (i) services performed for the Fund, (ii) the size and qualifications of their portfolio management staff, (iii) any potential or actual material conflicts of interest which may arise in connection with a portfolio manager’s management of the Fund, (iv) investment performance, (v) the capitalization and financial condition of BNY Mellon AMNA, (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 BNY Mellon AMNA’s ability to service the Fund, and (x) compliance with the Fund’s investment objectives, policies and practices (including codes of ethics and proxy voting policies), federal securities laws and other regulatory requirements.
Performance. The Trustees considered that the Fund was new, and therefore did not have historical performance. However, the Trustees reviewed performance information of two other funds managed by BNY Mellon AMNA with strategies similar to that to be employed by the Fund. The Trustees reviewed the performance of the comparable funds for the period from their inception dates on July 28, 2016 and July 31, 1999, respectively. The Trustees concluded that the performance information relating to the comparable funds demonstrated BNY Mellon AMNA’s ability to execute investment strategies of the type to be employed by the Fund.
Fees. The Trustees also noted that the representatives of BNY Mellon AMNA had provided information regarding its advisory fees and an analysis of those fees in relation to the services to be provided to the Fund and any other ancillary benefit resulting from BNY Mellon AMNA’s relationship with the Fund. The Trustees also reviewed the explanations provided by BNY Mellon AMNA as to differences in fees to be charged to the Fund and other similarly managed accounts. The Trustees evaluated explanations provided by BNY Mellon AMNA regarding its belief that the advisory fee is within the normal range of fees and expenses for funds of similar size, composition and type of investment product. The Trustees concluded that the advisory fee and services to be provided by BNY Mellon AMNA are sufficiently consistent with those of other advisers which manage mutual funds with investment objectives, strategies and policies similar to those of the Funds.
Experience and Qualifications of the Adviser. The Trustees then considered the level and depth of knowledge of BNY Mellon AMNA, including the professional experience and qualifications of senior personnel. The Board took into account a report regarding BNY Mellon AMNA’s compliance policies and procedures from the Trust’s Chief Compliance Officer. The Board also considered any potential conflicts of interest that may arise in a portfolio manager’s management of the Fund’s investments on the one hand, and the
69
VERPLANCK BALANCED FUND
Other Information
(Unaudited) (Concluded)
investments of other accounts, on the other. The Trustees reviewed the services to be provided to the Fund by BNY Mellon AMNA and concluded that the nature, extent and quality of the services to be provided were appropriate and consistent with the terms of the Agreement, that the quality of the services appeared to be consistent with industry norms and that the Fund and its shareholders are likely to benefit from the continued receipt of those services. They also concluded that BNY Mellon AMNA has sufficient personnel, with the appropriate education and experience, to serve the Fund effectively and has demonstrated their ability to attract and retain qualified personnel.
Cost. The Trustees also considered the cost of the services to be provided by BNY Mellon AMNA, the compensation and benefits to be received by BNY Mellon AMNA in providing services to the Fund, as well as BNY Mellon AMNA’s profitability. The Trustees noted that BNY Mellon AMNA provided its most recently audited financial statements as of December 31, 2017 to the Board of Trustees for review. The Trustees considered any direct or indirect revenues which would be received by BNY Mellon AMNA. The Trustees noted that the level of profitability is an appropriate factor to consider, and that the Trustees should be satisfied that BNY Mellon AMNA’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 BNY Mellon AMNA’s advisory fee level was reasonable in relation to the nature and quality of the services provided.
Economies of Scale. The Trustees considered the extent to which economies of scale may be realized relative to fee levels, and whether the advisory fee levels reflect these economies of scale for the benefit of shareholders. The Board noted that the advisory fee structure included breakpoint reductions in advisory fee levels relative to asset levels.
In voting to approve the Agreement, the Trustees considered all factors they deemed relevant and the information presented to them by BNY Mellon AMNA. 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. The Board, including a majority of the Independent Trustees, unanimously approved the Agreement with respect to the Fund for an initial two year period.
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VERPLANCK BALANCED FUND
Privacy Notice
(Unaudited)
The privacy of your personal financial information is extremely important to us. When you open an account with us, we collect a significant amount of information from you in order to properly invest and administer your account. We take very seriously the obligation to keep that information private and confidential, and we want you to know how we protect that important information.
We collect nonpublic personal information about you from applications or other forms you complete and from your transactions with us or our affiliates. We do not disclose information about you, or our former clients, to our affiliates or to service providers or other third parties, except as permitted by law. We share only the information required to properly administer your accounts, which enables us to send transaction confirmations, monthly or quarterly statements, financials and tax forms. Even within FundVantage Trust and its affiliated entities, a limited number of people who actually service accounts will have access to your personal financial information. Further, we do not share information about our current or former clients with any outside marketing groups or sales entities.
To ensure the highest degree of security and confidentiality, FundVantage Trust and its affiliates maintain various physical, electronic and procedural safeguards to protect your personal information. We also apply special measures for authentication of information you request or submit to us on our web site.
If you have questions or comments about our privacy practices, please call us at (844) 741-5050.
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VERPLANCK BALANCED FUND
Fund Management
(Unaudited)
FundVantage Trust (the “Trust”) is governed by a Board of Trustees (the “Trustees”). The primary responsibility of the Trustees is to represent the interest of the Trust’s shareholders and to provide oversight management of the Trust.
The following tables present certain information regarding the Board of Trustees and officers of the Trust. None of the Trustees are an “interested person” of the Trust, the Adviser, another investment adviser of a series of the Trust, or Foreside Funds Distributors LLC, the principal underwriter of the Trust (“Underwriter”), within the meaning of the 1940 Act and each Trustee is referred to as an “Independent Trustee” and is listed under such heading below. Employees of certain service providers to the Trust serve as officers of the Trust; such persons are not compensated by the Fund. The address of each Trustee and Officer as it relates to the Trust’s business is 301 Bellevue Parkway, 2nd Floor, Wilmington, DE 19809.
The Statement of Additional Information for the Fund contains additional information about the Trustees and is available, without charge, upon request, by calling (844) 741-5050.
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Funds in Trust Complex Overseen by
| Other Directorships Held by Trustee | |||||
INDEPENDENT TRUSTEES
| ||||||||||
ROBERT J. CHRISTIAN Date of Birth: 2/49 | Trustee and Chairman of the Board | Shall serve until death, resignation or removal. Trustee and Chairman since 2007. | Retired since February 2006; Executive Vice President of Wilmington Trust Company from February 1996 to February 2006; President of Rodney Square Management Corporation (“RSMC”) (investment advisory firm) from 1996 to 2005; Vice President of RSMC from 2005 to 2006.
| 41 | Optimum Fund Trust (registered investment company with 6 portfolios). | |||||
IQBAL MANSUR Date of Birth: 6/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2007.
| University Professor, Widener University. | 41 | None. | |||||
NICHOLAS M. MARSINI, JR. Date of Birth: 8/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2016. | Retired since March 2016. President of PNC Bank Delaware from June 2011 to March 2016; Executive Vice President of Finance of BNY Mellon from July 2010 to January 2011; Executive Vice President and Chief Financial Officer of PNC Global Investment Servicing from September 1997 to July 2010.
| 41 | Brinker Capital Destinations Trust (registered investment company with 10 portfolios). | |||||
STEPHEN M. WYNNE Date of Birth: 1/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2009. | Retired since December 2010; Chief Executive Officer of US Funds Services, BNY Mellon Asset Servicing from July 2010 to December 2010; Chief Executive Officer of PNC Global Investment Servicing from March 2008 to July 2010; President, PNC Global Investment Servicing from 2003 to 2008.
| 41 | Copeland Trust (registered investment company with 2 portfolios). | |||||
NANCY B. WOLCOTT Date of Birth: 11/54 | Trustee | Shall serve until death, resignation or removal. Trustee since 2011. | Retired since May 2014; EVP, Head of GFI Client Service Delivery, BNY Mellon from January 2012 to May 2014; EVP, Head of US Funds Services, BNY Mellon from July 2010 to January 2012; President of PNC Global Investment Servicing from 2008 to July 2010; Chief Operating Officer of PNC Global Investment Servicing from 2007 to 2008; Executive Vice President of PFPC Worldwide Inc. from 2006 to 2007.
| 41 | Lincoln Variable Insurance Products Trust (registered investment company with 92 portfolios). |
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VERPLANCK BALANCED FUND
Fund Management (Concluded)
(Unaudited)
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served
| Principal Occupation(s) During Past Five Years | |||
EXECUTIVE OFFICERS
| ||||||
JOEL L. WEISS Date of Birth: 1/63 | President and Chief Executive Officer
| Shall serve until death, resignation or removal. Officer since 2007.
| President of JW Fund Management LLC since June 2016; Vice President and Managing Director of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from 1993 to June 2016.
| |||
T. RICHARD KEYES Date of Birth: 1/57 | Treasurer and Chief Financial Officer
| Shall serve until death, resignation or removal. Officer since 2016.
| President of TRK Fund Consulting LLC since July 2016; Head of Tax — U.S. Fund Services of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from February 2006 to July 2016.
| |||
VINCENZO A. SCARDUZIO Date of Birth: 4/72 | Secretary | Shall serve until death, resignation or removal. Officer since 2012.
| Director and Vice President Regulatory Administration of The Bank of New York Mellon and predecessor firms since 2001. | |||
DAVID C. LEBISKY Date of Birth: 5/72 | Chief Compliance Officer and Anti-Money Laundering Officer
| Shall serve until death, resignation or removal. Officer since 2015. | President of Lebisky Compliance Consulting LLC since October 2015; Consultant, Duff & Phelps, LLC since 2016; Senior Consultant, Freeh Group International Solutions, LLC (a global risk management firm) from 2015 to 2018; Scotia Institutional Investments US, LP, Director of Regulatory Administration from 2010 to 2014.
|
73
Investment Adviser
BNY Mellon Asset Management North America Corp.
201 Washington Street,
Boston, MA 02108
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
Two Commerce Square
2001 Market Street,
Philadelphia, PA 19103-7096
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
VBF-0918
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
Item 3. Audit Committee Financial Expert.
The Audit Committee of the Board of Trustees currently is comprised of Nicholas Marsini, Iqbal Mansur and Stephen M. Wynne, each of whom is considered “independent” within the meaning set forth under Item 3 of Form N-CSR. The Board of Trustees has determined that each of Messrs. Mansur, Marsini and Wynne is an “audit committee financial expert” as such term is defined by Item 3 of Form N-CSR.
The Registrant’s Board of Trustees has determined that Dr. Mansur acquired the attributes necessary to be considered an audit committee financial expert through his experience as a university professor of finance and because he has authored over 25 finance-related articles in peer reviewed publications.
The Registrant’s Board of Trustees has determined that Mr. Wynne acquired the attributes necessary to be considered an audit committee financial expert through his experience as a chief executive officer (and other senior-level accounting and/or financial positions) of several large financial institutions and because he has co-authored a text book on mutual fund accounting.
The Registrant’s Board of Trustees has determined that Mr. Marsini acquired the attributes necessary to be considered an audit committee financial expert through his experience as a chief executive officer or a chief financial officer (and other senior-level positions) of several large financial institutions.
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $682,460 for the fiscal year ending September 30, 2018, and $492,180 for the fiscal year ending September 30, 2017, as follows: |
Fiscal Year Ending September 30, 2018 | Fiscal Year Ending September 30, 2017 | |||
PricewaterhouseCoopers LLP
| $556,695
| $451,680
| ||
Ernst & Young LLP
| $125,765
| $40,500
| ||
Aggregate Fees
| $682,460
| $492,180
|
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 for the fiscal year ending September 30, 2018, and $3,000 for the fiscal year ending September 30, 2017. |
Fiscal Year Ending September 30, 2018 | Fiscal Year Ending September 30, 2017 | |||
PricewaterhouseCoopers LLP
| $0
| $3,000
| ||
Ernst & Young LLP
| $0
| $0
| ||
Aggregate Fees
| $0
| $3,000
|
These fees were for review of 485(a) filings for two funds.
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $15,106 for the |
fiscal year ending September 30, 2018, and $4,716 for the fiscal year ending September 30, 2017, as follows: |
Fiscal Year Ending September 30, 2018 | Fiscal Year Ending September 30, 2017 | |||
PricewaterhouseCoopers LLP
| $0
| $0
| ||
Ernst & Young LLP
| $15,106
| $4,716
| ||
Aggregate Fees
| $15,106
| $4,716
|
These fees were for the Passive Foreign Investment Company (PFIC) analysis.
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for the fiscal year ending September 30, 2018, and $0 for the fiscal year ending September 30, 2017. |
(e)(1) | Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
The Registrant’s Audit Committee Charter requires the Audit Committee to (i) (a) approve prior to appointment the engagement of independent registered public accounting firm to annually audit and provide their opinion on the Registrant’s financial statements, (b) recommend to the Independent Trustees the selection, retention or termination of the Registrant’s independent registered public accounting firm and, (c) in connection therewith, to review and evaluate matters potentially affecting the independence and capabilities of the independent registered public accounting firm; and (ii) to approve prior to appointment the engagement of the independent registered public accounting firm to provide other audit services to the Registrant, or to provide non-audit services to the Registrant, its series, an investment adviser to its series or any entity controlling, controlled by, or under common control with an investment adviser to its series (“adviser-affiliate”) that provides ongoing services to the Registrant if the engagement relates directly to the operations and financial reporting of the Registrant. The Audit Committee will not approve non-audit services that the Audit Committee believes may impair the independence of the Registrant’s independent registered public accountant. The Audit Committee may delegate, to the extent permitted by law, pre-approved responsibilities to one or more members of the Audit Committee who shall report to the full Audit Committee.
(e)(2) | Not applicable. |
(f) | Not applicable. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by |
another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant were $26,709,660 for the fiscal year ending September 30, 2018, and $7,716 for the fiscal year ending September 30, 2017, as follows: |
Fiscal Year Ending September 30, 2018 | Fiscal Year Ending September 30, 2017 | |||
PricewaterhouseCoopers LLP
| $0
| $3,000
| ||
Ernst & Young LLP
| $26,709,660
| $4,716
| ||
Aggregate Fees
| $26,709,660
| $7,716
|
(h) | Not applicable. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. | Controls and Procedures. |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
Item 13. | Exhibits. |
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) FundVantage Trust
By (Signature and Title)* | /s/ Joel L. Weiss | |
Joel L. Weiss, President and | ||
Chief Executive Officer | ||
(principal executive officer) |
Date December 7, 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 December 7, 2018
By (Signature and Title)* | /s/ T. Richard Keyes | |
T. Richard Keyes, Treasurer and | ||
Chief Financial Officer | ||
(principal financial officer) |
Date December 7, 2018
* Print the name and title of each signing officer under his or her signature.