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: 811-22540
FQF Trust
(Exact name of registrant as specified in charter)
53 State Street
Suite 1308
Boston, MA 02109
(Address of principal executive offices) (Zip code)
William Carey, Trustee
53 State Street, Suite 1308
Boston, MA 02110
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (617) 292-9801
Date of fiscal year end: June 30
Date of reporting period: June 30, 2018
Item 1. Reports to Stockholders.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
Annual Report
June 30, 2018
Before investing you should carefully consider a Fund’s investment objectives, risks, charges and expenses. This and other information is in the prospectus, which can be obtained by visiting www.AGFiQ.com. Please read the prospectus carefully before you invest.
Risks: There is no guarantee that a Fund will achieve its objective. Investing involves risk, including possible loss of principal. There is a risk that during a “bull” market, when most equity securities and long only Exchange Traded Funds (“ETFs”) are increasing in value, a Fund’s short positions will likely cause a Fund to underperform the overall U.S. equity market and such ETFs. These securities may be more volatile than a broad cross-section of securities, and momentum may be an indicator that a security’s price is peaking. The value of an investment in a Fund may fall, sometimes sharply, and you could lose money by investing in a Fund. A Fund may utilize derivatives and, as a result, the Fund could lose more than the amount it invests. When utilizing short selling, the amount a Fund could lose on a short sale is potentially unlimited because there is no limit on the price a shorted security might attain. For further risk information on each Fund, please read the prospectus.
Shares of AGFiQ are bought and sold at market price (not net assets value (“NAV”), as defined below) and are not individually redeemed from a Fund. Brokerage commissions will reduce returns. Market Price (as defined below) returns are based upon the midpoint of the bid/ask spread at 4:00 PM Eastern time (when NAV is normally determined), and do not represent the returns you would receive if you traded shares at other times. Fund returns assume that dividends and capital gains distributions have been reinvested in a Fund at NAV. Some performance results reflect expense subsidies and waivers in effect during certain periods shown. Absent these waivers, results would have been less favorable.
Beta is a measure of an asset’s sensitivity to an underlying index. Long is purchasing a stock with the expectation that it is going to rise in value. Short is selling stock with the expectation of profiting by buying it back later at a lower price. Spread Return is the return earned between the long and short portfolios within each ETF. One cannot invest directly in an index.
Shares are not individually redeemable and can be redeemed only in Creation Units, and the purchase and the sale price of individual Shares trading on an Exchange may be below, at, or above the most recently calculated NAV for such Shares.
Distributor: Foreside Fund Services, LLC
Table of Contents
Each Fund invests in certain securities long and certain securities short pursuant to its Target Index, and the performance of a Fund depends on the difference in the rates of return (i.e., the spread return) between the long positions and the short positions. If the long positions appreciate more or decline less than the short positions, then a Fund will generate a positive return. If the long positions appreciate less or decline more than the short positions, however, a Fund will generate a negative return.
The “U.S. Market Neutral IndicesSM” are a product of Dow Jones Indexes, the marketing name and a licensed trademark of CME Group Index Services LLC (“CME”), and have been licensed for use. “Dow Jones®”, “U.S. Market Neutral IndicesSM” and “Dow Jones Indexes” are service marks of Dow Jones Trademark Holdings, LLC (“Dow Jones”) and have been licensed for use for certain purposes by FFCM LLC (“Licensee”). The Funds based on the U.S. Market Neutral IndicesSM are not sponsored, endorsed, sold or promoted by Dow Jones, CME or their respective affiliates. Dow Jones, CME and their respective affiliates make no representation or warranty, express or implied, to the owners of the Funds or any member of the public regarding the advisability of trading in the Funds. Dow Jones’, CME’s and their respective affiliates’ only relationship to the Licensee is the licensing of certain trademarks and trade names of Dow Jones and of the “U.S. Market Neutral IndicesSM” which is determined, composed and calculated by CME without regard to the Licensee or the Funds. Dow Jones and CME have no obligation to take the needs of the Licensee or the owners of the Funds into consideration in determining, composing or calculating “U.S. Market Neutral IndicesSM”. Dow Jones, CME and their respective affiliates are not responsible for and have not participated in the determination of the timing of, prices at, or quantities of the Funds to be sold or in the determination or calculation of the equation by which the Funds are to be converted into cash. Dow Jones, CME and their respective affiliates have no obligation or liability in connection with the administration, marketing or trading of the Funds. Notwithstanding the foregoing, CME Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated to the Funds currently being issued by the Licensee, but which may be similar to and competitive with the Funds. In addition, CME Group Inc. and its affiliates may trade financial products which are linked to the performance of the “U.S. Market Neutral IndicesSM”. It is possible that this trading activity will affect the value of the “U.S. Market Neutral IndicesSM” and the Funds.
DOW JONES, CME AND THEIR RESPECTIVE AFFILIATES DO NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE U.S. MARKET NEUTRAL INDICESSM OR ANY DATA INCLUDED THEREIN AND DOW JONES, CME AND THEIR RESPECTIVE AFFILIATES SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. DOW JONES, CME AND THEIR RESPECTIVE AFFILIATES MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE LICENSEE, OWNERS OF THE FUNDS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE U.S. MARKET NEUTRAL INDICESSM OR ANY DATA INCLUDED THEREIN. DOW JONES, CME AND THEIR RESPECTIVE AFFILIATES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY, NON-INFRINGEMENT OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE U.S. MARKET NEUTRAL INDICESSM OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL DOW JONES, CME OR THEIR RESPECTIVE AFFILIATES HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES OR LOSSES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN CME AND THE LICENSEE, OTHER THAN THE LICENSORS OF CME.
(This page intentionally left blank.)
This Annual Report for the AGFiQ ETFs (the “Funds”) covers the period from July 1, 2017 through June 30, 2018 (the “Annual Period”). During the Annual Period, the Funds’ NAV1 returns were as follows:
AGFiQ U.S. Market Neutral Momentum Fund (“MOM”) | 9.50 | % | ||
AGFiQ U.S. Market Neutral Value Fund (“CHEP”) | -9.12 | % | ||
AGFiQ U.S. Market Neutral Size Fund (“SIZ”) | -2.44 | % | ||
AGFiQ U.S. Market Neutral Anti-Beta Fund (“BTAL”) | 0.25 | % | ||
AGFiQ Hedged Dividend Income Fund (“DIVA”) | -0.26 | % |
The Annual Period included the sixth full calendar year of operations for the rebranded AGFiQ (formerly QuantShares) ETFs. During the Annual Period, the AGFiQ family of ETFs consisted of four market neutral factor-based ETFs, and a long/short ETF. The Funds seek to track indexes that are designed to provide market neutral and long/short exposure to the key investment factors of Momentum, Value, Small Size, Beta, and Dividend Yield which have both a deep academic background and can be implemented in an ETF. The products were the first of their kind to incorporate long/short and market neutral strategies using physical securities (rather than derivatives) in an ETF vehicle.
The U.S. equity markets experienced advancement during the Annual Period, with the Standard & Poor’s (S&P) 500 Index2 finishing the Annual Period up 14.37%. It was a tale of two halves, with the first half, June-December 2017, characterized by continued benign volatility and only modest retreats; ultimately capping off a 12 month streak of positive returns for U.S. equities in the calendar year, accompanied by a maximum drawdown of less than 3%. While equity markets set new highs early in 2018, they stumbled in the face of strong wage growth numbers, the prospect of faster interest rate hikes, and increasing volatility during the second half of the Annual Period.
The economic and political highlight of the Annual Period was the passing of the U.S. tax cuts, which helped to buoy risk assets. While questions surround the long term sustainability, passing the tax cuts, even along partisan lines, was an accomplishment. In a manner of speaking it is two steps forward and one step back in economic policy coming out of Washington dictated by the President and his closest advisors. Washington continues to fan the flames of a trade war sharpening rhetoric with our closest neighbors and allies, as well as with our largest trading partner, China.
Central banks continue to be broadly supportive, albeit at lower levels than in the immediate wake of the Global Financial Crisis, but globally Central Banks have been signaling lower accommodation and a path to higher interest rates. While there was a changing of the guard at the Federal Reserve, with Jerome Powell appointed and confirmed as the 16th Chairman, policy stayed on the same path. The Federal Reserve has continued to deliver on their promise of measured interest rate increases, assessing broad economic conditions and keeping the policy “data dependent”. All market participants’ eyes will be fixated on the cabal of the Federal Reserve, European Central Bank, and Bank of Japan for guidance; but most intriguing to market participants may be the coordinated reduction of their balance sheets and any market implications that might arise from efforts to shrink it.
The political environment in Europe remained very fluid during the Annual Period. Uncertainty surrounding the mechanics of Brexit overhung the region and while negotiations for the transition proved fruitful, many challenges remain. Japan was able to demonstrate political stability with Prime Minister Abe comfortably winning his October election signaling few changes to his economic policies, which were beginning to bear fruit as global growth and trade picked up.
i
As we noted in last year’s update, Asia has been in the midst of a transformation. China continues to grow its influence in the region and is looking to leverage its global economic clout into military might, but with this rise comes great responsibility. While we have seen North Korea continue to rattle its sabre, the willingness for the rogue nation to meet with President Trump shows promise for them to re-emerge on the global stage.
While headlines have waned, the humanitarian crisis that has gripped the Middle East continues. Conflicts in Syria have reached a stalemate and Iran’s re-emergence within the region has caused consternation globally. Washington and the President have taken a hard line with the repressive regime, withdrawing from the nuclear deal, and re-initiating sanctions.
The domestic investing environment during the Annual Period can be characterized by a march higher in U.S. equities accompanied by low volatility.3 The S&P 500 Index finished the Annual Period with ten months of advances and only two month of declines. Accompanying the lower equity market volatility was strong quarterly performance, with three quarters of the Annual Period recording more than 3.00% return, including one over 6.00%. Taking a look more closely at monthly returns, the story of strength in equity markets seems to continue to build, with six months registering more than 2.00% return. While only briefly, we were reminded during the Annual Period that minor disruptions are common and should be expected, with February and March 2018 providing an example with the S&P 500 Index retreating -6.13% before regaining its footing for another advancement.
The AGFiQ U.S. Market Neutral Momentum Fund (MOM) saw a reversal of the weakness exhibited during the last annual period as the Fund rose 9.50% during this Annual Period. MOM exhibited sustained performance throughout the period registering eight up months, with six months up over 1.25%. Drawdowns were sharp, but rebounds strong. Summer and fall 2017 provided the backdrop for momentum as a factor to demonstrate its market leadership, accompanied by high beta stocks and the technology sector. While market neutral momentum capitalized from a rotation away from the prior period’s winners, which was dominated by value, the value factor swooned. The AGFiQ U.S. Market Neutral Value Fund (CHEP) suffered through a continued string of monthly losses, finishing the Annual Period down -9.12%. One of the most notable items observed over the past couple years has been the weakness of the value factor overall, but more interesting has been value selling off for six straight months to start 2018, which mirrored closely the five straight monthly sell-offs to start 2017. The sell-offs for market neutral value have been strong and persistent.
A thought to keep in mind regarding the value and momentum factors, as exhibited by both CHEP and MOM, is that the factors tend to be negatively correlated.4 Generally, when one factor is in favor the other tends to be out of favor, so these factors may be paired together as an investment strategy. During the Annual Period, in most instances (eight of 12 months), when CHEP was negative, MOM was positive and vice versa. However, in certain markets, as exhibited in April and June 2018, both factors can be down.
Small-cap indices continued their march higher on the back of last year’s gains during the Annual Period with the Russell 2000 Index5 up 17.57% while the broader Russell 3000 Index6 finished relatively close to the larger cap S&P 500 Index return of 14.37%, at 14.78%. The AGFiQ U.S. Market Neutral Size Fund (SIZ) was unable to keep pace and finishing the Annual Period negative, down -2.44%. While most of the negative monthly performance occurred earlier in the Annual Period, SIZ was able to exhibit some strength at the end of the Annual Period with three of the last four months having positive performance of over 1.00% a month.
The AGFiQ U.S. Market Neutral Anti-Beta Fund (BTAL) finished the Annual Period up slightly 0.25%, in the face of strong equity market returns. BTAL is designed to be negatively correlated to the broad equity markets, and provided its intended hedge when equity markets sold off in February and March 2018, down -6.13%, and BTAL was positive 2.71%. Aside from providing a notable equity hedge, BTAL was able to deliver 5 months of positive performance during the Annual Period, even while equity markets surged higher. We believe BTAL is best used as a portfolio hedging product that may help reduce portfolio volatility. While this design can leave the Fund susceptible to underperformance during strong equity performance, it also has the ability to capture positive performance.
ii
The AGFiQ Hedged Dividend Income Fund (DIVA) was launched as an innovative response to growing concerns in the investment community about interest rate and credit risk within the fixed income universe. Investors continue to clamor for income in a low yield world. DIVA is a long/short ETF designed to provide both yield and capital appreciation. In an effort to reduce risk, DIVA shorts stocks in each sector which have unstable or low dividends. In an effort to prevent sector concentration in the highest dividend sectors and provide a diversified dividend exposure, the Fund caps long sectors at 25%, while sector and industry weights in the short portfolio are approximately 50% of the size of the long sector weights.
While we have seen rates move higher over the Annual Period, they are still well below historical averages. In many instances in both foreign and domestic markets, we have seen continued central bank intervention, albeit with less frequency, size and scale as in the years following the Global Financial Crisis. While forecasts continue to call for higher rates, and increasing inflation, we continue to see fits and starts across the rates complex as any meaningful move in rates are often tempered shortly thereafter. As the flood of Baby Boomers continues to reach retirement age, we are embarking on a generational need for income. Understanding this demand for yield, we believe DIVA can play a role in portfolios looking for a healthy yield and total return potential. DIVA finished the Annual Period down slightly -0.26% but helped to dampen volatility and weather some of the intra-period drops seen in the broader equity rate sensitive sectors, such as Utilities, Telecom, and REITs. The Bloomberg Barclays US Corporate Bond Index13 the Fund’s benchmark index, returned -0.83% during the Annual Period.
Regarding Fund derivative exposure, each Fund may invest up to 20% of its total assets in instruments other than the long and short positions in its related benchmark index, which we believe helps each Fund track its index. The instruments currently used are total return swaps, their impact on Fund performance is noted below.
For each Fund, the long swap position contributed positively and the short swap position contributed negatively to the Fund’s absolute performance. This result is explained almost entirely by the persistently strong market that characterized the Annual Period.
We believe the AGFiQ family of market neutral and long/short ETFs should be positioned to perform well even in the face of an ever changing global landscape, due to their uncorrelated return profile to the broad equity and fixed income markets and their ability to capture persistent market premiums with lower volatility.
As always, we thank you for your continued support.
Sincerely,
The AGFiQ Team
The views expressed in this letter are those of FFCM, LLC as of June 30, 2018, and may not necessarily reflect the view on the date this letter is first published or anytime thereafter. These views are intended to help shareholders in understanding the Funds’ present investment methodology and do not constitute investment advice.
iii
Management Discussion of Fund Performance
AGFiQ U.S. Market Neutral Momentum Fund (MOM) (Unaudited):
The AGFiQ U.S. Market Neutral Momentum Fund seeks performance results that correspond to the price and yield performance, before fees and expenses, of the Dow Jones U.S. Thematic Market Neutral Momentum Index (“Target Index”). The Target Index, which is compiled by Dow Jones Indexes, is equal weighted, dollar neutral, and sector neutral. The Target Index rebalances monthly by identifying the highest momentum stocks as long positions and lowest momentum stocks as short positions, of approximately equal dollar amounts, within each sector. The Fund provides investors with the means of seeking the spread return between the prices of high and low momentum stocks within the Dow Jones U.S. Index.7 A stock’s momentum is based on its total return, which is a function of price performance and dividend returns over the first 12 of the last 13 months. Stocks with a higher total return receive a higher ranking and stocks with a lower total return receive a lower ranking. Momentum investing entails investing in securities that have had above-average returns and shorting securities that have had below-average returns. The performance of the Fund will depend on the difference in the rate of return between its long positions and short positions.
During the Annual Period (July 1, 2017 through June 30, 2018), the Fund’s market price return was 9.41% and its NAV return was 9.50%.1 The Target Index returned 10.22% during the same period. The Fund’s market price at June 30, 2018 was $24.53.
The Fund posted positive performance in eight of the 12 months for the period with returns ranging from -4.48% to 4.89%. The best performing months for the Fund were October 2017 and January 2018, finishing up 4.89% and 3.92%, respectively. The worst performing months for the Fund were June 2018 and December 2017, finishing down -4.48% and -2.24%, respectively.
The Fund is equal weighted, dollar neutral, and sector neutral, and the primary driver of performance is the isolated factor, in this case momentum, based on total returns over the first 12 of the last 13 months. During the Annual Period, the market rewarded high momentum stocks over low momentum stocks resulting in positive performance for the Fund.
The Fund had an annualized volatility3 of 8.99% for the Annual Period.
As of 06/30/2018 | Fund Sector Weights (Based on Net Assets) | |||||||
% Long Weight | % Short Weight | |||||||
Basic Materials | 3.97 | % | -4.00 | % | ||||
Consumer Goods | 8.95 | % | -8.96 | % | ||||
Consumer Services | 11.93 | % | -11.92 | % | ||||
Energy | 5.48 | % | -5.47 | % | ||||
Financials | 24.37 | % | -24.40 | % | ||||
Health Care | 9.45 | % | -9.48 | % | ||||
Industrials | 18.44 | % | -18.42 | % | ||||
Technology | 11.97 | % | -11.95 | % | ||||
Telecommunications | 0.50 | % | -0.50 | % | ||||
Utilities | 4.50 | % | -4.50 | % |
As of 06/30/2018 | Portfolio Characteristics | |||||||
Long Portfolio | Short Portfolio | |||||||
Number of Companies | 200 | 200 | ||||||
Price/Earnings Ratio8 | 26.17 | 22.56 | ||||||
Price/Book Ratio9 | 4.78 | 2.27 | ||||||
Average Market Cap ($B) | 32.77 | 13.07 | ||||||
Median Market Cap ($B) | 12.48 | 6.16 | ||||||
Beta | 1.13 | 0.95 |
iv
Frequency of Distributions of Premium and Discounts — Information concerning the number of days that the Fund trades at a premium or discount for the most recently completed five fiscal years can be found on the Funds’ website, www.AGFiQ.com.
Growth of a $10,000 Investment Since Inception at Net Asset Value*
MOM — AGFiQ U.S. Market Neutral Momentum Fund
DJUS Momentum Index — Dow Jones U.S. Thematic Market Neutral Momentum Index
Russell 1000 — Russell 1000 Index10
* | The line graph represents historical performance of a hypothetical investment of $10,000 from September 6, 2011 (Commencement of Operations) to June 30, 2018 assuming the reinvestment of distributions. |
Average Annual Total Return as of June 30, 2018
1 Year | 3 Year | 5 Year | Since Inception | |||||||||||||
MOM NAV Return | 9.46 | %* | -0.62 | % | 0.49 | % | 0.10 | % | ||||||||
MOM Market Price Return | 9.41 | % | -0.60 | % | 0.81 | % | 0.09 | % | ||||||||
DJUS Momentum Index | 10.22 | % | 0.91 | % | 2.46 | % | 2.16 | % | ||||||||
Russell 1000 Index | 14.54 | % | 11.64 | % | 13.37 | % | 15.65 | % |
* | The Fund’s Average Annual Total Returns are based on net assets values calculated for shareholder transactions which are not reflective of adjustments required pursuant to Generally Accepted Accounting Principles (“GAAP”). Accordingly, differences may exist between this data and similar information reported in the financial statements. |
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Returns less than one year are not annualized. As stated in the current prospectus, the Adviser has contractually undertaken until November 1, 2018 to waive fees and/or reimburse expenses of the Fund (the “Expense Cap”) so that the total annual operating expenses (excluding interest, taxes, brokerage commissions and other expenses that are capitalized in accordance with generally accepted accounting principles, dividend, interest and brokerage expenses for short positions, acquired fund fees and expenses, and extraordinary expenses if any) of the Fund are limited to 0.75% of the Fund’s average net assets. As stated in the current prospectus, the current gross and net expense ratios are 10.53% and 2.07% respectively. Refer to the financial highlights herein for the most recent expense ratios. 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. For the Fund’s most recent month-end performance please visit www.AGFiQ.com. Index returns reflect the reinvestment of dividends but do not reflect any management fees, transaction costs, or other expenses that would be incurred by the Fund or brokerage commissions on transactions in Fund shares. Such fees and expenses reduce Fund returns. One cannot invest directly in an index.
v
AGFiQ U.S. Market Neutral Value Fund (CHEP) (Unaudited):
The AGFiQ U.S. Market Neutral Value Fund seeks performance results that correspond to the price and yield performance, before fees and expenses, of the Dow Jones U.S. Thematic Market Neutral Value Index (“Target Index”). The Target Index, which is compiled by Dow Jones Indexes, is equal weighted, dollar neutral, and sector neutral. The Target Index rebalances monthly by identifying the most undervalued stocks as long positions and the most overvalued stocks as short positions, of approximately equal dollar amounts, within each sector. The Fund provides investors with the means of seeking the spread return between high and low ranked stocks. Undervalued stocks within each sector receive higher rankings and overvalued stocks receive lower rankings. For the Fund, value investing entails investing in securities that have below-average valuations based on ratios such as earnings to price,8 book to price,9 and cash flow from operations to price and shorting securities that have above-average valuations based on the same ratios. The performance of the Fund will depend on the difference in the rates of return between the long positions and the short positions.
During the Annual Period (July 1, 2017 through June 30, 2018), the Fund’s market price return was -9.19% and its NAV return was -9.12%.1 The Target Index returned -8.75% during the same period. The Fund’s market price at June 30, 2018 was $23.61.
The Fund posted positive performance in only two of the 12 months for the period with returns ranging from -3.03% to 2.55%. The best performing months for the Fund were September and December 2017, finishing each month up 2.55%. The worst performing months for the Fund were May 2018 and August 2017, finishing down -3.03% and -2.30%, respectively.
The Fund is equal weighted, dollar neutral, and sector neutral, and the primary driver of performance is the isolated factor, in this case valuation based on cash flow to price, earnings to price, and book to price. During the Annual Period, the market rewarded higher valuation companies over lower valuation companies, resulting in negative performance for the Fund.
The Fund had an annualized volatility3 of 6.10% for the Annual Period.
As of 06/30/2018 | Fund Sector Weights (Based on Net Assets) | |||||||
% Long Weight | % Short Weight | |||||||
Basic Materials | 3.84 | % | -4.14 | % | ||||
Consumer Goods | 9.09 | % | -9.30 | % | ||||
Consumer Services | 12.08 | % | -11.77 | % | ||||
Energy | 5.54 | % | -5.45 | % | ||||
Financials | 24.12 | % | -25.48 | % | ||||
Health Care | 9.73 | % | -9.71 | % | ||||
Industrials | 18.61 | % | -18.72 | % | ||||
Technology | 11.77 | % | -12.81 | % | ||||
Telecommunications | 0.47 | % | -0.50 | % | ||||
Utilities | 4.64 | % | -4.53 | % |
As of 06/30/2018 | Portfolio Characteristics | |||||||
Long Portfolio | Short Portfolio | |||||||
Number of Companies | 200 | 200 | ||||||
Price/Earnings Ratio8 | 13.61 | 38.99 | ||||||
Price/Book Ratio9 | 1.70 | 7.98 | ||||||
Average Market Cap ($B) | 20.67 | 30.26 | ||||||
Median Market Cap ($B) | 8.21 | 11.26 | ||||||
Beta | 1.04 | 1.00 |
vi
Frequency of Distributions of Premium and Discounts — Information concerning the number of days that the Fund trades at a premium or discount for the most recently completed five fiscal years can be found on the Funds’ website, www.AGFiQ.com.
Growth of a $10,000 Investment Since Inception at Net Asset Value*
CHEP — AGFiQ U.S. Market Neutral Value Fund
DJUS Value Index — Dow Jones U.S. Thematic Market Neutral Value Index
Russell 1000 — Russell 1000 Index10
* | The line graph represents historical performance of a hypothetical investment of $10,000 from September 12, 2011 (Commencement of Operations) to June 30, 2018 assuming the reinvestment of distributions. |
Average Annual Total Return as of June 30, 2018
1 Year | 3 Year | 5 Year | Since Inception | |||||||||||||
CHEP NAV Return | -9.23 | %* | -3.13 | % | -2.56 | % | -0.08 | % | ||||||||
CHEP Market Price Return | -9.19 | % | -3.30 | % | -2.55 | % | -0.08 | % | ||||||||
DJUS Value Index | -8.75 | % | -1.70 | % | -0.64 | % | 1.91 | % | ||||||||
Russell 1000 Index | 14.54 | % | 11.64 | % | 13.37 | % | 15.65 | % |
* | The Fund’s Average Annual Total Returns are based on net assets values calculated for shareholder transactions which are not reflective of adjustments required pursuant to GAAP. Accordingly, differences may exist between this data and similar information reported in the financial statements. |
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Returns less than one year are not annualized. As stated in the current prospectus, the Adviser has contractually undertaken until November 1, 2018 to waive fees and/or reimburse expenses of the Fund (the “Expense Cap”) so that the total annual operating expenses (excluding interest, taxes, brokerage commissions and other expenses that are capitalized in accordance with generally accepted accounting principles, dividend, interest and brokerage expenses for short positions, acquired fund fees and expenses, and extraordinary expenses if any) of the Fund are limited to 0.75% of the Fund’s average net assets. As stated in the current prospectus, the current gross and net expense ratios are 12.00% and 1.87% respectively. Refer to the financial highlights herein for the most recent expense ratios. 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. For the Fund’s most recent month-end performance please visit www.AGFiQ.com. Index returns reflect the reinvestment of dividends but do not reflect any management fees, transaction costs, or other expenses that would be incurred by the Fund or brokerage commissions on transactions in Fund shares. Such fees and expenses reduce Fund returns. One cannot invest directly in an index.
vii
AGFiQ U.S. Market Neutral Size Fund (SIZ) (Unaudited):
The AGFiQ U.S. Market Neutral Size Fund seeks performance that corresponds to the price and yield performance, before fees and expenses, of the Dow Jones U.S. Thematic Market Neutral Size Index (“Target Index”). The Target Index, which is compiled by Dow Jones Indexes, is equal weighted, dollar neutral, and sector neutral. The Target Index rebalances monthly by identifying the lowest capitalization stocks as long positions and highest capitalization stocks as short positions, of approximately equal dollar amounts, within each sector. The Fund provided investors with the means of seeking the spread return between high and low ranked stocks. Stocks are ranked from smallest to largest by market capitalization within the Dow Jones U.S. Index.7 Size investing entails investing in securities within the universe that have below-average market capitalizations and shorting securities with above-average market capitalizations. The performance of the Fund will depend on the difference in the rates of return between these long positions and short positions.
During the Annual Period (July 1, 2017 through June 30, 2018), the Fund’s market price return was -1.98% and its NAV return was -2.44%.1 The Target Index returned -2.39% during the same period. The Fund’s market price at June 30, 2018 was $20.32.
The Fund posted positive performance in four of 12 months of the period, with returns ranging from -3.51% to 2.76%. The best performing months for the Fund were March and May 2018, finishing up 2.76% and 2.18%, respectively. The worst performing months for the Fund were January 2018 and August 2017, finishing down -3.51% and -1.84%, respectively.
The Fund is equal weighted, dollar neutral, and sector neutral, and the primary driver of performance is the isolated factor, in this case market capitalization. During the Annual Period, the market favored larger cap names over smaller cap names resulting in negative performance for the Fund.
The Fund had an annualized volatility3 of 6.31% for the Annual Period.
As of 06/30/2018 | Fund Sector Weights (Based on Net Assets) | |||||||
% Long Weight | % Short Weight | |||||||
Basic Materials | 3.92 | % | -4.07 | % | ||||
Consumer Goods | 9.56 | % | -9.43 | % | ||||
Consumer Services | 11.96 | % | -12.04 | % | ||||
Energy | 5.52 | % | -5.53 | % | ||||
Financials | 24.92 | % | -24.41 | % | ||||
Health Care | 8.97 | % | -9.05 | % | ||||
Industrials | 17.87 | % | -17.49 | % | ||||
Technology | 11.94 | % | -11.87 | % | ||||
Telecommunications | 0.50 | % | -0.49 | % | ||||
Utilities | 4.53 | % | -4.53 | % |
As of 06/30/2018 | Portfolio Characteristics | |||||||
Long Portfolio | Short Portfolio | |||||||
Number of Companies | 200 | 200 | ||||||
Price/Earnings Ratio8 | 22.43 | 22.29 | ||||||
Price/Book Ratio9 | 2.63 | 3.75 | ||||||
Average Market Cap ($B) | 3.70 | 93.62 | ||||||
Median Market Cap ($B) | 3.69 | 55.82 | ||||||
Beta | 1.00 | 1.00 |
viii
Frequency of Distributions of Premium and Discounts — Information concerning the number of days that the Fund trades at a premium or discount for the most recently completed five fiscal years can be found on the Funds’ website, www.AGFiQ.com.
Growth of a $10,000 Investment Since Inception at Net Asset Value*
SIZ — AGFiQ U.S. Market Neutral Size Fund
DJUS Size Index — Dow Jones U.S. Thematic Market Neutral Size Index
Russell 1000 — Russell 1000 Index10
* | The line graph represents historical performance of a hypothetical investment of $10,000 from September 6, 2011 (Commencement of Operations) to June 30, 2018 assuming the reinvestment of distributions. |
Average Annual Total Return as of June 30, 2018
1 Year | 3 Year | 5 Year | Since Inception | |||||||||||||
SIZ NAV Return | -2.44 | %* | -5.87 | % | -4.36 | % | -2.86 | % | ||||||||
SIZ Market Price Return | -1.98 | % | -5.90 | % | -4.40 | % | -2.89 | % | ||||||||
DJUS Size Index | -2.39 | % | -5.15 | % | -3.10 | % | -1.47 | % | ||||||||
Russell 1000 Index | 14.54 | % | 11.64 | % | 13.37 | % | 15.65 | % |
* | The Fund’s Average Annual Total Returns are based on net assets values calculated for shareholder transactions which are not reflective of adjustments required pursuant to GAAP. Accordingly, differences may exist between this data and similar information reported in the financial statements. |
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Returns less than one year are not annualized. As stated in the current prospectus, the Adviser has contractually undertaken until November 1, 2018 to waive fees and/or reimburse expenses of the Fund (the “Expense Cap”) so that the total annual operating expenses (excluding interest, taxes, brokerage commissions and other expenses that are capitalized in accordance with generally accepted accounting principles, dividend, interest and brokerage expenses for short positions, acquired fund fees and expenses, and extraordinary expenses if any) of the Fund are limited to 0.75% of the Fund’s average net assets. As stated in the current prospectus, the current gross and net expense ratios are 12.56% and 2.46% respectively. Refer to the financial highlights herein for the most recent expense ratios. 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. For the Fund’s most recent month-end performance please visit www.AGFiQ.com. Index returns reflect the reinvestment of dividends but do not reflect any management fees, transaction costs, or other expenses that would be incurred by the Fund or brokerage commissions on transactions in Fund shares. Such fees and expenses reduce Fund returns. One cannot invest directly in an index.
ix
AGFiQ U.S. Market Neutral Anti-Beta Fund (BTAL) (Unaudited):
The AGFiQ U.S. Market Neutral Anti-Beta Fund seeks performance results that correspond to the price and yield performance, before fees and expenses, of the Dow Jones U.S. Thematic Market Neutral Anti-Beta Index (“Target Index”). The Target Index, which is compiled by Dow Jones Indexes, is equal weighted, dollar neutral, and sector neutral. The Target Index rebalances monthly by identifying the lowest beta stocks as long positions and highest beta stocks as short positions, of approximately equal dollar amounts, within each sector. The Fund provides investors with the means of seeking the spread return between low and high beta stocks. Low beta stocks are those stocks that are less volatile than the Dow Jones U.S. Index,7 and high beta stocks are those stocks that are more volatile than the Dow Jones U.S. Index. Anti-beta investing entails investing in securities that have below-average betas and shorting securities that have above-average betas. The performance of the Fund will depend on the differences in the rates of return of these long positions and short positions.
During the Annual Period (July 1, 2017 through June 30, 2018), the Fund’s market price return was 0.20% and its NAV return was 0.25%.1 The Target Index returned 0.74% during the same period. The Fund’s market price at June 30, 2018 was $20.04.
The Fund posted positive performance in five of the 12 months of the period with returns ranging from -3.88% to 3.99%. The best performing months for the Fund were June and March 2018, finishing up 3.99% and 2.99%, respectively. The worst performing months for the Fund were September 2017 and January 2018, finishing down -3.88% and -2.19%, respectively.
The Fund is equal weighted, dollar neutral, and sector neutral, and the primary driver of performance is the isolated factor, in this case beta. During the Annual Period, the market tended to favor lower beta stocks over higher beta stocks, resulting in positive performance for the Fund.
The Fund had annualized volatility3 of 7.19% for the Annual Period.
As of 06/30/2018 | Fund Sector Weights (Based on Net Assets) | |||||||
% Long Weight | % Short Weight | |||||||
Basic Materials | 3.98 | % | -3.94 | % | ||||
Consumer Goods | 8.94 | % | -8.88 | % | ||||
Consumer Services | 11.89 | % | -11.97 | % | ||||
Energy | 5.44 | % | -5.43 | % | ||||
Financials | 24.36 | % | -24.23 | % | ||||
Health Care | 9.46 | % | -9.39 | % | ||||
Industrials | 18.34 | % | -18.32 | % | ||||
Technology | 11.93 | % | -11.91 | % | ||||
Telecommunications | 0.49 | % | -0.50 | % | ||||
Utilities | 4.48 | % | -4.47 | % |
As of 06/30/2018 | Portfolio Characteristics | |||||||
Long Portfolio | Short Portfolio | |||||||
Number of Companies | 200 | 200 | ||||||
Price/Earnings Ratio8 | 25.93 | 20.05 | ||||||
Price/Book Ratio9 | 3.13 | 3.12 | ||||||
Average Market Cap ($B) | 16.05 | 27.81 | ||||||
Median Market Cap ($B) | 10.24 | 8.20 | ||||||
Beta | 0.80 | 1.25 |
x
Frequency of Distributions of Premium and Discounts — Information concerning the number of days that the Fund trades at a premium or discount for the most recently completed five fiscal years can be found on the Funds’ website, www.AGFiQ.com.
Growth of a $10,000 Investment Since Inception at Net Asset Value*
BTAL — AGFiQ U.S. Market Neutral Anti-Beta Fund
DJUS Anti-Beta Index — Dow Jones U.S. Thematic Market Neutral Anti-Beta Index
Russell 1000 — Russell 1000 Index10
* | The line graph represents historical performance of a hypothetical investment of $10,000 from September 12, 2011 (Commencement of Operations) to June 30, 2018 assuming the reinvestment of distributions. |
Average Annual Total Return as of June 30, 2018
1 Year | 3 Year | 5 Year | Since Inception | |||||||||||||
BTAL NAV Return | 0.25 | %* | 1.21 | % | -1.02 | % | -2.94 | % | ||||||||
BTAL Market Price Return | 0.20 | % | 1.19 | % | -1.03 | % | -2.95 | % | ||||||||
DJUS Anti-Beta Index | 0.74 | % | 2.95 | % | 0.94 | % | -1.02 | % | ||||||||
Russell 1000 Index | 14.54 | % | 11.64 | % | 13.37 | % | 15.65 | % |
* | The Fund’s Average Annual Total Returns are based on net assets values calculated for shareholder transactions which are not reflective of adjustments required pursuant to GAAP. Accordingly, differences may exist between this data and similar information reported in the financial statements. |
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Returns less than one year are not annualized. As stated in the current prospectus, the Adviser has contractually undertaken until November 1, 2018 to waive fees and/or reimburse expenses of the Fund (the “Expense Cap”) so that the total annual operating expenses (excluding interest, taxes, brokerage commissions and other expenses that are capitalized in accordance with generally accepted accounting principles, dividend, interest and brokerage expenses for short positions, acquired fund fees and expenses, and extraordinary expenses if any) of the Fund are limited to 0.75% of the Fund’s average net assets. As stated in the current prospectus, the current gross and net expense ratios are 3.60% and 1.93% respectively. Refer to the financial highlights herein for the most recent expense ratios. 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. For the Fund’s most recent month-end performance please visit www.AGFiQ.com. Index returns reflect the reinvestment of dividends but do not reflect any management fees, transaction costs, or other expenses that would be incurred by the Fund or brokerage commissions on transactions in Fund shares. Such fees and expenses reduce Fund returns. One cannot invest directly in an index.
xi
AGFiQ Hedged Dividend Income Fund (DIVA) (Unaudited):
The AGFiQ Hedged Dividend Income Fund seeks performance results that correspond to the price and yield performance, before fees and expenses, of the Indxx Hedged Dividend Income Index11 (“Target Index”). The Target Index, which is compiled by Target Index, is designed to generate a high current yield and capital appreciation. The Target Index rebalances monthly by identifying the highest dividend stocks as long positions, and the lowest dividend stocks as short positions. The Target Index invests in stocks with stable or growing dividends that trade at high yields. In an attempt to reduce risk, the Target Index shorts stocks in each sector which have unstable or low dividends. The Target Index is approximately 100% long and 50% short at the time of rebalances. The maximum weight for any sector in the long portfolio is 25%. Sector and industry weights in the short portfolio are approximately 50% of the size of the long sector weights. The Target Index has 100 long positions and approximately 150-200 short positions. The Fund provides investors with the means of seeking the spread return between low and high dividend stocks. The performance of the Fund will depend on the differences in the rates of return of these long positions and short positions.
During the Annual Period (July 1, 2017 through June 30, 2018), the Fund’s market price return was -0.39% and its NAV return was -0.26%.1 The Index returned 0.82% during the same period. The Fund’s market price at June 30, 2018 was $23.56.
The Fund posted positive performance in six of the 12 months of the period with returns ranging from -3.22% to 2.14%. The best performing months for the Fund were May 2018 and November 2017, finishing up 2.14% and 1.93%, respectively. The worst performing months for the Fund were February 2018 and October 2017, finishing down -3.22% and -1.35% respectively.
The Fund is designed as a long/short fund with approximately 100% long exposure and 50% short exposure, and the primary driver of performance is the isolated factor, in this case high equity dividend yield. During the Annual Period, rate sensitive stocks hovered around flat, resulting in a slight negative performance for the Fund.
The Fund had annualized volatility3 of 5.33% for the Annual Period.
As of 06/30/2018 | Fund Sector Weights (Based on Net Assets) | |||||||
% Long Weight | % Short Weight | |||||||
Basic Materials | 0.93 | % | -0.46 | % | ||||
Consumer Discretionary | 14.77 | % | -7.23 | % | ||||
Consumer Staples | 5.88 | % | -3.39 | % | ||||
Energy | 16.83 | % | -8.39 | % | ||||
Financials | 11.83 | % | -10.71 | % | ||||
Health Care | 2.98 | % | -0.99 | % | ||||
Industrials | 1.94 | % | -1.00 | % | ||||
Technology | 3.79 | % | -2.07 | % | ||||
Real Estate | 12.76 | % | -1.72 | % | ||||
Telecommunication | 1.95 | % | -0.98 | % | ||||
Utilities | 24.54 | % | -12.19 | % |
As of 06/30/2018 | Portfolio Characteristics | |||||||
Long Portfolio | Short Portfolio | |||||||
Number of Companies | 100 | 199 | ||||||
Price/Earnings Ratio8 | 18.23 | 22.24 | ||||||
Price/Book Ratio9 | 1.95 | 2.53 | ||||||
Average Market Cap ($B) | 36.60 | 28.13 | ||||||
Median Market Cap ($B) | 10.54 | 9.95 | ||||||
Beta | 0.88 | 0.90 |
xii
Frequency of Distributions of Premium and Discounts — Information concerning the number of days that the Fund trades at a premium or discount for the most recently completed five fiscal years can be found on the Funds’ website, www.AGFiQ.com.
Growth of a $10,000 Investment Since Inception at Net Asset Value*
DIVA — AGFiQ Hedged Dividend Income Fund
Hedged Dividend Income Index — INDXX Hedged Dividend Income Index
BloomBarc US Corporate Bond Index — Bloomberg Barclays US Corporate Total Return Value Unhedged Index12
* | The line graph represents historical performance of a hypothetical investment of $10,000 from January 15, 2015 (Commencement of Operations) to June 30, 2018 assuming the reinvestment of distributions. |
Cumulative Total Return as of June 30, 2018
1 Year | 3 Year | Since Inception | ||||||||||
DIVA NAV Return | -0.26 | %* | 5.82 | % | 3.80 | % | ||||||
DIVA Market Price Return | -0.39 | % | 5.71 | % | 3.79 | % | ||||||
INDXX Hedged Dividend Income Index | 0.82 | % | 7.17 | % | 5.14 | % | ||||||
BloomBarc US Corp Bond Index | -0.83 | % | 3.07 | % | 1.86 | % |
* | The Fund’s Average Annual Total Returns are based on net assets values calculated for shareholder transactions which are not reflective of adjustments required pursuant to GAAP. Accordingly, differences may exist between this data and similar information reported in the financial statements. |
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Returns less than one year are not annualized. As stated in the current prospectus, the Adviser has contractually undertaken until November 1, 2018 to waive fees and/or reimburse expenses of the Fund (the “Expense Cap”) so that the total annual operating expenses (excluding interest, taxes, brokerage commissions and other expenses that are capitalized in accordance with generally accepted accounting principles, dividend, interest and brokerage expenses for short positions, acquired fund fees and expenses, and extraordinary expenses if any) of the Fund are limited to 0.75% of the Fund’s average net assets. As stated in the current prospectus, the current gross and net expense ratios are 3.76% and 1.15% respectively. Refer to the financial highlights herein for the most recent expense ratios. 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. For the Fund’s most recent month-end performance please visit www.AGFiQ.com. Index returns reflect the reinvestment of dividends but do not reflect any management fees, transaction costs, or other expenses that would be incurred by the Fund or brokerage commissions on transactions in Fund shares. Such fees and expenses reduce Fund returns. One cannot invest directly in an index.
xiii
Footnotes to Shareholder Letter and Management Discussion of Fund Performance:
1 | A Fund’s per share net asset value (“NAV”) is the value of one share of the Fund. NAV is calculated by taking the Fund’s total assets (including the market value of securities owned), subtracting liabilities, and dividing by the number of shares outstanding. The NAV Return is based on the NAV of the Fund, and the Market Price Return is based on the market price per share of the Fund. The price used to calculate market return (“Market Price”) is determined by using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. NAV is used as a proxy for purposes of calculating Market Price Return on inception date. Market Price and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at Market Price and NAV, respectively. |
2 | Standard & Poor’s (S&P) 500 Index — The S&P 500 Index consists of 500 large-cap common stocks actively traded on the NYSE and NASDAQ. |
3 | Volatility — A statistical measure of the dispersion of returns for a given security or market index. |
4 | Correlation — A statistical measure of how two securities move in relation to each other. |
5 | Russell 2000 Index — The Russell 2000 Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 10% of the total market cap of that index. |
6 | Russell 3000 Index — The Russell 3000 Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market. |
7 | Dow Jones U.S. Index — A market-capitalization-weighted index providing broad coverage of the U.S. stock market. The index is considered a total market index, representing the top 95% of the U.S. stock market based on market capitalization. |
8 | Price/Earnings Ratio — Market Value per share/Earning per share. |
9 | Price/Book Ratio — Stock Price/(Total Assets — Intangible Assets and Liabilities). |
10 | Russell 1000 Index — The Russell 1000 Index measures the performance of approximately 1,000 of the largest companies in the U.S. equity universe. The Russell 1000 Index is a subset of the Russell 3000 Index comprising over 90% of the total market capitalization of all listed U.S. stocks. |
11 | INDXX Hedged Dividend Income Index — The INDXX Hedged Dividend Income Index is designed to measure the performance of a strategy utilizing three portfolios: a long portfolio (with 100% long position in the INDXX Long High Dividend Index); a short portfolio (with 50% short position in the INDXX Short Low Dividend Index); and a 50% long position in the INDXX Cash Index. The Index is approximately 100% long and 50% short at the time of rebalances. The maximum weight for any sector in the long portfolio is 25%. |
12 | Bloomberg Barclays US Corporate Total Return Value Unhedged Index — The Bloomberg Barclays US Corporate Bond Index measures the investment grade, fixed-rate, taxable corporate bond market. It includes USD denominated securities publicly issued by US and non-US industrial, utility and financial issuers. |
xiv
FQF Trust
AGFiQ U.S. Market Neutral Momentum Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Long Positions – 83.4% | |||||||||
Common Stocks – 83.4% | |||||||||
Aerospace & Defense – 4.2% | |||||||||
Boeing Co. (The)(a) | 105 | $ | 35,228 | ||||||
BWX Technologies, Inc.(a) | 574 | 35,772 | |||||||
Curtiss-Wright Corp.(a) | 301 | 35,825 | |||||||
Harris Corp.(a) | 245 | 35,412 | |||||||
HEICO Corp.(a) | 490 | 35,754 | |||||||
Hexcel Corp.(a) | 539 | 35,779 | |||||||
Spirit AeroSystems Holdings, Inc., Class A | 413 | 35,481 | |||||||
Teledyne Technologies, Inc.* | 182 | 36,229 | |||||||
Textron, Inc. | 546 | 35,987 | |||||||
TransDigm Group, Inc. | 105 | 36,240 | |||||||
357,707 | |||||||||
Air Freight & Logistics – 0.8% | |||||||||
Expeditors International of Washington, Inc. | 490 | 35,819 | |||||||
XPO Logistics, Inc.* | 357 | 35,764 | |||||||
71,583 | |||||||||
Auto Components – 1.7% | |||||||||
Aptiv plc(a) | 392 | 35,919 | |||||||
Autoliv, Inc.(a) | 252 | 36,091 | |||||||
Lear Corp. | 189 | 35,118 | |||||||
Visteon Corp.* | 273 | 35,283 | |||||||
142,411 | |||||||||
Banks – 6.2% | |||||||||
Bank of America Corp.(a) | 1,267 | 35,717 | |||||||
BankUnited, Inc. | 875 | 35,744 | |||||||
Comerica, Inc.(a) | 392 | 35,641 | |||||||
East West Bancorp, Inc.(a) | 546 | 35,599 | |||||||
Fifth Third Bancorp(a) | 1,246 | 35,760 | |||||||
First Citizens BancShares, Inc., Class A(a) | 91 | 36,700 | |||||||
First Financial Bankshares, Inc.(a) | 700 | 35,630 | |||||||
JPMorgan Chase & Co.(a) | 343 | 35,740 | |||||||
Regions Financial Corp. | 1,988 | 35,347 | |||||||
SVB Financial Group* | 126 | 36,384 | |||||||
TCF Financial Corp. | 1,442 | 35,502 | |||||||
Umpqua Holdings Corp. | 1,582 | 35,737 | |||||||
Webster Financial Corp. | 560 | 35,672 | |||||||
Wintrust Financial Corp. | 406 | 35,342 | |||||||
Zions Bancorp | 672 | 35,408 | |||||||
535,923 | |||||||||
Beverages – 0.4% | |||||||||
Brown-Forman Corp., Class B(a) | 728 | 35,679 | |||||||
Biotechnology – 2.5% | |||||||||
AbbVie, Inc.(a) | 385 | 35,670 | |||||||
Agios Pharmaceuticals, Inc.*(a) | 427 | 35,966 |
Investments | Number of Shares | Value | |||||||
Bluebird Bio, Inc.*(a) | 224 | $ | 35,157 | ||||||
Exact Sciences Corp.*(a) | 595 | 35,575 | |||||||
Ligand Pharmaceuticals, Inc.* | 175 | 36,255 | |||||||
Neurocrine Biosciences, Inc.* | 364 | 35,759 | |||||||
214,382 | |||||||||
Building Products – 0.4% | |||||||||
Armstrong World Industries, Inc.* | 574 | 36,277 | |||||||
Capital Markets – 6.6% | |||||||||
BlackRock, Inc.(a) | 70 | 34,933 | |||||||
Cboe Global Markets, Inc.(a) | 343 | 35,696 | |||||||
Charles Schwab Corp. (The) | 700 | 35,770 | |||||||
CME Group, Inc.(a) | 217 | 35,571 | |||||||
E*TRADE Financial Corp.*(a) | 581 | 35,534 | |||||||
Evercore, Inc., Class A(a) | 336 | 35,431 | |||||||
Lazard Ltd., Class A(a) | 742 | 36,291 | |||||||
LPL Financial Holdings, Inc. | 553 | 36,243 | |||||||
Moody’s Corp. | 210 | 35,817 | |||||||
MSCI, Inc. | 217 | 35,898 | |||||||
Nasdaq, Inc. | 392 | 35,778 | |||||||
Raymond James Financial, Inc. | 399 | 35,651 | |||||||
S&P Global, Inc. | 175 | 35,681 | |||||||
SEI Investments Co. | 567 | 35,449 | |||||||
T. Rowe Price Group, Inc. | 308 | 35,756 | |||||||
TD Ameritrade Holding Corp.(a) | 644 | 35,272 | |||||||
570,771 | |||||||||
Chemicals – 0.8% | |||||||||
CF Industries Holdings, Inc.(a) | 805 | 35,742 | |||||||
Westlake Chemical Corp. | 329 | 35,410 | |||||||
71,152 | |||||||||
Commercial Services & Supplies – 0.8% | |||||||||
Cintas Corp.(a) | 196 | 36,274 | |||||||
Copart, Inc.*(a) | 630 | 35,633 | |||||||
71,907 | |||||||||
Communications Equipment – 0.8% | |||||||||
Arista Networks, Inc.*(a) | 140 | 36,049 | |||||||
Palo Alto Networks, Inc.* | 175 | 35,957 | |||||||
72,006 | |||||||||
Consumer Finance – 1.3% | |||||||||
Ally Financial, Inc.(a) | 1,358 | 35,675 | |||||||
American Express Co.(a) | 364 | 35,672 | |||||||
Credit Acceptance Corp.*(a) | 105 | 37,107 | |||||||
108,454 | |||||||||
Diversified Consumer Services – 0.8% | |||||||||
Grand Canyon Education, Inc.* | 322 | 35,938 | |||||||
ServiceMaster Global Holdings, Inc.* | 602 | 35,801 | |||||||
71,739 | |||||||||
Diversified Financial Services – 0.4% | |||||||||
Voya Financial, Inc. | 756 | 35,532 |
See accompanying notes to the financial statements.
1
FQF Trust
AGFiQ U.S. Market Neutral Momentum Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Diversified Telecommunication Services – 0.4% | |||||||||
Verizon Communications, Inc. | 714 | $ | 35,921 | ||||||
Electric Utilities – 1.7% | |||||||||
ALLETE, Inc.(a) | 462 | 35,763 | |||||||
Exelon Corp.(a) | 847 | 36,082 | |||||||
FirstEnergy Corp.(a) | 1,001 | 35,946 | |||||||
NextEra Energy, Inc. | 217 | 36,246 | |||||||
144,037 | |||||||||
Electrical Equipment – 0.4% | |||||||||
Generac Holdings, Inc.*(a) | 700 | 36,211 | |||||||
Electronic Equipment, Instruments & Components – 2.5% | |||||||||
FLIR Systems, Inc.(a) | 686 | 35,651 | |||||||
IPG Photonics Corp.*(a) | 161 | 35,522 | |||||||
Keysight Technologies, Inc.*(a) | 609 | 35,949 | |||||||
Littelfuse, Inc. | 154 | 35,140 | |||||||
Vishay Intertechnology, Inc. | 1,547 | 35,890 | |||||||
Zebra Technologies Corp., Class A* | 252 | 36,099 | |||||||
214,251 | |||||||||
Equity Real Estate Investment Trusts (REITs) – 1.7% | |||||||||
CubeSmart | 1,113 | 35,861 | |||||||
Rayonier, Inc. | 931 | 36,020 | |||||||
Spirit Realty Capital, Inc. | 4,480 | 35,975 | |||||||
STORE Capital Corp. | 1,316 | 36,058 | |||||||
143,914 | |||||||||
Food Products – 0.4% | |||||||||
Lamb Weston Holdings, Inc. | 518 | 35,488 | |||||||
Gas Utilities – 0.4% | |||||||||
New Jersey Resources Corp. | 805 | 36,024 | |||||||
Health Care Equipment & Supplies – 2.1% | |||||||||
ABIOMED, Inc.*(a) | 84 | 34,360 | |||||||
Align Technology, Inc.*(a) | 105 | 35,925 | |||||||
Haemonetics Corp.*(a) | 399 | 35,782 | |||||||
Intuitive Surgical, Inc.*(a) | 77 | 36,843 | |||||||
ResMed, Inc. | 343 | 35,528 | |||||||
178,438 | |||||||||
Health Care Providers & Services – 1.7% | |||||||||
Centene Corp.*(a) | 287 | 35,361 | |||||||
Chemed Corp.(a) | 112 | 36,043 | |||||||
Encompass Health Corp. | 532 | 36,027 | |||||||
Tenet Healthcare Corp.* | 1,078 | 36,189 | |||||||
143,620 | |||||||||
Independent Power and Renewable Electricity Producers – 1.3% | |||||||||
AES Corp.(a) | 2,688 | 36,046 | |||||||
NRG Energy, Inc. | 1,169 | 35,888 | |||||||
Vistra Energy Corp.* | 1,519 | 35,940 | |||||||
107,874 |
Investments | Number of Shares | Value | |||||||
Insurance – 2.1% | |||||||||
FNF Group(a) | 952 | $ | 35,814 | ||||||
Hanover Insurance Group, Inc. (The) | 301 | 35,988 | |||||||
Kemper Corp.(a) | 476 | 36,010 | |||||||
Primerica, Inc. | 357 | 35,557 | |||||||
Progressive Corp. (The) | 602 | 35,608 | |||||||
178,977 | |||||||||
Internet & Direct Marketing Retail – 2.1% | |||||||||
Amazon.com, Inc.*(a) | 21 | 35,696 | |||||||
Netflix, Inc.* | 91 | 35,620 | |||||||
Shutterfly, Inc.* | 399 | 35,922 | |||||||
TripAdvisor, Inc.* | 644 | 35,877 | |||||||
Wayfair, Inc., Class A* | 301 | 35,747 | |||||||
178,862 | |||||||||
Internet Software & Services – 2.1% | |||||||||
Akamai Technologies, Inc.*(a) | 490 | 35,883 | |||||||
GrubHub, Inc.*(a) | 343 | 35,984 | |||||||
IAC/InterActiveCorp*(a) | 238 | 36,292 | |||||||
Twitter, Inc.* | 819 | 35,766 | |||||||
Yelp, Inc.* | 917 | 35,928 | |||||||
179,853 | |||||||||
IT Services – 4.2% | |||||||||
Broadridge Financial Solutions, Inc.(a) | 308 | 35,451 | |||||||
EPAM Systems, Inc.*(a) | 287 | 35,683 | |||||||
FleetCor Technologies, Inc.*(a) | 168 | 35,389 | |||||||
Mastercard, Inc., Class A | 182 | 35,766 | |||||||
PayPal Holdings, Inc.* | 434 | 36,139 | |||||||
Square, Inc., Class A* | 581 | 35,813 | |||||||
Total System Services, Inc. | 427 | 36,090 | |||||||
Visa, Inc., Class A | 273 | 36,159 | |||||||
WEX, Inc.* | 189 | 36,001 | |||||||
Worldpay, Inc.* | 441 | 36,065 | |||||||
358,556 | |||||||||
Leisure Products – 0.4% | |||||||||
Polaris Industries, Inc. | 294 | 35,921 | |||||||
Life Sciences Tools & Services – 0.4% | |||||||||
Illumina, Inc.*(a) | 126 | 35,191 | |||||||
Machinery – 1.3% | |||||||||
Caterpillar, Inc.(a) | 266 | 36,088 | |||||||
ITT, Inc. | 686 | 35,857 | |||||||
Xylem, Inc. | 539 | 36,318 | |||||||
108,263 | |||||||||
Media – 0.8% | |||||||||
New York Times Co. (The), Class A | 1,386 | 35,897 | |||||||
Sirius XM Holdings, Inc. | 5,278 | 35,732 | |||||||
71,629 |
See accompanying notes to the financial statements.
2
FQF Trust
AGFiQ U.S. Market Neutral Momentum Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Metals & Mining – 2.5% | |||||||||
Alcoa Corp.*(a) | 763 | $ | 35,769 | ||||||
Allegheny Technologies, Inc.*(a) | 1,407 | 35,344 | |||||||
Carpenter Technology Corp.(a) | 679 | 35,695 | |||||||
Freeport-McMoRan, Inc.(a) | 2,065 | 35,642 | |||||||
Steel Dynamics, Inc. | 770 | 35,382 | |||||||
United States Steel Corp. | 1,036 | 36,001 | |||||||
213,833 | |||||||||
Multiline Retail – 1.7% | |||||||||
Dollar General Corp.(a) | 364 | 35,891 | |||||||
Kohl’s Corp.(a) | 490 | 35,721 | |||||||
Macy’s, Inc. | 952 | 35,633 | |||||||
Target Corp. | 469 | 35,700 | |||||||
142,945 | |||||||||
Multi-Utilities – 0.4% | |||||||||
Public Service Enterprise Group, Inc. | 665 | 36,003 | |||||||
Oil, Gas & Consumable Fuels – 4.2% | |||||||||
ConocoPhillips(a) | 518 | 36,063 | |||||||
Continental Resources, Inc.*(a) | 553 | 35,812 | |||||||
Diamondback Energy, Inc.(a) | 273 | 35,919 | |||||||
HollyFrontier Corp.(a) | 525 | 35,926 | |||||||
Marathon Oil Corp. | 1,701 | 35,483 | |||||||
PBF Energy, Inc., Class A | 854 | 35,808 | |||||||
Phillips 66 | 315 | 35,378 | |||||||
Valero Energy Corp. | 322 | 35,687 | |||||||
Whiting Petroleum Corp.* | 679 | 35,797 | |||||||
WPX Energy, Inc.* | 1,981 | 35,717 | |||||||
357,590 | |||||||||
Personal Products – 1.3% | |||||||||
Estee Lauder Cos., Inc. (The), Class A(a) | 252 | 35,958 | |||||||
Herbalife Nutrition Ltd.*(a) | 665 | 35,724 | |||||||
Nu Skin Enterprises, Inc., Class A | 462 | 36,123 | |||||||
107,805 | |||||||||
Pharmaceuticals – 1.3% | |||||||||
Horizon Pharma plc* | 2,177 | 36,051 | |||||||
Nektar Therapeutics* | 735 | 35,890 | |||||||
Zoetis, Inc. | 420 | 35,780 | |||||||
107,721 | |||||||||
Professional Services – 1.2% | |||||||||
CoStar Group, Inc.*(a) | 84 | 34,661 | |||||||
Robert Half International, Inc. | 546 | 35,545 | |||||||
TransUnion | 497 | 35,605 | |||||||
105,811 | |||||||||
Real Estate Management & Development – 0.8% | |||||||||
CBRE Group, Inc., Class A*(a) | 749 | 35,757 | |||||||
Jones Lang LaSalle, Inc.(a) | 217 | 36,020 | |||||||
71,777 |
Investments | Number of Shares | Value | |||||||
Road & Rail – 1.3% | |||||||||
Avis Budget Group, Inc.*(a) | 1,113 | $ | 36,173 | ||||||
JB Hunt Transport Services, Inc.(a) | 294 | 35,736 | |||||||
Old Dominion Freight Line, Inc. | 238 | 35,452 | |||||||
107,361 | |||||||||
Semiconductors & Semiconductor Equipment – 2.5% | |||||||||
Cree, Inc.*(a) | 854 | 35,501 | |||||||
Entegris, Inc.(a) | 1,057 | 35,832 | |||||||
First Solar, Inc.*(a) | 686 | 36,125 | |||||||
Micron Technology, Inc.* | 679 | 35,607 | |||||||
NVIDIA Corp. | 154 | 36,482 | |||||||
ON Semiconductor Corp.* | 1,603 | 35,643 | |||||||
215,190 | |||||||||
Software – 5.4% | |||||||||
Activision Blizzard, Inc.(a) | 469 | 35,794 | |||||||
Adobe Systems, Inc.*(a) | 147 | 35,840 | |||||||
Aspen Technology, Inc.*(a) | 385 | 35,705 | |||||||
Fortinet, Inc.* | 574 | 35,835 | |||||||
Paycom Software, Inc.* | 364 | 35,974 | |||||||
Proofpoint, Inc.* | 315 | 36,323 | |||||||
PTC, Inc.* | 378 | 35,460 | |||||||
Red Hat, Inc.* | 266 | 35,742 | |||||||
ServiceNow, Inc.* | 210 | 36,219 | |||||||
Splunk, Inc.* | 364 | 36,076 | |||||||
Tableau Software, Inc., Class A*(a) | 364 | 35,581 | |||||||
Take-Two Interactive Software, Inc.* | 301 | 35,626 | |||||||
VMware, Inc., Class A* | 245 | 36,008 | |||||||
466,183 | |||||||||
Specialty Retail – 3.3% | |||||||||
American Eagle Outfitters, Inc.(a) | 1,519 | 35,317 | |||||||
Best Buy Co., Inc.(a) | 476 | 35,500 | |||||||
Burlington Stores, Inc.*(a) | 238 | 35,826 | |||||||
Five Below, Inc.*(a) | 364 | 35,566 | |||||||
Gap, Inc. (The)(a) | 1,099 | 35,597 | |||||||
Ross Stores, Inc. | 420 | 35,595 | |||||||
Tiffany & Co. | 273 | 35,927 | |||||||
Urban Outfitters, Inc.* | 791 | 35,239 | |||||||
284,567 | |||||||||
Technology Hardware, Storage & Peripherals – 0.4% | |||||||||
NetApp, Inc. | 455 | 35,731 | |||||||
Textiles, Apparel & Luxury Goods – 2.5% | |||||||||
Deckers Outdoor Corp.*(a) | 315 | 35,560 | |||||||
Lululemon Athletica, Inc.* | 287 | 35,832 | |||||||
Michael Kors Holdings Ltd.*(a) | 539 | 35,898 | |||||||
PVH Corp. | 238 | 35,633 | |||||||
Ralph Lauren Corp. | 287 | 36,082 | |||||||
VF Corp. | 441 | 35,950 | |||||||
214,955 |
See accompanying notes to the financial statements.
3
FQF Trust
AGFiQ U.S. Market Neutral Momentum Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Trading Companies & Distributors – 0.9% | |||||||||
United Rentals, Inc.* | 245 | $ | 36,167 | ||||||
WW Grainger, Inc.(a) | 119 | 36,700 | |||||||
72,867 | |||||||||
Total Common Stocks (Cost $6,564,896) | 7,158,892 | ||||||||
Total Long Positions (Cost $6,564,896) | 7,158,892 | ||||||||
Short Positions – (82.5)% | |||||||||
Common Stocks – (82.5)% | |||||||||
Aerospace & Defense – (0.8)% | |||||||||
Arconic, Inc. | (2,065 | ) | (35,126 | ) | |||||
General Dynamics Corp. | (189 | ) | (35,231 | ) | |||||
(70,357 | ) | ||||||||
Airlines – (2.1)% | |||||||||
Alaska Air Group, Inc. | (581 | ) | (35,086 | ) | |||||
American Airlines Group, Inc. | (924 | ) | (35,075 | ) | |||||
JetBlue Airways Corp.* | (1,862 | ) | (35,341 | ) | |||||
Southwest Airlines Co. | (693 | ) | (35,260 | ) | |||||
Spirit Airlines, Inc.* | (966 | ) | (35,114 | ) | |||||
(175,876 | ) | ||||||||
Auto Components – (1.2)% | |||||||||
Adient plc | (714 | ) | (35,122 | ) | |||||
Goodyear Tire & Rubber Co. (The) | (1,512 | ) | (35,215 | ) | |||||
Tenneco, Inc. | (791 | ) | (34,772 | ) | |||||
(105,109 | ) | ||||||||
Automobiles – (0.4)% | |||||||||
Harley-Davidson, Inc. | (840 | ) | (35,347 | ) | |||||
Banks – (0.8)% | |||||||||
Home BancShares, Inc. | (1,561 | ) | (35,216 | ) | |||||
Signature Bank* | (273 | ) | (34,911 | ) | |||||
(70,127 | ) | ||||||||
Beverages – (0.4)% | |||||||||
Molson Coors Brewing Co., Class B | (518 | ) | (35,245 | ) | |||||
Biotechnology – (3.3)% | |||||||||
ACADIA Pharmaceuticals, Inc.* | (2,317 | ) | (35,381 | ) | |||||
Alkermes plc* | (861 | ) | (35,439 | ) | |||||
Celgene Corp.* | (448 | ) | (35,580 | ) | |||||
Incyte Corp.* | (532 | ) | (35,644 | ) | |||||
Ionis Pharmaceuticals, Inc.* | (854 | ) | (35,586 | ) | |||||
Regeneron Pharmaceuticals, Inc.* | (105 | ) | (36,224 | ) | |||||
TESARO, Inc.* | (798 | ) | (35,487 | ) | |||||
United Therapeutics Corp.* | (315 | ) | (35,642 | ) | |||||
(284,983 | ) | ||||||||
Building Products – (0.8)% | |||||||||
Fortune Brands Home & Security, Inc. | (658 | ) | (35,328 | ) | |||||
Johnson Controls International plc | (1,057 | ) | (35,357 | ) | |||||
(70,685 | ) |
Investments | Number of Shares | Value | |||||||
Capital Markets – (1.7)% | |||||||||
Affiliated Managers Group, Inc. | (238 | ) | $ | (35,383 | ) | ||||
Franklin Resources, Inc. | (1,099 | ) | (35,223 | ) | |||||
Invesco Ltd. | (1,323 | ) | (35,139 | ) | |||||
Legg Mason, Inc. | (1,015 | ) | (35,251 | ) | |||||
(140,996 | ) | ||||||||
Chemicals – (3.3)% | |||||||||
Albemarle Corp. | (371 | ) | (34,996 | ) | |||||
International Flavors & Fragrances, Inc. | (287 | ) | (35,577 | ) | |||||
NewMarket Corp. | (91 | ) | (36,809 | ) | |||||
RPM International, Inc. | (609 | ) | (35,517 | ) | |||||
Scotts Miracle-Gro Co. (The) | (427 | ) | (35,509 | ) | |||||
Sensient Technologies Corp. | (497 | ) | (35,560 | ) | |||||
Valvoline, Inc. | (1,645 | ) | (35,483 | ) | |||||
WR Grace & Co. | (483 | ) | (35,409 | ) | |||||
(284,860 | ) | ||||||||
Commercial Services & Supplies – (0.8)% | |||||||||
Healthcare Services Group, Inc. | (819 | ) | (35,373 | ) | |||||
Stericycle, Inc.* | (546 | ) | (35,648 | ) | |||||
(71,021 | ) | ||||||||
Communications Equipment – (2.1)% | |||||||||
ARRIS International plc* | (1,442 | ) | (35,250 | ) | |||||
CommScope Holding Co., Inc.* | (1,211 | ) | (35,367 | ) | |||||
Juniper Networks, Inc. | (1,295 | ) | (35,509 | ) | |||||
Lumentum Holdings, Inc.* | (616 | ) | (35,666 | ) | |||||
ViaSat, Inc.* | (539 | ) | (35,423 | ) | |||||
(177,215 | ) | ||||||||
Construction Materials – (0.4)% | |||||||||
Martin Marietta Materials, Inc. | (161 | ) | (35,956 | ) | |||||
Consumer Finance – (0.4)% | |||||||||
Navient Corp. | (2,716 | ) | (35,389 | ) | |||||
Containers & Packaging – (2.5)% | |||||||||
Ball Corp. | (994 | ) | (35,337 | ) | |||||
Bemis Co., Inc. | (840 | ) | (35,456 | ) | |||||
Berry Global Group, Inc.* | (770 | ) | (35,374 | ) | |||||
Crown Holdings, Inc.* | (791 | ) | (35,405 | ) | |||||
Owens-Illinois, Inc.* | (2,100 | ) | (35,301 | ) | |||||
Sealed Air Corp. | (833 | ) | (35,361 | ) | |||||
(212,234 | ) | ||||||||
Diversified Consumer Services – (0.4)% | |||||||||
H&R Block, Inc. | (1,561 | ) | (35,560 | ) | |||||
Diversified Telecommunication Services – (0.8)% | |||||||||
AT&T, Inc. | (1,099 | ) | (35,289 | ) | |||||
CenturyLink, Inc. | (1,897 | ) | (35,360 | ) | |||||
(70,649 | ) | ||||||||
Electric Utilities – (2.5)% | |||||||||
Edison International | (560 | ) | (35,431 | ) |
See accompanying notes to the financial statements.
4
FQF Trust
AGFiQ U.S. Market Neutral Momentum Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
PG&E Corp. | (840 | ) | $ | (35,751 | ) | ||||
Pinnacle West Capital Corp. | (441 | ) | (35,527 | ) | |||||
Portland General Electric Co. | (833 | ) | (35,619 | ) | |||||
PPL Corp. | (1,246 | ) | (35,573 | ) | |||||
Southern Co. (The) | (770 | ) | (35,659 | ) | |||||
(213,560 | ) | ||||||||
Electrical Equipment – (0.8)% | |||||||||
Acuity Brands, Inc. | (308 | ) | (35,688 | ) | |||||
Hubbell, Inc. | (329 | ) | (34,788 | ) | |||||
(70,476 | ) | ||||||||
Electronic Equipment, Instruments & Components – (2.9)% | |||||||||
Belden, Inc. | (581 | ) | (35,511 | ) | |||||
Coherent, Inc.* | (224 | ) | (35,038 | ) | |||||
Corning, Inc. | (1,288 | ) | (35,433 | ) | |||||
Jabil, Inc. | (1,281 | ) | (35,432 | ) | |||||
SYNNEX Corp. | (364 | ) | (35,130 | ) | |||||
Tech Data Corp.* | (427 | ) | (35,065 | ) | |||||
Trimble, Inc.* | (1,078 | ) | (35,402 | ) | |||||
(247,011 | ) | ||||||||
Energy Equipment & Services – (1.7)% | |||||||||
Baker Hughes a GE Co. | (1,078 | ) | (35,607 | ) | |||||
Nabors Industries Ltd. | (5,474 | ) | (35,088 | ) | |||||
Patterson-UTI Energy, Inc. | (1,960 | ) | (35,280 | ) | |||||
Weatherford International plc* | (10,745 | ) | (35,351 | ) | |||||
(141,326 | ) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (12.4)% | |||||||||
American Campus Communities, Inc. | (826 | ) | (35,419 | ) | |||||
American Homes 4 Rent, Class A | (1,596 | ) | (35,399 | ) | |||||
AvalonBay Communities, Inc. | (210 | ) | (36,097 | ) | |||||
Boston Properties, Inc. | (287 | ) | (35,996 | ) | |||||
Colony Capital, Inc. | (5,649 | ) | (35,250 | ) | |||||
Corporate Office Properties Trust | (1,225 | ) | (35,513 | ) | |||||
EPR Properties | (546 | ) | (35,375 | ) | |||||
Equity Commonwealth* | (1,134 | ) | (35,721 | ) | |||||
Essex Property Trust, Inc. | (147 | ) | (35,143 | ) | |||||
Federal Realty Investment Trust | (280 | ) | (35,434 | ) | |||||
Forest City Realty Trust, Inc., Class A | (1,561 | ) | (35,606 | ) | |||||
GEO Group, Inc. (The) | (1,281 | ) | (35,279 | ) | |||||
HCP, Inc. | (1,379 | ) | (35,606 | ) | |||||
Healthcare Realty Trust, Inc. | (1,225 | ) | (35,623 | ) | |||||
Healthcare Trust of America, Inc., Class A | (1,316 | ) | (35,479 | ) | |||||
Highwoods Properties, Inc. | (700 | ) | (35,511 | ) | |||||
Mid-America Apartment Communities, Inc. | (350 | ) | (35,235 | ) | |||||
Outfront Media, Inc. | (1,827 | ) | (35,535 | ) | |||||
Paramount Group, Inc. | (2,310 | ) | (35,574 | ) | |||||
Physicians Realty Trust | (2,226 | ) | (35,482 | ) | |||||
Sabra Health Care REIT, Inc. | (1,624 | ) | (35,290 | ) | |||||
Senior Housing Properties Trust | (1,960 | ) | (35,456 | ) | |||||
SL Green Realty Corp. | (350 | ) | (35,186 | ) |
Investments | Number of Shares | Value | |||||||
Tanger Factory Outlet Centers, Inc. | (1,505 | ) | $ | (35,352 | ) | ||||
Uniti Group, Inc. | (1,771 | ) | (35,473 | ) | |||||
Urban Edge Properties | (1,561 | ) | (35,700 | ) | |||||
Ventas, Inc. | (623 | ) | (35,480 | ) | |||||
VEREIT, Inc. | (4,767 | ) | (35,467 | ) | |||||
Vornado Realty Trust | (483 | ) | (35,703 | ) | |||||
Welltower, Inc. | (567 | ) | (35,545 | ) | |||||
(1,064,929 | ) | ||||||||
Food & Staples Retailing – (0.4)% | |||||||||
Walgreens Boots Alliance, Inc. | (595 | ) | (35,709 | ) | |||||
Food Products – (2.1)% | |||||||||
Campbell Soup Co. | (875 | ) | (35,473 | ) | |||||
General Mills, Inc. | (798 | ) | (35,319 | ) | |||||
Hain Celestial Group, Inc. (The)* | (1,190 | ) | (35,462 | ) | |||||
Kraft Heinz Co. (The) | (567 | ) | (35,619 | ) | |||||
TreeHouse Foods, Inc.* | (679 | ) | (35,654 | ) | |||||
(177,527 | ) | ||||||||
Health Care Equipment & Supplies – (1.7)% | |||||||||
DENTSPLY SIRONA, Inc. | (812 | ) | (35,541 | ) | |||||
Hologic, Inc.* | (889 | ) | (35,338 | ) | |||||
NuVasive, Inc.* | (679 | ) | (35,389 | ) | |||||
Zimmer Biomet Holdings, Inc. | (315 | ) | (35,104 | ) | |||||
(141,372 | ) | ||||||||
Health Care Providers & Services – (2.9)% | |||||||||
Acadia Healthcare Co., Inc.* | (868 | ) | (35,510 | ) | |||||
Cardinal Health, Inc. | (728 | ) | (35,548 | ) | |||||
CVS Health Corp. | (546 | ) | (35,135 | ) | |||||
Henry Schein, Inc.* | (490 | ) | (35,594 | ) | |||||
McKesson Corp. | (266 | ) | (35,484 | ) | |||||
MEDNAX, Inc.* | (826 | ) | (35,749 | ) | |||||
Patterson Cos., Inc. | (1,561 | ) | (35,388 | ) | |||||
(248,408 | ) | ||||||||
Health Care Technology – (0.4)% | |||||||||
Cerner Corp.* | (595 | ) | (35,575 | ) | |||||
Hotels, Restaurants & Leisure – (0.4)% | |||||||||
Starbucks Corp. | (728 | ) | (35,563 | ) | |||||
Household Durables – (0.8)% | |||||||||
Newell Brands, Inc. | (1,365 | ) | (35,203 | ) | |||||
Whirlpool Corp. | (245 | ) | (35,827 | ) | |||||
(71,030 | ) | ||||||||
Household Products – (0.4)% | |||||||||
Kimberly-Clark Corp. | (336 | ) | (35,394 | ) | |||||
Industrial Conglomerates – (0.8)% | |||||||||
3M Co. | (182 | ) | (35,803 | ) | |||||
General Electric Co. | (2,597 | ) | (35,345 | ) | |||||
(71,148 | ) |
See accompanying notes to the financial statements.
5
FQF Trust
AGFiQ U.S. Market Neutral Momentum Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Insurance – (4.5)% | |||||||||
American International Group, Inc. | (665 | ) | $ | (35,258 | ) | ||||
Arch Capital Group Ltd.* | (1,330 | ) | (35,192 | ) | |||||
Assured Guaranty Ltd. | (994 | ) | (35,516 | ) | |||||
Athene Holding Ltd., Class A* | (805 | ) | (35,291 | ) | |||||
Axis Capital Holdings Ltd. | (637 | ) | (35,430 | ) | |||||
Chubb Ltd. | (280 | ) | (35,565 | ) | |||||
Everest Re Group Ltd. | (154 | ) | (35,494 | ) | |||||
Principal Financial Group, Inc. | (665 | ) | (35,212 | ) | |||||
Prudential Financial, Inc. | (378 | ) | (35,347 | ) | |||||
RenaissanceRe Holdings Ltd. | (294 | ) | (35,374 | ) | |||||
Unum Group | (952 | ) | (35,214 | ) | |||||
(388,893 | ) | ||||||||
Internet & Direct Marketing Retail – (0.8)% | |||||||||
Expedia Group, Inc. | (294 | ) | (35,336 | ) | |||||
Qurate Retail, Inc.* | (1,666 | ) | (35,352 | ) | |||||
(70,688 | ) | ||||||||
Internet Software & Services – (0.8)% | |||||||||
j2 Global, Inc. | (413 | ) | (35,770 | ) | |||||
LogMeIn, Inc. | (343 | ) | (35,415 | ) | |||||
(71,185 | ) | ||||||||
IT Services – (1.7)% | |||||||||
Alliance Data Systems Corp. | (154 | ) | (35,913 | ) | |||||
Amdocs Ltd. | (532 | ) | (35,213 | ) | |||||
Euronet Worldwide, Inc.* | (427 | ) | (35,770 | ) | |||||
International Business Machines Corp. | (252 | ) | (35,204 | ) | |||||
(142,100 | ) | ||||||||
Leisure Products – (0.4)% | |||||||||
Mattel, Inc. | (2,170 | ) | (35,631 | ) | |||||
Machinery – (3.3)% | |||||||||
AGCO Corp. | (581 | ) | (35,278 | ) | |||||
Colfax Corp.* | (1,155 | ) | (35,401 | ) | |||||
Cummins, Inc. | (266 | ) | (35,378 | ) | |||||
Flowserve Corp. | (875 | ) | (35,350 | ) | |||||
Kennametal, Inc. | (980 | ) | (35,182 | ) | |||||
Lincoln Electric Holdings, Inc. | (406 | ) | (35,631 | ) | |||||
Middleby Corp. (The)* | (343 | ) | (35,816 | ) | |||||
Toro Co. (The) | (588 | ) | (35,427 | ) | |||||
(283,463 | ) | ||||||||
Media – (3.3)% | |||||||||
CBS Corp. (Non-Voting), Class B | (630 | ) | (35,419 | ) | |||||
Charter Communications, Inc., Class A* | (119 | ) | (34,892 | ) | |||||
Cinemark Holdings, Inc. | (1,008 | ) | (35,361 | ) | |||||
Comcast Corp., Class A | (1,071 | ) | (35,139 | ) | |||||
DISH Network Corp., Class A* | (1,050 | ) | (35,290 | ) | |||||
Liberty Broadband Corp., Class C* | (469 | ) | (35,513 | ) | |||||
Omnicom Group, Inc. | (462 | ) | (35,237 | ) | |||||
Viacom, Inc., Class B | (1,176 | ) | (35,468 | ) | |||||
(282,319 | ) |
Investments | Number of Shares | Value | |||||||
Multi-Utilities – (1.3)% | |||||||||
Black Hills Corp. | (581 | ) | $ | (35,563 | ) | ||||
Dominion Energy, Inc. | (518 | ) | (35,317 | ) | |||||
NorthWestern Corp. | (623 | ) | (35,667 | ) | |||||
(106,547 | ) | ||||||||
Oil, Gas & Consumable Fuels – (2.9)% | |||||||||
Apache Corp. | (756 | ) | (35,343 | ) | |||||
Chesapeake Energy Corp.* | (6,685 | ) | (35,029 | ) | |||||
Cimarex Energy Co. | (350 | ) | (35,609 | ) | |||||
Kinder Morgan, Inc. | (2,009 | ) | (35,499 | ) | |||||
Newfield Exploration Co.* | (1,176 | ) | (35,574 | ) | |||||
Range Resources Corp. | (2,107 | ) | (35,250 | ) | |||||
Southwestern Energy Co.* | (6,622 | ) | (35,097 | ) | |||||
(247,401 | ) | ||||||||
Personal Products – (0.8)% | |||||||||
Coty, Inc., Class A | (2,527 | ) | (35,631 | ) | |||||
Edgewell Personal Care Co.* | (707 | ) | (35,675 | ) | |||||
(71,306 | ) | ||||||||
Pharmaceuticals – (0.4)% | |||||||||
Allergan plc | (210 | ) | (35,011 | ) | |||||
Professional Services – (1.2)% | |||||||||
Equifax, Inc. | (280 | ) | (35,031 | ) | |||||
ManpowerGroup, Inc. | (406 | ) | (34,940 | ) | |||||
Nielsen Holdings plc | (1,148 | ) | (35,508 | ) | |||||
(105,479 | ) | ||||||||
Real Estate Management & Development – (0.4)% | |||||||||
Realogy Holdings Corp. | (1,561 | ) | (35,591 | ) | |||||
Semiconductors & Semiconductor Equipment – (1.3)% | |||||||||
Cirrus Logic, Inc.* | (924 | ) | (35,417 | ) | |||||
Skyworks Solutions, Inc. | (364 | ) | (35,181 | ) | |||||
Universal Display Corp. | (413 | ) | (35,518 | ) | |||||
(106,116 | ) | ||||||||
Software – (2.1)% | |||||||||
CDK Global, Inc. | (546 | ) | (35,517 | ) | |||||
Ellie Mae, Inc.* | (343 | ) | (35,617 | ) | |||||
Manhattan Associates, Inc.* | (756 | ) | (35,540 | ) | |||||
Nuance Communications, Inc.* | (2,576 | ) | (35,768 | ) | |||||
Symantec Corp. | (1,729 | ) | (35,704 | ) | |||||
(178,146 | ) | ||||||||
Specialty Retail – (1.6)% | |||||||||
Bed Bath & Beyond, Inc. | (1,764 | ) | (35,148 | ) | |||||
L Brands, Inc. | (952 | ) | (35,110 | ) | |||||
Sally Beauty Holdings, Inc.* | (2,212 | ) | (35,458 | ) | |||||
Ulta Beauty, Inc.* | (147 | ) | (34,318 | ) | |||||
(140,034 | ) | ||||||||
Technology Hardware, Storage & Peripherals – (1.3)% | |||||||||
NCR Corp.* | (1,176 | ) | (35,256 | ) |
See accompanying notes to the financial statements.
6
FQF Trust
AGFiQ U.S. Market Neutral Momentum Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Western Digital Corp. | (455 | ) | $ | (35,222 | ) | ||||
Xerox Corp. | (1,477 | ) | (35,448 | ) | |||||
(105,926 | ) | ||||||||
Tobacco – (0.8)% | |||||||||
Altria Group, Inc. | (623 | ) | (35,380 | ) | |||||
Philip Morris International, Inc. | (441 | ) | (35,607 | ) | |||||
(70,987 | ) | ||||||||
Trading Companies & Distributors – (0.8)% | |||||||||
Beacon Roofing Supply, Inc.* | (847 | ) | (36,099 | ) | |||||
Univar, Inc.* | (1,344 | ) | (35,267 | ) | |||||
(71,366 | ) | ||||||||
Transportation Infrastructure – (0.4)% | |||||||||
Macquarie Infrastructure Corp. | (840 | ) | (35,448 | ) | |||||
Total Common Stocks (Proceeds $(7,429,224)) | (7,084,274 | ) | |||||||
Total Short Positions (Proceeds $(7,429,224)) | (7,084,274 | ) |
Investments | Number of Shares | Value | ||||||
Total Investments – 0.9% (Cost $(864,328)) | $ | 74,618 | ||||||
Other Assets Less Liabilities – 99.1% | 8,514,879 | |||||||
Net Assets – 100.0% | $ | 8,589,497 |
* | Non-income producing security. |
(a) | All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $3,218,542. |
As of June 30, 2018, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative contracts, if any) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,064,225 | ||
Aggregate gross unrealized depreciation | (365,290 | ) | ||
Net unrealized appreciation | $ | 698,935 | ||
Federal income tax cost of investments (including derivative contracts, if any) | $ | (622,501 | ) |
OTC Total return swap contracts outstanding as of June 30, 2018
Notional Amount | Termination Date(1) | Counterparty | Rate Paid (Received)(2) | Underlying Instrument(3) | Value and Unrealized Appreciation/ (Depreciation)(4) | Cash Collateral (Received) Pledged | Net Amount(5) | |||||||||||||||||||||
1,309,692 USD | 10/3/2019 | Morgan Stanley | 1.69 | % | Dow Jones U.S. High Momentum Total Return Index(6) | $ | 69,334 | $ | — | $ | 69,334 | |||||||||||||||||
(1,389,212) USD | �� | 10/3/2019 | Morgan Stanley | (2.59 | )% | Dow Jones U.S. Low Momentum Total Return Index(7) | (67,518 | ) | 67,518(8) | — | ||||||||||||||||||
$ | 1,816 | $ | 69,334 |
(1) | Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity. |
(2) | Reflects the floating financing rate, as of June 30, 2018, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Payments may be made at the conclusion of the agreement or periodically during its term. |
(3) | The 50 largest components of the referenced underlying Swap Index can be found at http://www.agfiq.com/agfiq/agfiqweb/us/en/resources/regulatory-material/index.jsp |
(4) | The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at year end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or “net” these amounts on its Statement of Assets and Liabilities. |
(5) | Represents the “uncollateralized” amount due from or (to) the counterparty at year end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum “thresholds” that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from the counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default. |
(6) | The Dow Jones U.S. High Momentum Total Return Index (DJTLMOT) is designed to measure the performance of 200 companies ranked as having the highest momentum. Momentum is calculated by ranking stocks by their 12-month historical total return, starting one month prior to reconstitution. Dividends are reinvested. |
See accompanying notes to the financial statements.
7
FQF Trust
AGFiQ U.S. Market Neutral Momentum Fund
Schedule of Investments
June 30, 2018
(7) | The Dow Jones U.S. Low Momentum Total Return Index (DJTSMOT) is designed to measure the performance of 200 companies ranked as having the lowest momentum. Momentum is calculated by ranking stocks by their 12-month historical total return, starting one month prior to reconstitution. Dividends are reinvested. |
(8) | Reflects all or a portion of the amount disclosed on the Statement of Assets and Liabilities as “Segregated cash balance with custodian for swap agreements.” Under U.S. Generally Accepted Accounting Principles (“GAAP”), the amount disclosed under this caption may not exceed the amount of the liability being collateralized for the benefit of the counterparty. |
Abbreviations | ||
USD | US Dollar |
See accompanying notes to the financial statements.
8
FQF Trust
AGFiQ U.S. Market Neutral Value Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Long Positions – 89.7% | |||||||||
Common Stocks – 89.7% | |||||||||
Aerospace & Defense – 0.4% | |||||||||
Arconic, Inc.(a) | 306 | $ | 5,205 | ||||||
Airlines – 2.6% | |||||||||
Alaska Air Group, Inc.(a) | 89 | 5,375 | |||||||
Delta Air Lines, Inc.(a) | 96 | 4,756 | |||||||
JetBlue Airways Corp.*(a) | 286 | 5,428 | |||||||
Southwest Airlines Co. | 106 | 5,393 | |||||||
Spirit Airlines, Inc.* | 138 | 5,017 | |||||||
United Continental Holdings, Inc.* | 73 | 5,090 | |||||||
31,059 | |||||||||
Auto Components – 2.1% | |||||||||
BorgWarner, Inc.(a) | 104 | 4,489 | |||||||
Dana, Inc.(a) | 244 | 4,926 | |||||||
Goodyear Tire & Rubber Co. (The)(a) | 223 | 5,194 | |||||||
Lear Corp. | 29 | 5,389 | |||||||
Tenneco, Inc. | 113 | 4,967 | |||||||
24,965 | |||||||||
Automobiles – 1.8% | |||||||||
Ford Motor Co.(a) | 483 | 5,347 | |||||||
General Motors Co.(a) | 121 | 4,767 | |||||||
Harley-Davidson, Inc.(a) | 131 | 5,512 | |||||||
Thor Industries, Inc. | 58 | 5,649 | |||||||
21,275 | |||||||||
Banks – 4.0% | |||||||||
Bank of America Corp.(a) | 182 | 5,130 | |||||||
CIT Group, Inc.(a) | 108 | 5,444 | |||||||
Citigroup, Inc.(a) | 74 | 4,952 | |||||||
Citizens Financial Group, Inc.(a) | 132 | 5,135 | |||||||
FNB Corp.(a) | 411 | 5,516 | |||||||
IBERIABANK Corp.(a) | 70 | 5,306 | |||||||
Popular, Inc.(a) | 109 | 4,928 | |||||||
Sterling Bancorp | 220 | 5,170 | |||||||
Wells Fargo & Co. | 100 | 5,544 | |||||||
47,125 | |||||||||
Beverages – 0.5% | |||||||||
Molson Coors Brewing Co., Class B | 88 | 5,988 | |||||||
Biotechnology – 1.0% | |||||||||
Gilead Sciences, Inc.(a) | 80 | 5,667 | |||||||
United Therapeutics Corp.* | 51 | 5,771 | |||||||
11,438 | |||||||||
Building Products – 0.9% | |||||||||
Johnson Controls International plc | 158 | 5,285 | |||||||
Owens Corning | 78 | 4,943 | |||||||
10,228 |
Investments | Number of Shares | Value | |||||||
Capital Markets – 2.2% | |||||||||
Goldman Sachs Group, Inc. (The)(a) | 24 | $ | 5,294 | ||||||
Invesco Ltd.(a) | 198 | 5,259 | |||||||
Janus Henderson Group plc(a) | 175 | 5,378 | |||||||
Legg Mason, Inc. | 145 | 5,036 | |||||||
Morgan Stanley | 99 | 4,692 | |||||||
25,659 | |||||||||
Chemicals – 1.6% | |||||||||
Eastman Chemical Co.(a) | 48 | 4,798 | |||||||
Huntsman Corp.(a) | 158 | 4,614 | |||||||
Olin Corp. | 160 | 4,595 | |||||||
Trinseo SA | 75 | 5,321 | |||||||
19,328 | |||||||||
Commercial Services & Supplies – 0.9% | |||||||||
Deluxe Corp.(a) | 75 | 4,966 | |||||||
Stericycle, Inc.* | 87 | 5,680 | |||||||
10,646 | |||||||||
Communications Equipment – 1.3% | |||||||||
ARRIS International plc*(a) | 202 | 4,938 | |||||||
CommScope Holding Co., Inc.*(a) | 185 | 5,403 | |||||||
Juniper Networks, Inc.(a) | 203 | 5,566 | |||||||
15,907 | |||||||||
Construction & Engineering – 1.3% | |||||||||
AECOM* | 159 | 5,252 | |||||||
KBR, Inc.(a) | 294 | 5,268 | |||||||
Quanta Services, Inc.* | 149 | 4,977 | |||||||
15,497 | |||||||||
Consumer Finance – 1.3% | |||||||||
Ally Financial, Inc.(a) | 211 | 5,543 | |||||||
Capital One Financial Corp.(a) | 53 | 4,870 | |||||||
Navient Corp. | 357 | 4,652 | |||||||
15,065 | |||||||||
Containers & Packaging – 1.8% | |||||||||
Bemis Co., Inc.(a) | 122 | 5,150 | |||||||
International Paper Co.(a) | 101 | 5,260 | |||||||
Sonoco Products Co. | 105 | 5,512 | |||||||
WestRock Co. | 92 | 5,246 | |||||||
21,168 | |||||||||
Diversified Financial Services – 0.4% | |||||||||
Voya Financial, Inc. | 96 | 4,512 | |||||||
Diversified Telecommunication Services – 0.9% | |||||||||
AT&T, Inc. | 154 | 4,945 | |||||||
CenturyLink, Inc.(a) | 283 | 5,275 | |||||||
10,220 |
See accompanying notes to the financial statements.
9
FQF Trust
AGFiQ U.S. Market Neutral Value Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Electric Utilities – 3.2% | |||||||||
Duke Energy Corp.(a) | 70 | $ | 5,536 | ||||||
Edison International(a) | 83 | 5,251 | |||||||
Entergy Corp.(a) | 66 | 5,332 | |||||||
Exelon Corp.(a) | 131 | 5,581 | |||||||
PG&E Corp. | 118 | 5,022 | |||||||
PPL Corp. | 199 | 5,682 | |||||||
Southern Co. (The) | 114 | 5,279 | |||||||
37,683 | |||||||||
Electrical Equipment – 0.9% | |||||||||
Eaton Corp. plc(a) | 68 | 5,082 | |||||||
Regal Beloit Corp. | 67 | 5,481 | |||||||
10,563 | |||||||||
Electronic Equipment, Instruments & Components – 2.7% | |||||||||
Belden, Inc.(a) | 98 | 5,990 | |||||||
Corning, Inc.(a) | 182 | 5,007 | |||||||
Jabil, Inc.(a) | 193 | 5,338 | |||||||
SYNNEX Corp. | 50 | 4,825 | |||||||
Tech Data Corp.* | 66 | 5,420 | |||||||
Vishay Intertechnology, Inc. | 234 | 5,429 | |||||||
32,009 | |||||||||
Equity Real Estate Investment Trusts (REITs) – 1.0% | |||||||||
Medical Properties Trust, Inc. | 398 | 5,588 | |||||||
Sabra Health Care REIT, Inc. | 261 | 5,671 | |||||||
11,259 | |||||||||
Food & Staples Retailing – 0.9% | |||||||||
Kroger Co. (The) | 221 | 6,288 | |||||||
Walgreens Boots Alliance, Inc. | 79 | 4,741 | |||||||
11,029 | |||||||||
Food Products – 1.9% | |||||||||
JM Smucker Co. (The) | 49 | 5,267 | |||||||
Post Holdings, Inc.* | 71 | 6,107 | |||||||
TreeHouse Foods, Inc.* | 112 | 5,881 | |||||||
Tyson Foods, Inc., Class A | 80 | 5,508 | |||||||
22,763 | |||||||||
Health Care Equipment & Supplies – 0.4% | |||||||||
Zimmer Biomet Holdings, Inc. | 46 | 5,126 | |||||||
Health Care Providers & Services – 5.5% | |||||||||
Acadia Healthcare Co., Inc.*(a) | 136 | 5,564 | |||||||
Cardinal Health, Inc.(a) | 103 | 5,029 | |||||||
Centene Corp.*(a) | 48 | 5,914 | |||||||
Cigna Corp.(a) | 32 | 5,438 | |||||||
CVS Health Corp.(a) | 85 | 5,470 | |||||||
DaVita, Inc.*(a) | 81 | 5,625 | |||||||
Laboratory Corp. of America Holdings* | 30 | 5,386 | |||||||
McKesson Corp. | 38 | 5,069 |
Investments | Number of Shares | Value | |||||||
MEDNAX, Inc.* | 118 | $ | 5,107 | ||||||
Patterson Cos., Inc. | 261 | 5,917 | |||||||
Quest Diagnostics, Inc.(a) | 50 | 5,497 | |||||||
Universal Health Services, Inc., Class B | 45 | 5,015 | |||||||
65,031 | |||||||||
Hotels, Restaurants & Leisure – 1.3% | |||||||||
Carnival Corp.(a) | 87 | 4,986 | |||||||
Norwegian Cruise Line Holdings Ltd.* | 102 | 4,819 | |||||||
Royal Caribbean Cruises Ltd. | 51 | 5,284 | |||||||
15,089 | |||||||||
Household Durables – 1.8% | |||||||||
Newell Brands, Inc. | 230 | 5,932 | |||||||
PulteGroup, Inc. | 178 | 5,117 | |||||||
Toll Brothers, Inc. | 136 | 5,031 | |||||||
Whirlpool Corp. | 37 | 5,410 | |||||||
21,490 | |||||||||
Independent Power and Renewable Electricity Producers – 0.5% | |||||||||
AES Corp.(a) | 451 | 6,048 | |||||||
Industrial Conglomerates – 0.4% | |||||||||
General Electric Co.(a) | 379 | 5,158 | |||||||
Insurance – 7.8% | |||||||||
Aflac, Inc.(a) | 118 | 5,076 | |||||||
American International Group, Inc.(a) | 102 | 5,408 | |||||||
Assured Guaranty Ltd.(a) | 152 | 5,431 | |||||||
Athene Holding Ltd., Class A*(a) | 121 | 5,305 | |||||||
Axis Capital Holdings Ltd.(a) | 95 | 5,284 | |||||||
Brighthouse Financial, Inc.*(a) | 116 | 4,648 | |||||||
Chubb Ltd. | 41 | 5,208 | |||||||
CNO Financial Group, Inc.(a) | 269 | 5,122 | |||||||
Everest Re Group Ltd. | 24 | 5,531 | |||||||
Hartford Financial Services Group, Inc. (The)(a) | 107 | 5,471 | |||||||
Lincoln National Corp. | 82 | 5,104 | |||||||
Loews Corp. | 104 | 5,021 | |||||||
MetLife, Inc. | 106 | 4,622 | |||||||
Old Republic International Corp. | 275 | 5,475 | |||||||
Principal Financial Group, Inc. | 97 | 5,136 | |||||||
Prudential Financial, Inc. | 51 | 4,769 | |||||||
Reinsurance Group of America, Inc. | 35 | 4,672 | |||||||
Unum Group | 140 | 5,179 | |||||||
92,462 | |||||||||
Internet & Direct Marketing Retail – 0.5% | |||||||||
Qurate Retail, Inc.* | 266 | 5,645 | |||||||
IT Services – 2.7% | |||||||||
Alliance Data Systems Corp.(a) | 26 | 6,063 | |||||||
CACI International, Inc., Class A*(a) | 32 | 5,393 |
See accompanying notes to the financial statements.
10
FQF Trust
AGFiQ U.S. Market Neutral Value Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Conduent, Inc.*(a) | 257 | $ | 4,670 | ||||||
DXC Technology Co.(a) | 57 | 4,595 | |||||||
International Business Machines Corp.(a) | 38 | 5,309 | |||||||
Leidos Holdings, Inc. | 90 | 5,310 | |||||||
31,340 | |||||||||
Machinery – 3.2% | |||||||||
AGCO Corp.(a) | 84 | 5,101 | |||||||
Allison Transmission Holdings, Inc.(a) | 142 | 5,750 | |||||||
Cummins, Inc.(a) | 38 | 5,054 | |||||||
Kennametal, Inc. | 147 | 5,277 | |||||||
PACCAR, Inc. | 87 | 5,391 | |||||||
Snap-on, Inc. | 34 | 5,464 | |||||||
Trinity Industries, Inc. | 166 | 5,687 | |||||||
37,724 | |||||||||
Media – 1.8% | |||||||||
Discovery, Inc., Class C*(a) | 207 | 5,279 | |||||||
GCI Liberty, Inc., Class A* | 118 | 5,319 | |||||||
TEGNA, Inc. | 523 | 5,675 | |||||||
Viacom, Inc., Class B | 183 | 5,519 | |||||||
21,792 | |||||||||
Metals & Mining – 1.3% | |||||||||
Alcoa Corp.*(a) | 109 | 5,110 | |||||||
Freeport-McMoRan, Inc.(a) | 319 | 5,506 | |||||||
United States Steel Corp. | 153 | 5,317 | |||||||
15,933 | |||||||||
Mortgage Real Estate Investment Trusts (REITs) – 3.6% | |||||||||
AGNC Investment Corp.(a) | 279 | 5,187 | |||||||
Annaly Capital Management, Inc. | 515 | 5,299 | |||||||
Blackstone Mortgage Trust, Inc., Class A(a) | 171 | 5,375 | |||||||
Chimera Investment Corp.(a) | 275 | 5,027 | |||||||
MFA Financial, Inc. | 693 | 5,253 | |||||||
New Residential Investment Corp. | 301 | 5,264 | |||||||
Starwood Property Trust, Inc. | 259 | 5,623 | |||||||
Two Harbors Investment Corp. | 354 | 5,593 | |||||||
42,621 | |||||||||
Multiline Retail – 1.0% | |||||||||
Kohl’s Corp. | 79 | 5,759 | |||||||
Macy’s, Inc. | 156 | 5,839 | |||||||
11,598 | |||||||||
Multi-Utilities – 0.5% | |||||||||
NorthWestern Corp. | 99 | 5,668 | |||||||
Oil, Gas & Consumable Fuels – 5.0% | |||||||||
Antero Resources Corp.*(a) | 283 | 6,042 | |||||||
Chevron Corp. | 42 | 5,310 | |||||||
HollyFrontier Corp.(a) | 70 | 4,790 | |||||||
Kinder Morgan, Inc.(a) | 302 | 5,336 | |||||||
Marathon Petroleum Corp. | 68 | 4,771 | |||||||
Murphy Oil Corp. | 176 | 5,944 |
Investments | Number of Shares | Value | |||||||
Newfield Exploration Co.* | 169 | $ | 5,112 | ||||||
Parsley Energy, Inc., Class A* | 175 | 5,299 | |||||||
PBF Energy, Inc., Class A | 113 | 4,738 | |||||||
Range Resources Corp. | 366 | 6,123 | |||||||
Whiting Petroleum Corp.* | 100 | 5,272 | |||||||
58,737 | |||||||||
Paper & Forest Products – 0.9% | |||||||||
Domtar Corp. | 110 | 5,251 | |||||||
Louisiana-Pacific Corp. | 191 | 5,199 | |||||||
10,450 | |||||||||
Pharmaceuticals – 2.3% | |||||||||
Allergan plc(a) | 36 | 6,002 | |||||||
Horizon Pharma plc* | 322 | 5,332 | |||||||
Mylan NV* | 135 | 4,879 | |||||||
Perrigo Co. plc | 74 | 5,395 | |||||||
Pfizer, Inc. | 146 | 5,297 | |||||||
26,905 | |||||||||
Professional Services – 0.5% | |||||||||
Nielsen Holdings plc | 180 | 5,567 | |||||||
Real Estate Management & Development – 0.4% | |||||||||
Realogy Holdings Corp. | 233 | 5,312 | |||||||
Road & Rail – 1.4% | |||||||||
Genesee & Wyoming, Inc., Class A*(a) | 69 | 5,611 | |||||||
Kansas City Southern | 49 | 5,192 | |||||||
Ryder System, Inc. | 80 | 5,749 | |||||||
16,552 | |||||||||
Semiconductors & Semiconductor Equipment – 3.0% | |||||||||
Cypress Semiconductor Corp.(a) | 328 | 5,110 | |||||||
Intel Corp.(a) | 99 | 4,921 | |||||||
Lam Research Corp. | 27 | 4,667 | |||||||
Micron Technology, Inc.* | 94 | 4,930 | |||||||
ON Semiconductor Corp.* | 214 | 4,758 | |||||||
Qorvo, Inc.* | 66 | 5,291 | |||||||
Skyworks Solutions, Inc. | 58 | 5,606 | |||||||
35,283 | |||||||||
Software – 1.5% | |||||||||
CA, Inc.(a) | 161 | 5,740 | |||||||
Dell Technologies, Inc., Class V*(a) | 70 | 5,920 | |||||||
Nuance Communications, Inc.* | 400 | 5,554 | |||||||
17,214 | |||||||||
Specialty Retail – 2.3% | |||||||||
AutoNation, Inc.*(a) | 109 | 5,295 | |||||||
Bed Bath & Beyond, Inc.(a) | 300 | 5,977 | |||||||
Dick’s Sporting Goods, Inc.(a) | 147 | 5,182 | |||||||
Foot Locker, Inc.(a) | 100 | 5,265 | |||||||
Signet Jewelers Ltd. | 94 | 5,241 | |||||||
26,960 |
See accompanying notes to the financial statements.
11
FQF Trust
AGFiQ U.S. Market Neutral Value Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Technology Hardware, Storage & Peripherals – 1.7% | |||||||||
Hewlett Packard Enterprise Co.(a) | 355 | $ | 5,187 | ||||||
NCR Corp.* | 179 | 5,366 | |||||||
Western Digital Corp. | 61 | 4,722 | |||||||
Xerox Corp. | 198 | 4,752 | |||||||
20,027 | |||||||||
Thrifts & Mortgage Finance – 1.0% | |||||||||
MGIC Investment Corp.* | 517 | 5,542 | |||||||
Radian Group, Inc. | 354 | 5,742 | |||||||
11,284 | |||||||||
Trading Companies & Distributors – 1.3% | |||||||||
Air Lease Corp.(a) | 119 | 4,995 | |||||||
GATX Corp.(a) | 75 | 5,567 | |||||||
United Rentals, Inc.* | 34 | 5,019 | |||||||
15,581 | |||||||||
Transportation Infrastructure – 0.5% | |||||||||
Macquarie Infrastructure Corp. | 138 | 5,824 | |||||||
Total Common Stocks (Cost $1,045,475) | 1,059,012 | ||||||||
Total Long Positions (Cost $1,045,475) | 1,059,012 | ||||||||
Short Positions – (92.0)% | |||||||||
Common Stocks – (92.0)% | |||||||||
Aerospace & Defense – (1.8)% | |||||||||
BWX Technologies, Inc. | (75 | ) | (4,674 | ) | |||||
Harris Corp. | (33 | ) | (4,770 | ) | |||||
HEICO Corp. | (76 | ) | (5,561 | ) | |||||
TransDigm Group, Inc. | (17 | ) | (5,867 | ) | |||||
(20,872 | ) | ||||||||
Air Freight & Logistics – (0.9)% | |||||||||
CH Robinson Worldwide, Inc. | (61 | ) | (5,103 | ) | |||||
Expeditors International of Washington, Inc. | (72 | ) | (5,263 | ) | |||||
(10,366 | ) | ||||||||
Automobiles – (0.4)% | |||||||||
Tesla, Inc.* | (15 | ) | (5,144 | ) | |||||
Banks – (0.4)% | |||||||||
First Financial Bankshares, Inc. | (102 | ) | (5,192 | ) | |||||
Beverages – (1.3)% | |||||||||
Brown-Forman Corp., Class B | (97 | ) | (4,754 | ) | |||||
Coca-Cola Co. (The) | (117 | ) | (5,132 | ) | |||||
Monster Beverage Corp.* | (105 | ) | (6,016 | ) | |||||
(15,902 | ) | ||||||||
Biotechnology – (6.3)% | |||||||||
Agios Pharmaceuticals, Inc.* | (63 | ) | (5,306 | ) | |||||
Alkermes plc* | (114 | ) | (4,692 | ) | |||||
Alnylam Pharmaceuticals, Inc.* | (54 | ) | (5,318 | ) |
Investments | Number of Shares | Value | |||||||
Bluebird Bio, Inc.* | (30 | ) | $ | (4,709 | ) | ||||
Clovis Oncology, Inc.* | (116 | ) | (5,275 | ) | |||||
Exact Sciences Corp.* | (90 | ) | (5,381 | ) | |||||
Incyte Corp.* | (83 | ) | (5,561 | ) | |||||
Ionis Pharmaceuticals, Inc.* | (116 | ) | (4,834 | ) | |||||
Ligand Pharmaceuticals, Inc.* | (28 | ) | (5,801 | ) | |||||
Neurocrine Biosciences, Inc.* | (56 | ) | (5,501 | ) | |||||
Portola Pharmaceuticals, Inc.* | (134 | ) | (5,061 | ) | |||||
Seattle Genetics, Inc.* | (85 | ) | (5,643 | ) | |||||
Ultragenyx Pharmaceutical, Inc.* | (69 | ) | (5,304 | ) | |||||
Vertex Pharmaceuticals, Inc.* | (36 | ) | (6,119 | ) | |||||
(74,505 | ) | ||||||||
Building Products – (0.9)% | |||||||||
AO Smith Corp. | (79 | ) | (4,673 | ) | |||||
Lennox International, Inc. | (27 | ) | (5,404 | ) | |||||
(10,077 | ) | ||||||||
Capital Markets – (3.7)% | |||||||||
Cboe Global Markets, Inc. | (55 | ) | (5,724 | ) | |||||
Charles Schwab Corp. (The) | (104 | ) | (5,314 | ) | |||||
FactSet Research Systems, Inc. | (28 | ) | (5,547 | ) | |||||
MarketAxess Holdings, Inc. | (24 | ) | (4,749 | ) | |||||
Moody’s Corp. | (32 | ) | (5,458 | ) | |||||
MSCI, Inc. | (34 | ) | (5,624 | ) | |||||
S&P Global, Inc. | (29 | ) | (5,913 | ) | |||||
SEI Investments Co. | (84 | ) | (5,252 | ) | |||||
(43,581 | ) | ||||||||
Chemicals – (3.7)% | |||||||||
Ecolab, Inc. | (40 | ) | (5,613 | ) | |||||
Ingevity Corp.* | (76 | ) | (6,145 | ) | |||||
International Flavors & Fragrances, Inc. | (44 | ) | (5,454 | ) | |||||
NewMarket Corp. | (13 | ) | (5,259 | ) | |||||
PPG Industries, Inc. | (51 | ) | (5,290 | ) | |||||
Sensient Technologies Corp. | (74 | ) | (5,295 | ) | |||||
Sherwin-Williams Co. (The) | (13 | ) | (5,298 | ) | |||||
Valvoline, Inc. | (264 | ) | (5,695 | ) | |||||
(44,049 | ) | ||||||||
Commercial Services & Supplies – (1.8)% | |||||||||
Cintas Corp. | (30 | ) | (5,552 | ) | |||||
Copart, Inc.* | (100 | ) | (5,656 | ) | |||||
Healthcare Services Group, Inc. | (122 | ) | (5,269 | ) | |||||
Rollins, Inc. | (100 | ) | (5,258 | ) | |||||
(21,735 | ) | ||||||||
Communications Equipment – (0.5)% | |||||||||
Arista Networks, Inc.* | (22 | ) | (5,665 | ) | |||||
Distributors – (0.5)% | |||||||||
Pool Corp. | (38 | ) | (5,757 | ) | |||||
Diversified Consumer Services – (0.5)% | |||||||||
Bright Horizons Family Solutions, Inc.* | (57 | ) | (5,844 | ) |
See accompanying notes to the financial statements.
12
FQF Trust
AGFiQ U.S. Market Neutral Value Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Electric Utilities – (0.9)% | |||||||||
Alliant Energy Corp. | (130 | ) | $ | (5,502 | ) | ||||
NextEra Energy, Inc. | (31 | ) | (5,178 | ) | |||||
(10,680 | ) | ||||||||
Electrical Equipment – (0.4)% | |||||||||
Rockwell Automation, Inc. | (31 | ) | (5,153 | ) | |||||
Electronic Equipment, Instruments & Components – (1.8)% | |||||||||
Amphenol Corp., Class A | (58 | ) | (5,055 | ) | |||||
Cognex Corp. | (118 | ) | (5,264 | ) | |||||
IPG Photonics Corp.* | (23 | ) | (5,075 | ) | |||||
National Instruments Corp. | (130 | ) | (5,457 | ) | |||||
(20,851 | ) | ||||||||
Energy Equipment & Services – (3.5)% | |||||||||
Apergy Corp.* | (124 | ) | (5,177 | ) | |||||
Baker Hughes a GE Co. | (141 | ) | (4,657 | ) | |||||
Core Laboratories NV | (44 | ) | (5,553 | ) | |||||
Helmerich & Payne, Inc. | (73 | ) | (4,655 | ) | |||||
Nabors Industries Ltd. | (716 | ) | (4,590 | ) | |||||
National Oilwell Varco, Inc. | (131 | ) | (5,685 | ) | |||||
Schlumberger Ltd. | (80 | ) | (5,362 | ) | |||||
Weatherford International plc* | (1,589 | ) | (5,228 | ) | |||||
(40,907 | ) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (16.9)% | |||||||||
Alexandria Real Estate Equities, Inc. | (41 | ) | (5,173 | ) | |||||
American Tower Corp. | (40 | ) | (5,767 | ) | |||||
Apartment Investment & Management Co., Class A | (128 | ) | (5,414 | ) | |||||
Boston Properties, Inc. | (43 | ) | (5,393 | ) | |||||
Camden Property Trust | (59 | ) | (5,377 | ) | |||||
CoreSite Realty Corp. | (56 | ) | (6,206 | ) | |||||
Crown Castle International Corp. | (52 | ) | (5,607 | ) | |||||
CubeSmart | (174 | ) | (5,606 | ) | |||||
CyrusOne, Inc. | (95 | ) | (5,544 | ) | |||||
Digital Realty Trust, Inc. | (48 | ) | (5,356 | ) | |||||
Douglas Emmett, Inc. | (147 | ) | (5,906 | ) | |||||
Duke Realty Corp. | (186 | ) | (5,400 | ) | |||||
EastGroup Properties, Inc. | (58 | ) | (5,542 | ) | |||||
Equinix, Inc. | (12 | ) | (5,159 | ) | |||||
Equity LifeStyle Properties, Inc. | (63 | ) | (5,790 | ) | |||||
Essex Property Trust, Inc. | (21 | ) | (5,020 | ) | |||||
Extra Space Storage, Inc. | (61 | ) | (6,088 | ) | |||||
Federal Realty Investment Trust | (42 | ) | (5,315 | ) | |||||
First Industrial Realty Trust, Inc. | (164 | ) | (5,468 | ) | |||||
Healthcare Realty Trust, Inc. | (198 | ) | (5,758 | ) | |||||
Iron Mountain, Inc. | (168 | ) | (5,882 | ) | |||||
Lamar Advertising Co., Class A | (76 | ) | (5,192 | ) | |||||
Macerich Co. (The) | (98 | ) | (5,569 | ) | |||||
Public Storage | (26 | ) | (5,898 | ) | |||||
Rayonier, Inc. | (140 | ) | (5,417 | ) |
Investments | Number of Shares | Value | |||||||
Ryman Hospitality Properties, Inc. | (66 | ) | $ | (5,488 | ) | ||||
SBA Communications Corp.* | (31 | ) | (5,119 | ) | |||||
Simon Property Group, Inc. | (33 | ) | (5,616 | ) | |||||
Sun Communities, Inc. | (56 | ) | (5,481 | ) | |||||
Taubman Centers, Inc. | (99 | ) | (5,817 | ) | |||||
UDR, Inc. | (138 | ) | (5,180 | ) | |||||
Uniti Group, Inc. | (260 | ) | (5,208 | ) | |||||
Urban Edge Properties | (247 | ) | (5,649 | ) | |||||
Vornado Realty Trust | (79 | ) | (5,840 | ) | |||||
Washington REIT | (181 | ) | (5,490 | ) | |||||
Weyerhaeuser Co. | (145 | ) | (5,287 | ) | |||||
(199,022 | ) | ||||||||
Food Products – (1.0)% | |||||||||
Lamb Weston Holdings, Inc. | (78 | ) | (5,344 | ) | |||||
Lancaster Colony Corp. | (44 | ) | (6,090 | ) | |||||
(11,434 | ) | ||||||||
Gas Utilities – (1.4)% | |||||||||
Atmos Energy Corp. | (61 | ) | (5,499 | ) | |||||
New Jersey Resources Corp. | (127 | ) | (5,683 | ) | |||||
ONE Gas, Inc. | (68 | ) | (5,082 | ) | |||||
(16,264 | ) | ||||||||
Health Care Equipment & Supplies – (1.9)% | |||||||||
ABIOMED, Inc.* | (14 | ) | (5,727 | ) | |||||
Align Technology, Inc.* | (16 | ) | (5,474 | ) | |||||
DexCom, Inc.* | (61 | ) | (5,794 | ) | |||||
IDEXX Laboratories, Inc.* | (27 | ) | (5,884 | ) | |||||
(22,879 | ) | ||||||||
Health Care Technology – (0.5)% | |||||||||
Veeva Systems, Inc., Class A* | (70 | ) | (5,380 | ) | |||||
Hotels, Restaurants & Leisure – (4.9)% | |||||||||
Chipotle Mexican Grill, Inc.* | (12 | ) | (5,177 | ) | |||||
Choice Hotels International, Inc. | (67 | ) | (5,065 | ) | |||||
Domino’s Pizza, Inc. | (22 | ) | (6,208 | ) | |||||
Dunkin’ Brands Group, Inc. | (76 | ) | (5,249 | ) | |||||
Hilton Worldwide Holdings, Inc. | (67 | ) | (5,304 | ) | |||||
Marriott International, Inc., Class A | (36 | ) | (4,558 | ) | |||||
McDonald’s Corp. | (35 | ) | (5,484 | ) | |||||
Starbucks Corp. | (95 | ) | (4,641 | ) | |||||
Vail Resorts, Inc. | (22 | ) | (6,032 | ) | |||||
Wendy’s Co. (The) | (308 | ) | (5,291 | ) | |||||
Yum! Brands, Inc. | (60 | ) | (4,693 | ) | |||||
(57,702 | ) | ||||||||
Household Products – (1.0)% | |||||||||
Clorox Co. (The) | (42 | ) | (5,680 | ) | |||||
Colgate-Palmolive Co. | (86 | ) | (5,574 | ) | |||||
(11,254 | ) | ||||||||
Independent Power and Renewable Electricity Producers – (0.4)% | |||||||||
NRG Energy, Inc. | (168 | ) | (5,158 | ) |
See accompanying notes to the financial statements.
13
FQF Trust
AGFiQ U.S. Market Neutral Value Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Industrial Conglomerates – (0.4)% | |||||||||
3M Co. | (27 | ) | $ | (5,311 | ) | ||||
Insurance – (0.5)% | |||||||||
Marsh & McLennan Cos., Inc. | (65 | ) | (5,328 | ) | |||||
Internet & Direct Marketing Retail – (2.4)% | |||||||||
Amazon.com, Inc.* | (3 | ) | (5,099 | ) | |||||
Booking Holdings, Inc.* | (3 | ) | (6,081 | ) | |||||
Netflix, Inc.* | (15 | ) | (5,872 | ) | |||||
TripAdvisor, Inc.* | (104 | ) | (5,794 | ) | |||||
Wayfair, Inc., Class A* | (44 | ) | (5,225 | ) | |||||
(28,071 | ) | ||||||||
Internet Software & Services – (0.9)% | |||||||||
GrubHub, Inc.* | (50 | ) | (5,245 | ) | |||||
Pandora Media, Inc.* | (745 | ) | (5,871 | ) | |||||
(11,116 | ) | ||||||||
IT Services – (5.7)% | |||||||||
Accenture plc, Class A | (33 | ) | (5,398 | ) | |||||
Automatic Data Processing, Inc. | (45 | ) | (6,036 | ) | |||||
Broadridge Financial Solutions, Inc. | (47 | ) | (5,410 | ) | |||||
Fiserv, Inc.* | (74 | ) | (5,483 | ) | |||||
Gartner, Inc.* | (45 | ) | (5,980 | ) | |||||
Global Payments, Inc. | (46 | ) | (5,129 | ) | |||||
Jack Henry & Associates, Inc. | (42 | ) | (5,475 | ) | |||||
Mastercard, Inc., Class A | (29 | ) | (5,699 | ) | |||||
Paychex, Inc. | (77 | ) | (5,263 | ) | |||||
PayPal Holdings, Inc.* | (66 | ) | (5,496 | ) | |||||
Square, Inc., Class A* | (93 | ) | (5,733 | ) | |||||
Visa, Inc., Class A | (43 | ) | (5,695 | ) | |||||
(66,797 | ) | ||||||||
Leisure Products – (0.5)% | |||||||||
Mattel, Inc. | (348 | ) | (5,714 | ) | |||||
Life Sciences Tools & Services – (0.5)% | |||||||||
Illumina, Inc.* | (20 | ) | (5,586 | ) | |||||
Machinery – (2.8)% | |||||||||
Donaldson Co., Inc. | (111 | ) | (5,008 | ) | |||||
Fortive Corp. | (76 | ) | (5,860 | ) | |||||
Graco, Inc. | (120 | ) | (5,427 | ) | |||||
IDEX Corp. | (39 | ) | (5,323 | ) | |||||
Toro Co. (The) | (93 | ) | (5,603 | ) | |||||
Welbilt, Inc.* | (277 | ) | (6,180 | ) | |||||
(33,401 | ) | ||||||||
Media – (0.5)% | |||||||||
New York Times Co. (The), Class A | (218 | ) | (5,646 | ) | |||||
Metals & Mining – (0.4)% | |||||||||
Royal Gold, Inc. | (56 | ) | (5,199 | ) |
Investments | Number of Shares | Value | |||||||
Multi-Utilities – (0.4)% | |||||||||
MDU Resources Group, Inc. | (183 | ) | $ | (5,248 | ) | ||||
Oil, Gas & Consumable Fuels – (1.4)% | |||||||||
Cheniere Energy, Inc.* | (81 | ) | (5,280 | ) | |||||
Concho Resources, Inc.* | (39 | ) | (5,396 | ) | |||||
Hess Corp. | (89 | ) | (5,953 | ) | |||||
(16,629 | ) | ||||||||
Personal Products – (0.4)% | |||||||||
Estee Lauder Cos., Inc. (The), Class A | (34 | ) | (4,851 | ) | |||||
Professional Services – (1.5)% | |||||||||
CoStar Group, Inc.* | (15 | ) | (6,189 | ) | |||||
TransUnion | (78 | ) | (5,588 | ) | |||||
Verisk Analytics, Inc.* | (54 | ) | (5,813 | ) | |||||
(17,590 | ) | ||||||||
Road & Rail – (0.4)% | |||||||||
Landstar System, Inc. | (48 | ) | (5,242 | ) | |||||
Semiconductors & Semiconductor Equipment – (1.4)% | |||||||||
Advanced Micro Devices, Inc.* | (391 | ) | (5,861 | ) | |||||
Monolithic Power Systems, Inc. | (44 | ) | (5,882 | ) | |||||
NVIDIA Corp. | (21 | ) | (4,975 | ) | |||||
(16,718 | ) | ||||||||
Software – (9.2)% | |||||||||
Activision Blizzard, Inc. | (71 | ) | (5,419 | ) | |||||
Adobe Systems, Inc.* | (23 | ) | (5,608 | ) | |||||
Aspen Technology, Inc.* | (58 | ) | (5,379 | ) | |||||
Autodesk, Inc.* | (42 | ) | (5,506 | ) | |||||
Blackbaud, Inc. | (52 | ) | (5,328 | ) | |||||
Electronic Arts, Inc.* | (41 | ) | (5,782 | ) | |||||
Guidewire Software, Inc.* | (58 | ) | (5,149 | ) | |||||
Intuit, Inc. | (27 | ) | (5,516 | ) | |||||
Paycom Software, Inc.* | (47 | ) | (4,645 | ) | |||||
Proofpoint, Inc.* | (49 | ) | (5,650 | ) | |||||
PTC, Inc.* | (63 | ) | (5,910 | ) | |||||
Red Hat, Inc.* | (35 | ) | (4,703 | ) | |||||
salesforce.com, Inc.* | (46 | ) | (6,274 | ) | |||||
ServiceNow, Inc.* | (32 | ) | (5,519 | ) | |||||
Splunk, Inc.* | (52 | ) | (5,154 | ) | |||||
Tableau Software, Inc., Class A* | (60 | ) | (5,865 | ) | |||||
Take-Two Interactive Software, Inc.* | (48 | ) | (5,681 | ) | |||||
Tyler Technologies, Inc.* | (24 | ) | (5,330 | ) | |||||
Ultimate Software Group, Inc. (The)* | (20 | ) | (5,146 | ) | |||||
Workday, Inc., Class A* | (41 | ) | (4,966 | ) | |||||
(108,530 | ) | ||||||||
Specialty Retail – (1.4)% | |||||||||
Burlington Stores, Inc.* | (35 | ) | (5,269 | ) | |||||
Five Below, Inc.* | (54 | ) | (5,276 | ) | |||||
Home Depot, Inc. (The) | (28 | ) | (5,463 | ) | |||||
(16,008 | ) |
See accompanying notes to the financial statements.
14
FQF Trust
AGFiQ U.S. Market Neutral Value Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Textiles, Apparel & Luxury Goods – (1.8)% | |||||||||
Lululemon Athletica, Inc.* | (42 | ) | $ | (5,244 | ) | ||||
NIKE, Inc., Class B | (77 | ) | (6,135 | ) | |||||
Under Armour, Inc., Class A* | (234 | ) | (5,260 | ) | |||||
VF Corp. | (63 | ) | (5,136 | ) | |||||
(21,775 | ) | ||||||||
Trading Companies & Distributors – (0.9)% | |||||||||
Fastenal Co. | (102 | ) | (4,909 | ) | |||||
Watsco, Inc. | (29 | ) | (5,170 | ) | |||||
(10,079 | ) | ||||||||
Water Utilities – (0.9)% | |||||||||
American Water Works Co., Inc. | (60 | ) | (5,123 | ) | |||||
Aqua America, Inc. | (155 | ) | (5,453 | ) | |||||
(10,576 | ) | ||||||||
Wireless Telecommunication Services – (0.4)% | |||||||||
T-Mobile US, Inc.* | (89 | ) | (5,318 | ) |
Investments | Number of Shares | Value | ||||||
Total Common Stocks (Proceeds $(908,546)) | $ | (1,086,106 | ) | |||||
Total Short Positions (Proceeds $(908,546)) | (1,086,106 | ) | ||||||
Total Investments – (2.3)% (Cost $136,929) | (27,094 | ) | ||||||
Other Assets Less Liabilities — 102.3% | 1,208,084 | |||||||
Net Assets – 100.0% | $ | 1,180,990 |
* | Non-income producing security. |
(a) | All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $470,608. |
As of June 30, 2018, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative contracts, if any) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 102,844 | ||
Aggregate gross unrealized depreciation | (304,500 | ) | ||
Net unrealized depreciation | $ | (201,656 | ) | |
Federal income tax cost of investments (including derivative contracts, if any) | $ | 165,593 |
OTC Total return swap contracts outstanding as of June 30, 2018
Notional Amount | Termination Date(1) | Counterparty | Rate Paid (Received)(2) | Underlying Instrument(3) | Value and Unrealized Appreciation/ (Depreciation)(4) | Cash Collateral (Received) Pledged | Net Amount(5) | |||||||||||||||||||||
113,210 USD | 10/3/2019 | Morgan Stanley | 2.49 | % | Dow Jones U.S. Relative Value Total Return Index(6) | $ | 6,273 | $ | — | $ | 6,273 | |||||||||||||||||
(106,896) USD | 10/3/2019 | Morgan Stanley | (1.69 | )% | Dow Jones U.S. Short Relative Value Total Return Index(7) | (15,242 | ) | — | (15,242 | ) | ||||||||||||||||||
$ | (8,969 | ) | $ | (8,969 | ) |
(1) | Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity. |
(2) | Reflects the floating financing rate, as of June 30, 2018, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Payments may be made at the conclusion of the agreement or periodically during its term. |
(3) | The 50 largest components of the referenced underlying Swap Index can be found at http://www.agfiq.com/agfiq/agfiqweb/us/en/resources /regulatory-material/index.jsp |
(4) | The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at year end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or “net” these amounts on its Statement of Assets and Liabilities. |
(5) | Represents the “uncollateralized” amount due from or (to) the counterparty at year end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum “thresholds” that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from the counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default. |
(6) | The Dow Jones U.S. Relative Value Total Return Index (DJLSVT) is designed to measure the performance of 200 companies ranked |
See accompanying notes to the financial statements.
15
FQF Trust
AGFiQ U.S. Market Neutral Value Fund
Schedule of Investments
June 30, 2018
as undervalued based on fundamentals. Value is calculated using a ranking process based on book value to price ratio, projected earnings per share to price ratio, and trailing 12-month operating cash flow to price ratio. Dividends are reinvested. |
(7) | The Dow Jones U.S. Short Relative Value Total Return Index (DJSSVT) is designed to measure the performance of 200 companies ranked as overvalued based on fundamentals. Value is calculated using a ranking process based on book value to price ratio, projected earnings per share to price ratio, and trailing 12-month operating cash flow to price ratio. Dividends are reinvested. |
Abbreviations | ||
USD | US Dollar |
See accompanying notes to the financial statements.
16
FQF Trust
AGFiQ U.S. Market Neutral Size Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Long Positions – 87.5% | |||||||||
Common Stocks – 87.5% | |||||||||
Auto Components – 1.7% | |||||||||
Dana, Inc.(a) | 438 | $ | 8,843 | ||||||
Delphi Technologies plc(a) | 196 | 8,910 | |||||||
Tenneco, Inc. | 196 | 8,616 | |||||||
Visteon Corp.* | 70 | 9,047 | |||||||
35,416 | |||||||||
Banks – 3.4% | |||||||||
Bank of Hawaii Corp.(a) | 106 | 8,843 | |||||||
Cathay General Bancorp(a) | 216 | 8,746 | |||||||
First Financial Bankshares, Inc. | 176 | 8,958 | |||||||
Fulton Financial Corp.(a) | 496 | 8,184 | |||||||
Home BancShares, Inc.(a) | 376 | 8,483 | |||||||
Investors Bancorp, Inc.(a) | 672 | 8,595 | |||||||
UMB Financial Corp. | 118 | 8,995 | |||||||
Valley National Bancorp | 684 | 8,317 | |||||||
69,121 | |||||||||
Biotechnology – 2.3% | |||||||||
Agios Pharmaceuticals, Inc.*(a) | 104 | 8,760 | |||||||
Clovis Oncology, Inc.*(a) | 200 | 9,094 | |||||||
Ligand Pharmaceuticals, Inc.*(a) | 46 | 9,530 | |||||||
Ultragenyx Pharmaceutical, Inc.* | 118 | 9,071 | |||||||
United Therapeutics Corp.* | 84 | 9,504 | |||||||
45,959 | |||||||||
Building Products – 0.5% | |||||||||
Armstrong World Industries, Inc.*(a) | 150 | 9,480 | |||||||
Capital Markets – 1.3% | |||||||||
BGC Partners, Inc., Class A(a) | 770 | 8,717 | |||||||
Federated Investors, Inc., Class B(a) | 370 | 8,628 | |||||||
Legg Mason, Inc.(a) | 240 | 8,335 | |||||||
25,680 | |||||||||
Chemicals – 2.2% | |||||||||
Ingevity Corp.* | 118 | 9,541 | |||||||
Platform Specialty Products Corp.* | 740 | 8,584 | |||||||
PolyOne Corp. | 196 | 8,471 | |||||||
Sensient Technologies Corp. | 130 | 9,302 | |||||||
Trinseo SA | 118 | 8,372 | |||||||
44,270 | |||||||||
Commercial Services & Supplies – 2.3% | |||||||||
Brink’s Co. (The)(a) | 110 | 8,772 | |||||||
Clean Harbors, Inc.*(a) | 162 | 8,999 | |||||||
Deluxe Corp.(a) | 134 | 8,872 | |||||||
Healthcare Services Group, Inc.(a) | 224 | 9,675 | |||||||
MSA Safety, Inc. | 100 | 9,634 | |||||||
45,952 |
Investments | Number of Shares | Value | |||||||
Communications Equipment – 2.2% | |||||||||
ARRIS International plc*(a) | 330 | $ | 8,067 | ||||||
Ciena Corp.*(a) | 340 | 9,013 | |||||||
Lumentum Holdings, Inc.*(a) | 152 | 8,801 | |||||||
NetScout Systems, Inc.* | 318 | 9,445 | |||||||
ViaSat, Inc.* | 136 | 8,938 | |||||||
44,264 | |||||||||
Construction & Engineering – 1.8% | |||||||||
Dycom Industries, Inc.*(a) | 96 | 9,073 | |||||||
EMCOR Group, Inc.(a) | 112 | 8,532 | |||||||
MasTec, Inc.* | 186 | 9,440 | |||||||
Valmont Industries, Inc. | 58 | 8,743 | |||||||
35,788 | |||||||||
Construction Materials – 0.4% | |||||||||
Summit Materials, Inc., Class A* | 316 | 8,295 | |||||||
Consumer Finance – 0.4% | |||||||||
Navient Corp. | 686 | 8,939 | |||||||
Containers & Packaging – 1.3% | |||||||||
Bemis Co., Inc.(a) | 210 | 8,864 | |||||||
Owens-Illinois, Inc.* | 480 | 8,069 | |||||||
Silgan Holdings, Inc. | 328 | 8,800 | |||||||
25,733 | |||||||||
Diversified Consumer Services – 0.5% | |||||||||
Graham Holdings Co., Class B(a) | 16 | 9,378 | |||||||
Electric Utilities – 1.3% | |||||||||
ALLETE, Inc.(a) | 116 | 8,980 | |||||||
PNM Resources, Inc. | 238 | 9,258 | |||||||
Portland General Electric Co. | 196 | 8,381 | |||||||
26,619 | |||||||||
Electrical Equipment – 1.3% | |||||||||
EnerSys(a) | 112 | 8,360 | |||||||
Generac Holdings, Inc.*(a) | 174 | 9,001 | |||||||
Regal Beloit Corp. | 118 | 9,652 | |||||||
27,013 | |||||||||
Electronic Equipment, Instruments & Components – 2.1% | |||||||||
Belden, Inc.(a) | 160 | 9,779 | |||||||
Coherent, Inc.*(a) | 54 | 8,447 | |||||||
Dolby Laboratories, Inc., Class A(a) | 144 | 8,883 | |||||||
SYNNEX Corp. | 86 | 8,300 | |||||||
Tech Data Corp.* | 102 | 8,376 | |||||||
43,785 | |||||||||
Energy Equipment & Services – 1.3% | |||||||||
Patterson-UTI Energy, Inc. | 494 | 8,892 | |||||||
US Silica Holdings, Inc. | 348 | 8,940 | |||||||
Weatherford International plc* | 2,624 | 8,633 | |||||||
26,465 |
See accompanying notes to the financial statements.
17
FQF Trust
AGFiQ U.S. Market Neutral Size Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Equity Real Estate Investment Trusts (REITs) – 11.6% | |||||||||
Brandywine Realty Trust(a) | 532 | $ | 8,980 | ||||||
Columbia Property Trust, Inc.(a) | 428 | 9,720 | |||||||
CoreCivic, Inc.(a) | 374 | 8,935 | |||||||
CoreSite Realty Corp.(a) | 80 | 8,866 | |||||||
Corporate Office Properties Trust | 340 | 9,857 | |||||||
Cousins Properties, Inc.(a) | 972 | 9,419 | |||||||
DDR Corp.(a) | 500 | 8,950 | |||||||
First Industrial Realty Trust, Inc.(a) | 292 | 9,735 | |||||||
GEO Group, Inc. (The)(a) | 322 | 8,868 | |||||||
Healthcare Realty Trust, Inc.(a) | 318 | 9,247 | |||||||
JBG SMITH Properties(a) | 236 | 8,607 | |||||||
National Health Investors, Inc. | 118 | 8,694 | |||||||
Outfront Media, Inc. | 468 | 9,103 | |||||||
Paramount Group, Inc. | 602 | 9,271 | |||||||
Physicians Realty Trust(a) | 584 | 9,309 | |||||||
Piedmont Office Realty Trust, Inc., Class A | 450 | 8,968 | |||||||
Retail Properties of America, Inc., Class A | 682 | 8,716 | |||||||
RLJ Lodging Trust | 406 | 8,952 | |||||||
Sabra Health Care REIT, Inc. | 430 | 9,344 | |||||||
Spirit Realty Capital, Inc. | 1,090 | 8,753 | |||||||
Sunstone Hotel Investors, Inc. | 512 | 8,509 | |||||||
Tanger Factory Outlet Centers, Inc. | 398 | 9,349 | |||||||
Taubman Centers, Inc. | 156 | 9,166 | |||||||
Uniti Group, Inc. | 428 | 8,573 | |||||||
Urban Edge Properties | 408 | 9,331 | |||||||
Weingarten Realty Investors | 310 | 9,551 | |||||||
236,773 | |||||||||
Food & Staples Retailing – 0.9% | |||||||||
Sprouts Farmers Market, Inc.* | 372 | 8,210 | |||||||
US Foods Holding Corp.* | 254 | 9,606 | |||||||
17,816 | |||||||||
Food Products – 2.2% | |||||||||
Flowers Foods, Inc.(a) | 408 | 8,499 | |||||||
Hain Celestial Group, Inc. (The)*(a) | 300 | 8,940 | |||||||
Lancaster Colony Corp.(a) | 64 | 8,859 | |||||||
Post Holdings, Inc.* | 110 | 9,462 | |||||||
TreeHouse Foods, Inc.* | 186 | 9,767 | |||||||
45,527 | |||||||||
Gas Utilities – 1.8% | |||||||||
New Jersey Resources Corp. | 222 | 9,935 | |||||||
ONE Gas, Inc. | 118 | 8,819 | |||||||
Southwest Gas Holdings, Inc. | 118 | 9,000 | |||||||
Spire, Inc. | 122 | 8,619 | |||||||
36,373 | |||||||||
Health Care Equipment & Supplies – 1.7% | |||||||||
Haemonetics Corp.*(a) | 98 | 8,789 |
Investments | Number of Shares | Value | |||||||
Integra LifeSciences Holdings Corp.*(a) | 142 | $ | 9,146 | ||||||
Masimo Corp.*(a) | 90 | 8,788 | |||||||
NuVasive, Inc.* | 166 | 8,652 | |||||||
35,375 | |||||||||
Health Care Providers & Services – 1.7% | |||||||||
Acadia Healthcare Co., Inc.*(a) | 218 | 8,918 | |||||||
Chemed Corp.(a) | 28 | 9,011 | |||||||
MEDNAX, Inc.* | 190 | 8,223 | |||||||
Molina Healthcare, Inc.* | 92 | 9,011 | |||||||
35,163 | |||||||||
Health Care Technology – 0.4% | |||||||||
Medidata Solutions, Inc.* | 112 | 9,023 | |||||||
Hotels, Restaurants & Leisure – 3.0% | |||||||||
Choice Hotels International, Inc.(a) | 114 | 8,618 | |||||||
Cracker Barrel Old Country Store, Inc. | 54 | 8,435 | |||||||
Hyatt Hotels Corp., Class A(a) | 106 | 8,178 | |||||||
Jack in the Box, Inc.(a) | 102 | 8,682 | |||||||
Marriott Vacations Worldwide Corp. | 74 | 8,359 | |||||||
Texas Roadhouse, Inc. | 146 | 9,565 | |||||||
Wendy’s Co. (The) | 526 | 9,037 | |||||||
60,874 | |||||||||
Household Durables – 0.8% | |||||||||
Tempur Sealy International, Inc.* | 192 | 9,226 | |||||||
Tupperware Brands Corp. | 196 | 8,083 | |||||||
17,309 | |||||||||
Household Products – 0.5% | |||||||||
Energizer Holdings, Inc.(a) | 150 | 9,444 | |||||||
Insurance – 2.1% | |||||||||
Aspen Insurance Holdings Ltd.(a) | 220 | 8,954 | |||||||
CNO Financial Group, Inc.(a) | 444 | 8,454 | |||||||
Kemper Corp.(a) | 114 | 8,624 | |||||||
ProAssurance Corp. | 230 | 8,154 | |||||||
RLI Corp. | 132 | 8,737 | |||||||
42,923 | |||||||||
Internet Software & Services – 0.9% | |||||||||
j2 Global, Inc.(a) | 108 | 9,354 | |||||||
Yelp, Inc.* | 230 | 9,011 | |||||||
18,365 | |||||||||
IT Services – 2.1% | |||||||||
CACI International, Inc., Class A*(a) | 56 | 9,439 | |||||||
Conduent, Inc.*(a) | 448 | 8,140 | |||||||
CoreLogic, Inc.*(a) | 170 | 8,823 | |||||||
MAXIMUS, Inc. | 136 | 8,447 | |||||||
Science Applications International Corp. | 102 | 8,255 | |||||||
43,104 |
See accompanying notes to the financial statements.
18
FQF Trust
AGFiQ U.S. Market Neutral Size Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Life Sciences Tools & Services – 2.1% | |||||||||
Bio-Rad Laboratories, Inc., Class A*(a) | 30 | $ | 8,656 | ||||||
Bio-Techne Corp. | 60 | 8,877 | |||||||
Bruker Corp.(a) | 292 | 8,480 | |||||||
Charles River Laboratories International, Inc.*(a) | 78 | 8,756 | |||||||
PRA Health Sciences, Inc.* | 96 | 8,963 | |||||||
43,732 | |||||||||
Machinery – 2.6% | |||||||||
Barnes Group, Inc.(a) | 156 | 9,188 | |||||||
Colfax Corp.*(a) | 264 | 8,092 | |||||||
Kennametal, Inc.(a) | 248 | 8,903 | |||||||
Terex Corp. | 212 | 8,944 | |||||||
Timken Co. (The) | 192 | 8,362 | |||||||
Woodward, Inc. | 118 | 9,070 | |||||||
52,559 | |||||||||
Media – 3.1% | |||||||||
AMC Networks, Inc., Class A*(a) | 144 | 8,957 | |||||||
Cable One, Inc.(a) | 12 | 8,799 | |||||||
Cinemark Holdings, Inc.(a) | 264 | 9,261 | |||||||
John Wiley & Sons, Inc., Class A(a) | 136 | 8,486 | |||||||
Liberty Latin America Ltd., Class C*(a) | 452 | 8,760 | |||||||
New York Times Co. (The), Class A | 374 | 9,687 | |||||||
TEGNA, Inc. | 862 | 9,353 | |||||||
63,303 | |||||||||
Metals & Mining – 0.8% | |||||||||
Allegheny Technologies, Inc.*(a) | 328 | 8,239 | |||||||
Compass Minerals International, Inc.(a) | 130 | 8,548 | |||||||
16,787 | |||||||||
Mortgage Real Estate Investment Trusts (REITs) – 1.7% | |||||||||
Blackstone Mortgage Trust, Inc., Class A(a) | 272 | 8,549 | |||||||
Chimera Investment Corp.(a) | 498 | 9,103 | |||||||
MFA Financial, Inc. | 1,120 | 8,490 | |||||||
Two Harbors Investment Corp. | 564 | 8,911 | |||||||
35,053 | |||||||||
Multi-Utilities – 0.9% | |||||||||
Black Hills Corp.(a) | 154 | 9,426 | |||||||
NorthWestern Corp. | 150 | 8,588 | |||||||
18,014 | |||||||||
Oil, Gas & Consumable Fuels – 3.6% | |||||||||
Antero Resources Corp.*(a) | 420 | 8,967 | |||||||
Chesapeake Energy Corp.*(a) | 1,688 | 8,845 | |||||||
CNX Resources Corp.*(a) | 506 | 8,997 | |||||||
PBF Energy, Inc., Class A | 214 | 8,973 | |||||||
PDC Energy, Inc.* | 160 | 9,672 | |||||||
QEP Resources, Inc.* | 734 | 8,999 | |||||||
Range Resources Corp. | 534 | 8,934 | |||||||
Whiting Petroleum Corp.* | 170 | 8,962 | |||||||
72,349 |
Investments | Number of Shares | Value | |||||||
Paper & Forest Products – 0.9% | |||||||||
Domtar Corp. | 184 | $ | 8,784 | ||||||
Louisiana-Pacific Corp.(a) | 330 | 8,983 | |||||||
17,767 | |||||||||
Personal Products – 0.9% | |||||||||
Edgewell Personal Care Co.*(a) | 178 | 8,982 | |||||||
Nu Skin Enterprises, Inc., Class A | 108 | 8,444 | |||||||
17,426 | |||||||||
Real Estate Management & Development – 0.4% | |||||||||
Realogy Holdings Corp. | 376 | 8,573 | |||||||
Road & Rail – 0.9% | |||||||||
Avis Budget Group, Inc.*(a) | 278 | 9,035 | |||||||
Ryder System, Inc. | 120 | 8,623 | |||||||
17,658 | |||||||||
Semiconductors & Semiconductor Equipment – 2.6% | |||||||||
Cirrus Logic, Inc.*(a) | 238 | 9,123 | |||||||
Cree, Inc.*(a) | 214 | 8,896 | |||||||
Integrated Device Technology, Inc.*(a) | 284 | 9,054 | |||||||
Silicon Laboratories, Inc.* | 84 | 8,366 | |||||||
Universal Display Corp. | 98 | 8,428 | |||||||
Versum Materials, Inc. | 236 | 8,767 | |||||||
52,634 | |||||||||
Software – 2.7% | |||||||||
ACI Worldwide, Inc.*(a) | 354 | 8,733 | |||||||
Ellie Mae, Inc.*(a) | 92 | 9,554 | |||||||
FireEye, Inc.*(a) | 580 | 8,926 | |||||||
Manhattan Associates, Inc.*(a) | 208 | 9,778 | |||||||
Nuance Communications, Inc.* | 660 | 9,164 | |||||||
Verint Systems, Inc.* | 206 | 9,136 | |||||||
55,291 | |||||||||
Specialty Retail – 2.7% | |||||||||
American Eagle Outfitters, Inc.(a) | 380 | 8,835 | |||||||
AutoNation, Inc.*(a) | 186 | 9,036 | |||||||
Bed Bath & Beyond, Inc.(a) | 446 | 8,886 | |||||||
Murphy USA, Inc.* | 120 | 8,915 | |||||||
Signet Jewelers Ltd. | 158 | 8,808 | |||||||
Urban Outfitters, Inc.* | 214 | 9,534 | |||||||
54,014 | |||||||||
Technology Hardware, Storage & Peripherals – 0.4% | |||||||||
NCR Corp.* | 278 | 8,334 | |||||||
Textiles, Apparel & Luxury Goods – 1.8% | |||||||||
Carter’s, Inc.(a) | 88 | 9,538 | |||||||
Deckers Outdoor Corp.*(a) | 78 | 8,806 | |||||||
Skechers U.S.A., Inc., Class A* | 306 | 9,183 | |||||||
Wolverine World Wide, Inc. | 256 | 8,901 | |||||||
36,428 |
See accompanying notes to the financial statements.
19
FQF Trust
AGFiQ U.S. Market Neutral Size Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Thrifts & Mortgage Finance – 0.9% | |||||||||
Essent Group Ltd.*(a) | 266 | $ | 9,528 | ||||||
Radian Group, Inc. | 550 | 8,921 | |||||||
18,449 | |||||||||
Trading Companies & Distributors – 1.7% | |||||||||
Air Lease Corp.(a) | 210 | 8,813 | |||||||
MSC Industrial Direct Co., Inc., Class A | 106 | 8,994 | |||||||
Univar, Inc.* | 328 | 8,607 | |||||||
WESCO International, Inc.* | 158 | 9,022 | |||||||
35,436 | |||||||||
Transportation Infrastructure – 0.4% | |||||||||
Macquarie Infrastructure Corp. | 212 | 8,946 | |||||||
Wireless Telecommunication Services – 0.4% | |||||||||
Telephone & Data Systems, Inc. | 326 | 8,939 | |||||||
Total Common Stocks (Cost $1,662,670) | 1,781,918 | ||||||||
Total Long Positions (Cost $1,662,670) | 1,781,918 | ||||||||
Short Positions – (86.5)% | |||||||||
Common Stocks – (86.5)% | |||||||||
Aerospace & Defense – (2.5)% | |||||||||
Boeing Co. (The) | (24 | ) | (8,052 | ) | |||||
General Dynamics Corp. | (44 | ) | (8,202 | ) | |||||
Lockheed Martin Corp. | (28 | ) | (8,272 | ) | |||||
Northrop Grumman Corp. | (26 | ) | (8,000 | ) | |||||
Raytheon Co. | (46 | ) | (8,887 | ) | |||||
United Technologies Corp. | (72 | ) | (9,002 | ) | |||||
(50,415 | ) | ||||||||
Air Freight & Logistics – (0.8)% | |||||||||
FedEx Corp. | (40 | ) | (9,082 | ) | |||||
United Parcel Service, Inc., Class B | (78 | ) | (8,286 | ) | |||||
(17,368 | ) | ||||||||
Airlines – (0.8)% | |||||||||
Delta Air Lines, Inc. | (180 | ) | (8,917 | ) | |||||
Southwest Airlines Co. | (164 | ) | (8,344 | ) | |||||
(17,261 | ) | ||||||||
Automobiles – (1.2)% | |||||||||
Ford Motor Co. | (734 | ) | (8,125 | ) | |||||
General Motors Co. | (210 | ) | (8,274 | ) | |||||
Tesla, Inc.* | (26 | ) | (8,917 | ) | |||||
(25,316 | ) | ||||||||
Banks – (3.9)% | |||||||||
Bank of America Corp. | (306 | ) | (8,626 | ) | |||||
BB&T Corp. | (176 | ) | (8,878 | ) | |||||
Citigroup, Inc. | (134 | ) | (8,967 | ) | |||||
JPMorgan Chase & Co. | (86 | ) | (8,961 | ) | |||||
M&T Bank Corp. | (52 | ) | (8,848 | ) |
Investments | Number of Shares | Value | |||||||
PNC Financial Services Group, Inc. (The) | (60 | ) | $ | (8,106 | ) | ||||
SunTrust Banks, Inc. | (134 | ) | (8,847 | ) | |||||
US Bancorp | (162 | ) | (8,103 | ) | |||||
Wells Fargo & Co. | (166 | ) | (9,203 | ) | |||||
(78,539 | ) | ||||||||
Beverages – (1.3)% | |||||||||
Coca-Cola Co. (The) | (200 | ) | (8,772 | ) | |||||
Constellation Brands, Inc., Class A | (38 | ) | (8,317 | ) | |||||
PepsiCo, Inc. | (88 | ) | (9,581 | ) | |||||
(26,670 | ) | ||||||||
Biotechnology – (2.2)% | |||||||||
AbbVie, Inc. | (92 | ) | (8,524 | ) | |||||
Amgen, Inc. | (46 | ) | (8,491 | ) | |||||
Biogen, Inc.* | (32 | ) | (9,287 | ) | |||||
Celgene Corp.* | (112 | ) | (8,895 | ) | |||||
Gilead Sciences, Inc. | (132 | ) | (9,351 | ) | |||||
(44,548 | ) | ||||||||
Building Products – (0.4)% | |||||||||
Johnson Controls International plc | (256 | ) | (8,563 | ) | |||||
Capital Markets – (5.1)% | |||||||||
Ameriprise Financial, Inc. | (62 | ) | (8,673 | ) | |||||
Bank of New York Mellon Corp. (The) | (168 | ) | (9,060 | ) | |||||
BlackRock, Inc. | (18 | ) | (8,983 | ) | |||||
Charles Schwab Corp. (The) | (160 | ) | (8,176 | ) | |||||
CME Group, Inc. | (50 | ) | (8,196 | ) | |||||
Goldman Sachs Group, Inc. (The) | (40 | ) | (8,823 | ) | |||||
Intercontinental Exchange, Inc. | (116 | ) | (8,532 | ) | |||||
Moody’s Corp. | (52 | ) | (8,869 | ) | |||||
Morgan Stanley | (176 | ) | (8,342 | ) | |||||
S&P Global, Inc. | (42 | ) | (8,563 | ) | |||||
State Street Corp. | (88 | ) | (8,192 | ) | |||||
T. Rowe Price Group, Inc. | (76 | ) | (8,823 | ) | |||||
(103,232 | ) | ||||||||
Chemicals – (3.1)% | |||||||||
Air Products & Chemicals, Inc. | (58 | ) | (9,032 | ) | |||||
DowDuPont, Inc. | (136 | ) | (8,965 | ) | |||||
Ecolab, Inc. | (62 | ) | (8,701 | ) | |||||
LyondellBasell Industries NV, Class A | (80 | ) | (8,788 | ) | |||||
PPG Industries, Inc. | (88 | ) | (9,128 | ) | |||||
Praxair, Inc. | (60 | ) | (9,489 | ) | |||||
Sherwin-Williams Co. (The) | (22 | ) | (8,967 | ) | |||||
(63,070 | ) | ||||||||
Commercial Services & Supplies – (0.4)% | |||||||||
Waste Management, Inc. | (110 | ) | (8,947 | ) | |||||
Communications Equipment – (0.4)% | |||||||||
Cisco Systems, Inc. | (206 | ) | (8,864 | ) |
See accompanying notes to the financial statements.
20
FQF Trust
AGFiQ U.S. Market Neutral Size Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Consumer Finance – (1.7)% | |||||||||
American Express Co. | (84 | ) | $ | (8,232 | ) | ||||
Capital One Financial Corp. | (90 | ) | (8,271 | ) | |||||
Discover Financial Services | (122 | ) | (8,590 | ) | |||||
Synchrony Financial | (260 | ) | (8,679 | ) | |||||
(33,772 | ) | ||||||||
Containers & Packaging – (0.4)% | |||||||||
International Paper Co. | (162 | ) | (8,437 | ) | |||||
Diversified Financial Services – (0.4)% | |||||||||
Berkshire Hathaway, Inc., Class B* | (44 | ) | (8,213 | ) | |||||
Diversified Telecommunication Services – (0.4)% | |||||||||
AT&T, Inc. | (274 | ) | (8,798 | ) | |||||
Electric Utilities – (2.2)% | |||||||||
American Electric Power Co., Inc. | (130 | ) | (9,002 | ) | |||||
Duke Energy Corp. | (108 | ) | (8,541 | ) | |||||
Exelon Corp. | (224 | ) | (9,542 | ) | |||||
NextEra Energy, Inc. | (54 | ) | (9,020 | ) | |||||
Southern Co. (The) | (180 | ) | (8,336 | ) | |||||
(44,441 | ) | ||||||||
Electrical Equipment – (0.8)% | |||||||||
Eaton Corp. plc | (114 | ) | (8,520 | ) | |||||
Emerson Electric Co. | (118 | ) | (8,159 | ) | |||||
(16,679 | ) | ||||||||
Electronic Equipment, Instruments & Components – (1.3)% | |||||||||
Amphenol Corp., Class A | (98 | ) | (8,541 | ) | |||||
Corning, Inc. | (310 | ) | (8,528 | ) | |||||
TE Connectivity Ltd. | (94 | ) | (8,465 | ) | |||||
(25,534 | ) | ||||||||
Energy Equipment & Services – (0.9)% | |||||||||
Halliburton Co. | (198 | ) | (8,922 | ) | |||||
Schlumberger Ltd. | (134 | ) | (8,982 | ) | |||||
(17,904 | ) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (4.8)% | |||||||||
American Tower Corp. | (58 | ) | (8,362 | ) | |||||
AvalonBay Communities, Inc. | (54 | ) | (9,282 | ) | |||||
Crown Castle International Corp. | (80 | ) | (8,626 | ) | |||||
Digital Realty Trust, Inc. | (78 | ) | (8,703 | ) | |||||
Equinix, Inc. | (20 | ) | (8,598 | ) | |||||
Equity Residential | (142 | ) | (9,044 | ) | |||||
Prologis, Inc. | (136 | ) | (8,934 | ) | |||||
Public Storage | (40 | ) | (9,074 | ) | |||||
Simon Property Group, Inc. | (52 | ) | (8,850 | ) | |||||
Welltower, Inc. | (144 | ) | (9,027 | ) | |||||
Weyerhaeuser Co. | (252 | ) | (9,188 | ) | |||||
(97,688 | ) | ||||||||
Food & Staples Retailing – (1.8)% | |||||||||
Costco Wholesale Corp. | (42 | ) | (8,777 | ) |
Investments | Number of Shares | Value | |||||||
Sysco Corp. | (130 | ) | $ | (8,878 | ) | ||||
Walgreens Boots Alliance, Inc. | (150 | ) | (9,002 | ) | |||||
Walmart, Inc. | (108 | ) | (9,250 | ) | |||||
(35,907 | ) | ||||||||
Food Products – (1.3)% | |||||||||
General Mills, Inc. | (192 | ) | (8,498 | ) | |||||
Kraft Heinz Co. (The) | (140 | ) | (8,795 | ) | |||||
Mondelez International, Inc., Class A | (220 | ) | (9,020 | ) | |||||
(26,313 | ) | ||||||||
Health Care Equipment & Supplies – (1.7)% | |||||||||
Abbott Laboratories | (138 | ) | (8,417 | ) | |||||
Becton Dickinson and Co. | (38 | ) | (9,103 | ) | |||||
Danaher Corp. | (84 | ) | (8,289 | ) | |||||
Medtronic plc | (110 | ) | (9,417 | ) | |||||
(35,226 | ) | ||||||||
Health Care Providers & Services – (1.3)% | |||||||||
Anthem, Inc. | (40 | ) | (9,521 | ) | |||||
CVS Health Corp. | (140 | ) | (9,009 | ) | |||||
UnitedHealth Group, Inc. | (36 | ) | (8,832 | ) | |||||
(27,362 | ) | ||||||||
Hotels, Restaurants & Leisure – (2.6)% | |||||||||
Carnival Corp. | (156 | ) | (8,940 | ) | |||||
Las Vegas Sands Corp. | (120 | ) | (9,163 | ) | |||||
Marriott International, Inc., Class A | (64 | ) | (8,102 | ) | |||||
McDonald’s Corp. | (56 | ) | (8,775 | ) | |||||
Starbucks Corp. | (184 | ) | (8,989 | ) | |||||
Yum! Brands, Inc. | (108 | ) | (8,448 | ) | |||||
(52,417 | ) | ||||||||
Household Products – (1.3)% | |||||||||
Colgate-Palmolive Co. | (134 | ) | (8,685 | ) | |||||
Kimberly-Clark Corp. | (88 | ) | (9,270 | ) | |||||
Procter & Gamble Co. (The) | (120 | ) | (9,367 | ) | |||||
(27,322 | ) | ||||||||
Industrial Conglomerates – (1.7)% | |||||||||
3M Co. | (46 | ) | (9,049 | ) | |||||
General Electric Co. | (592 | ) | (8,057 | ) | |||||
Honeywell International, Inc. | (60 | ) | (8,643 | ) | |||||
Roper Technologies, Inc. | (30 | ) | (8,277 | ) | |||||
(34,026 | ) | ||||||||
Insurance – (4.6)% | |||||||||
Aflac, Inc. | (192 | ) | (8,260 | ) | |||||
Allstate Corp. (The) | (98 | ) | (8,944 | ) | |||||
American International Group, Inc. | (160 | ) | (8,483 | ) | |||||
Aon plc | (62 | ) | (8,504 | ) | |||||
Chubb Ltd. | (64 | ) | (8,129 | ) | |||||
Marsh & McLennan Cos., Inc. | (106 | ) | (8,689 | ) | |||||
MetLife, Inc. | (188 | ) | (8,197 | ) | |||||
Progressive Corp. (The) | (144 | ) | (8,518 | ) |
See accompanying notes to the financial statements.
21
FQF Trust
AGFiQ U.S. Market Neutral Size Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Prudential Financial, Inc. | (96 | ) | $ | (8,977 | ) | ||||
Travelers Cos., Inc. (The) | (70 | ) | (8,564 | ) | |||||
Willis Towers Watson plc | (56 | ) | (8,490 | ) | |||||
(93,755 | ) | ||||||||
Internet & Direct Marketing Retail – (1.3)% | |||||||||
Amazon.com, Inc.* | (6 | ) | (10,199 | ) | |||||
Booking Holdings, Inc.* | (4 | ) | (8,108 | ) | |||||
Netflix, Inc.* | (22 | ) | (8,612 | ) | |||||
(26,919 | ) | ||||||||
Internet Software & Services – (1.3)% | |||||||||
Alphabet, Inc., Class C* | (8 | ) | (8,925 | ) | |||||
eBay, Inc.* | (236 | ) | (8,557 | ) | |||||
Facebook, Inc., Class A* | (46 | ) | (8,939 | ) | |||||
(26,421 | ) | ||||||||
IT Services – (4.5)% | |||||||||
Accenture plc, Class A | (54 | ) | (8,834 | ) | |||||
Automatic Data Processing, Inc. | (70 | ) | (9,390 | ) | |||||
Cognizant Technology Solutions Corp., Class A | (118 | ) | (9,321 | ) | |||||
Fidelity National Information Services, Inc. | (84 | ) | (8,906 | ) | |||||
Fiserv, Inc.* | (120 | ) | (8,891 | ) | |||||
International Business Machines Corp. | (60 | ) | (8,382 | ) | |||||
Mastercard, Inc., Class A | (50 | ) | (9,826 | ) | |||||
PayPal Holdings, Inc.* | (114 | ) | (9,493 | ) | |||||
Visa, Inc., Class A | (68 | ) | (9,007 | ) | |||||
Worldpay, Inc.* | (112 | ) | (9,159 | ) | |||||
(91,209 | ) | ||||||||
Life Sciences Tools & Services – (0.4)% | |||||||||
Thermo Fisher Scientific, Inc. | (42 | ) | (8,700 | ) | |||||
Machinery – (2.5)% | |||||||||
Caterpillar, Inc. | (66 | ) | (8,954 | ) | |||||
Cummins, Inc. | (62 | ) | (8,246 | ) | |||||
Deere & Co. | (58 | ) | (8,108 | ) | |||||
Illinois Tool Works, Inc. | (60 | ) | (8,313 | ) | |||||
PACCAR, Inc. | (132 | ) | (8,179 | ) | |||||
Parker-Hannifin Corp. | (58 | ) | (9,039 | ) | |||||
(50,839 | ) | ||||||||
Media – (1.4)% | |||||||||
Charter Communications, Inc., Class A* | (32 | ) | (9,383 | ) | |||||
Comcast Corp., Class A | (286 | ) | (9,383 | ) | |||||
Walt Disney Co. (The) | (86 | ) | (9,014 | ) | |||||
(27,780 | ) | ||||||||
Metals & Mining – (0.9)% | |||||||||
Freeport-McMoRan, Inc. | (566 | ) | (9,769 | ) | |||||
Newmont Mining Corp. | (236 | ) | (8,900 | ) | |||||
(18,669 | ) | ||||||||
Multiline Retail – (0.9)% | |||||||||
Dollar General Corp. | (90 | ) | (8,874 | ) |
Investments | Number of Shares | Value | |||||||
Target Corp. | (126 | ) | $ | (9,591 | ) | ||||
(18,465 | ) | ||||||||
Multi-Utilities – (1.8)% | |||||||||
Consolidated Edison, Inc. | (116 | ) | (9,046 | ) | |||||
Dominion Energy, Inc. | (128 | ) | (8,727 | ) | |||||
Public Service Enterprise Group, Inc. | (172 | ) | (9,312 | ) | |||||
Sempra Energy | (80 | ) | (9,289 | ) | |||||
(36,374 | ) | ||||||||
Oil, Gas & Consumable Fuels – (4.0)% | |||||||||
Anadarko Petroleum Corp. | (128 | ) | (9,376 | ) | |||||
Chevron Corp. | (68 | ) | (8,597 | ) | |||||
ConocoPhillips | (132 | ) | (9,190 | ) | |||||
EOG Resources, Inc. | (74 | ) | (9,208 | ) | |||||
Exxon Mobil Corp. | (110 | ) | (9,100 | ) | |||||
Marathon Petroleum Corp. | (128 | ) | (8,981 | ) | |||||
Occidental Petroleum Corp. | (106 | ) | (8,870 | ) | |||||
Phillips 66 | (78 | ) | (8,760 | ) | |||||
Valero Energy Corp. | (78 | ) | (8,645 | ) | |||||
(80,727 | ) | ||||||||
Personal Products – (0.4)% | |||||||||
Estee Lauder Cos., Inc. (The), Class A | (58 | ) | (8,276 | ) | |||||
Pharmaceuticals – (2.2)% | |||||||||
Bristol-Myers Squibb Co. | (166 | ) | (9,186 | ) | |||||
Eli Lilly & Co. | (104 | ) | (8,874 | ) | |||||
Johnson & Johnson | (74 | ) | (8,979 | ) | |||||
Merck & Co., Inc. | (160 | ) | (9,712 | ) | |||||
Pfizer, Inc. | (248 | ) | (8,998 | ) | |||||
(45,749 | ) | ||||||||
Road & Rail – (1.3)% | |||||||||
CSX Corp. | (136 | ) | (8,674 | ) | |||||
Norfolk Southern Corp. | (58 | ) | (8,751 | ) | |||||
Union Pacific Corp. | (62 | ) | (8,784 | ) | |||||
(26,209 | ) | ||||||||
Semiconductors & Semiconductor Equipment – (3.9)% | |||||||||
Analog Devices, Inc. | (94 | ) | (9,016 | ) | |||||
Applied Materials, Inc. | (174 | ) | (8,037 | ) | |||||
Broadcom, Inc. | (38 | ) | (9,220 | ) | |||||
Intel Corp. | (180 | ) | (8,948 | ) | |||||
Lam Research Corp. | (52 | ) | (8,988 | ) | |||||
Micron Technology, Inc.* | (154 | ) | (8,076 | ) | |||||
NVIDIA Corp. | (38 | ) | (9,002 | ) | |||||
QUALCOMM, Inc. | (156 | ) | (8,755 | ) | |||||
Texas Instruments, Inc. | (78 | ) | (8,600 | ) | |||||
(78,642 | ) | ||||||||
Software – (3.5)% | |||||||||
Activision Blizzard, Inc. | (118 | ) | (9,006 | ) | |||||
Adobe Systems, Inc.* | (36 | ) | (8,777 | ) | |||||
Electronic Arts, Inc.* | (68 | ) | (9,589 | ) |
See accompanying notes to the financial statements.
22
FQF Trust
AGFiQ U.S. Market Neutral Size Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Intuit, Inc. | (44 | ) | $ | (8,990 | ) | ||||
Microsoft Corp. | (90 | ) | (8,875 | ) | |||||
Oracle Corp. | (190 | ) | (8,371 | ) | |||||
salesforce.com, Inc.* | (68 | ) | (9,275 | ) | |||||
ServiceNow, Inc.* | (52 | ) | (8,969 | ) | |||||
(71,852 | ) | ||||||||
Specialty Retail – (1.8)% | |||||||||
Home Depot, Inc. (The) | (48 | ) | (9,365 | ) | |||||
Lowe’s Cos., Inc. | (92 | ) | (8,792 | ) | |||||
Ross Stores, Inc. | (106 | ) | (8,984 | ) | |||||
TJX Cos., Inc. (The) | (94 | ) | (8,947 | ) | |||||
(36,088 | ) | ||||||||
Technology Hardware, Storage & Peripherals – (1.3)% | |||||||||
Apple, Inc. | (52 | ) | (9,626 | ) | |||||
HP, Inc. | (366 | ) | (8,304 | ) | |||||
Western Digital Corp. | (110 | ) | (8,515 | ) | |||||
(26,445 | ) | ||||||||
Textiles, Apparel & Luxury Goods – (0.9)% | |||||||||
NIKE, Inc., Class B | (112 | ) | (8,924 | ) | |||||
VF Corp. | (110 | ) | (8,967 | ) | |||||
(17,891 | ) | ||||||||
Tobacco – (0.9)% | |||||||||
Altria Group, Inc. | (160 | ) | (9,086 | ) | |||||
Philip Morris International, Inc. | (106 | ) | (8,559 | ) | |||||
(17,645 | ) |
Investments | Number of Shares | Value | ||||||
Total Common Stocks (Proceeds $(1,515,519)) | $ | (1,761,487 | ) | |||||
Total Short Positions (Proceeds $(1,515,519)) | (1,761,487 | ) | ||||||
Total Investments – 1.0% (Cost $147,151) | 20,431 | |||||||
Other Assets Less Liabilities – 99.0% | 2,016,941 | |||||||
Net Assets – 100.0% | $ | 2,037,372 |
* | Non-income producing security. |
(a) | All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $854,428. |
As of June 30, 2018, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative contracts, if any) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 204,290 | ||
Aggregate gross unrealized depreciation | (484,521 | ) | ||
Net unrealized depreciation | $ | (280,231 | ) | |
Federal income tax cost of investments (including derivative contracts, if any) | $ | 299,113 |
OTC Total return swap contracts outstanding as of June 30, 2018
Notional Amount | Termination Date(1) | Counterparty | Rate Paid (Received)(2) | Underlying Instrument(3) | Value and Unrealized Appreciation/ (Depreciation)(4) | Cash Collateral (Received) Pledged | Net Amount(5) | |||||||||||||||||||||
217,783 USD | 10/3/2019 | Morgan Stanley | 2.39 | % | Dow Jones U.S. Thematic Long Size Total Return Index(6) | $ | 14,986 | $ | — | $ | 14,986 | |||||||||||||||||
(220,814) USD | 10/3/2019 | Morgan Stanley | (1.69 | )% | Dow Jones U.S. Thematic Short Size Total Return Index(7) | (16,535 | ) | 10,000 | (8) | (6,535 | ) | |||||||||||||||||
$ | (1,549 | ) | $ | 8,451 |
(1) | Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity. |
(2) | Reflects the floating financing rate, as of June 30, 2018, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Payments may be made at the conclusion of the agreement or periodically during its term. |
(3) | The 50 largest components of the referenced underlying Swap Index can be found at http://www.agfiq.com/agfiq/agfiqweb/us/en/resources/regulatory-material/index.jsp |
(4) | The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at year end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or “net” these amounts on its Statement of Assets and Liabilities. |
See accompanying notes to the financial statements.
23
FQF Trust
AGFiQ U.S. Market Neutral Size Fund
Schedule of Investments
June 30, 2018
(5) | Represents the “uncollateralized” amount due from or (to) the counterparty at year end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum “thresholds” that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from the counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default. |
(6) | The Dow Jones U.S. Thematic Long Size Total Return Index (DJTLSST) is designed to measure the performance of 200 companies ranked as the smallest in size. Size is determined by float-adjusted market capitalization at each rebalance. Dividends are reinvested. |
(7) | The Dow Jones U.S. Thematic Short Size Total Return Index (DJTSSST) is designed to measure the performance of 200 companies ranked as the largest in size. Size is determined by float-adjusted market capitalization at each rebalance. Dividends are reinvested. |
(8) | Reflects all or a portion of the amount disclosed on the Statement of Assets and Liabilities as “Segregated cash balance with custodian for swap agreements.” Under U.S. GAAP, the amount disclosed under this caption may not exceed the amount of the liability being collateralized for the benefit of the counterparty. |
Abbreviations | ||
USD | US Dollar |
See accompanying notes to the financial statements.
24
FQF Trust
AGFiQ U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Long Positions – 86.9% | |||||||||
Common Stocks – 86.9% | |||||||||
Aerospace & Defense – 2.6% | |||||||||
BWX Technologies, Inc.(a) | 630 | $ | 39,262 | ||||||
Harris Corp.(a) | 270 | 39,026 | |||||||
HEICO Corp.(a) | 532 | 38,762 | |||||||
Lockheed Martin Corp. | 135 | 39,883 | |||||||
Northrop Grumman Corp. | 126 | 38,770 | |||||||
Raytheon Co. | 198 | 38,250 | |||||||
233,953 | |||||||||
Air Freight & Logistics – 0.4% | |||||||||
CH Robinson Worldwide, Inc.(a) | 468 | 39,153 | |||||||
Airlines – 1.3% | |||||||||
Alaska Air Group, Inc.(a) | 648 | 39,132 | |||||||
JetBlue Airways Corp.*(a) | 2,061 | 39,118 | |||||||
Spirit Airlines, Inc.* | 1,071 | 38,931 | |||||||
117,181 | |||||||||
Beverages – 0.9% | |||||||||
Constellation Brands, Inc., Class A | 180 | 39,397 | |||||||
Dr Pepper Snapple Group, Inc.(a) | 324 | 39,528 | |||||||
78,925 | |||||||||
Biotechnology – 0.9% | |||||||||
Regeneron Pharmaceuticals, Inc.* | 117 | 40,364 | |||||||
United Therapeutics Corp.* | 342 | 38,697 | |||||||
79,061 | |||||||||
Capital Markets – 0.4% | |||||||||
CME Group, Inc.(a) | 243 | 39,832 | |||||||
Chemicals – 3.1% | |||||||||
Axalta Coating Systems Ltd.*(a) | 1,287 | 39,009 | |||||||
Ecolab, Inc.(a) | 279 | 39,152 | |||||||
International Flavors & Fragrances, Inc.(a) | 315 | 39,047 | |||||||
NewMarket Corp. | 99 | 40,046 | |||||||
PPG Industries, Inc. | 378 | 39,210 | |||||||
Sherwin-Williams Co. (The) | 99 | 40,350 | |||||||
Valvoline, Inc. | 1,818 | 39,214 | |||||||
276,028 | |||||||||
Communications Equipment – 2.6% | |||||||||
Arista Networks, Inc.*(a) | 153 | 39,396 | |||||||
CommScope Holding Co., Inc.*(a) | 1,341 | 39,164 | |||||||
F5 Networks, Inc.*(a) | 225 | 38,801 | |||||||
InterDigital, Inc.(a) | 486 | 39,317 | |||||||
Lumentum Holdings, Inc.*(a) | 684 | 39,604 | |||||||
Palo Alto Networks, Inc.* | 189 | 38,834 | |||||||
235,116 | |||||||||
Construction & Engineering – 0.4% | |||||||||
Valmont Industries, Inc. | 261 | 39,346 |
Investments | Number of Shares | Value | |||||||
Construction Materials – 0.9% | |||||||||
Martin Marietta Materials, Inc. | 171 | $ | 38,190 | ||||||
Vulcan Materials Co. | 306 | 39,492 | |||||||
77,682 | |||||||||
Containers & Packaging – 1.7% | |||||||||
Ball Corp.(a) | 1,098 | 39,034 | |||||||
Bemis Co., Inc.(a) | 927 | 39,129 | |||||||
Graphic Packaging Holding Co.(a) | 2,691 | 39,046 | |||||||
Sonoco Products Co. | 747 | 39,217 | |||||||
156,426 | |||||||||
Diversified Consumer Services – 0.4% | |||||||||
Bright Horizons Family Solutions, Inc.*(a) | 387 | 39,675 | |||||||
Diversified Telecommunication Services – 0.9% | |||||||||
AT&T, Inc. | 1,215 | 39,014 | |||||||
Zayo Group Holdings, Inc.* | 1,071 | 39,070 | |||||||
78,084 | |||||||||
Electric Utilities – 2.2% | |||||||||
ALLETE, Inc.(a) | 504 | 39,015 | |||||||
IDACORP, Inc.(a) | 423 | 39,017 | |||||||
OGE Energy Corp. | 1,116 | 39,294 | |||||||
Portland General Electric Co. | 918 | 39,254 | |||||||
Southern Co. (The) | 846 | 39,178 | |||||||
195,758 | |||||||||
Electrical Equipment – 0.4% | |||||||||
Hubbell, Inc.(a) | 369 | 39,018 | |||||||
Electronic Equipment, Instruments & Components – 0.4% | |||||||||
Jabil, Inc.(a) | 1,413 | 39,084 | |||||||
Equity Real Estate Investment Trusts (REITs) – 18.3% | |||||||||
Apartment Investment & Management Co., Class A(a) | 927 | 39,212 | |||||||
AvalonBay Communities, Inc.(a) | 225 | 38,675 | |||||||
Camden Property Trust(a) | 432 | 39,368 | |||||||
Corporate Office Properties Trust | 1,359 | 39,397 | |||||||
CubeSmart(a) | 1,224 | 39,437 | |||||||
Duke Realty Corp.(a) | 1,350 | 39,191 | |||||||
Equinix, Inc.(a) | 90 | 38,690 | |||||||
Equity Commonwealth*(a) | 1,251 | 39,407 | |||||||
Equity Residential(a) | 621 | 39,551 | |||||||
Essex Property Trust, Inc.(a) | 162 | 38,729 | |||||||
Extra Space Storage, Inc.(a) | 396 | 39,525 | |||||||
Forest City Realty Trust, Inc., Class A(a) | 1,728 | 39,416 | |||||||
HCP, Inc.(a) | 1,521 | 39,272 | |||||||
Healthcare Realty Trust, Inc.(a) | 1,359 | 39,520 | |||||||
Healthcare Trust of America, Inc., Class A(a) | 1,458 | 39,308 | |||||||
Iron Mountain, Inc.(a) | 1,125 | 39,386 | |||||||
Kimco Realty Corp.(a) | 2,304 | 39,145 | |||||||
Liberty Property Trust | 882 | 39,099 |
See accompanying notes to the financial statements.
25
FQF Trust
AGFiQ U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Life Storage, Inc. | 405 | $ | 39,411 | ||||||
Macerich Co. (The) | 693 | 39,383 | |||||||
Medical Properties Trust, Inc. | 2,790 | 39,172 | |||||||
Mid-America Apartment Communities, Inc. | 387 | 38,959 | |||||||
National Health Investors, Inc. | 531 | 39,124 | |||||||
National Retail Properties, Inc. | 891 | 39,168 | |||||||
Omega Healthcare Investors, Inc. | 1,260 | 39,060 | |||||||
Paramount Group, Inc. | 2,547 | 39,224 | |||||||
Physicians Realty Trust(a) | 2,457 | 39,165 | |||||||
Public Storage | 171 | 38,793 | |||||||
Realty Income Corp. | 729 | 39,213 | |||||||
Regency Centers Corp. | 630 | 39,110 | |||||||
Retail Properties of America, Inc., Class A | 3,078 | 39,337 | |||||||
Senior Housing Properties Trust | 2,169 | 39,237 | |||||||
Simon Property Group, Inc. | 234 | 39,824 | |||||||
Spirit Realty Capital, Inc. | 4,905 | 39,387 | |||||||
STORE Capital Corp. | 1,440 | 39,456 | |||||||
Taubman Centers, Inc. | 666 | 39,134 | |||||||
UDR, Inc. | 1,044 | 39,192 | |||||||
Ventas, Inc. | 693 | 39,466 | |||||||
VEREIT, Inc. | 5,265 | 39,172 | |||||||
Vornado Realty Trust | 531 | 39,252 | |||||||
Weingarten Realty Investors | 1,278 | 39,375 | |||||||
Welltower, Inc. | �� | 630 | 39,495 | ||||||
1,648,437 | |||||||||
Food & Staples Retailing – 0.4% | |||||||||
Sprouts Farmers Market, Inc.* | 1,782 | 39,329 | |||||||
Food Products – 2.2% | |||||||||
Bunge Ltd.(a) | 558 | 38,898 | |||||||
Campbell Soup Co.(a) | 963 | 39,040 | |||||||
Flowers Foods, Inc.(a) | 1,890 | 39,369 | |||||||
Hormel Foods Corp.(a) | 1,053 | 39,182 | |||||||
Kellogg Co.(a) | 567 | 39,616 | |||||||
196,105 | |||||||||
Gas Utilities – 0.4% | |||||||||
Spire, Inc. | 558 | 39,423 | |||||||
Health Care Equipment & Supplies – 1.3% | |||||||||
DexCom, Inc.*(a) | 414 | 39,322 | |||||||
Haemonetics Corp.*(a) | 441 | 39,549 | |||||||
NuVasive, Inc.* | 747 | 38,933 | |||||||
117,804 | |||||||||
Health Care Providers & Services – 5.7% | |||||||||
Acadia Healthcare Co., Inc.*(a) | 954 | 39,028 | |||||||
Anthem, Inc.(a) | 162 | 38,561 | |||||||
Centene Corp.*(a) | 315 | 38,811 | |||||||
Chemed Corp. | 126 | 40,548 | |||||||
Cigna Corp.(a) | 234 | 39,768 | |||||||
Encompass Health Corp.(a) | 576 | 39,007 | |||||||
HCA Healthcare, Inc.(a) | 378 | 38,783 |
Investments | Number of Shares | Value | ||||||||||||||
Humana, Inc.(a) | 135 | $ | 40,180 | |||||||||||||
Laboratory Corp. of America Holdings*(a) | 216 | 38,778 | ||||||||||||||
Magellan Health, Inc.* | 405 | 38,860 | ||||||||||||||
MEDNAX, Inc.* | 909 | 39,342 | ||||||||||||||
Universal Health Services, Inc., Class B | 351 | 39,115 | ||||||||||||||
WellCare Health Plans, Inc.* | 162 | 39,891 | ||||||||||||||
510,672 | ||||||||||||||||
Hotels, Restaurants & Leisure – 0.4% | ||||||||||||||||
Yum! Brands, Inc. | 504 | 39,423 | ||||||||||||||
Household Durables – 0.9% | ||||||||||||||||
Garmin Ltd.(a) | 639 | 38,979 | ||||||||||||||
Newell Brands, Inc. | 1,512 | 38,994 | ||||||||||||||
77,973 | ||||||||||||||||
Household Products – 0.9% | ||||||||||||||||
Church & Dwight Co., Inc.(a) | 738 | 39,232 | ||||||||||||||
Colgate-Palmolive Co.(a) | 603 | 39,080 | ||||||||||||||
78,312 | ||||||||||||||||
Industrial Conglomerates – 0.4% | ||||||||||||||||
Carlisle Cos., Inc.(a) | 360 | 38,992 | ||||||||||||||
Insurance – 1.3% | ||||||||||||||||
Everest Re Group Ltd. | 171 | 39,412 | ||||||||||||||
FNF Group(a) | 1,035 | 38,937 | ||||||||||||||
Markel Corp.* | 36 | 39,036 | ||||||||||||||
117,385 | ||||||||||||||||
Internet & Direct Marketing Retail – 0.4% | ||||||||||||||||
Shutterfly, Inc.* | 441 | 39,703 | ||||||||||||||
Internet Software & Services – 1.8% | ||||||||||||||||
eBay, Inc.*(a) | 1,080 | 39,161 | ||||||||||||||
GrubHub, Inc.*(a) | 378 | 39,656 | ||||||||||||||
Twitter, Inc.* | 900 | 39,303 | ||||||||||||||
VeriSign, Inc.* | 288 | 39,577 | ||||||||||||||
157,697 | ||||||||||||||||
IT Services – 3.9% | ||||||||||||||||
Amdocs Ltd.(a) | 594 | 39,317 | ||||||||||||||
CACI International, Inc., Class A*(a) | 234 | 39,441 | ||||||||||||||
Cognizant Technology Solutions Corp., Class A(a) | 495 | 39,100 | ||||||||||||||
Conduent, Inc.*(a) | 2,160 | 39,247 | ||||||||||||||
DXC Technology Co.(a) | 486 | 39,176 | ||||||||||||||
First Data Corp., Class A*(a) | 1,872 | 39,181 | ||||||||||||||
Fiserv, Inc.*(a) | 531 | 39,342 | ||||||||||||||
Genpact Ltd.(a) | 1,350 | 39,056 | ||||||||||||||
Worldpay, Inc.* | 477 | 39,009 | ||||||||||||||
352,869 | ||||||||||||||||
Leisure Products – 0.9% | ||||||||||||||||
Hasbro, Inc.(a) | 423 | 39,047 | ||||||||||||||
Mattel, Inc. | 2,394 | 39,310 | ||||||||||||||
78,357 |
See accompanying notes to the financial statements.
26
FQF Trust
AGFiQ U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Machinery – 2.2% | |||||||||
Dover Corp.(a) | 531 | $ | 38,869 | ||||||
Hillenbrand, Inc.(a) | 837 | 39,465 | |||||||
Ingersoll-Rand plc(a) | 432 | 38,763 | |||||||
Nordson Corp. | 306 | 39,293 | |||||||
Snap-on, Inc. | 243 | 39,055 | |||||||
195,445 | |||||||||
Media – 3.0% | |||||||||
Cinemark Holdings, Inc.(a) | 1,116 | 39,149 | |||||||
John Wiley & Sons, Inc., Class A(a) | 630 | 39,312 | |||||||
Liberty Global plc, Class C*(a) | 1,485 | 39,516 | |||||||
Madison Square Garden Co. (The), Class A* | 126 | 39,084 | |||||||
New York Times Co. (The), Class A | 1,512 | 39,161 | |||||||
Omnicom Group, Inc. | 513 | 39,127 | |||||||
Viacom, Inc., Class B | 1,296 | 39,087 | |||||||
274,436 | |||||||||
Metals & Mining – 0.9% | |||||||||
Newmont Mining Corp. | 1,035 | 39,030 | |||||||
Royal Gold, Inc. | 423 | 39,271 | |||||||
78,301 | |||||||||
Mortgage Real Estate Investment Trusts (REITs) – 1.3% | |||||||||
AGNC Investment Corp.(a) | 2,106 | 39,150 | |||||||
Annaly Capital Management, Inc. | 3,816 | 39,267 | |||||||
Starwood Property Trust, Inc. | 1,809 | 39,273 | |||||||
117,690 | |||||||||
Multiline Retail – 0.9% | |||||||||
Dollar General Corp.(a) | 396 | 39,046 | |||||||
Dollar Tree, Inc.*(a) | 459 | 39,015 | |||||||
78,061 | |||||||||
Multi-Utilities – 1.8% | |||||||||
Ameren Corp.(a) | 648 | 39,431 | |||||||
MDU Resources Group, Inc. | 1,368 | 39,234 | |||||||
NiSource, Inc. | 1,503 | 39,499 | |||||||
NorthWestern Corp. | 693 | 39,674 | |||||||
157,838 | |||||||||
Oil, Gas & Consumable Fuels – 4.3% | |||||||||
Anadarko Petroleum Corp.(a) | 531 | 38,896 | |||||||
Cabot Oil & Gas Corp.(a) | 1,638 | 38,984 | |||||||
Chevron Corp.(a) | 306 | 38,688 | |||||||
Cimarex Energy Co. | 387 | 39,373 | |||||||
Continental Resources, Inc.*(a) | 603 | 39,050 | |||||||
HollyFrontier Corp.(a) | 567 | 38,800 | |||||||
Occidental Petroleum Corp. | 468 | 39,162 | |||||||
PBF Energy, Inc., Class A | 936 | 39,246 | |||||||
Phillips 66 | 351 | 39,421 | |||||||
Targa Resources Corp. | 783 | 38,751 | |||||||
390,371 |
Investments | Number of Shares | Value | |||||||
Personal Products – 0.9% | |||||||||
Coty, Inc., Class A(a) | 2,790 | $ | 39,339 | ||||||
Herbalife Nutrition Ltd.* | 729 | 39,162 | |||||||
78,501 | |||||||||
Pharmaceuticals – 0.4% | |||||||||
Bristol-Myers Squibb Co.(a) | 711 | 39,347 | |||||||
Professional Services – 1.3% | |||||||||
Nielsen Holdings plc | 1,269 | 39,250 | |||||||
TransUnion | 549 | 39,331 | |||||||
Verisk Analytics, Inc.* | 369 | 39,719 | |||||||
118,300 | |||||||||
Road & Rail – 1.3% | |||||||||
JB Hunt Transport Services, Inc.(a) | 324 | 39,382 | |||||||
Kansas City Southern(a) | 369 | 39,099 | |||||||
Ryder System, Inc. | 540 | 38,805 | |||||||
117,286 | |||||||||
Semiconductors & Semiconductor Equipment – 1.3% | |||||||||
Qorvo, Inc.* | 486 | 38,963 | |||||||
Semtech Corp.* | 837 | 39,381 | |||||||
Skyworks Solutions, Inc. | 405 | 39,143 | |||||||
117,487 | |||||||||
Software – 2.2% | |||||||||
Blackbaud, Inc.(a) | 387 | 39,648 | |||||||
Ellie Mae, Inc.* | 378 | 39,252 | |||||||
Fortinet, Inc.*(a) | 630 | 39,331 | |||||||
Symantec Corp. | 1,908 | 39,400 | |||||||
Ultimate Software Group, Inc. (The)* | 153 | 39,368 | |||||||
196,999 | |||||||||
Specialty Retail – 3.4% | |||||||||
American Eagle Outfitters, Inc.(a) | 1,665 | 38,711 | |||||||
Bed Bath & Beyond, Inc.(a) | 1,953 | 38,914 | |||||||
Burlington Stores, Inc.* | 261 | 39,288 | |||||||
Gap, Inc. (The)(a) | 1,197 | 38,771 | |||||||
Tiffany & Co. | 297 | 39,085 | |||||||
TJX Cos., Inc. (The) | 414 | 39,405 | |||||||
Ulta Beauty, Inc.* | 162 | 37,820 | |||||||
Urban Outfitters, Inc.* | 864 | 38,491 | |||||||
310,485 | |||||||||
Textiles, Apparel & Luxury Goods – 1.7% | |||||||||
Deckers Outdoor Corp.*(a) | 351 | 39,625 | |||||||
Skechers U.S.A., Inc., Class A* | 1,305 | 39,163 | |||||||
Tapestry, Inc. | 837 | 39,096 | |||||||
VF Corp. | 477 | 38,885 | |||||||
156,769 | |||||||||
Trading Companies & Distributors – 0.9% | |||||||||
MSC Industrial Direct Co., Inc., Class A | 459 | 38,946 | |||||||
Watsco, Inc. | 216 | 38,509 | |||||||
77,455 | |||||||||
Transportation Infrastructure – 0.4% |
See accompanying notes to the financial statements.
27
FQF Trust
AGFiQ U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | ||||||||||||||
Macquarie Infrastructure Corp. | 927 | $ | 39,119 | |||||||||||||
Total Common Stocks (Cost $7,507,728) | 7,840,693 | |||||||||||||||
Total Long Positions (Cost $7,507,728) | 7,840,693 | |||||||||||||||
Short Positions – (85.6)% | ||||||||||||||||
Common Stocks – (85.6)% | ||||||||||||||||
Aerospace & Defense – (0.9)% | ||||||||||||||||
Arconic, Inc. | (2,259 | ) | (38,426 | ) | ||||||||||||
Curtiss-Wright Corp. | (324 | ) | (38,562 | ) | ||||||||||||
(76,988 | ) | |||||||||||||||
Air Freight & Logistics – (0.9)% | ||||||||||||||||
FedEx Corp. | (171 | ) | (38,827 | ) | ||||||||||||
United Parcel Service, Inc., Class B | (360 | ) | (38,243 | ) | ||||||||||||
(77,070 | ) | |||||||||||||||
Airlines – (0.4)% | ||||||||||||||||
American Airlines Group, Inc. | (1,008 | ) | (38,264 | ) | ||||||||||||
Auto Components – (3.0)% | ||||||||||||||||
Adient plc | (792 | ) | (38,959 | ) | ||||||||||||
Aptiv plc | (423 | ) | (38,760 | ) | ||||||||||||
BorgWarner, Inc. | (891 | ) | (38,456 | ) | ||||||||||||
Dana, Inc. | (1,890 | ) | (38,159 | ) | ||||||||||||
Goodyear Tire & Rubber Co. (The) | (1,656 | ) | (38,568 | ) | ||||||||||||
Tenneco, Inc. | (864 | ) | (37,981 | ) | ||||||||||||
Visteon Corp.* | (297 | ) | (38,384 | ) | ||||||||||||
(269,267 | ) | |||||||||||||||
Automobiles – (0.4)% | ||||||||||||||||
Tesla, Inc.* | (108 | ) | (37,039 | ) | ||||||||||||
Banks – (6.4)% | ||||||||||||||||
Bank of America Corp. | (1,368 | ) | (38,564 | ) | ||||||||||||
Bank of the Ozarks | (855 | ) | (38,509 | ) | ||||||||||||
Citizens Financial Group, Inc. | (981 | ) | (38,161 | ) | ||||||||||||
Comerica, Inc. | (423 | ) | (38,459 | ) | ||||||||||||
Cullen/Frost Bankers, Inc. | (351 | ) | (37,992 | ) | ||||||||||||
Hancock Whitney Corp. | (819 | ) | (38,206 | ) | ||||||||||||
Pinnacle Financial Partners, Inc. | (630 | ) | (38,651 | ) | ||||||||||||
Prosperity Bancshares, Inc. | (558 | ) | (38,145 | ) | ||||||||||||
Regions Financial Corp. | (2,151 | ) | (38,245 | ) | ||||||||||||
Sterling Bancorp | (1,629 | ) | (38,282 | ) | ||||||||||||
SVB Financial Group* | (135 | ) | (38,983 | ) | ||||||||||||
Texas Capital Bancshares, Inc.* | (423 | ) | (38,704 | ) | ||||||||||||
Webster Financial Corp. | (603 | ) | (38,411 | ) | ||||||||||||
Wells Fargo & Co. | (693 | ) | (38,420 | ) | ||||||||||||
Wintrust Financial Corp. | (441 | ) | (38,389 | ) | ||||||||||||
(576,121 | ) | |||||||||||||||
Beverages – (0.9)% | ||||||||||||||||
Molson Coors Brewing Co., Class B | (567 | ) | (38,579 | ) |
Investments | Number of Shares | Value | |||||||
Monster Beverage Corp.* | (675 | ) | $ | (38,677 | ) | ||||
(77,256 | ) | ||||||||
Biotechnology – (6.0)% | |||||||||
AbbVie, Inc. | (414 | ) | (38,357 | ) | |||||
Agios Pharmaceuticals, Inc.* | (459 | ) | (38,662 | ) | |||||
Alexion Pharmaceuticals, Inc.* | (315 | ) | (39,107 | ) | |||||
Alkermes plc* | (936 | ) | (38,526 | ) | |||||
Alnylam Pharmaceuticals, Inc.* | (387 | ) | (38,116 | ) | |||||
Amgen, Inc. | (207 | ) | (38,210 | ) | |||||
BioMarin Pharmaceutical, Inc.* | (414 | ) | (38,999 | ) | |||||
Bluebird Bio, Inc.* | (243 | ) | (38,139 | ) | |||||
Exact Sciences Corp.* | (648 | ) | (38,744 | ) | |||||
Incyte Corp.* | (576 | ) | (38,592 | ) | |||||
Ionis Pharmaceuticals, Inc.* | (936 | ) | (39,003 | ) | |||||
Portola Pharmaceuticals, Inc.* | (1,026 | ) | (38,752 | ) | |||||
Seattle Genetics, Inc.* | (585 | ) | (38,838 | ) | |||||
Ultragenyx Pharmaceutical, Inc.* | (504 | ) | (38,742 | ) | |||||
(540,787 | ) | ||||||||
Building Products – (0.9)% | |||||||||
AO Smith Corp. | (648 | ) | (38,329 | ) | |||||
Johnson Controls International plc | (1,152 | ) | (38,535 | ) | |||||
(76,864 | ) | ||||||||
Capital Markets – (8.6)% | |||||||||
Affiliated Managers Group, Inc. | (261 | ) | (38,803 | ) | |||||
Ameriprise Financial, Inc. | (279 | ) | (39,027 | ) | |||||
BGC Partners, Inc., Class A | (3,384 | ) | (38,307 | ) | |||||
BlackRock, Inc. | (81 | ) | (40,422 | ) | |||||
Cboe Global Markets, Inc. | (369 | ) | (38,402 | ) | |||||
Charles Schwab Corp. (The) | (756 | ) | (38,632 | ) | |||||
E*TRADE Financial Corp.* | (630 | ) | (38,531 | ) | |||||
Eaton Vance Corp. | (738 | ) | (38,516 | ) | |||||
Federated Investors, Inc., Class B | (1,656 | ) | (38,618 | ) | |||||
Franklin Resources, Inc. | (1,206 | ) | (38,652 | ) | |||||
Goldman Sachs Group, Inc. (The) | (171 | ) | (37,717 | ) | |||||
Invesco Ltd. | (1,449 | ) | (38,485 | ) | |||||
Janus Henderson Group plc | (1,260 | ) | (38,720 | ) | |||||
Lazard Ltd., Class A | (792 | ) | (38,737 | ) | |||||
Legg Mason, Inc. | (1,107 | ) | (38,446 | ) | |||||
Morgan Stanley | (810 | ) | (38,394 | ) | |||||
Raymond James Financial, Inc. | (432 | ) | (38,599 | ) | |||||
State Street Corp. | (414 | ) | (38,539 | ) | |||||
Stifel Financial Corp. | (738 | ) | (38,561 | ) | |||||
T. Rowe Price Group, Inc. | (333 | ) | (38,658 | ) | |||||
(772,766 | ) | ||||||||
Chemicals – (1.3)% | |||||||||
Mosaic Co. (The) | (1,368 | ) | (38,372 | ) | |||||
Olin Corp. | (1,341 | ) | (38,514 | ) | |||||
Trinseo SA | (540 | ) | (38,313 | ) | |||||
(115,199 | ) |
See accompanying notes to the financial statements.
28
FQF Trust
AGFiQ U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Commercial Services & Supplies – (1.7)% | |||||||||
Clean Harbors, Inc.* | (702 | ) | $ | (38,996 | ) | ||||
Copart, Inc.* | (684 | ) | (38,687 | ) | |||||
Healthcare Services Group, Inc. | (891 | ) | (38,482 | ) | |||||
Rollins, Inc. | (738 | ) | (38,804 | ) | |||||
(154,969 | ) | ||||||||
Construction & Engineering – (0.8)% | |||||||||
Jacobs Engineering Group, Inc. | (603 | ) | (38,284 | ) | |||||
MasTec, Inc.* | (756 | ) | (38,367 | ) | |||||
(76,651 | ) | ||||||||
Consumer Finance – (1.7)% | |||||||||
Capital One Financial Corp. | (414 | ) | (38,047 | ) | |||||
Credit Acceptance Corp.* | (108 | ) | (38,167 | ) | |||||
Discover Financial Services | (549 | ) | (38,655 | ) | |||||
Synchrony Financial | (1,152 | ) | (38,454 | ) | |||||
(153,323 | ) | ||||||||
Containers & Packaging – (0.4)% | |||||||||
WestRock Co. | (675 | ) | (38,488 | ) | |||||
Distributors – (0.4)% | |||||||||
LKQ Corp.* | (1,215 | ) | (38,759 | ) | |||||
Diversified Financial Services – (0.4)% | |||||||||
Voya Financial, Inc. | (819 | ) | (38,493 | ) | |||||
Diversified Telecommunication Services – (0.4)% | |||||||||
CenturyLink, Inc. | (2,070 | ) | (38,585 | ) | |||||
Electric Utilities – (0.9)% | |||||||||
Eversource Energy | (666 | ) | (39,034 | ) | |||||
PG&E Corp. | (909 | ) | (38,687 | ) | |||||
(77,721 | ) | ||||||||
Electrical Equipment – (0.4)% | |||||||||
nVent Electric plc* | (1,548 | ) | (38,855 | ) | |||||
Electronic Equipment, Instruments & Components – (2.6)% | |||||||||
Arrow Electronics, Inc.* | (513 | ) | (38,619 | ) | |||||
Belden, Inc. | (630 | ) | (38,505 | ) | |||||
Cognex Corp. | (864 | ) | (38,543 | ) | |||||
Coherent, Inc.* | (243 | ) | (38,010 | ) | |||||
Trimble, Inc.* | (1,179 | ) | (38,718 | ) | |||||
Vishay Intertechnology, Inc. | (1,674 | ) | (38,837 | ) | |||||
(231,232 | ) | ||||||||
Energy Equipment & Services – (1.7)% | |||||||||
Ensco plc, Class A | (5,301 | ) | (38,485 | ) | |||||
Nabors Industries Ltd. | (5,976 | ) | (38,306 | ) | |||||
Patterson-UTI Energy, Inc. | (2,133 | ) | (38,394 | ) | |||||
Weatherford International plc* | (11,727 | ) | (38,582 | ) | |||||
(153,767 | ) |
Investments | Number of Shares | Value | |||||||
Equity Real Estate Investment Trusts (REITs) – (0.9)% | |||||||||
Ryman Hospitality Properties, Inc. | (468 | ) | $ | (38,914 | ) | ||||
Uniti Group, Inc. | (1,935 | ) | (38,758 | ) | |||||
(77,672 | ) | ||||||||
Food & Staples Retailing – (0.4)% | |||||||||
US Foods Holding Corp.* | (1,026 | ) | (38,803 | ) | |||||
Gas Utilities – (1.3)% | |||||||||
National Fuel Gas Co. | (729 | ) | (38,608 | ) | |||||
New Jersey Resources Corp. | (864 | ) | (38,664 | ) | |||||
Southwest Gas Holdings, Inc. | (504 | ) | (38,440 | ) | |||||
(115,712 | ) | ||||||||
Health Care Equipment & Supplies – (0.4)% | |||||||||
Align Technology, Inc.* | (117 | ) | (40,030 | ) | |||||
Health Care Providers & Services – (0.9)% | |||||||||
AmerisourceBergen Corp. | (450 | ) | (38,372 | ) | |||||
Cardinal Health, Inc. | (792 | ) | (38,673 | ) | |||||
(77,045 | ) | ||||||||
Hotels, Restaurants & Leisure – (2.6)% | |||||||||
Chipotle Mexican Grill, Inc.* | (90 | ) | (38,823 | ) | |||||
Dunkin’ Brands Group, Inc. | (558 | ) | (38,541 | ) | |||||
Las Vegas Sands Corp. | (504 | ) | (38,486 | ) | |||||
MGM Resorts International | (1,332 | ) | (38,668 | ) | |||||
Norwegian Cruise Line Holdings Ltd.* | (819 | ) | (38,698 | ) | |||||
Royal Caribbean Cruises Ltd. | (369 | ) | (38,228 | ) | |||||
(231,444 | ) | ||||||||
Household Durables – (0.8)% | |||||||||
Leggett & Platt, Inc. | (864 | ) | (38,569 | ) | |||||
Whirlpool Corp. | (261 | ) | (38,166 | ) | |||||
(76,735 | ) | ||||||||
Independent Power and Renewable Electricity Producers – (1.3)% | |||||||||
AES Corp. | (2,898 | ) | (38,862 | ) | |||||
NRG Energy, Inc. | (1,260 | ) | (38,682 | ) | |||||
Vistra Energy Corp.* | (1,638 | ) | (38,755 | ) | |||||
(116,299 | ) | ||||||||
Industrial Conglomerates – (0.4)% | |||||||||
3M Co. | (198 | ) | (38,951 | ) | |||||
Insurance – (3.0)% | |||||||||
CNO Financial Group, Inc. | (2,034 | ) | (38,727 | ) | |||||
Lincoln National Corp. | (621 | ) | (38,657 | ) | |||||
Loews Corp. | (801 | ) | (38,672 | ) | |||||
MetLife, Inc. | (882 | ) | (38,455 | ) | |||||
Principal Financial Group, Inc. | (729 | ) | (38,601 | ) | |||||
Prudential Financial, Inc. | (414 | ) | (38,713 | ) | |||||
Unum Group | (1,044 | ) | (38,618 | ) | |||||
(270,443 | ) |
See accompanying notes to the financial statements.
29
FQF Trust
AGFiQ U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Internet & Direct Marketing Retail – (2.2)% | |||||||||
Amazon.com, Inc.* | (27 | ) | $ | (45,895 | ) | ||||
Expedia Group, Inc. | (324 | ) | (38,941 | ) | |||||
Netflix, Inc.* | (99 | ) | (38,752 | ) | |||||
TripAdvisor, Inc.* | (693 | ) | (38,607 | ) | |||||
Wayfair, Inc., Class A* | (324 | ) | (38,478 | ) | |||||
(200,673 | ) | ||||||||
Internet Software & Services – (1.3)% | |||||||||
Alphabet, Inc., Class C* | (36 | ) | (40,163 | ) | |||||
j2 Global, Inc. | (450 | ) | (38,975 | ) | |||||
Yelp, Inc.* | (990 | ) | (38,788 | ) | |||||
(117,926 | ) | ||||||||
IT Services – (3.0)% | |||||||||
EPAM Systems, Inc.* | (315 | ) | (39,164 | ) | |||||
Euronet Worldwide, Inc.* | (459 | ) | (38,451 | ) | |||||
Gartner, Inc.* | (288 | ) | (38,275 | ) | |||||
Sabre Corp. | (1,575 | ) | (38,808 | ) | |||||
Science Applications International Corp. | (477 | ) | (38,604 | ) | |||||
Square, Inc., Class A* | (630 | ) | (38,833 | ) | |||||
WEX, Inc.* | (207 | ) | (39,429 | ) | |||||
(271,564 | ) | ||||||||
Leisure Products – (0.4)% | |||||||||
Polaris Industries, Inc. | (315 | ) | (38,487 | ) | |||||
Life Sciences Tools & Services – (0.8)% | |||||||||
Illumina, Inc.* | (135 | ) | (37,704 | ) | |||||
Mettler-Toledo International, Inc.* | (63 | ) | (36,454 | ) | |||||
(74,158 | ) | ||||||||
Machinery – (5.6)% | |||||||||
Caterpillar, Inc. | (288 | ) | (39,073 | ) | |||||
Colfax Corp.* | (1,260 | ) | (38,619 | ) | |||||
Deere & Co. | (279 | ) | (39,004 | ) | |||||
Flowserve Corp. | (954 | ) | (38,542 | ) | |||||
Graco, Inc. | (855 | ) | (38,663 | ) | |||||
ITT, Inc. | (738 | ) | (38,575 | ) | |||||
Kennametal, Inc. | (1,071 | ) | (38,449 | ) | |||||
Lincoln Electric Holdings, Inc. | (441 | ) | (38,702 | ) | |||||
PACCAR, Inc. | (621 | ) | (38,477 | ) | |||||
Parker-Hannifin Corp. | (243 | ) | (37,872 | ) | |||||
Terex Corp. | (918 | ) | (38,730 | ) | |||||
Timken Co. (The) | (882 | ) | (38,411 | ) | |||||
WABCO Holdings, Inc.* | (333 | ) | (38,968 | ) | |||||
(502,085 | ) | ||||||||
Media – (0.9)% | |||||||||
Discovery, Inc., Class C* | (1,512 | ) | (38,556 | ) | |||||
Lions Gate Entertainment Corp., Class B | (1,638 | ) | (38,427 | ) | |||||
(76,983 | ) |
Investments | Number of Shares | Value | |||||||
Metals & Mining – (2.1)% | |||||||||
Allegheny Technologies, Inc.* | (1,521 | ) | $ | (38,207 | ) | ||||
Carpenter Technology Corp. | (729 | ) | (38,324 | ) | |||||
Commercial Metals Co. | (1,827 | ) | (38,568 | ) | |||||
Nucor Corp. | (612 | ) | (38,250 | ) | |||||
United States Steel Corp. | (1,107 | ) | (38,468 | ) | |||||
(191,817 | ) | ||||||||
Oil, Gas & Consumable Fuels – (3.0)% | |||||||||
Apache Corp. | (828 | ) | (38,709 | ) | |||||
Chesapeake Energy Corp.* | (7,290 | ) | (38,199 | ) | |||||
EQT Corp. | (693 | ) | (38,240 | ) | |||||
Hess Corp. | (576 | ) | (38,529 | ) | |||||
Parsley Energy, Inc., Class A* | (1,278 | ) | (38,698 | ) | |||||
PDC Energy, Inc.* | (639 | ) | (38,627 | ) | |||||
QEP Resources, Inc.* | (3,150 | ) | (38,619 | ) | |||||
(269,621 | ) | ||||||||
Pharmaceuticals – (0.9)% | |||||||||
Catalent, Inc.* | (918 | ) | (38,455 | ) | |||||
Mylan NV* | (1,071 | ) | (38,706 | ) | |||||
(77,161 | ) | ||||||||
Professional Services – (0.4)% | |||||||||
Dun & Bradstreet Corp. (The) | (315 | ) | (38,635 | ) | |||||
Road & Rail – (0.4)% | |||||||||
CSX Corp. | (603 | ) | (38,459 | ) | |||||
Semiconductors & Semiconductor Equipment – (4.7)% | |||||||||
Advanced Micro Devices, Inc.* | (2,574 | ) | (38,584 | ) | |||||
Applied Materials, Inc. | (837 | ) | (38,661 | ) | |||||
Entegris, Inc. | (1,134 | ) | (38,443 | ) | |||||
Integrated Device Technology, Inc.* | (1,206 | ) | (38,447 | ) | |||||
KLA-Tencor Corp. | (378 | ) | (38,757 | ) | |||||
Lam Research Corp. | (225 | ) | (38,891 | ) | |||||
Micron Technology, Inc.* | (738 | ) | (38,701 | ) | |||||
NVIDIA Corp. | (162 | ) | (38,378 | ) | |||||
ON Semiconductor Corp.* | (1,737 | ) | (38,622 | ) | |||||
Teradyne, Inc. | (1,017 | ) | (38,717 | ) | |||||
Universal Display Corp. | (450 | ) | (38,700 | ) | |||||
(424,901 | ) | ||||||||
Software – (1.7)% | |||||||||
Activision Blizzard, Inc. | (504 | ) | (38,466 | ) | |||||
Manhattan Associates, Inc.* | (828 | ) | (38,924 | ) | |||||
Oracle Corp. | (882 | ) | (38,861 | ) | |||||
VMware, Inc., Class A* | (261 | ) | (38,359 | ) | |||||
(154,610 | ) | ||||||||
Specialty Retail – (1.3)% | |||||||||
Advance Auto Parts, Inc. | (288 | ) | (39,081 | ) | |||||
Foot Locker, Inc. | (729 | ) | (38,382 | ) | |||||
Tractor Supply Co. | (504 | ) | (38,551 | ) | |||||
(116,014 | ) |
See accompanying notes to the financial statements.
30
FQF Trust
AGFiQ U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Technology Hardware, Storage & Peripherals – (1.7)% | |||||||||
HP, Inc. | (1,701 | ) | $ | (38,596 | ) | ||||
NCR Corp.* | (1,287 | ) | (38,584 | ) | |||||
Seagate Technology plc | (684 | ) | (38,625 | ) | |||||
Western Digital Corp. | (495 | ) | (38,318 | ) | |||||
(154,123 | ) | ||||||||
Textiles, Apparel & Luxury Goods – (0.9)% | |||||||||
Hanesbrands, Inc. | (1,755 | ) | (38,645 | ) | |||||
Under Armour, Inc., Class A* | (1,710 | ) | (38,441 | ) | |||||
(77,086 | ) | ||||||||
Trading Companies & Distributors – (0.4)% | |||||||||
Air Lease Corp. | (918 | ) | (38,528 | ) | |||||
Water Utilities – (0.4)% | |||||||||
Aqua America, Inc. | (1,098 | ) | (38,628 | ) | |||||
Wireless Telecommunication Services – (0.4)% | |||||||||
T-Mobile US, Inc.* | (648 | ) | (38,718 | ) |
Investments | Value | |||||||
Total Common Stocks (Proceeds $(7,728,581)) | $ | (7,721,775 | ) | |||||
Total Short Positions (Proceeds $(7,728,581)) | (7,721,775 | ) | ||||||
Total Investments — 1.3% (Cost $(220,853)) | 118,918 | |||||||
Other Assets Less Liabilities — 98.7% | 8,904,521 | |||||||
Net Assets — 100.0% | $ | 9,023,439 |
* | Non-income producing security. |
(a) | All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $3,690,740. |
As of June 30, 2018, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative contracts, if any) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 948,221 | ||
Aggregate gross unrealized depreciation | (844,083 | ) | ||
Net unrealized appreciation | $ | 104,138 | ||
Federal income tax cost of investments (including derivative contracts, if any) | $ | 52,718 |
OTC Total return swap contracts outstanding as of June 30, 2018
Notional Amount | Termination Date(1) | Counterparty | Rate Paid (Received)(2) | Underlying Instrument(3) | Value and Unrealized Appreciation/ (Depreciation)(4) | Cash Collateral (Received) Pledged | Net Amount(5) | |||||||||||||||||||||
1,001,524 USD | 10/3/2019 | Morgan Stanley | 2.44 | % | Dow Jones U.S. Low Beta Total Return Index | (6) | $ | 116,035 | $ | — | $ | 116,035 | ||||||||||||||||
(1,135,915) USD | 10/3/2019 | Morgan Stanley | (1.69 | )% | Dow Jones U.S. High Beta Total Return Index | (7) | (78,097 | ) | 78,097 | (8) | — | |||||||||||||||||
$ | 37,938 | $ | 116,035 |
(1) | Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity. |
(2) | Reflects the floating financing rate, as of June 30, 2018, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Payments may be made at the conclusion of the agreement or periodically during its term. |
(3) | The 50 largest components of the referenced underlying Swap Index can be found at http://www.agfiq.com/agfiq/agfiqweb/us/en/resources/regulatory-material/index.jsp |
(4) | The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at year end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or “net” these amounts on its Statement of Assets and Liabilities. |
(5) | Represents the “uncollateralized” amount due from or (to) the counterparty at year end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum “thresholds” that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from the counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default. |
(6) | The Dow Jones U.S. Low Beta Total Return Index (DJTLABT) is designed to measure the performance of 200 companies ranked as having the lowest beta. Beta is calculated using weekly returns for the previous 52 weeks. Dividends are reinvested. |
See accompanying notes to the financial statements.
31
FQF Trust
AGFiQ U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
June 30, 2018
(7) | The Dow Jones U.S. High Beta Total Return Index (DJTSABT) is designed to measure the performance of 200 companies ranked as having the highest beta. Beta is calculated using weekly returns for the previous 52 weeks. Dividends are reinvested. |
(8) | Reflects all or a portion of the amount disclosed on the Statement of Assets and Liabilities as “Segregated cash balance with custodian for swap agreements.” Under U.S. GAAP, the amount disclosed under this caption may not exceed the amount of the liability being collateralized for the benefit of the counterparty. |
Abbreviations | ||
USD | US Dollar |
See accompanying notes to the financial statements.
32
FQF Trust
AGFiQ Hedged Dividend Income Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Long Positions – 98.2% | |||||||||
Common Stocks – 85.4% | |||||||||
Automobiles – 2.9% | |||||||||
Ford Motor Co.(a) | 1,944 | $ | 21,520 | ||||||
General Motors Co.(a) | 624 | 24,586 | |||||||
Harley-Davidson, Inc. | 544 | 22,891 | |||||||
68,997 | |||||||||
Banks – 1.0% | |||||||||
PacWest Bancorp | 482 | 23,820 | |||||||
Beverages – 2.0% | |||||||||
Coca-Cola Co. (The) | 530 | 23,246 | |||||||
PepsiCo, Inc. | 212 | 23,080 | |||||||
46,326 | |||||||||
Capital Markets – 2.9% | |||||||||
Ares Capital Corp.(a) | 1,400 | 23,030 | |||||||
Ares Management LP | 1,108 | 22,936 | |||||||
BGC Partners, Inc., Class A(a) | 2,014 | 22,798 | |||||||
68,764 | |||||||||
Consumer Finance – 1.0% | |||||||||
Navient Corp. | 1,720 | 22,412 | |||||||
Containers & Packaging – 0.9% | |||||||||
International Paper Co.(a) | 420 | 21,874 | |||||||
Diversified Consumer Services – 0.9% | |||||||||
H&R Block, Inc.(a) | 926 | 21,094 | |||||||
Diversified Telecommunication Services – 1.9% | |||||||||
AT&T, Inc. | 714 | 22,927 | |||||||
Verizon Communications, Inc. | 458 | 23,042 | |||||||
45,969 | |||||||||
Electric Utilities – 12.8% | |||||||||
Alliant Energy Corp. | 556 | 23,530 | |||||||
American Electric Power Co., Inc.(a) | 330 | 22,853 | |||||||
Duke Energy Corp.(a) | 290 | 22,933 | |||||||
Entergy Corp.(a) | 298 | 24,075 | |||||||
Eversource Energy(a) | 386 | 22,624 | |||||||
Exelon Corp.(a) | 544 | 23,174 | |||||||
FirstEnergy Corp.(a) | 666 | 23,916 | |||||||
Hawaiian Electric Industries, Inc.(a) | 670 | 22,981 | |||||||
OGE Energy Corp. | 654 | 23,027 | |||||||
Pinnacle West Capital Corp. | 284 | 22,879 | |||||||
Portland General Electric Co. | 560 | 23,946 | |||||||
Southern Co. (The) | 506 | 23,433 | |||||||
Xcel Energy, Inc. | 500 | 22,840 | |||||||
302,211 | |||||||||
Energy Equipment & Services – 0.9% | |||||||||
Helmerich & Payne, Inc.(a) | 342 | 21,806 |
Investments | Number of Shares | Value | |||||||
Equity Real Estate Investment Trusts (REITs) – 12.8% | |||||||||
Apple Hospitality REIT, Inc.(a) | 1,294 | $ | 23,137 | ||||||
Brixmor Property Group, Inc. | 1,312 | 22,868 | |||||||
EPR Properties(a) | 356 | 23,065 | |||||||
Hospitality Properties Trust(a) | 806 | 23,060 | |||||||
Kimco Realty Corp. | 1,354 | 23,004 | |||||||
Medical Properties Trust, Inc. | 1,762 | 24,739 | |||||||
Omega Healthcare Investors, Inc. | 742 | 23,002 | |||||||
Sabra Health Care REIT, Inc. | 1,052 | 22,860 | |||||||
Senior Housing Properties Trust | 1,274 | 23,047 | |||||||
Uniti Group, Inc. | 1,148 | 22,994 | |||||||
VEREIT, Inc. | 3,126 | 23,257 | |||||||
Welltower, Inc. | 368 | 23,070 | |||||||
WP Carey, Inc. | 348 | 23,090 | |||||||
301,193 | |||||||||
Food Products – 2.0% | |||||||||
JM Smucker Co. (The) | 214 | 23,001 | |||||||
Kellogg Co. | 356 | 24,873 | |||||||
47,874 | |||||||||
Gas Utilities – 1.0% | |||||||||
National Fuel Gas Co. | 440 | 23,302 | |||||||
Health Care Providers & Services – 1.0% | |||||||||
CVS Health Corp. | 356 | 22,909 | |||||||
Hotels, Restaurants & Leisure – 3.0% | |||||||||
Cracker Barrel Old Country Store, Inc. | 146 | 22,807 | |||||||
Las Vegas Sands Corp. | 316 | 24,130 | |||||||
Six Flags Entertainment Corp. | 328 | 22,976 | |||||||
69,913 | |||||||||
Household Durables – 1.9% | |||||||||
Leggett & Platt, Inc. | 508 | 22,677 | |||||||
Whirlpool Corp. | 158 | 23,105 | |||||||
45,782 | |||||||||
Household Products – 1.9% | |||||||||
Kimberly-Clark Corp. | 202 | 21,278 | |||||||
Procter & Gamble Co. (The) | 296 | 23,106 | |||||||
44,384 | |||||||||
Independent Power and Renewable Electricity Producers – 1.0% | |||||||||
AES Corp.(a) | 1,726 | 23,146 | |||||||
Insurance – 1.0% | |||||||||
Old Republic International Corp. | 1,134 | 22,578 | |||||||
IT Services – 2.9% | |||||||||
International Business Machines Corp.(a) | 158 | 22,072 | |||||||
Paychex, Inc. | 336 | 22,966 | |||||||
Western Union Co. (The) | 1,130 | 22,973 | |||||||
68,011 |
See accompanying notes to the financial statements.
33
FQF Trust
AGFiQ Hedged Dividend Income Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Machinery – 1.0% | |||||||||
Cummins, Inc. | 172 | $ | 22,876 | ||||||
Media – 3.0% | |||||||||
Cinemark Holdings, Inc. | 656 | 23,012 | |||||||
Interpublic Group of Cos., Inc. (The) | 986 | 23,112 | |||||||
Omnicom Group, Inc. | 332 | 25,322 | |||||||
71,446 | |||||||||
Mortgage Real Estate Investment Trusts (REITs) – 4.0% | |||||||||
Annaly Capital Management, Inc. | 2,040 | 20,992 | |||||||
Chimera Investment Corp.(a) | 1,316 | 24,056 | |||||||
New Residential Investment Corp. | 1,358 | 23,751 | |||||||
Starwood Property Trust, Inc. | 1,136 | 24,663 | |||||||
93,462 | |||||||||
Multiline Retail – 2.0% | |||||||||
Macy’s, Inc. | 610 | 22,832 | |||||||
Target Corp. | 328 | 24,968 | |||||||
47,800 | |||||||||
Multi-Utilities – 8.8% | |||||||||
CenterPoint Energy, Inc.(a) | 856 | 23,720 | |||||||
CMS Energy Corp. | 488 | 23,073 | |||||||
Consolidated Edison, Inc.(a) | 286 | 22,302 | |||||||
Dominion Energy, Inc.(a) | 336 | 22,908 | |||||||
DTE Energy Co.(a) | 218 | 22,591 | |||||||
NiSource, Inc. | 882 | 23,179 | |||||||
Public Service Enterprise Group, Inc. | 426 | 23,064 | |||||||
Sempra Energy | 198 | 22,990 | |||||||
WEC Energy Group, Inc. | 366 | 23,662 | |||||||
207,489 | |||||||||
Oil, Gas & Consumable Fuels – 7.0% | |||||||||
Chevron Corp.(a) | 194 | 24,527 | |||||||
CVR Energy, Inc. | 624 | 23,082 | |||||||
Exxon Mobil Corp. | 290 | 23,992 | |||||||
Occidental Petroleum Corp. | 276 | 23,095 | |||||||
ONEOK, Inc. | 330 | 23,044 | |||||||
Tallgrass Energy GP LP | 1,030 | 22,825 | |||||||
Targa Resources Corp. | 502 | 24,844 | |||||||
165,409 | |||||||||
Pharmaceuticals – 2.0% | |||||||||
Merck & Co., Inc. | 378 | 22,944 | |||||||
Pfizer, Inc. | 670 | 24,308 | |||||||
47,252 | |||||||||
Semiconductors & Semiconductor Equipment – 0.9% | |||||||||
QUALCOMM, Inc. | 378 | 21,213 | |||||||
Textiles, Apparel & Luxury Goods – 1.0% | |||||||||
Hanesbrands, Inc.(a) | 1,044 | 22,989 | |||||||
Total Common Stocks (Cost $1,984,198) | 2,012,301 |
Investments | Number of Shares | Value | |||||||
Master Limited Partnerships – 12.8% | |||||||||
Capital Markets – 2.0% | |||||||||
Apollo Global Management LLC Class A(a) | 762 | $ | 24,285 | ||||||
Oaktree Capital Group LLC | 580 | 23,577 | |||||||
47,862 | |||||||||
Gas Utilities – 0.9% | |||||||||
AmeriGas Partners LP | 526 | 22,208 | |||||||
Industrial Conglomerates – 0.9% | |||||||||
Icahn Enterprises LP | 320 | 22,739 | |||||||
Oil, Gas & Consumable Fuels – 9.0% | |||||||||
Andeavor Logistics LP | 546 | 23,221 | |||||||
DCP Midstream LP(a) | 584 | 23,097 | |||||||
Energy Transfer Equity LP(a) | 1,328 | 22,908 | |||||||
Energy Transfer Partners LP | 1,208 | 23,000 | |||||||
EnLink Midstream Partners LP(a) | 1,558 | 24,196 | |||||||
Enterprise Products Partners LP | 830 | 22,966 | |||||||
EQT Midstream Partners LP(a) | 448 | 23,112 | |||||||
Shell Midstream Partners LP | 1,078 | 23,910 | |||||||
Western Gas Partners LP | 478 | 23,131 | |||||||
209,541 | |||||||||
Total Master Limited Partnerships (Cost $313,778) | 302,350 | ||||||||
Total Long Positions (Cost $2,297,976) | 2,314,651 | ||||||||
Short Positions – (49.1)% | |||||||||
Common Stocks – (49.1)% | |||||||||
Air Freight & Logistics – (0.2)% | |||||||||
XPO Logistics, Inc.* | (58 | ) | (5,810 | ) | |||||
Airlines – (0.3)% | |||||||||
United Continental Holdings, Inc.* | (90 | ) | (6,276 | ) | |||||
Banks – (2.5)% | |||||||||
Canadian Imperial Bank of Commerce | — | (b) | (17 | ) | |||||
East West Bancorp, Inc. | (88 | ) | (5,738 | ) | |||||
First Citizens BancShares, Inc., Class A | (14 | ) | (5,646 | ) | |||||
First Republic Bank | (62 | ) | (6,001 | ) | |||||
Pinnacle Financial Partners, Inc. | (92 | ) | (5,644 | ) | |||||
Signature Bank* | (44 | ) | (5,627 | ) | |||||
Sterling Bancorp | (246 | ) | (5,781 | ) | |||||
SVB Financial Group* | (20 | ) | (5,775 | ) | |||||
Texas Capital Bancshares, Inc.* | (68 | ) | (6,222 | ) | |||||
Western Alliance Bancorp* | (106 | ) | (6,001 | ) | |||||
Wintrust Financial Corp. | (66 | ) | (5,745 | ) | |||||
(58,197 | ) | ||||||||
Beverages – (0.5)% | |||||||||
Constellation Brands, Inc., Class A | (26 | ) | (5,690 | ) | |||||
Monster Beverage Corp.* | (96 | ) | (5,501 | ) | |||||
(11,191 | ) |
See accompanying notes to the financial statements.
34
FQF Trust
AGFiQ Hedged Dividend Income Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Capital Markets – (3.7)% | |||||||||
Affiliated Managers Group, Inc. | (38 | ) | $ | (5,649 | ) | ||||
Cboe Global Markets, Inc. | (56 | ) | (5,828 | ) | |||||
Charles Schwab Corp. (The) | (118 | ) | (6,030 | ) | |||||
E*TRADE Financial Corp.* | (102 | ) | (6,238 | ) | |||||
FactSet Research Systems, Inc. | (28 | ) | (5,547 | ) | |||||
Interactive Brokers Group, Inc., Class A | (84 | ) | (5,410 | ) | |||||
Intercontinental Exchange, Inc. | (86 | ) | (6,325 | ) | |||||
MarketAxess Holdings, Inc. | (26 | ) | (5,144 | ) | |||||
Moody’s Corp. | (34 | ) | (5,799 | ) | |||||
Morningstar, Inc. | (44 | ) | (5,643 | ) | |||||
MSCI, Inc. | (38 | ) | (6,286 | ) | |||||
Raymond James Financial, Inc. | (68 | ) | (6,076 | ) | |||||
S&P Global, Inc. | (30 | ) | (6,117 | ) | |||||
SEI Investments Co. | (84 | ) | (5,252 | ) | |||||
Stifel Financial Corp. | (102 | ) | (5,330 | ) | |||||
(86,674 | ) | ||||||||
Consumer Finance – (1.3)% | |||||||||
Credit Acceptance Corp.* | (18 | ) | (6,361 | ) | |||||
FirstCash, Inc. | (70 | ) | (6,290 | ) | |||||
Green Dot Corp., Class A* | (88 | ) | (6,458 | ) | |||||
OneMain Holdings, Inc.* | (190 | ) | (6,325 | ) | |||||
SLM Corp.* | (532 | ) | (6,092 | ) | |||||
(31,526 | ) | ||||||||
Containers & Packaging – (0.2)% | |||||||||
Berry Global Group, Inc.* | (124 | ) | (5,697 | ) | |||||
Distributors – (0.2)% | |||||||||
LKQ Corp.* | (180 | ) | (5,742 | ) | |||||
Diversified Consumer Services – (1.0)% | |||||||||
Bright Horizons Family Solutions, Inc.* | (56 | ) | (5,741 | ) | |||||
Grand Canyon Education, Inc.* | (52 | ) | (5,804 | ) | |||||
ServiceMaster Global Holdings, Inc.* | (96 | ) | (5,709 | ) | |||||
Weight Watchers International, Inc.* | (56 | ) | (5,662 | ) | |||||
(22,916 | ) | ||||||||
Diversified Financial Services – (0.7)% | |||||||||
Berkshire Hathaway, Inc., Class B* | (30 | ) | (5,599 | ) | |||||
Texas Pacific Land Trust | (8 | ) | (5,563 | ) | |||||
Voya Financial, Inc. | (122 | ) | (5,734 | ) | |||||
(16,896 | ) | ||||||||
Diversified Telecommunication Services – (1.0)% | |||||||||
CenturyLink, Inc. | (616 | ) | (11,482 | ) | |||||
Zayo Group Holdings, Inc.* | (316 | ) | (11,528 | ) | |||||
(23,010 | ) | ||||||||
Electric Utilities – (3.8)% | |||||||||
ALLETE, Inc. | (170 | ) | (13,160 | ) | |||||
Edison International | (208 | ) | (13,160 | ) |
Investments | Number of Shares | Value | |||||||
Evergy, Inc. | (234 | ) | $ | (13,139 | ) | ||||
IDACORP, Inc. | (140 | ) | (12,914 | ) | |||||
NextEra Energy, Inc. | (76 | ) | (12,694 | ) | |||||
PG&E Corp. | (308 | ) | (13,108 | ) | |||||
PPL Corp. | (436 | ) | (12,448 | ) | |||||
(90,623 | ) | ||||||||
Energy Equipment & Services – (0.7)% | |||||||||
Halliburton Co. | (124 | ) | (5,587 | ) | |||||
National Oilwell Varco, Inc. | (134 | ) | (5,816 | ) | |||||
Patterson-UTI Energy, Inc. | (324 | ) | (5,832 | ) | |||||
(17,235 | ) | ||||||||
Equity Real Estate Investment Trusts (REITs) – (1.0)% | |||||||||
American Homes 4 Rent, Class A | (280 | ) | (6,211 | ) | |||||
Equity Commonwealth* | (200 | ) | (6,300 | ) | |||||
SBA Communications Corp.* | (36 | ) | (5,944 | ) | |||||
VICI Properties, Inc. | (280 | ) | (5,779 | ) | |||||
(24,234 | ) | ||||||||
Food & Staples Retailing – (1.0)% | |||||||||
Casey’s General Stores, Inc. | (54 | ) | (5,674 | ) | |||||
Costco Wholesale Corp. | (28 | ) | (5,851 | ) | |||||
Performance Food Group Co.* | (158 | ) | (5,799 | ) | |||||
US Foods Holding Corp.* | (152 | ) | (5,749 | ) | |||||
(23,073 | ) | ||||||||
Food Products – (1.2)% | |||||||||
Lamb Weston Holdings, Inc. | (84 | ) | (5,755 | ) | |||||
Lancaster Colony Corp. | (42 | ) | (5,814 | ) | |||||
Pinnacle Foods, Inc. | (88 | ) | (5,725 | ) | |||||
Post Holdings, Inc.* | (66 | ) | (5,677 | ) | |||||
Tyson Foods, Inc., Class A | (74 | ) | (5,095 | ) | |||||
(28,066 | ) | ||||||||
Gas Utilities – (3.4)% | |||||||||
Atmos Energy Corp. | (146 | ) | (13,160 | ) | |||||
New Jersey Resources Corp. | (308 | ) | (13,783 | ) | |||||
ONE Gas, Inc. | (176 | ) | (13,154 | ) | |||||
Southwest Gas Holdings, Inc. | (182 | ) | (13,881 | ) | |||||
UGI Corp. | (252 | ) | (13,122 | ) | |||||
WGL Holdings, Inc. | (148 | ) | (13,135 | ) | |||||
(80,235 | ) | ||||||||
Health Care Equipment & Supplies – (0.5)% | |||||||||
Boston Scientific Corp.* | (176 | ) | (5,755 | ) | |||||
Intuitive Surgical, Inc.* | (12 | ) | (5,742 | ) | |||||
(11,497 | ) | ||||||||
Health Care Providers & Services – (0.3)% | |||||||||
Express Scripts Holding Co.* | (80 | ) | (6,177 | ) |
See accompanying notes to the financial statements.
35
FQF Trust
AGFiQ Hedged Dividend Income Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Hotels, Restaurants & Leisure – (0.7)% | |||||||||
Caesars Entertainment Corp.* | (480 | ) | $ | (5,136 | ) | ||||
Chipotle Mexican Grill, Inc.* | (14 | ) | (6,039 | ) | |||||
Scientific Games Corp.* | (116 | ) | (5,702 | ) | |||||
(16,877 | ) | ||||||||
Household Durables – (0.5)% | |||||||||
Mohawk Industries, Inc.* | (26 | ) | (5,571 | ) | |||||
NVR, Inc.* | (2 | ) | (5,941 | ) | |||||
(11,512 | ) | ||||||||
Household Products – (0.3)% | |||||||||
Church & Dwight Co., Inc. | (120 | ) | (6,379 | ) | |||||
Independent Power and Renewable Electricity Producers – (1.6)% | |||||||||
NextEra Energy Partners LP | (282 | ) | (13,161 | ) | |||||
NRG Energy, Inc. | (404 | ) | (12,403 | ) | |||||
Vistra Energy Corp.* | (554 | ) | (13,107 | ) | |||||
(38,671 | ) | ||||||||
Insurance – (1.8)% | |||||||||
Brighthouse Financial, Inc.* | (142 | ) | (5,690 | ) | |||||
Brown & Brown, Inc. | (236 | ) | (6,544 | ) | |||||
Kemper Corp. | (76 | ) | (5,749 | ) | |||||
Loews Corp. | (120 | ) | (5,794 | ) | |||||
Markel Corp.* | (6 | ) | (6,506 | ) | |||||
Primerica, Inc. | (60 | ) | (5,976 | ) | |||||
Torchmark Corp. | (66 | ) | (5,373 | ) | |||||
(41,632 | ) | ||||||||
Internet & Direct Marketing Retail – (1.2)% | |||||||||
Amazon.com, Inc.* | (4 | ) | (6,799 | ) | |||||
Booking Holdings, Inc.* | (2 | ) | (4,054 | ) | |||||
Netflix, Inc.* | (14 | ) | (5,480 | ) | |||||
TripAdvisor, Inc.* | (102 | ) | (5,682 | ) | |||||
Wayfair, Inc., Class A* | (48 | ) | (5,701 | ) | |||||
(27,716 | ) | ||||||||
Internet Software & Services – (0.6)% | |||||||||
Alphabet, Inc., Class A* | (6 | ) | (6,775 | ) | |||||
Facebook, Inc., Class A* | (34 | ) | (6,607 | ) | |||||
(13,382 | ) | ||||||||
IT Services – (0.3)% | |||||||||
PayPal Holdings, Inc.* | (70 | ) | (5,829 | ) | |||||
Life Sciences Tools & Services – (0.2)% | |||||||||
Illumina, Inc.* | (20 | ) | (5,586 | ) | |||||
Media – (1.7)% | |||||||||
Charter Communications, Inc., Class A* | (18 | ) | (5,278 | ) | |||||
Discovery, Inc., Class A* | (208 | ) | (5,720 | ) | |||||
DISH Network Corp., Class A* | (150 | ) | (5,042 | ) | |||||
Liberty Broadband Corp., Class C* | (76 | ) | (5,755 | ) |
Investments | Number of Shares | Value | |||||||
Liberty Media Corp-Liberty Formula One, Class C* | (156 | ) | $ | (5,792 | ) | ||||
Live Nation Entertainment, Inc.* | (118 | ) | (5,731 | ) | |||||
Madison Square Garden Co. (The), Class A* | (18 | ) | (5,583 | ) | |||||
(38,901 | ) | ||||||||
Metals & Mining – (0.2)% | |||||||||
Alcoa Corp.* | (112 | ) | (5,251 | ) | |||||
Multiline Retail – (0.2)% | |||||||||
Dollar Tree, Inc.* | (68 | ) | (5,780 | ) | |||||
Multi-Utilities – (2.2)% | |||||||||
Ameren Corp. | (218 | ) | (13,265 | ) | |||||
MDU Resources Group, Inc. | (438 | ) | (12,562 | ) | |||||
SCANA Corp. | (330 | ) | (12,712 | ) | |||||
Vectren Corp. | (192 | ) | (13,718 | ) | |||||
(52,257 | ) | ||||||||
Oil, Gas & Consumable Fuels – (7.7)% | |||||||||
Anadarko Petroleum Corp. | (78 | ) | (5,713 | ) | |||||
Andeavor | (44 | ) | (5,772 | ) | |||||
Antero Resources Corp.* | (270 | ) | (5,764 | ) | |||||
Cabot Oil & Gas Corp. | (212 | ) | (5,046 | ) | |||||
Centennial Resource Development, Inc., Class A* | (310 | ) | (5,599 | ) | |||||
Cheniere Energy, Inc.* | (88 | ) | (5,737 | ) | |||||
Chesapeake Energy Corp.* | (1,084 | ) | (5,680 | ) | |||||
Cimarex Energy Co. | (62 | ) | (6,308 | ) | |||||
CNX Resources Corp.* | (368 | ) | (6,543 | ) | |||||
Concho Resources, Inc.* | (40 | ) | (5,534 | ) | |||||
ConocoPhillips | (82 | ) | (5,709 | ) | |||||
Delek US Holdings, Inc. | (114 | ) | (5,719 | ) | |||||
Devon Energy Corp. | (130 | ) | (5,715 | ) | |||||
Diamondback Energy, Inc. | (48 | ) | (6,315 | ) | |||||
Energen Corp.* | (90 | ) | (6,554 | ) | |||||
EOG Resources, Inc. | (46 | ) | (5,724 | ) | |||||
EQT Corp. | (104 | ) | (5,739 | ) | |||||
Hess Corp. | (86 | ) | (5,753 | ) | |||||
HollyFrontier Corp. | (84 | ) | (5,748 | ) | |||||
Marathon Oil Corp. | (274 | ) | (5,716 | ) | |||||
Newfield Exploration Co.* | (190 | ) | (5,747 | ) | |||||
Noble Energy, Inc. | (164 | ) | (5,786 | ) | |||||
Oasis Petroleum, Inc.* | (442 | ) | (5,733 | ) | |||||
Parsley Energy, Inc., Class A* | (206 | ) | (6,238 | ) | |||||
PDC Energy, Inc.* | (94 | ) | (5,682 | ) | |||||
Peabody Energy Corp. | (126 | ) | (5,730 | ) | |||||
Pioneer Natural Resources Co. | (34 | ) | (6,434 | ) | |||||
Range Resources Corp. | (354 | ) | (5,922 | ) | |||||
RSP Permian, Inc.* | (122 | ) | (5,370 | ) | |||||
Whiting Petroleum Corp.* | (108 | ) | (5,694 | ) | |||||
WPX Energy, Inc.* | (318 | ) | (5,734 | ) | |||||
(180,458 | ) |
See accompanying notes to the financial statements.
36
FQF Trust
AGFiQ Hedged Dividend Income Fund
Schedule of Investments
June 30, 2018
Investments | Number of Shares | Value | |||||||
Personal Products – (0.5)% | |||||||||
Estee Lauder Cos., Inc. (The), Class A | (38 | ) | $ | (5,422 | ) | ||||
Nu Skin Enterprises, Inc., Class A | (74 | ) | (5,786 | ) | |||||
(11,208 | ) | ||||||||
Professional Services – (0.3)% | |||||||||
Verisk Analytics, Inc.* | (54 | ) | (5,813 | ) | |||||
Real Estate Management & Development – (0.7)% | |||||||||
CBRE Group, Inc., Class A* | (120 | ) | (5,729 | ) | |||||
Howard Hughes Corp. (The)* | (40 | ) | (5,300 | ) | |||||
Jones Lang LaSalle, Inc. | (32 | ) | (5,311 | ) | |||||
(16,340 | ) | ||||||||
Semiconductors & Semiconductor Equipment – (0.2)% | |||||||||
Micron Technology, Inc.* | (110 | ) | (5,768 | ) | |||||
Software – (1.0)% | |||||||||
Adobe Systems, Inc.* | (26 | ) | (6,339 | ) | |||||
Dell Technologies, Inc., Class V* | (68 | ) | (5,751 | ) | |||||
salesforce.com, Inc.* | (42 | ) | (5,729 | ) | |||||
VMware, Inc., Class A* | (40 | ) | (5,879 | ) | |||||
(23,698 | ) | ||||||||
Specialty Retail – (1.5)% | |||||||||
AutoZone, Inc.* | (8 | ) | (5,367 | ) | |||||
Burlington Stores, Inc.* | (42 | ) | (6,322 | ) | |||||
CarMax, Inc.* | (78 | ) | (5,684 | ) | |||||
Five Below, Inc.* | (58 | ) | (5,667 | ) | |||||
O’Reilly Automotive, Inc.* | (22 | ) | (6,019 | ) | |||||
Ulta Beauty, Inc.* | (26 | ) | (6,070 | ) | |||||
(35,129 | ) | ||||||||
Textiles, Apparel & Luxury Goods – (0.2)% | |||||||||
Under Armour, Inc., Class A* | (254 | ) | (5,710 | ) |
Investments | Number of Shares | Value | |||||||
Thrifts & Mortgage Finance – (0.7)% | |||||||||
LendingTree, Inc.* | (28 | ) | $ | (5,986 | ) | ||||
MGIC Investment Corp.* | (532 | ) | (5,703 | ) | |||||
Radian Group, Inc. | (352 | ) | (5,710 | ) | |||||
(17,399 | ) | ||||||||
Trading Companies & Distributors – (0.2)% | |||||||||
United Rentals, Inc.* | (38 | ) | (5,610 | ) | |||||
Water Utilities – (1.1)% | |||||||||
American Water Works Co., Inc. | (150 | ) | (12,807 | ) | |||||
Aqua America, Inc. | (362 | ) | (12,735 | ) | |||||
(25,542 | ) | ||||||||
Total Common Stocks (Proceeds $(1,089,362)) | (1,157,523 | ) | |||||||
Total Short Positions (Proceeds $(1,089,362)) | (1,157,523 | ) | |||||||
Total Investments — 49.1% (Cost $1,208,614) | 1,157,128 | ||||||||
Other Assets Less Liabilities — 50.9% | 1,199,203 | ||||||||
Net Assets — 100.0% | $ | 2,356,331 |
* | Non-income producing security. |
(a) | All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $706,552. |
(b) | Amount represents less than one share. |
As of June 30, 2018, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative contracts, if any) for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 146,988 | ||
Aggregate gross unrealized depreciation | (180,865 | ) | ||
Net unrealized depreciation | $ | (33,877 | ) | |
Federal income tax cost of investments (including derivative contracts, if any) | $ | 1,191,005 |
See accompanying notes to the financial statements.
37
FQF Trust
Statements of Assets and Liabilities
June 30, 2018
AGFiQ U.S. Market Neutral Momentum Fund | AGFiQ U.S. Market Neutral Value Fund | AGFiQ U.S. Market Neutral Size Fund | AGFiQ U.S. Market Neutral Anti-Beta Fund | AGFiQ Hedged Dividend Income Fund | ||||||||||||||||
ASSETS | ||||||||||||||||||||
Investments in securities, at value(1) | $ | 7,158,892 | $ | 1,059,012 | $ | 1,781,918 | $ | 7,840,693 | $ | 2,314,651 | ||||||||||
Cash | 692,570 | 67,702 | 182,430 | 521,939 | 25,688 | |||||||||||||||
Segregated cash balance with custodian for swap agreements (Note 2) | 280,000 | — | 10,000 | 250,000 | — | |||||||||||||||
Segregated cash balance with broker for securities sold short (Note 2) | 7,969,740 | 1,161,517 | 1,807,522 | 7,780,588 | 1,200,718 | |||||||||||||||
Unrealized appreciation on swap agreements | 69,334 | 6,273 | 14,986 | 116,035 | — | |||||||||||||||
Receivables: | ||||||||||||||||||||
Securities sold | 2,697,444 | 120,060 | 124,803 | 1,127,214 | 854,697 | |||||||||||||||
Dividends and interest | 18,119 | 4,832 | 6,881 | 28,317 | 10,321 | |||||||||||||||
Investment adviser (Note 4) | 21,833 | 22,074 | 22,481 | 18,708 | 22,706 | |||||||||||||||
Prepaid expenses | 5,436 | 5,436 | 5,436 | 5,436 | 4,392 | |||||||||||||||
Total Assets | 18,913,368 | 2,446,906 | 3,956,457 | 17,688,930 | 4,433,173 | |||||||||||||||
LIABILITIES | ||||||||||||||||||||
Securities sold short, at value(2) | 7,084,274 | 1,086,106 | 1,761,487 | 7,721,775 | 1,157,523 | |||||||||||||||
Unrealized depreciation on swap agreements | 67,518 | 15,242 | 16,535 | 78,097 | — | |||||||||||||||
Payables: | ||||||||||||||||||||
Securities purchased | 3,108,829 | 118,356 | 94,042 | 809,053 | 832,596 | |||||||||||||||
Trustees fees | 1,950 | 1,950 | 1,950 | 1,950 | 1,950 | |||||||||||||||
Dividends on securities sold short | 17,082 | 1,718 | 2,201 | 9,819 | 1,146 | |||||||||||||||
Accrued expenses and other liabilities | 44,218 | 42,544 | 42,870 | 44,797 | 83,627 | |||||||||||||||
Total Liabilities | 10,323,871 | 1,265,916 | 1,919,085 | 8,665,491 | 2,076,842 | |||||||||||||||
Net Assets | $ | 8,589,497 | $ | 1,180,990 | $ | 2,037,372 | $ | 9,023,439 | $ | 2,356,331 | ||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||||||
Paid-in capital | $ | 9,394,396 | $ | 2,762,440 | $ | 3,639,084 | $ | 25,551,374 | $ | 3,078,741 | ||||||||||
Accumulated undistributed net investment income (loss) | (26,798 | ) | 8,604 | — | 86,679 | (81,591 | ) | |||||||||||||
Accumulated undistributed net realized gain (loss) | (1,718,863 | ) | (1,417,062 | ) | (1,473,443 | ) | (16,992,323 | ) | (589,333 | ) | ||||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments | 593,996 | 13,537 | 119,248 | 332,965 | 16,675 | |||||||||||||||
Securities sold short | 344,950 | (177,560 | ) | (245,968 | ) | 6,806 | (68,161 | ) | ||||||||||||
Swap agreements | 1,816 | (8,969 | ) | (1,549 | ) | 37,938 | — | |||||||||||||
Net Assets | $ | 8,589,497 | $ | 1,180,990 | $ | 2,037,372 | $ | 9,023,439 | $ | 2,356,331 | ||||||||||
The Funds have an unlimited number of shares authorized with no par value. Net asset value is calculated by dividing the net assets by the number of outstanding shares. | ||||||||||||||||||||
Shares Outstanding | 350,000 | 50,000 | 100,000 | 450,000 | 100,000 | |||||||||||||||
Net Asset Value | $ | 24.54 | $ | 23.62 | $ | 20.37 | $ | 20.05 | $ | 23.56 | ||||||||||
(1) Investments in securities, at cost | $ | 6,564,896 | $ | 1,045,475 | $ | 1,662,670 | $ | 7,507,728 | $ | 2,297,976 | ||||||||||
(2) Securities sold short, proceeds | 7,429,224 | 908,546 | 1,515,519 | 7,728,581 | 1,089,362 |
See accompanying notes to the financial statements.
38
FQF Trust
Statements of Operations
For the Year Ended June 30, 2018
AGFiQ U.S. Market Neutral Momentum Fund | AGFiQ U.S. Market Neutral Value Fund | AGFiQ U.S. Market Neutral Size Fund | AGFiQ U.S. Market Neutral Anti-Beta Fund | AGFiQ Hedged Dividend Income Fund | ||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||||||
Dividend income | $ | 57,513 | $ | 21,699 | $ | 28,065 | $ | 178,764 | $ | 319,811 | ||||||||||
Income from non-cash dividends | — | — | 2,713 | — | — | |||||||||||||||
Special dividends | — | 275 | — | — | 4,789 | |||||||||||||||
Foreign withholding tax on dividends | — | — | (7 | ) | — | — | ||||||||||||||
Total Investment Income | 57,513 | 21,974 | 30,771 | 178,764 | 324,600 | |||||||||||||||
EXPENSES | ||||||||||||||||||||
Dividends on securities sold short | 61,548 | 4,612 | 19,349 | 27,819 | 17,807 | (1) | ||||||||||||||
Investment management fees (Note 4) | 27,353 | 6,300 | 10,033 | 44,987 | 35,296 | |||||||||||||||
Professional fees | 68,601 | 68,601 | 70,023 | 68,601 | 74,069 | |||||||||||||||
Custody fees | 12,565 | 4,206 | 6,429 | 15,586 | 3,818 | |||||||||||||||
Index fees | 12,505 | 12,505 | 12,505 | 12,505 | 15,378 | |||||||||||||||
CCO fees | 10,798 | 10,798 | 10,798 | 10,798 | 10,798 | |||||||||||||||
Treasurer fees | 7,276 | 7,276 | 7,276 | 7,276 | 7,276 | |||||||||||||||
Listing fees | 5,000 | 5,000 | 5,000 | 5,000 | 5,000 | |||||||||||||||
Accounting fees | 32,417 | 32,321 | 32,489 | 32,518 | 32,150 | |||||||||||||||
Trustees fees | 7,881 | 7,881 | 7,881 | 7,881 | 7,881 | |||||||||||||||
Administration fees (Note 5) | 65,000 | 65,000 | 65,000 | 65,000 | 65,000 | |||||||||||||||
Other fees | 6,797 | 6,529 | 6,481 | 7,210 | 6,606 | |||||||||||||||
Total Expenses before Adjustments | 317,741 | 231,029 | 253,264 | 305,181 | 281,079 | |||||||||||||||
Less: waivers and/or reimbursements by Adviser (Note 4) | (215,162 | ) | (216,970 | ) | (218,868 | ) | (209,882 | ) | (210,337 | ) | ||||||||||
Total Expenses after Adjustments | 102,579 | 14,059 | 34,396 | 95,299 | 70,742 | |||||||||||||||
Net Investment Income (Loss) | (45,066 | ) | 7,915 | (3,625 | ) | 83,465 | 253,858 | |||||||||||||
NET REALIZED GAIN (LOSS) FROM: | ||||||||||||||||||||
Transactions in Investment securities | 75,452 | 81,155 | 155,058 | 974,993 | (25,637 | ) | ||||||||||||||
In-kind redemptions of investments | — | — | — | 105,186 | 392,135 | |||||||||||||||
Securities sold short | (603,698 | ) | (62,163 | ) | (147,546 | ) | (1,046,377 | ) | (562,581 | ) | ||||||||||
Expiration or closing of swap agreements | (1,024 | ) | 24,907 | (1,875 | ) | 35,031 | — | |||||||||||||
Net Realized Gain (Loss) | (529,270 | ) | 43,899 | 5,637 | 68,833 | (196,083 | ) | |||||||||||||
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: | ||||||||||||||||||||
Investments in securities | 398,520 | (5,748 | ) | (5,431 | ) | (178,072 | ) | 27,115 | ||||||||||||
Securities sold short | 252,785 | (124,041 | ) | (44,016 | ) | 58,222 | (88,972 | ) | ||||||||||||
Swap agreements | 21,128 | (40,784 | ) | (2,811 | ) | (35,346 | ) | — | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | 672,433 | (170,573 | ) | (52,258 | ) | (155,196 | ) | (61,857 | ) | |||||||||||
Net Realized and Unrealized Gain (Loss) | 143,163 | (126,674 | ) | (46,621 | ) | (86,363 | ) | (257,940 | ) | |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 98,097 | $ | (118,759 | ) | $ | (50,246 | ) | $ | (2,898 | ) | $ | (4,082 | ) |
(1) | JP Morgan Chase Bank, N.A. voluntarily reimbursed short sale borrowing fees in the amount of $2,482 which are included in “Dividends on securities sold short”. |
See accompanying notes to the financial statements.
39
FQF Trust
Statements of Changes in Net Assets
AGFiQ U.S. Market Neutral Momentum Fund | AGFiQ U.S. Market Neutral Value Fund | |||||||||||||||
Year Ended June 30, 2018 | Year Ended June 30, 2017 | Year Ended June 30, 2018 | Year Ended June 30, 2017 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net investment income (loss) | $ | (45,066 | ) | $ | (22,163 | ) | $ | 7,915 | $ | (3,124 | ) | |||||
Net realized gain (loss) | (529,270 | ) | (87,579 | ) | 43,899 | (32,495 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | 672,433 | (414,346 | ) | (170,573 | ) | 187,740 | ||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 98,097 | (524,088 | ) | (118,759 | ) | 152,121 | ||||||||||
CAPITAL TRANSACTIONS(1) | ||||||||||||||||
Proceeds from shares issued | 6,250,111 | — | — | 1,335,804 | ||||||||||||
Cost of shares redeemed | (23 | ) | (1,243,469 | ) | — | (2,530,125 | ) | |||||||||
Net Increase (Decrease) from Capital Transactions | 6,250,088 | (1,243,469 | ) | — | (1,194,321 | ) | ||||||||||
Total Increase (Decrease) in Net Assets | 6,348,185 | (1,767,557 | ) | (118,759 | ) | (1,042,200 | ) | |||||||||
NET ASSETS | ||||||||||||||||
Beginning of period | $ | 2,241,312 | $ | 4,008,869 | $ | 1,299,749 | $ | 2,341,949 | ||||||||
End of Period | $ | 8,589,497 | $ | 2,241,312 | $ | 1,180,990 | $ | 1,299,749 | ||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | (26,798 | ) | $ | (10,317 | ) | $ | 8,604 | $ | 1 | ||||||
SHARE TRANSACTIONS | ||||||||||||||||
Beginning of period | 100,001 | 150,001 | 50,000 | 100,000 | ||||||||||||
Shares issued in-kind | 250,000 | — | — | 50,000 | ||||||||||||
Shares redeemed | (1 | ) | — | — | — | |||||||||||
Shares redeemed in-kind | — | (50,000 | ) | — | (100,000 | ) | ||||||||||
Shares Outstanding, End of Period | 350,000 | 100,001 | 50,000 | 50,000 |
(1) | Capital transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 7 to the Financial Statements. |
See accompanying notes to the financial statements.
40
FQF Trust
Statements of Changes in Net Assets
AGFiQ U.S. Market Neutral Size Fund | AGFiQ U.S. Market Neutral Anti-Beta Fund | |||||||||||||||
Year Ended June 30, 2018 | Year Ended June 30, 2017 | Year Ended June 30, 2018 | Year Ended June 30, 2017 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net investment income (loss) | $ | (3,625 | ) | $ | (23,344 | ) | $ | 83,465 | $ | (8,873 | ) | |||||
Net realized gain (loss) | 5,637 | (3,924 | ) | 68,833 | 305,014 | |||||||||||
Net change in unrealized appreciation (depreciation) | (52,258 | ) | (21,578 | ) | (155,196 | ) | (2,983,324 | ) | ||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (50,246 | ) | (48,846 | ) | (2,898 | ) | (2,687,183 | ) | ||||||||
CAPITAL TRANSACTIONS(1) | ||||||||||||||||
Proceeds from shares issued | — | — | — | 5,007,073 | ||||||||||||
Cost of shares redeemed | (20 | ) | — | (973,644 | ) | (19,112,569 | ) | |||||||||
Net Increase (Decrease) from Capital Transactions | (20 | ) | — | (973,644 | ) | (14,105,496 | ) | |||||||||
Total Increase (Decrease) in Net Assets | (50,266 | ) | (48,846 | ) | (976,542 | ) | (16,792,679 | ) | ||||||||
NET ASSETS | ||||||||||||||||
Beginning of period | $ | 2,087,638 | $ | 2,136,484 | $ | 9,999,981 | $ | 26,792,660 | ||||||||
End of Period | $ | 2,037,372 | $ | 2,087,638 | $ | 9,023,439 | $ | 9,999,981 | ||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | — | $ | (12,288 | ) | $ | 86,679 | $ | (1 | ) | ||||||
SHARE TRANSACTIONS | ||||||||||||||||
Beginning of period | 100,001 | 100,001 | 500,001 | 1,150,001 | ||||||||||||
Shares issued in-kind | — | — | — | 250,000 | ||||||||||||
Shares redeemed | (1 | ) | — | (1 | ) | — | ||||||||||
Shares redeemed in-kind | — | — | (50,000 | ) | (900,000 | ) | ||||||||||
Shares Outstanding, End of Period | 100,000 | 100,001 | 450,000 | 500,001 |
(1) | Capital transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 7 to the Financial Statements. |
See accompanying notes to the financial statements.
41
FQF Trust
Statements of Changes in Net Assets
AGFiQ Hedged Dividend Income Fund | ||||||||
Year Ended June 30, 2018 | Year Ended June 30, 2017 | |||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 253,858 | $ | 229,982 | ||||
Net realized gain (loss) | (196,083 | ) | 202,353 | |||||
Net change in unrealized appreciation (depreciation) | (61,857 | ) | (184,155 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,082 | ) | 248,180 | |||||
DISTRIBUTIONS | ||||||||
Net investment income | (185,948 | ) | (209,060 | ) | ||||
Net realized gain | (255,515 | ) | (120,954 | ) | ||||
Total Distributions | (441,463 | ) | (330,014 | ) | ||||
CAPITAL TRANSACTIONS(1) | ||||||||
Proceeds from shares issued | — | 8,999,207 | ||||||
Cost of shares redeemed | (8,632,490 | ) | (1,297,807 | ) | ||||
Net Increase (Decrease) from Capital Transactions | (8,632,490 | ) | 7,701,400 | |||||
Total Increase (Decrease) in Net Assets | (9,078,035 | ) | 7,619,566 | |||||
NET ASSETS | ||||||||
Beginning of period | $ | 11,434,366 | $ | 3,814,800 | ||||
End of Period | $ | 2,356,331 | $ | 11,434,366 | ||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | (81,591 | ) | $ | (32,507 | ) | ||
SHARE TRANSACTIONS | ||||||||
Beginning of period | 450,004 | 150,004 | ||||||
Shares issued in-kind | — | 350,000 | ||||||
Shares redeemed | (4 | ) | — | |||||
Shares redeemed in-kind | (350,000 | ) | (50,000 | ) | ||||
Shares Outstanding, End of Period | 100,000 | 450,004 |
(1) | Capital transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 7 to the Financial Statements. |
See accompanying notes to the financial statements.
42
(This page intentionally left blank.)
43
FQF Trust
Financial Highlights for a share outstanding throughout the period
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss)(1) | Net realized and unrealized gain (loss) | Transaction fees(11) | Total investment operations | Net investment income | Net realized gains | Tax return of capital | Total distributions | Net asset value, end of period | |||||||||||||||||||||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | ||||||||||||||||||||||||||||||||||||||||
Year ended June 30, 2018 | $ | 22.41 | $ | (0.21 | ) | $ | 2.34 | $ | — | (10) | $ | 2.13 | $ | — | $ | — | $ | — | $ | — | $ | 24.54 | ||||||||||||||||||
Year ended June 30, 2017 | 26.73 | (0.21 | ) | (4.12 | ) | 0.01 | (4.32 | ) | — | — | — | — | 22.41 | |||||||||||||||||||||||||||
Year ended June 30, 2016 | 24.99 | (0.63 | ) | 2.37 | (8) | — | 1.74 | — | — | — | — | 26.73 | ||||||||||||||||||||||||||||
Year ended June 30, 2015 | 24.86 | (0.55 | ) | 0.68 | (9) | — | 0.13 | — | — | — | — | 24.99 | ||||||||||||||||||||||||||||
Year ended June 30, 2014 | 23.93 | (0.68 | ) | 1.61 | — | 0.93 | — | — | — | — | 24.86 | |||||||||||||||||||||||||||||
AGFiQ U.S. Market Neutral Value Fund | ||||||||||||||||||||||||||||||||||||||||
Year ended June 30, 2018 | 25.99 | 0.16 | (2.53 | ) | — | (2.37 | ) | — | — | — | — | 23.62 | ||||||||||||||||||||||||||||
Year ended June 30, 2017 | 23.42 | (0.04 | ) | 2.60 | 0.01 | 2.57 | — | — | — | — | 25.99 | |||||||||||||||||||||||||||||
Year ended June 30, 2016 | 25.96 | (0.24 | ) | (2.30 | ) | — | (2.54 | ) | — | — | — | — | 23.42 | |||||||||||||||||||||||||||
Year ended June 30, 2015 | 28.15 | (0.39 | ) | (1.80 | )(9) | — | (2.19 | ) | — | — | — | — | 25.96 | |||||||||||||||||||||||||||
Year ended June 30, 2014 | 26.85 | (0.31 | ) | 1.61 | — | 1.30 | — | — | — | — | 28.15 | |||||||||||||||||||||||||||||
AGFiQ U.S. Market Neutral Size Fund | ||||||||||||||||||||||||||||||||||||||||
Year ended June 30, 2018 | 20.88 | (0.04 | ) | (0.47 | ) | — | (0.51 | ) | — | — | — | — | 20.37 | |||||||||||||||||||||||||||
Year ended June 30, 2017 | 21.36 | (0.23 | ) | (0.25 | ) | — | (0.48 | ) | — | — | — | — | 20.88 | |||||||||||||||||||||||||||
Year ended June 30, 2016 | 24.42 | (0.44 | ) | (2.62 | ) | — | (3.06 | ) | — | — | — | — | 21.36 | |||||||||||||||||||||||||||
Year ended June 30, 2015 | 25.67 | (0.51 | ) | (0.74 | )(9) | — | (1.25 | ) | — | — | — | — | 24.42 | |||||||||||||||||||||||||||
Year ended June 30, 2014 | 25.44 | (0.56 | ) | 0.79 | — | 0.23 | — | — | — | — | 25.67 | |||||||||||||||||||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | ||||||||||||||||||||||||||||||||||||||||
Year ended June 30, 2018 | 20.00 | 0.18 | (0.13 | ) | — | 0.05 | — | — | — | — | 20.05 | |||||||||||||||||||||||||||||
Year ended June 30, 2017 | 23.30 | (0.02 | ) | (3.30 | ) | 0.02 | (3.30 | ) | — | — | — | — | 20.00 | |||||||||||||||||||||||||||
Year ended June 30, 2016 | 19.34 | (0.13 | ) | 4.09 | (8) | — | 3.96 | — | — | — | — | 23.30 | ||||||||||||||||||||||||||||
Year ended June 30, 2015 | 19.30 | (0.13 | ) | 0.17 | (8)(9) | — | 0.04 | — | — | — | — | 19.34 | ||||||||||||||||||||||||||||
Year ended June 30, 2014 | 21.08 | (0.15 | ) | (1.63 | ) | — | (1.78 | ) | — | — | — | — | 19.30 | |||||||||||||||||||||||||||
AGFiQ Hedged Dividend Income Fund | ||||||||||||||||||||||||||||||||||||||||
Year ended June 30, 2018 | 25.41 | 0.90 | (0.99 | ) | — | (0.09 | ) | (1.19 | ) | (0.57 | ) | — | (1.76 | ) | 23.56 | |||||||||||||||||||||||||
Year ended June 30, 2017 | 25.43 | 1.04 | 0.44 | (8) | 0.01 | 1.49 | (0.91 | ) | (0.60 | ) | — | (1.51 | ) | 25.41 | ||||||||||||||||||||||||||
Year ended June 30, 2016 | 23.87 | 0.86 | 1.93 | — | 2.79 | (0.83 | ) | (0.40 | ) | — | (1.23 | ) | 25.43 | |||||||||||||||||||||||||||
For the period 01/15/15* – 06/30/15 | 25.00 | 0.21 | (1.21 | ) | — | (1.00 | ) | (0.13 | ) | — | — | (0.13 | ) | 23.87 |
* | Commencement of investment operations. |
(1) | Net investment income (loss) per share is based on average shares outstanding. |
(2) | Annualized for periods less than one year. |
(3) | Not annualized for periods less than one year. |
(4) | Had certain expenses not been waived/reimbursed during the periods, if applicable, total returns would have been lower. |
(5) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at net asset value. |
(6) | Market value total return is calculated assuming an initial investment made at market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. The market value is determined by the mid point of the bid/ask spread at 4:00 p.m. from the NYSE Arca, Inc. Exchange. Market value returns may vary from net asset value returns. |
(7) | In-kind transactions are not included in portfolio turnover calculations. |
(8) | The amount shown for a share outstanding throughout the period is not in accordance with the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund. |
(9) | FFCM reimbursed the Funds for losses incurred related to either a failure to rebalance at month-end or a trade error. The impact was an increase of $0.10, $0.05, $0.08, and $0.02 to the net realized and unrealized gains (losses) on investments per share and an increase of 0.39%, 0.17%, 0.21%, and 0.11% to the Funds total returns for AGFiQ U.S. Market Neutral Momentum Fund, AGFiQ U.S. Market Neutral Value Fund, AGFiQ U.S. Market Neutral Size Fund and AGFiQ U.S. Market Neutral Anti-Beta Fund, respectively. Had these reimbursements not been made, the total returns would have been lower. |
(10) | Per share amount is less than $0.01. |
(11) | Includes transaction fees associated with the issuance and redemption of Creation Units. |
See accompanying notes to the financial statements.
44
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of(2) | Total Return(3)(4) | |||||||||||||||||||||||||||||||||||||||||||||||
Expenses, after waivers and before securities sold short | Expenses, after waivers and securities sold short | Expenses, before waivers and after securities sold short | Net investment income (loss) | Net investment income (loss), before waivers | Net investment income (loss) net of reimbursement excluding special dividends | Net investment income (loss) per share excluding special dividends | Net asset value(5) | Market value(6) | Portfolio turnover rate (excluding short sales)(3)(7) | Portfolio turnover rate (including short sales)(3)(7) | Ending net assets (thousands) | |||||||||||||||||||||||||||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended June 30, 2018 | 0.75 | % | 1.88 | % | 5.81 | % | (0.82 | )% | (4.76 | )% | (0.82 | )% | $ | (0.21 | ) | 9.50 | % | 9.41 | % | 184 | % | 402 | % | $ | 8,589 | |||||||||||||||||||||||
Year ended June 30, 2017 | 0.99 | 2.31 | 10.55 | (0.90 | ) | (9.14 | ) | (1.02 | ) | (0.24 | ) | (16.16 | ) | (16.12 | ) | 172 | 380 | 2,241 | ||||||||||||||||||||||||||||||
Year ended June 30, 2016 | 1.49 | 3.67 | 7.77 | (2.34 | ) | (6.44 | ) | (2.37 | ) | (0.63 | ) | 6.96 | 7.01 | 210 | 647 | 4,009 | ||||||||||||||||||||||||||||||||
Year ended June 30, 2015 | 1.49 | 3.43 | 22.80 | (2.24 | ) | (21.62 | ) | (2.24 | ) | (0.55 | ) | 0.52 | (9) | 0.36 | 196 | 398 | 1,250 | |||||||||||||||||||||||||||||||
Year ended June 30, 2014 | 1.49 | 3.66 | 22.47 | (2.71 | ) | (21.52 | ) | (2.71 | ) | (0.68 | ) | 3.89 | 5.60 | 168 | 351 | 1,243 | ||||||||||||||||||||||||||||||||
AGFiQ U.S. Market Neutral Value Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended June 30, 2018 | 0.75 | 1.12 | 18.34 | 0.63 | (16.60 | ) | 0.61 | 0.15 | (9.12 | ) | (9.19 | ) | 81 | 152 | 1,181 | |||||||||||||||||||||||||||||||||
Year ended June 30, 2017 | 0.97 | 2.09 | 12.00 | (0.15 | ) | (10.06 | ) | (0.15 | ) | (0.04 | ) | 10.97 | 11.11 | 79 | 246 | 1,300 | ||||||||||||||||||||||||||||||||
Year ended June 30, 2016 | 1.49 | 3.05 | 10.14 | (0.95 | ) | (8.03 | ) | (0.97 | ) | (0.24 | ) | (9.78 | ) | (10.38 | ) | 95 | 195 | 2,342 | ||||||||||||||||||||||||||||||
Year ended June 30, 2015 | 1.49 | 3.20 | 11.72 | (1.45 | ) | (9.96 | ) | (1.45 | ) | (0.39 | ) | (7.78 | )(9) | (7.41 | ) | 150 | 351 | 2,596 | ||||||||||||||||||||||||||||||
Year ended June 30, 2014 | 1.49 | 3.02 | 19.32 | (1.13 | ) | (17.43 | ) | (1.06 | ) | (0.29 | ) | 4.84 | 4.99 | 85 | 303 | 2,815 | ||||||||||||||||||||||||||||||||
AGFiQ U.S. Market Neutral Size Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended June 30, 2018 | 0.75 | 1.71 | 12.62 | (0.18 | ) | (11.09 | ) | (0.18 | ) | (0.04 | ) | (2.44 | ) | (1.98 | ) | 66 | 105 | 2,037 | ||||||||||||||||||||||||||||||
Year ended June 30, 2017 | 0.94 | 2.65 | 12.56 | (1.08 | ) | (10.99 | ) | (1.19 | ) | (0.26 | ) | (2.25 | ) | (2.54 | ) | 71 | 106 | 2,088 | ||||||||||||||||||||||||||||||
Year ended June 30, 2016 | 1.49 | 3.72 | 11.78 | (1.97 | ) | (10.03 | ) | (2.01 | ) | (0.44 | ) | (12.53 | ) | (12.79 | ) | 113 | 197 | 2,136 | ||||||||||||||||||||||||||||||
Year ended June 30, 2015 | 1.49 | 3.67 | 18.26 | (2.08 | ) | (16.67 | ) | (2.15 | ) | (0.53 | ) | (4.87 | )(9) | (4.58 | ) | 78 | 108 | 2,442 | ||||||||||||||||||||||||||||||
Year ended June 30, 2014 | 1.49 | 3.51 | 18.14 | (2.19 | ) | (16.82 | ) | (2.25 | ) | (0.58 | ) | 0.90 | 0.43 | 53 | 114 | 1,284 | ||||||||||||||||||||||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended June 30, 2018 | 0.75 | 1.06 | 3.39 | 0.93 | (1.41 | ) | 0.93 | 0.18 | 0.25 | 0.20 | 166 | 347 | 9,023 | |||||||||||||||||||||||||||||||||||
Year ended June 30, 2017 | 0.84 | 2.02 | 3.60 | (0.07 | ) | (1.66 | ) | (0.17 | ) | (0.04 | ) | (14.16 | ) | (14.16 | ) | 98 | 273 | 10,000 | ||||||||||||||||||||||||||||||
Year ended June 30, 2016 | 0.99 | 2.71 | 3.13 | (0.61 | ) | (1.03 | ) | (0.84 | ) | (0.18 | ) | 20.48 | 20.48 | 168 | 974 | 26,793 | ||||||||||||||||||||||||||||||||
Year ended June 30, 2015 | 0.99 | 2.39 | 8.01 | (0.65 | ) | (6.27 | ) | (0.68 | ) | (0.14 | ) | (0.21 | )(9) | 0.78 | 123 | 577 | 3,868 | |||||||||||||||||||||||||||||||
Year ended June 30, 2014 | 0.99 | 2.28 | 7.20 | (0.74 | ) | (5.66 | ) | (0.78 | ) | (0.15 | ) | (8.44 | ) | (9.05 | ) | 92 | 382 | 6,756 | ||||||||||||||||||||||||||||||
AGFiQ Hedged Dividend Income Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended June 30, 2018 | 0.75 | 1.00 | 3.98 | 3.60 | 0.62 | 3.53 | 0.88 | (0.26 | ) | (0.39 | ) | 100 | 141 | 2,356 | ||||||||||||||||||||||||||||||||||
Year ended June 30, 2017 | 0.79 | 1.16 | 3.73 | 4.04 | 1.47 | 4.04 | 1.04 | 5.88 | 6.05 | 108 | 168 | 11,434 | ||||||||||||||||||||||||||||||||||||
Year ended June 30, 2016 | 0.99 | 1.75 | 5.31 | 3.61 | 0.06 | 3.60 | 0.85 | 12.21 | 11.84 | 130 | 192 | 3,815 | ||||||||||||||||||||||||||||||||||||
For the period 01/15/15* – 06/30/15 | 0.99 | 1.81 | 8.14 | 1.89 | (4.43 | ) | 1.89 | 0.21 | (4.02 | ) | (3.74 | ) | 50 | 74 | 3,581 |
See accompanying notes to the financial statements.
45
FQF Trust
Notes to Financial Statements
June 30, 2018
1. Organization
FQF Trust (the “Trust”), a Delaware statutory trust, was formed on November 19, 2009. The Trust currently includes five operational series of the AGFiQ Funds (collectively the “Funds” or individually a “Fund”): AGFiQ U.S. Market Neutral Momentum Fund, AGFiQ U.S. Market Neutral Value Fund, AGFiQ U.S. Market Neutral Size Fund, AGFiQ U.S. Market Neutral Anti-Beta Fund, and AGFiQ Hedged Dividend Income Fund. FFCM, LLC (the “Adviser”) is the investment adviser to each Fund. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940 (the “1940 Act”), as amended.
The investment objective of each Fund is to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of a specified benchmark index (each, a “Target Index”). Each Fund is classified as a “diversified” Fund. There can be no assurance that the Funds will achieve their respective investment objectives.
The Funds had no operations from their initial seeding date until each Fund’s respective commencement of operations date other than matters related to their organization and sale and issuance of 4,000 shares of beneficial interest in AGFiQ U.S. Market Neutral Value Fund to the Adviser at the net asset value (“NAV”) of $25.00 per share.
On October 10, 2017, the Board of Trustees (the “Trustees”) authorized changing the names of the Funds, effective October 30, 2017, as follows:
Fund (Old Name) | Fund (New Name) | |
QuantShares U.S. Market Neutral Momentum Fund | AGFiQ U.S. Market Neutral Momentum Fund | |
QuantShares U.S. Market Neutral Value Fund | AGFiQ U.S. Market Neutral Value Fund | |
QuantShares U.S. Market Neutral Size Fund | AGFiQ U.S. Market Neutral Size Fund | |
QuantShares U.S. Market Neutral Anti-Beta Fund | AGFiQ U.S. Market Neutral Anti-Beta Fund | |
QuantShares Hedged Dividend Income Fund | AGFiQ Hedged Dividend Income Fund |
2. Significant Accounting Policies
The following is a summary of the significant accounting policies followed by the Funds in preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of the financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements during the reporting period. Management believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the financial statements may differ from the value the Funds ultimately realize upon sale of the securities.
Investment Company Modernization
In October 2016, the Securities and Exchange Commission (“SEC”) issued Final Rule Release No. 33-10231, Investment Company Reporting Modernization (the “Release”). The Release calls for the adoption of new rules and forms as well as amendments to current rules and forms to modernize the reporting and disclosure of information by registered investment companies. The SEC is adopting amendments to Regulation S-X, which will require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The Funds have updated disclosure in these financial statements to reflect the amendments, which were effective August 1, 2017. The first filing compliance date for Form N-PORT is no later than April 30, 2020, reflecting data as of March 31, 2020. The Funds are filing Form N-CEN for the year ended June 30, 2018.
46
FQF Trust
Notes to Financial Statements (continued)
June 30, 2018
Investment Valuation
The net asset value (“NAV”) of each Fund’s shares is calculated each business day as of the close of regular trading on the New York Stock Exchange (“NYSE”), generally 4:00 p.m., Eastern Time. NAV per share is computed by dividing the net assets by the number of a Fund’s shares outstanding.
The value of each Fund’s securities held long and securities held short is based on such securities’ closing price on local markets when available. Such valuations would typically be categorized as Level 1 in the fair value hierarchy described below. If a security’s market price is not readily available, or if the value of a security the Funds hold has been materially affected by events occurring before the Funds’ pricing time but after the close of the primary markets or exchanges on which the security is traded, the security will be valued by another method that the Funds’ Valuation Committee believes will better reflect fair value in accordance with the Trust’s valuation guidelines which were approved by the Trustees. Each Fund may use fair value pricing in a variety of circumstances, including but not limited to, situations when the value of a Fund’s security has been materially affected by events occurring after the close of the market on which such security is principally traded (such as a corporate action or other news that may materially affect the price of such security) or trading in such security has been suspended or halted. Such valuations would typically be categorized as Level 2 or Level 3 in the fair value hierarchy described below. Fair value pricing involves subjective judgments and it is possible that a fair value determination for a security is materially different than the value that could be realized upon the sale of such security. In addition, fair value pricing could result in a difference between the prices used to calculate a Fund’s NAV and the prices used by the Fund’s Target Index. This may adversely affect a Fund’s ability to track its Target Index. Securities of non-exchange traded and exchange traded investment companies are valued at their NAV and market value, respectively.
Generally, the Funds price their swap agreements daily using industry standard models that may incorporate quotations from market makers or pricing vendors (unless the underlying reference security is closed or the official closing time of the underlying index occurs prior to the close of the “NYSE” due to time zone differences, in which case the quotations will be adjusted, to the extent practicable and available, based on inputs from an independent pricing source approved by the Trustees) and records the change in value, if any, as unrealized gain or loss. Such valuations would typically be categorized as Level 2 in the fair value hierarchy described below. Gains or losses are realized upon termination of the swap agreements or reset dates, as appropriate.
The Funds disclose the fair value of their investments in a hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs) and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the hierarchy are as follows:
• | Level 1 — Quoted prices in active markets for identical assets. |
• | Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 — Significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
47
FQF Trust
Notes to Financial Statements (continued)
June 30, 2018
The following is a summary of the valuations as of June 30, 2018 for each Fund based upon the three levels defined above:
Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | |||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | ||||||||||||||||
Investments | ||||||||||||||||
Assets | ||||||||||||||||
Common Stocks* | $ | 7,158,892 | $ | — | $ | — | $ | 7,158,892 | ||||||||
Liabilities | ||||||||||||||||
Common Stocks* | $ | (7,084,274 | ) | $ | — | $ | — | $ | (7,084,274 | ) | ||||||
Total Investments | $ | 74,618 | $ | — | $ | — | $ | 74,618 | ||||||||
Other Financial Instruments | ||||||||||||||||
Assets | ||||||||||||||||
Swap Agreements** | $ | — | $ | 69,334 | $ | — | $ | 69,334 | ||||||||
Liabilities | ||||||||||||||||
Swap Agreements** | $ | — | $ | (67,518 | ) | $ | — | $ | (67,518 | ) | ||||||
Total Other Financial Instruments | $ | — | $ | 1,816 | $ | — | $ | 1,816 | ||||||||
AGFiQ U.S. Market Neutral Value Fund | ||||||||||||||||
Investments | ||||||||||||||||
Assets | ||||||||||||||||
Common Stocks* | $ | 1,059,012 | $ | — | $ | — | $ | 1,059,012 | ||||||||
Liabilities | ||||||||||||||||
Common Stocks* | $ | (1,086,106 | ) | $ | — | $ | — | $ | (1,086,106 | ) | ||||||
Total Investments | $ | (27,094 | ) | $ | — | $ | — | $ | (27,094) | |||||||
Other Financial Instruments | ||||||||||||||||
Assets | ||||||||||||||||
Swap Agreements** | $ | — | $ | 6,273 | $ | — | $ | 6,273 | ||||||||
Liabilities | ||||||||||||||||
Swap Agreements** | $ | — | $ | (15,242 | ) | $ | — | $ | (15,242 | ) | ||||||
Total Other Financial Instruments | $ | — | $ | (8,969 | ) | $ | — | $ | (8,969 | ) | ||||||
AGFiQ U.S. Market Neutral Size Fund | ||||||||||||||||
Investments | ||||||||||||||||
Assets | ||||||||||||||||
Common Stocks* | $ | 1,781,918 | $ | — | $ | — | $ | 1,781,918 | ||||||||
Liabilities | ||||||||||||||||
Common Stocks* | $ | (1,761,487 | ) | $ | — | $ | — | $ | (1,761,487 | ) | ||||||
Total Investments | $ | 20,431 | $ | — | $ | — | $ | 20,431 | ||||||||
Other Financial Instruments | ||||||||||||||||
Assets | ||||||||||||||||
Swap Agreements** | $ | — | $ | 14,986 | $ | — | $ | 14,986 | ||||||||
Liabilities | ||||||||||||||||
Swap Agreements** | $ | — | $ | (16,535 | ) | $ | — | $ | (16,535 | ) | ||||||
Total Other Financial Instruments | $ | — | $ | (1,549) | $ | — | $ | (1,549 | ) |
48
FQF Trust
Notes to Financial Statements (continued)
June 30, 2018
Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | |||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | ||||||||||||||||
Investments | ||||||||||||||||
Assets | ||||||||||||||||
Common Stocks* | $ | 7,840,693 | $ | — | $ | — | $ | 7,840,693 | ||||||||
Liabilities | ||||||||||||||||
Common Stocks* | $ | (7,721,775 | ) | $ | — | $ | — | $ | (7,721,775 | ) | ||||||
Total Investments | $ | 118,918 | $ | — | $ | — | $ | 118,918 | ||||||||
Other Financial Instruments | ||||||||||||||||
Assets | ||||||||||||||||
Swap Agreements** | $ | — | $ | 116,035 | $ | — | $ | 116,035 | ||||||||
Liabilities | ||||||||||||||||
Swap Agreements** | $ | — | $ | (78,097 | ) | $ | — | $ | (78,097 | ) | ||||||
Total Other Financial Instruments | $ | — | $ | 37,938 | $ | — | $ | 37,938 | ||||||||
AGFiQ Hedged Dividend Income Fund | ||||||||||||||||
Investments | ||||||||||||||||
Assets | ||||||||||||||||
Common Stocks* | $ | 2,314,651 | $ | — | $ | — | $ | 2,314,651 | ||||||||
Liabilities | ||||||||||||||||
Common Stocks* | $ | (1,157,523 | ) | $ | — | $ | — | $ | (1,157,523 | ) | ||||||
Total Investments | $ | 1,157,128 | $ | — | $ | — | $ | 1,157,128 |
* | See Schedules of Investments for presentation by industry type. |
** | The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to a Fund’s NAV than the uncertainties surrounding inputs for a non-derivative security with the same market value. |
As of June 30, 2018, there were no Level 3 investments held in a Fund for which significant unobservable inputs were used to determine fair value.
The Funds disclose transfers between levels based on valuations at the end of the reporting period. There were no transfers between Levels 1, 2, and 3 as of June 30, 2018, based on levels assigned to securities as of June 30, 2017.
Real Estate Investment Trusts (“REITs”)
Each Fund may invest in REITs. Equity REITs invest primarily in real property while mortgage REITs make construction, development and long term mortgage loans. Their value may be affected by changes in the value of the underlying property of the REIT, the creditworthiness of the issuer, property taxes, interest rates, and tax and regulatory requirements, such as those relating to the environment.
REITs are dependent upon management skill, are not diversified and are subject to heavy cash flow dependency, default by borrowers, self liquidation and the possibility of failing to qualify for tax free income status under the Internal Revenue Code of 1986 and failing to be exempt from registration as a registered investment company under the 1940 Act.
Distributions from REIT investments may be comprised of return of capital, capital gains and income. The actual character of amounts received during the year is not known until after the REIT’s fiscal year end. The Funds record the character of distributions received from REITs during the year based on estimates available. The characterization of distributions received by the Funds may be subsequently revised based on information received from the REITs after their tax reporting periods have concluded.
49
FQF Trust
Notes to Financial Statements (continued)
June 30, 2018
Short Sales
The Funds enter into short sales. A short sale is a transaction in which a Fund sells a security it does not own. To complete such a transaction, a Fund must borrow the security to make delivery to the buyer. A Fund is then obligated to replace the security borrowed by borrowing the same security from another lender, purchasing it at the market price at the time of replacement or paying the lender an amount equal to the cost of purchasing the security. The price at such time may be more or less than the price at which the security was sold by the Fund. Until the security is replaced, a Fund is required to repay the lender any dividends it receives, or interest which accrues, during the period of the loan. To borrow the security, a Fund also may be required to pay a premium, which would increase the cost of the security sold. The net proceeds of the short sale will be retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A Fund also will incur transaction costs in effecting short sales.
A Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund closes out the short sale. A Fund will realize a gain if the price of the security declines in price between those dates. The amount of any gain will be decreased, and the amount of any loss increased, by the amount of the premium, dividends or interest a Fund may be required to pay, if any, in connection with a short sale. Short sales may be subject to unlimited losses as the price of a security can rise infinitely.
Whenever a Fund engages in short sales, it earmarks or segregates liquid securities or cash in an amount that, when combined with the amount of collateral deposited with the broker in connection with the short sale (other than the proceeds of the short sale), equals the current market value of the security sold short. The earmarked or segregated assets are marked-to-market daily and cannot be sold or liquidated unless replaced with liquid assets of equal value.
Funds may not be able to borrow stocks that are short positions in a Target Index as their supply may be insufficient or the cost to borrow may be prohibitively expensive due to market or stock specific conditions. Under such circumstances, the Funds may not achieve their investment objectives.
As of the year ended June 30, 2018, JPMorgan Chase Bank, N.A. voluntarily reimbursed the AGFiQ Hedged Dividend Income Fund for short sale borrowing fees in the amount of $2,482 which is included in the Statements of Operations under the caption “Dividends on securities sold short.”
Swap Agreements
The Funds may enter into swap agreements. Certain Funds currently enter into equity or equity index swap agreements for purposes of attempting to gain exposure to an index or group of securities without actually purchasing those securities. Although some swap agreements may be exchange-traded, others are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year. Most, if not all, swap agreements entered into by the Funds will be two-party contracts. In connection with the Funds’ positions in a swaps contract, each Fund will segregate liquid assets or will otherwise cover its position in accordance with applicable SEC requirements. In such a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount,” i.e., the return on or increase in value of a particular dollar amount invested in a “basket” of securities representing a particular index or group of securities. The use of swaps is a highly specialized activity which involves investment techniques and risks different from those associated with ordinary portfolio securities transactions.
Each Fund may enter into swap agreements to invest in a market without owning or taking physical custody of securities in circumstances in which direct investment is restricted for legal reasons or is otherwise impracticable. The counterparty to any swap agreement will typically be a bank, investment banking firm or
50
FQF Trust
Notes to Financial Statements (continued)
June 30, 2018
broker/dealer. On a long swap, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swap agreement would have increased in value had it been invested in the particular stocks, plus the dividends that would have been received on those stocks.
A Fund agrees to pay to the counterparty a floating rate of interest on the notional amount of the swap agreement plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such stocks. Therefore, the return to a Fund on any swap agreement will generally be the gain or loss on the notional amount plus dividends on the stocks less the interest paid by the Fund on the notional amount. As a trading technique, the Adviser may substitute physical securities with a swap agreement having risk characteristics substantially similar to the underlying securities.
Swap agreements typically are settled on a net basis, which means that the two payment streams are netted out, with a Fund receiving or paying, as the case may be, only the net amount of the two payments. Payments may be made at the conclusion of a swap agreement or periodically during its term. Swap agreements do not involve the delivery of securities or other underlying assets. Accordingly, the risk of loss with respect to swap agreements is limited to the net amount of payments that a Fund is contractually obligated to make. If the other party to a swap agreement defaults, a Fund’s risk of loss consists of the net amount of payments that such Fund is contractually entitled to receive. The net amount of the excess, if any, of a Fund’s obligations over its entitlements with respect to each equity swap will be accrued on a daily basis and an amount of cash or liquid assets, having an aggregate value at least equal to such accrued excess, will be earmarked or segregated by a Fund’s custodian; this cash and liquid assets cannot be sold unless replaced with cash or liquid assets of equal value. Inasmuch as these transactions are entered into for hedging purposes or are offset by earmarked or segregated cash or liquid assets, as permitted by applicable law, these transactions will not be construed to constitute senior securities within the meaning of the 1940 Act, and will not be subject to a Fund’s borrowing restrictions.
The swap market has grown substantially in recent periods with a large number of banks and investment banking firms acting both as principals and as agents utilizing standardized swap documentation. As a result, the swap market has become relatively liquid in comparison with the markets for other similar instruments which are traded in the OTC market. The Adviser, under the oversight of the Trustees, is responsible for determining and monitoring the liquidity of the Funds’ transactions in swap agreements.
In the normal course of business, a Fund enters into International Swaps and Derivatives Association (“ISDA”) agreements with certain counterparties for derivative transactions. These agreements contain among other conditions, events of default and termination events, and various covenants and representations. Certain of the Funds’ ISDA agreements contain provisions that require the Funds to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Funds’ NAV over specific periods of time, which may or may not be exclusive of redemptions. If the Funds were to trigger such provisions and have open derivative positions at that time, counterparties to the ISDA agreements could elect to terminate such ISDA agreements and request immediate payment in an amount equal to the net liability positions, if any, under the relevant ISDA agreement. Pursuant to the terms of its ISDA agreements, the Funds will have already collateralized its liability under such agreements, in some cases only in excess of certain threshold amounts.
The Funds noted below used swap contracts to simulate full investment in each respective Fund’s Target Index. The following represents the average monthly outstanding swap contracts for the year ended June 30, 2018:
Fund | Average Contract Long | Average Contract Short | ||||||
AGFiQ U.S. Market Neutral Momentum Fund | $ | 843,833 | $ | (887,382 | ) | |||
AGFiQ U.S. Market Neutral Value Fund | 214,513 | (203,667 | ) | |||||
AGFiQ U.S. Market Neutral Size Fund | 221,690 | (229,038 | ) | |||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | 1,073,607 | (1,208,168 | ) |
51
FQF Trust
Notes to Financial Statements (continued)
June 30, 2018
The following table indicates the location of derivative-related items on the Statements of Assets and Liabilities as well as the effect of derivative instruments on the Statements of Operations for the year ended June 30, 2018:
Fair Value of Derivative Instruments as of June 30, 2018 | ||||||||||||||||
Fund | Derivatives not accounted for as hedging instruments under ASC 815 | Location | Assets Value | Liabilities Value | ||||||||||||
Swap agreements | Statements of Assets and Liabilities | |||||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | $ | 69,334 | $ | 67,518 | ||||||||||||
AGFiQ U.S. Market Neutral Value Fund | 6,273 | 15,242 | ||||||||||||||
AGFiQ U.S. Market Neutral Size Fund | 14,986 | 16,535 | ||||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | 116,035 | 78,097 |
The Effect of Derivative Instruments on the Statements of Operations as of June 30, 2018 | ||||||||||||
Fund | Derivatives not accounted for as hedging instruments under ASC 815 | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) on Derivatives | |||||||||
Swap agreements | ||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | $ | (1,024 | ) | $ | 21,128 | |||||||
AGFiQ U.S. Market Neutral Value Fund | 24,907 | (40,784 | ) | |||||||||
AGFiQ U.S. Market Neutral Size Fund | (1,875 | ) | (2,811 | ) | ||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | 35,031 | (35,346 | ) |
Expenses
Most of the expenses of the Trust are directly identifiable to an individual Fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds.
Taxes and Distributions
Each of the Funds intends to qualify or continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute substantially all of its net investment income and net capital gains to shareholders. Accordingly, no provision for federal income taxes is required in the financial statements.
As of June 30, 2018 (the Funds’ tax year end), management of the Funds has reviewed the open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months. On an ongoing basis, management will monitor the tax positions taken to determine if adjustment to conclusions are necessary based on factors including but not limited to further implementation on guidance expected from FASB and ongoing analysis of tax law, regulation, and interpretations thereof.
Distributions to shareholders from net investment income, if any, are distributed annually. Dividends may be declared and paid more frequently to improve a Fund’s tracking to its Target Index or to comply with the distribution requirements of the Internal Revenue Code. Net capital gains are distributed at least annually.
The tax character of distributions paid may differ from the character of distributions shown on the Statements of Changes in Net Assets and Financial Highlights due to short-term capital gains being treated as ordinary income for tax purposes.
52
FQF Trust
Notes to Financial Statements (continued)
June 30, 2018
The tax character of the distributions paid for the tax years ended June 30, 2018 and 2017 were as follows:
Year Ended June 30, 2018 | Year Ended June 30, 2017 | |||||||||||||||||||||||
Fund | Distributions Paid from Ordinary Income | Distributions Paid from Net Long Term Capital Gains | Total Distributions | Distributions Paid from Ordinary Income | Distributions Paid from Net Long Term Capital Gains | Total Distributions | ||||||||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
AGFiQ U.S. Market Neutral Value Fund | — | — | — | — | — | — | ||||||||||||||||||
AGFiQ U.S. Market Neutral Size Fund | — | — | — | — | — | — | ||||||||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | — | — | — | — | — | — | ||||||||||||||||||
AGFiQ Hedged Dividend Income Fund | 337,811 | 103,652 | 441,463 | 330,014 | — | 330,014 |
As of June 30, 2018, the components of accumulated earnings (deficit) on a tax basis were as follows:
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)* | ||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | $ | — | $ | — | $ | (1,503,834 | ) | $ | 698,935 | |||||||
AGFiQ U.S. Market Neutral Value Fund | 8,604 | — | (1,388,398 | ) | (201,656 | ) | ||||||||||
AGFiQ U.S. Market Neutral Size Fund | — | — | (1,321,481 | ) | (280,231 | ) | ||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | 86,679 | — | (16,718,753 | ) | 104,139 | |||||||||||
AGFiQ Hedged Dividend Income Fund | 38,220 | — | (726,754 | ) | (33,876 | ) |
* | The differences between the book and tax basis unrealized appreciation (depreciation) is attributable to tax deferral of losses on wash sales, loss deferrals on unsettled short sales, non-taxable special dividends and investments in partnerships. |
Permanent differences, primarily due to gain (loss) on in-kind redemptions, foreign forward gain (loss), swaps, dividend expense for securities sold short, non-taxable special dividends, net operating loss, investments in partnerships, distributions from investments in real estate investment trusts, distributions from investments in regulated investment companies, and distribution reclassification resulted in the following reclassifications as of June 30, 2018, among the Funds’ components of net assets:
Fund | Accumulated Undistributed Net Investment Income (loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid in Capital | |||||||||
AGFiQ U.S. Market Neutral Momentum Fund | $ | 28,585 | $ | (5,274 | ) | $ | (23,311 | ) | ||||
AGFiQ U.S. Market Neutral Value Fund | 688 | (733 | ) | 45 | ||||||||
AGFiQ U.S. Market Neutral Size Fund | 15,913 | (374 | ) | (15,539 | ) | |||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | 3,215 | (87,533 | ) | 84,318 | ||||||||
AGFiQ Hedged Dividend Income Fund | (116,994 | ) | (311,836 | ) | 428,830 |
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period; however, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry on expiration date. Post-enactment capital loss carry forwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous law. For the tax year ended June 30, 2018, the following Funds had available capital loss carryforwards to offset future net capital gains to the extent provided by regulations and utilized capital loss carryforwards to offset net capital gains:
53
FQF Trust
Notes to Financial Statements (continued)
June 30, 2018
Fund | Capital Loss Carryforwards | Utilized Capital Loss Carryforwards | ||||||
AGFiQ U.S. Market Neutral Momentum Fund | $ | 1,138,484 | $ | 1,677 | ||||
AGFiQ U.S. Market Neutral Value Fund | 1,354,086 | 61,090 | ||||||
AGFiQ U.S. Market Neutral Size Fund | 1,321,233 | 35,848 | ||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | 16,393,834 | 32,588 | ||||||
AGFiQ Hedged Dividend Income Fund | 193,297 | — |
Under current tax rules, Regulated Investment Companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year. As of June 30, 2018, the Funds will elect to treat the following late-year ordinary losses and post-October capital losses as arising on July 1, 2018:
Fund | Ordinary Late Year Loss Deferrals | Post-October Capital Losses | Total | |||||||||
AGFiQ U.S. Market Neutral Momentum Fund | $ | 26,798 | $ | 338,552 | $ | 365,350 | ||||||
AGFiQ U.S. Market Neutral Value Fund | — | 34,312 | 34,312 | |||||||||
AGFiQ U.S. Market Neutral Size Fund | — | 248 | 248 | |||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | — | 324,919 | 324,919 | |||||||||
AGFiQ Hedged Dividend Income Fund | — | 533,457 | 533,457 |
3. Investment Transactions and Related Income
Throughout the reporting period, investment transactions are accounted for no later than one business day following the trade date. For financial reporting purposes, investment transactions are accounted for on trade date on the last business day of the reporting period. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premiums and accretion of discounts. Dividend income, net of any applicable foreign withholding taxes, is recorded on the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the asset received. Large, non-recurring dividends recognized by the Funds are presented separately on the Statement of Operations as “Special Dividends” and the impact of these dividends is presented in the Financial Highlights. Gains or losses realized on sales of securities are determined using the specific identification method by comparing the identified cost of the security lot sold with the net sales proceeds.
4. Investment Management Fees
Under an investment management agreement between the Adviser and the Trust, on behalf of each Fund (“Management Agreement”), the Funds pay the Adviser a fee at an annualized rate, based on each Fund’s average daily net assets, of 0.50%. The Adviser manages the investment and the reinvestment of the assets of each of the Funds, in accordance with the investment objectives, policies, and limitations of the Funds, subject to the general supervision and control of the Trustees. The Trust pays all expenses of its operations and business not specifically assumed or agreed to be paid by the Adviser.
The Adviser has contractually undertaken, until November 1, 2018, to forgo current payment of fees and/or reimburse expenses of each Fund so that the total annual operating expenses (excluding interest, taxes, brokerage commissions and other expenses that are capitalized in accordance with GAAP, dividend, interest and brokerage expenses for short positions, acquired fund fees and expenses, and extraordinary expenses, if any) (“Operating Expenses”) are limited to 0.75% of average daily net assets (“Expense Cap”) for each Fund. This undertaking can only be changed with the approval of the Trustees.
For the year ended June 30, 2018, management fee waivers and expense reimbursements were as follows:
54
FQF Trust
Notes to Financial Statements (continued)
June 30, 2018
Fund | Management Fees Waived | Expense Reimbursements | ||||||
AGFiQ U.S. Market Neutral Momentum Fund | $ | 27,353 | $ | 187,809 | ||||
AGFiQ U.S. Market Neutral Value Fund | 6,300 | 210,670 | ||||||
AGFiQ U.S. Market Neutral Size Fund | 10,033 | 208,835 | ||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | 44,987 | 164,895 | ||||||
AGFiQ Hedged Dividend Income Fund | 35,296 | 175,041 |
Each Fund has agreed that it will repay the Adviser for fees and expenses forgone or reimbursed for the Fund pursuant to the contractual expense limitation described above. Such repayment would increase a Fund’s expenses, and would appear on the Statements of Operations as “Repayment of prior expenses waived and/or reimbursed by the Adviser.” However, repayment would only occur up to the point of each Fund’s contractual Operating Expenses limit of 0.75% of average daily net assets. Any such repayment must be made within three years from the date the expense was borne by the Adviser. Any such repayment made under any prior Expense Cap cannot cause the Fund’s Operating Expenses to exceed the lower of 0.75% of the Fund’s average net assets and the annual rate of daily net assets for the Fund under the terms of the prior Expense Cap. For the year ended June 30, 2018, none of the Funds repaid expenses to the Adviser. As of June 30, 2018, the amounts eligible for repayment and the associated period of expiration are as follows:
Expires June 30, | Total Eligible for Recoupment | |||||||||||||||
Fund | 2019 | 2020 | 2021 | |||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | $ | 172,771 | $ | 200,803 | $ | 214,161 | $ | 587,735 | ||||||||
AGFiQ U.S. Market Neutral Value Fund | 172,057 | 200,913 | 215,970 | 588,940 | ||||||||||||
AGFiQ U.S. Market Neutral Size Fund | 177,271 | 210,235 | 218,868 | 606,374 | ||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | — | 166,394 | 208,882 | 375,276 | ||||||||||||
AGFiQ Hedged Dividend Income Fund | 125,826 | 145,741 | 210,337 | 481,904 |
During the fiscal year ended June 30, 2018, it was determined that the Funds had been overcharged by JPMorgan Chase Bank, N.A., the Funds' Administrator and Custodian, for class action filing fees spanning over several years and that the Funds were entitled to a reimbursement for these charges. Since the Funds were operating over the expense limitation, and the Adviser was reimbursing each Fund for expenses in excess of the limitation during the periods of overbilling, the reimbursement amounts were paid directly to the Adviser.
Management fee waivers and expense reimbursements amounts eligible for repayment were reduced accordingly. The difference in the management fee waivers and expense reimbursements amount totals for the fiscal year ended June 30, 2018 and the amounts eligible for repayment in 2021 are due to this reimbursement.
Below are the reimbursement totals that were applied against each year’s amounts eligible for repayment:
2018 | 2019 | 2020 | 2021 | |||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | $ | (1,000 | ) | $ | (2,000 | ) | $ | (2,500 | ) | $ | (1,000 | ) | ||||
AGFiQ U.S. Market Neutral Value Fund | (500 | ) | (3,500 | ) | (4,000 | ) | (1,000 | ) | ||||||||
AGFiQ U.S. Market Neutral Size Fund | — | (2,000 | ) | (3,000 | ) | — | ||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | (500 | ) | (1,500 | ) | — | (1,000 | ) |
5. Administration and Custodian Fees
JPMorgan Chase Bank, N.A. acts as Administrator and Custodian to the Funds. The Administrator provides the Funds with all required general administrative services. For these services, each Fund shall pay the Administrator monthly, a fee accrued daily and based on average net assets and subject to certain minimum levels. The Administrator pays all fees and expenses that are directly related to the services provided by the Administrator to the Funds; each Fund reimburses the Administrator for all fees and expenses incurred by the
55
FQF Trust
Notes to Financial Statements (continued)
June 30, 2018
Administrator which are not directly related to the services the Administrator provides to the Funds under the service agreement. Each Fund may also reimburse the Administrator for such out-of-pocket expenses as incurred by the Administrator in the performance of its duties. JPMorgan Chase Bank, N.A. acts as Custodian to the Funds. The Custodian holds cash, securities and other assets of the Funds as required by the 1940 Act.
6. Distribution, Service Plan and Fund Officers
Foreside Fund Services, LLC (the “Distributor”) serves as the Funds’ Distributor. The Trust has adopted a distribution and service plan (“Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, each Fund is authorized to pay distribution fees to the Distributor and other firms that provide distribution and shareholder services (“Service Providers”). If a Service Provider provides such services, the Funds may pay fees at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 under the 1940 Act.
No distribution or service fees are currently paid by the Funds and there are no current plans to impose these fees. In the event Rule 12b-1 fees were charged, over time they would increase the cost of an investment in the Funds and may cost you more than other types of sales charges.
Foreside Fund Officer Services, LLC (“FFOS”) (formerly Foreside Compliance Services, LLC), an affiliate of the Distributor, provides a Chief Compliance Officer as well as certain additional compliance support functions to the Funds. Foreside Management Services, LLC (“FMS”), an affiliate of the Distributor, provides a Principal Financial Officer and Treasurer to the Funds. FMS temporarily waived a portion of its fees until August 31, 2017. Neither FFOS nor FMS have a role in determining the investment policies of the Trust or Funds, or which securities are to be purchased or sold by the Trust or a Fund.
7. Issuance and Redemption of Fund Shares
The Funds are exchange-traded funds or ETFs. Individual Fund shares may only be purchased and sold on a national securities exchange through a broker-dealer and investors may pay a commission to such broker-dealers in connection with their purchase or sale. The price of Fund shares is based on market price, and because ETF shares trade at market prices rather than NAV, shares may trade at a price greater than NAV (a premium) or less than NAV (a discount). Information regarding how often the shares of the Funds traded on the Exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Funds for the most recently completed five fiscal years and the most recently completed calendar quarters can be found at www.AGFiQ.com. This information represents past performance and cannot be used to predict future results.
The Fund will only issue or redeem shares aggregated into blocks of 50,000 shares or multiples thereof (“Creation Units”) to Authorized Participants who have entered into agreements with the Funds’ Distributor. An Authorized Participant is either (1) a “Participating Party,” (i.e., a broker-dealer or other participant in the clearing process of the Continuous Net Settlement System of the NSCC) (“Clearing Process”), or (2) a participant of DTC (“DTC Participant”), and, in each case, must have executed an agreement (“Participation Agreement”) with the distributor with respect to creations and redemptions of Creation Units. The Funds will issue or redeem Creation Units in return for a basket of assets that the Funds specify each day.
Shares are listed on the NYSE Arca, Inc.TM and are publicly traded. If you buy or sell Fund shares on the secondary market, you will pay or receive the market price, which may be higher or lower than NAV. Your transaction will be priced at NAV if you purchase or redeem Fund shares in Creation Units.
Authorized Participants may pay transaction fees to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units. Authorized Participants purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to the Funds’ Administrator to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. Additionally a portion of the transaction fee is used to offset transactional costs typically accrued in the Funds’ custody expenses directly related to the issuance and redemption of Creation Units. An additional variable fee may be charged for certain transactions. Such fees would be included in the
56
FQF Trust
Notes to Financial Statements (continued)
June 30, 2018
receivable for capital shares issued on the Statements of Assets and Liabilities. Transaction fees assessed during the period, which are included in the proceeds or cost from shares issued or redeemed on the Statements of Changes in Net Assets, were as follows:
Fund | Year Ended June 30, 2018 | |||
AGFiQ U.S. Market Neutral Momentum Fund | $ | 2,880 | ||
AGFiQ U.S. Market Neutral Anti-Beta Fund | 448 | |||
AGFiQ Hedged Dividend Income Fund | 1,122 |
8. Investment Transactions
For the year ended June 30, 2018, the cost of securities purchased and proceeds from sales of securities, excluding short-term securities, derivatives and in-kind transactions, were as follows:
Purchases | Sales | |||||||||||||||
Fund | Long | Short Covers | Long | Short | ||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | $ | 8,627,845 | $ | 10,229,519 | $ | 9,283,733 | $ | 15,066,173 | ||||||||
AGFiQ U.S. Market Neutral Value Fund | 863,345 | 843,298 | 972,714 | 656,148 | ||||||||||||
AGFiQ U.S. Market Neutral Size Fund | 1,198,433 | 749,810 | 1,444,271 | 446,072 | ||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | 13,252,017 | 15,486,097 | 14,312,610 | 13,448,493 | ||||||||||||
AGFiQ Hedged Dividend Income Fund | 6,961,146 | 7,276,439 | 7,669,057 | 2,192,911 |
9. In-Kind Transactions
During the period presented in this report, certain Funds of the Trust delivered securities of the Funds in exchange for the redemption of shares (redemption-in-kind). Cash and securities were transferred for redemptions at fair value. For financial reporting purposes, the Funds recorded net realized gains and losses in connection with each transaction.
For the year ended June 30, 2018, the value of the securities transferred for redemptions, and the net realized gains recorded in connection with the transactions were as follows:
Fund | Value | Realized Gain | ||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | $ | 864,127 | $ | 105,186 | ||||
AGFiQ Hedged Dividend Income Fund | 8,548,830 | 392,135 |
During the period, certain Funds of the Trust received cash and securities in exchange for subscriptions of shares (subscriptions-in-kind). For the year ended June 30, 2018, the value of the securities received for subscriptions were as follows:
Fund | Value | |||
AGFiQ U.S. Market Neutral Momentum Fund | $ | 5,396,501 |
10. Principal Risks
Some principal risks apply to all Funds, while others are specific to the investment strategy of certain Funds. Each Fund may be subject to other principal risks in addition to these identified principal risks. This section discusses certain principal risks encountered by the Funds. A more complete description of the principal risks to which each Fund is subject is included in the Funds' prospectus.
Anti-Beta Risk: For AGFiQ U.S. Market Neutral Anti-Beta Fund, there is a risk that the present and future volatility of a security, relative to the market index, will not be the same as it has historically been and thus that the Fund will not be invested in the less volatile securities in the universe. In addition, the Fund may be more
57
FQF Trust
Notes to Financial Statements (continued)
June 30, 2018
volatile than the universe since it will have short exposure to the most volatile stocks in the universe and long exposure to the least volatile stocks in the universe. Volatile stocks are subject to sharp swings in value.
High Dividend Risk: For AGFiQ Hedged Dividend Income Fund, a company may reduce or eliminate its dividend. As a result, the present and future dividend of a security may not be the same as it has historically been and the Fund may not end up invested in high dividend securities. The Fund may be more volatile than the universe since it will have short exposure to low dividend paying stocks in the universe. In addition, there may be periods when the high dividend style is out of favor, and during which the investment performance of a fund using a high dividend strategy may suffer.
Momentum Risk: For the AGFiQ U.S. Market Neutral Momentum Fund, momentum investing emphasizes investing in securities that have had better recent performance compared to other securities. Securities may be more volatile than a broad cross-section of securities, and momentum may be an indicator that a security’s price is peaking. In addition, there may be periods when the momentum style is out of favor, and during which the investment performance of a fund using a momentum strategy may suffer. Momentum can turn quickly and cause significant variation from other types of investments. The Fund may experience significant losses if momentum stops, turns or otherwise behaves differently than predicted.
Size Risk: For the AGFiQ U.S. Market Neutral Size Fund, size investing entails investing in securities within the universe that have smaller market capitalizations and shorting securities within the universe that have larger market capitalizations. The Fund seeks to capture excessive returns of smaller firms (by market capitalization) relative to their larger counterparts. There may be periods when the size style is out of favor, and during which the investment performance of a fund using a size strategy may suffer.
Value Risk: For the AGFiQ U.S. Market Neutral Value Fund, value investing entails investing in securities issued by companies that may be perceived as undervalued may fail to appreciate for long periods of time and may never realize their full potential value. The Index Provider may be unsuccessful in creating an index that emphasizes undervalued securities. Value securities have generally performed better than non-value securities during periods of economic recovery. Value securities may go in and out of favor over time.
Authorized Participants Concentration Risk: The Funds have a limited number of Authorized Participants. To the extent they cannot or are otherwise unwilling to engage in creation and redemption transactions with the Funds and no other Authorized Participant steps in, shares of the Funds may trade like closed-end fund shares at a significant discount to net asset value (“NAV”) and may face delisting from the Exchange.
Concentration Risk: To the extent that a Fund’s Target Index is concentrated in a particular industry, the Fund also will be expected to be concentrated in that industry and may subject the Fund to a greater loss as a result of adverse economic, business or other developments affecting that industry.
Derivatives Risk: Derivatives, including swap agreements and futures contracts, may involve risks different from, or greater than, those associated with more traditional investments. As a result of investing in derivatives, a Fund could lose more than the amount it invests. Derivatives may be highly illiquid, and a Fund may not be able to close out or sell a derivative position at a particular time or at an anticipated price. Derivatives also may be subject to counterparty risk, which includes the risk that a loss may be sustained by a Fund as a result of the insolvency or bankruptcy of, or other non-compliance by, the other party to the transaction.
Equity Investing Risk: An investment in a Fund involves risks similar to those of investing in any fund holding equity securities, such as market fluctuations. In addition, securities may decline in value due to factors affecting a specific issuer, market or securities markets generally.
Flash Crash Risk: Sharp price declines in securities owned by a Fund may trigger trading halts, which may result in a Fund’s shares trading in the market at an increasingly large discount to NAV during part (or all) of a trading day.
58
FQF Trust
Notes to Financial Statements (continued)
June 30, 2018
Leverage Risk: A Fund’s use of short selling and swap agreements allows the Fund to obtain investment exposures greater than it could otherwise obtain and specifically to effectively increase, or leverage, its total long and short investment exposures to more than its NAV by a significant amount. Use of leverage tends to magnify increases or decreases in a Fund’s returns and may lead to a more volatile share price. Leverage may magnify a Fund’s gains or losses.
Market Neutral Style Risk: During a “bull” market, when most equity securities and long-only equity ETFs are increasing in value, a Fund’s short positions will likely cause the Fund to underperform the overall U.S. equity market and such ETFs. In addition, because a Fund employs a dollar-neutral strategy to achieve market neutrality, the beta of the Fund (i.e., the relative volatility of the Fund as compared to the market) will vary over time and may not be equal to zero.
Master Limited Partnership Risk: Master Limited Partnerships (“MLPs”) are commonly taxed as partnerships and publicly traded on national securities exchanges. For AGFiQ Hedged Dividend Income Fund investments in common units of MLPs involve risks that differ from investments in common stock, including risks related to limited control and limited rights to vote on matters that affect the MLP. MLPs are commonly treated as partnerships that are “qualified publicly traded partnerships” for federal income tax purposes, which commonly pertain to the use of natural resources. Changes in U.S. tax laws could revoke the pass-through attributes that provide the tax efficiencies that make MLPs attractive investment structures.
Passive Investment Risk: The Funds are managed with a passive investment strategy, attempting to track a Fund’s Target Index. As a result, a Fund expects to hold constituent securities of its Target Index regardless of their current or projected performance. Maintaining investments in securities regardless of market conditions or the performance of individual securities could cause a Fund’s return to be lower than if the Fund employed an active strategy.
Portfolio Turnover Risk: A Fund’s investment strategy may result in higher portfolio turnover rates. A high portfolio turnover rate (e.g., over 100%) may result in higher transaction costs to a Fund, including brokerage commissions, and negatively impact a Fund’s performance. Such portfolio turnover also may generate net short-term capital gains.
Premium-Discount Risk: Fund shares may trade above or below their NAV. The market prices of Fund shares will generally fluctuate in accordance with changes in NAV as well as the relative supply of, and demand for, Fund shares.
REIT Risk: Through its investments in REITs, a Fund will be subject to the risks of investing in the real estate market, including decreases in property values and revenues and increases in interest rates.
Short Sale Risk: If a Fund sells a stock short and subsequently has to buy the security back at a higher price, the Fund will realize a loss on the transaction. The amount a Fund could lose on a short sale is potentially unlimited because there is no limit on the price a shorted security might attain (as compared to a long position, where the maximum loss is the amount invested). The use of short sales increases the exposure of a Fund to the market, and may increase losses and the volatility of returns. If the short portfolio (made up of the securities with the lowest momentum within each sector) outperforms the long portfolio (made up of the securities with the highest momentum within each sector), the performance of a Fund would be negatively affected. In addition, when a Fund is selling a stock short, it must maintain a segregated account of cash and/or liquid assets with its custodian to satisfy collateral and regulatory requirements. As a result, a Fund may maintain high levels of cash or liquid assets.
The Funds’ prospectuses contain additional information regarding the principal risks associated with an investment in a Fund.
59
FQF Trust
Notes to Financial Statements (continued)
June 30, 2018
11. Guarantees and Indemnifications
In the normal course of business, a Fund enters into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. Additionally, under the Funds’ organizational documents, the officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, the Adviser is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.
12. Subsequent Events
Subsequent events occurring after the date of this report have been evaluated for potential impact to this report through the date the report was issued.
60
FQF Trust
Report of Independent Registered Public Accounting Firm
June 30, 2018
To the Board of Trustees of FQF Trust and the Shareholders of the AGFiQ U.S. Market Neutral Momentum Fund, AGFiQ U.S. Market Neutral Value Fund, AGFiQ U.S. Market Neutral Size Fund, AGFiQ U.S. Market Neutral Anti-Beta Fund, and AGFIQ Hedged Dividend Income Fund
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of AGFiQ U.S. Market Neutral Momentum Fund, AGFiQ U.S. Market Neutral Value Fund, AGFiQ U.S. Market Neutral Size Fund, AGFiQ U.S. Market Neutral Anti-Beta Fund, and AGFiQ Hedged Dividend Income Fund, (five of the funds constituting FQF Trust, hereafter collectively referred to as the “Funds”) as of June 30, 2018, the related statements of operations for the year ended June 30, 2018, the statements of changes in net assets for each of the two years in the period ended June 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 the Funds as of June 30, 2018, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period ended June 30, 2018, and 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 Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits 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 June 30, 2018 by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
August 27, 2018
We have served as the auditor of one or more investment companies in FQF Trust since 2012.
61
FQF Trust
Expense Example (Unaudited)
June 30, 2018
As a shareholder, you incur two types of costs: (1) transaction costs for, such as brokerage commissions, purchasing and selling shares and (2) ongoing costs, including management fees, other operational and investment related expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
Actual Expenses
The actual expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended June 30, 2018.
The first line in the following tables 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 “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended June 30, 2018.
The second line in the following tables provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as brokerage commissions on the purchases and sales of Fund shares. Therefore, the second line for each Fund in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
62
FQF Trust
Expense Example (Unaudited)
June 30, 2018
Beginning Account Value 01/01/18 | Ending Account Value 06/30/18 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | ||||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | |||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,023.40 | $ | 8.78 | 1.75 | % | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,016.12 | $ | 8.75 | 1.75 | % | |||||||||
AGFiQ U.S. Market Neutral Value Fund | |||||||||||||||||
Actual | $ | 1,000.00 | $ | 915.80 | $ | 3.99 | 0.84 | % | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.63 | $ | 4.21 | 0.84 | % | |||||||||
AGFiQ U.S. Market Neutral Size Fund | |||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,006.40 | $ | 7.41 | 1.49 | % | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,017.41 | $ | 7.45 | 1.49 | % | |||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | |||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,045.40 | $ | 4.51 | 0.89 | % | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.38 | $ | 4.46 | 0.89 | % | |||||||||
AGFiQ Hedged Dividend Income Fund(a) | |||||||||||||||||
Actual | $ | 1,000.00 | $ | 991.10 | $ | 3.16 | 0.64 | % | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.62 | $ | 3.21 | 0.64 | % |
* | Expenses are equal to the average account value over the period multiplied by the Fund’s annualized expense ratio, multiplied by 181 days in the most recent fiscal half-year divided by 365 days in the fiscal year (to reflect the one half year period). |
(a) | The Fund’s expenses in the table above reflected voluntary reimbursement by JPMorgan Chase Bank, N.A. Please refer to the notes to the financial statements herein for more information. Without this reimbursement, the corresponding table above would have read as follows: |
Beginning Account Value 01/01/18 | Ending Account Value 06/30/18 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | ||||||||||||||
AGFiQ Hedged Dividend Income Fund | |||||||||||||||||
Actual | $ | 1,000.00 | $ | 991.10 | $ | 4.05 | 0.82 | % | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.73 | $ | 4.11 | 0.82 | % |
63
FQF Trust
Board Consideration of the Investment Advisory Agreement
At a meeting held on February 13, 2018, the Board of Trustees (“Board”) of FQF Trust (“Trust”), including the Trustees who are not “interested persons” of the Trust or FFCM, LLC (“FFCM” or “Adviser”) (including its affiliates) (such Trustees, the “Independent Trustees”), approved the renewal of the Investment Advisory Agreement (“Agreement”) between FFCM and the Trust, on behalf of the AGFiQ U.S. Market Neutral Momentum Fund, AGFiQ U.S. Market Neutral Value Fund, AGFiQ U.S. Market Neutral Size Fund, AGFiQ U.S. Market Neutral Anti-Beta Fund (such four series the “Market Neutral ETFs”), AGFiQ Hedged Dividend Income Fund (“DIVA”), AGFiQ Equal Weighted High Momentum Factor Fund, AGFiQ Equal Weighted Low Beta Factor Fund, AGFiQ Equal Weighted Value Factor Fund (such three series, the “Long-Only ETFs”) (collectively, the “AGFiQ ETFs”).
In evaluating the Agreement, the Board, including the Independent Trustees, reviewed materials furnished by FFCM and met with senior representatives of FFCM. The Board also considered materials that they had received at past meetings, including routine quarterly meetings, relating to the nature, extent and quality of FFCM’s services, including information concerning each AGFiQ ETF’s advisory fee, total expense ratio, and performance. Generally, the Board considered the following factors, among others, in connection with its renewal of the Agreement: (1) the nature, extent, and quality of the services provided by FFCM; (2) the investment performance of each AGFiQ ETF; (3) the costs of the services provided; (4) the extent to which economies of scale might be realized as each AGFiQ ETF grows; (5) whether fee levels reflect such potential economies of scale, if any, for the benefit of investors; and (6) any other benefits derived by FFCM from its relationship with the AGFiQ ETFs.
Nature, Extent and Quality of Services; Investment Performance
With respect to the nature, extent and quality of the services provided, the Board considered the portfolio management and other personnel of FFCM who perform services for each AGFiQ ETF, the compliance function of FFCM, and the financial condition of FFCM. In this regard, among other things, the Board noted FFCM’s history of compliance as well as enhancements it made to its compliance function in connection with its transaction with AGF Management Limited (“AGF”). In addition, the Board considered the successful integration to date of many of FFCM’s operations into AGF. Further, the Board evaluated the integrity of FFCM’s personnel, the experience of the portfolio management team, including in managing long-only, long-short and market neutral strategies, and the management of each operational AGFiQ ETF in accordance with its stated investment objectives and policies. The Board also considered the demonstrated ability of the portfolio managers to manage each AGFiQ ETF’s investments in accordance with its stated investment objectives (i.e., closely tracking a target index).
With respect to the performance of each Market Neutral ETF, the Board considered each Market Neutral ETF’s performance since inception and for the last quarter, one-year, three-year and five-year periods. In this regard, among other things, the Board considered each Market Neutral ETF’s total returns compared to the total returns of its target index and one or more broad-based benchmark indexes, as well as one or more funds identified by FFCM as comparable (“Peer Funds”). The Board observed that, based on this comparison, the Market Neutral ETFs performed variably relative to their Peer Funds and the broad-based benchmark indexes for the periods considered. In determining to renew the Agreement, the Board observed that each Market Neutral ETF closely tracked its target index before fees and expenses. With respect to the absolute performance of the Market Neutral ETFs, the Board acknowledged FFCM’s explanation that, since the Market Neutral ETFs’ inception in 2011, the market had generally moved upward and, as a result, market neutral strategies had generally underperformed. With respect to the Market Neutral ETFs’ variable performance relative to the Peer Funds, the Board considered FFCM’s representation that the Peer Funds do not employ comparable investment strategies for several reasons, including that: the Peer Funds do not pursue market neutral strategies, but rather only long-short strategies; and the Peer Funds do not pursue single-”factor” strategies (i.e., momentum, value, size, low beta), but rather multi-factor strategies (i.e. , a combination of value, momentum, etc.). The Board considered
64
FQF Trust
Board Consideration of the Investment Advisory Agreement
FFCM’s explanation of the adverse impact of such differences on the relative performance of the Market Neutral ETFs as compared to their Peer Funds over the periods reviewed.
With respect to the performance of DIVA, the Board considered its performance since inception and for the last quarter, one-year, and two-year periods. In this regard, among other things, the Board considered DIVA’s total returns compared to the total returns of Peer Funds. The Board observed that, based on the comparisons provided, DIVA underperformed its Peer Funds for all periods reviewed. In determining to renew the Agreement, the Board considered FFCM’s representation that DIVA’s strategy remained attractive due to its lower volatility relative to the Peer Funds and observed that DIVA closely tracked its target index before fees and expenses.
Because the AGFiQ ETFs are index-based funds, the Board considered the quality of each AGFiQ ETF’s target index and each AGFiQ ETF’s tracking error relative to such index. In this context, the Board considered the performance of each Market Neutral ETF’s target index and FFCM’s representation and data showing that each Market Neutral ETF’s target index appropriately identifies component securities that are representative of the relevant investment factor (i.e., momentum, value, size, low beta). In light of this information, the Board considered the likelihood that the target indexes of the Long-Only Funds would also be high quality and appropriate for their Funds. In addition, the Board considered each operational AGFiQ ETF’s tracking error vis-à-vis its target index before and after fees and expenses, as well as FFCM’s explanation of the disproportionate impact fees and expenses have on the AGFiQ ETFs due to their levels of assets under management. The Board also noted management’s conviction that the AGFiQ ETFs provide investors with unique investment solutions that appeal to asset allocators for inclusion in model portfolios, notwithstanding their absolute performance, due to their passive nature and predictable performance in the various market conditions that have prevailed since their inception. Based on the information considered, the Board concluded that the nature, extent and quality of FFCM’s services supported renewal of the Agreement.
Fund Expenses; Cost of Services; Economies of Scale; Related Benefits
The Board reviewed information compiled by FFCM comparing each operational AGFiQ ETF’s contractual management fee rate, as a percentage of average net assets, to certain Peer Funds. The Board also reviewed information compiled by FFCM comparing each operational AGFiQ ETF’s total expense ratio to the total expense ratios of its Peer Funds, taking into account, as applicable, dividend and interest expenses on short sales, expense waivers and reimbursements. The Board noted that FFCM did not provide advisory services to any other fund or account pursuing an investment objective substantially similar to any AGFiQ ETF. Based on the information described, the Board concluded that each AGFiQ ETF’s advisory fee and total expense ratio were reasonable.
The Board also reviewed the overall profitability to FFCM of the AGFiQ ETFs and evaluated the services that FFCM provides to each AGFiQ ETF for potential economies of scale. In this regard, the Board noted that since the AGFiQ ETFs’ inception, the funds have not gathered significant assets and FFCM has generally subsidized the expense of their operations by reimbursing expenses and waiving fees. Based on this and other information, the Board determined that economies of scale were not a material factor to be considered in connection with the renewal of the Agreement.
With respect to ancillary (or fall-out) benefits being received by FFCM as a result of its relationship with the AGFiQ ETFs, the Board considered FFCM’s accrual of soft dollars in connection with trading transactions for the AGFiQ ETFs. Based on the information considered, the Board did not deem such benefits to be material to their consideration of the renewal of the Agreement.
Based on their review of the facts and circumstances related to the Agreement, the Board concluded that each AGFiQ ETF and its shareholders could benefit from FFCM’s continued management of its portfolio. Thus, the Board determined that the renewal of the Agreement with respect to each AGFiQ ETF was appropriate and in the best interest of each AGFiQ ETF’s shareholders. In their deliberations, the Board did not identify any particular information that was all-important or controlling, and each Trustee may have attributed different
65
FQF Trust
Board Consideration of the Investment Advisory Agreement
weights to different factors. After reviewing a memorandum from Independent Trustee counsel discussing the legal standards applicable to the Board’s consideration of the Agreement, and after the Independent Trustees met privately with such counsel, the Board determined, in the exercise of its reasonable business judgment, that the advisory arrangement, as outlined in the Agreement, was fair and reasonable in light of the services (to be) performed, expenses (to be) incurred and such other matters as the Board considered relevant.
66
FQF Trust
Additional Information (Unaudited)
Proxy Voting Information
A description of FQF Trust’s proxy voting policies and procedures is attached to the Funds’ Statement of Additional Information, which is available without charge by visiting the Funds’ website at www.AGFiQ.com or the Securities and Exchange Commission’s (“SEC”) SEC’s website at www.sec.gov or by calling collect 1-617-292-9801.
In addition, a description of how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available without charge upon request by calling collect 1-617-292-9801 or on the SEC’s website at www.sec.gov.
Quarterly Portfolio Holdings Information
FQF Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q is available on the SEC’s website at www.sec.gov. You may also review and obtain copies of the Funds’ Forms N-Q at the SEC’s Public Reference Room in Washington, D.C. Information about the Public Reference Room may be obtained by calling 1-800-SEC-0330. In addition, the Funds’ full portfolio holdings are updated daily and available on the AGFiQ Funds’ website at www.AGFiQ.com.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
Federal Tax Information
Under the Jobs and Growth Tax Relief Reconciliation Act of 2003 (the “Act”), the percentages of ordinary dividends paid during the tax year ended June 30, 2018 are designated as “qualified dividend income” (QDI), as defined in the Act, subject to reduced tax rates in 2018. The Funds also qualify for the dividends received deduction (DRD) for corporate shareholders. Complete information will be reported in conjunction with your 2018 Form 1099-DIV.
As of June 30, 2018, the Fund federal tax information was as follows:
Fund | QDI | DRD | ||||||
QuantShares Hedged Dividend Income Fund | 57.27 | % | 57.27 | % |
67
FQF Trust
Trustees and Officers of the Trust (Unaudited)
Trustees
Name, Address*, Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
Independent Trustees | ||||||||||
Peter A. Ambrosini Year of Birth: 1944 | Trustee | Indefinite/ Since 2011 | Independent Consultant, Independent Directors of GMO Trust (2013 to present); Independent Consultant, GMO Funds, (2011 to present); Principal, Dover Consulting LLC (2008 to 2015). | 10 | None | |||||
Joseph A. Franco Year of Birth: 1957 | Trustee | Indefinite/ Since 2011 | Professor of Law, Suffolk University Law School (1996 to present). | 10 | None | |||||
Richard S. Robie III Year of Birth: 1960 | Trustee | Indefinite/ Since 2011 | Chief Operating Officer, Eagle Capital Management (July 2017 to present); Consultant, Advent International (August 2010 to July 2017). | 10 | None | |||||
Interested Trustee** | ||||||||||
William C. Carey Year of Birth: 1960 | Trustee; Vice President | Indefinite/ Since 2018 Since 2018 | Chief Executive Officer, Adviser (September 2013 to present); President, F-Squared Retirement Solutions (2011 to 2012). | 10 | None |
* | Each Independent Trustee may be contacted by writing to the Independent Trustees of FQF Trust, c/o Stacy L. Fuller, Esq., K&L Gates LLP, 1601 K Street, NW, Washington, D.C., 20006-1600. |
** | Mr. Carey is an “interested person,” as defined by the 1940 Act, because of his employment with an affiliate of the Adviser. |
The Funds’ Statement of Additional Information includes additional information about the Trustees and is available free of charge, upon request, by calling (617) 292-9801 (collect).
68
FQF Trust
Trustees and Officers of the Trust (Unaudited)
Officers
Name, Address, Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Joshua G. Hunter 10 High Street, Suite 302 Boston, MA 02110 Year of Birth: 1981 | Principal Financial Officer and Treasurer | Indefinite/Since 2015 | Fund Principal Financial Officer, Foreside Management Services LLC (July 2015 to present); Vice President/Assistant Vice President, Treasury Services, JPMorgan Chase & Co. (July 2008 to July 2015).* | |||
William H. DeRoche 53 State Street, Suite 1308 Boston, MA 02109 Year of Birth: 1962 | President | Indefinite/Since 2012 | Chief Investment Officer, Adviser (April 2010 to present); Chief Compliance Officer, Adviser (June 2012 to March 2017); Portfolio Manager, ICC Capital (March 2015 to December 2015). | |||
Kevin McCreadie AGF Management Limited 66 Wellington Street West 31st Floor Toronto, Ontario Canada M5K 1E9 Year of Birth: 1960 | Vice President | Indefinite/Since 2017 | Director and Chief Investment Officer of AGF Investments America Inc., and Executive Vice President and Chief Investment Officer of AGF Management Limited (June 2014 to present); Senior Officer and/or Director of certain subsidiaries of AGF Management Limited (June 2014 to present); Managing Executive – Institutional Asset Management, PNC Financial Services Group Inc.’s (“PNC”) Asset Management Group (December 2008 to May 2014); President and Chief Investment Officer, PNC Capital Advisors, LLC, a division of PNC and President, PNC Funds Co. and President, PNC Alternative Investment Funds Co. (March 2007 to May 2014). | |||
Kenneth A. Kalina c/o Foreside 3 Canal Plaza, Suite 100 Portland, ME 04101 Year of Birth: 1959 | Chief Compliance Officer | Indefinite/Since 2017 | Fund Chief Compliance Officer, Foreside Fund Officer Services, LLC (June 2017 to present); Chief Compliance Officer, Henderson Global Funds (December 2005 to June 2017); Chief Compliance Officer, Henderson Global Investors (North America) Inc. (December 2005 to December 2015).* |
* | Mr. Hunter and Mr. Kalina serve as officers to other unaffiliated mutual funds or closed-end funds for which the Distributor (or its affiliates) acts as distributor (or provider of other services). |
69
FQF Trust
53 State Street, Suite 1308
Boston, MA 02109
www.AGFiQ.com
Distributor:
Foreside Fund Services, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101
Item 2. Code of Ethics.
As of the end of the period, June 30, 2018, the Registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.
Item 3. Audit Committee Financial Expert.
The Board of Trustees has determined that Peter A. Ambrosini is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Peter A. Ambrosini is independent for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Aggregate fees for professional services rendered for FQF Trust by PricewaterhouseCoopers LLP (“PwC”) for the years ended June 30, 2017 and June 30, 2018 were:
2017 | 2018 | |
Audit Fees (a) | 79,000 | 82,650 |
Audit Related Fees (b) | 0 | 0 |
Tax Fees (c) | 46,950 | 48,660 |
All Other Fees (d) | 0 | 0 |
Total: | 125,950 | 131,310 |
(a) | Audit Fees: These fees relate to professional services rendered by PwC for the audits of the Registrant’s annual financial statements or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filing or engagements. These services include the audits of the financial statements of the Registrant and issuance of consents. |
(b) | Audit Related Fees: These fees relate to assurance and related services by PwC related to audit services in connection with June 30, 2017 and June 30, 2018 annual financial statements. |
(c) | Tax Fees: These fees relate to professional services rendered by PwC for tax compliance, tax advice and tax planning. |
(d) | All Other Fees: These fees relate to products and services provided by PwC other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above. |
(e)(1) | Per Rule 2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant, pre-approves (i) the principal accountant’s provision of all audit and permissible non-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissible non-audit services to the Registrant’s investment adviser (the “Adviser”), sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser or sub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust. |
(e)(2) | 0% of services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
(f) | If greater than 50%, disclose the percentage of hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the most recent fiscal year that were attributable to work performed by persons other than the principal accountant’s full-time, permanent employees: Not Applicable. |
(g) | Disclose 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 the fiscal years ended June 30, 2017 and June 30, 2018: $46,950 and $48,660, respectively. |
(h) | The Registrant's Audit Committee has considered that the provision of non-audit services that were rendered to the Registrant's investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. |
Item 5. Audit Committee of Listed Registrants.
(a) | The Registrant is an issuer as defined in Section 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act. All of the Board’s independent Trustees, Peter A. Ambrosini, Joseph A. Franco and Richard S. Robie III, are members of the Audit Committee. |
(b) | Not Applicable. |
Item 6. Investments
(a) | Schedule I – Investments in Securities of Unaffiliated Issuers |
Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
(b) | Securities Divested of in accordance with Section 13(c) of the Investment Company Act of 1940. |
The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The Registrant did not have in place procedures by which shareholders may recommend nominees to the Registrant’s board of trustees.
Item 11. Controls and Procedures.
(a) | The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 13. Exhibits.
(a) | File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. |
(a)(1) | The code of ethics that is the subject of the 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) | Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not applicable. |
(a)(4) | A change in the registrant’s independent public accountant – Not applicable |
(b) | Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is 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.
FQF Trust
By: /s/William DeRoche
William DeRoche
President
September 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: /s/William DeRoche
William DeRoche
President
September 7, 2018
By: /s/Joshua Hunter
Joshua Hunter
Principal Financial Officer and Treasurer
September 7, 2018