As filed with the Securities and Exchange Commission on September 6, 2013
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 811-22509
LoCorr Investment Trust
(Exact name of registrant as specified in charter)
261 School Avenue, 4th Floor
Excelsior, MN 55331
(Address of principal executive offices) (Zip code)
CT Corporation System
1300 East Ninth Street
Cleveland, OH 44114
(Name and address of agent for service)
952.767.2920
Registrant's telephone number, including area code
Date of fiscal year end: December 31
Date of reporting period: June 30, 2013
Item 1. Reports to Stockholders.
Shareholder Letter | 3 |
Letter to Shareholders
LoCorr Funds seeks to provide investments that, over time, will have low correlation to stock and bond markets. We believe that adding low correlating investments to portfolios can significantly reduce the overall portfolio risk while enhancing returns. Correlation measures the degree to which the returns of two investments move together over time. LoCorr offers products that provide the potential for positive returns in rising or falling markets and are designed to resist correlation with traditional stock, bond and commodity investments. LoCorr Funds are now comprised of three mutual funds. In addition to the LoCorr Managed Futures Strategy Fund and the LoCorr Long/Short Commodity Strategy Fund we have recently launched the LoCorr Long/Short Equity Fund.
LoCorr Managed Futures Strategy Fund
The LoCorr Managed Futures Strategy Fund (the “Managed Futures Fund”) seeks capital appreciation as its primary investment objective with managing volatility as a secondary objective. The Managed Futures Fund attempts to achieve its objective by investing in two main strategies – a Managed Futures strategy and a Fixed Income strategy.
Managed Futures Strategy
The Managed Futures Fund invests up to 25% of its total assets into a portfolio of globally diversified managed futures positions. The Fund accesses the returns of Millburn Ridgefield Corporation (“Millburn”) via its investment in a total return swap agreement. The Fund uses Millburn to execute its Managed Futures strategy as manager of the swap’s reference index. Millburn was founded in 1971 and manages about $1.7 billion in assets. The Managed Futures Fund accesses returns generated by Millburn’s Diversified Program (“MDP”), a commodity pool which commenced operations in 1977. MDP systematically invests in about 120 futures markets with long and short positions in sectors such as currencies, interest rates, stock indices and commodities (agricultural, energy and metals).
The Managed Futures strategy registered a loss for the six months ended June 30, 2013 as solid gains from trading stock indices, metals and agricultural commodities were more than offset by losses in trading interest rate futures, energy futures and currency forwards.
The Managed Futures strategy produced solid profits during the first four months of 2013, predominantly due to gains from long equity positions while the other sectors combined to produce fairly flat returns. In May and June, the Managed Futures strategy returns declined sharply as losses from trading financial futures, currency forwards, and, to a lesser extent, energy futures outdistanced the gains from trading metals and agricultural commodity futures.
Market dynamics shifted dramatically during the second quarter. Global markets were roiled amid concerns about an earlier than expected Federal Reserve exit from its quantitative easing program and about slowing Chinese growth.
During the first four months of 2013, long interest rate futures positions had been profitable and, in fact, the low yield on the U.S. ten-year note for 2013 was hit on May 2 at 1.63%. Subsequently, however, testimony before Congress by Fed Chairman Bernanke and comments by several other Fed officials raised concerns that the Fed’s QE policy might be ended or at least tapered off sooner than had previously been expected. In addition, favorable U.S. employment data and housing market statistics and several other solid economic reports pointed to continued U.S. growth. In response, yields on U.S. notes and bonds reversed abruptly and moved sharply higher causing losses in these trades.
4 | Shareholder Letter |
Foreign exchange trading was generally unprofitable. The abrupt upward turn in U.S. interest rates also triggered an upturn in the U.S. dollar, and short dollar trades versus a number of currencies that posted losses. A number of commodity currencies fell sharply after Chinese economic reports came in weaker than anticipated, further dampening the growth prospects of those countries. Thus short dollar trades generated losses and were reduced or reversed.
The threat of an early end to the liquidity from quantitative easing, higher interest rates and worries about slower Chinese growth prompted an equity selloff, leading to losses on long equity futures positions.
The net results of our energy, metal and agricultural commodities futures returns were fairly flat.
Fixed Income Strategy
The Managed Futures Fund invests most of its remaining assets in a Fixed Income strategy comprised of investment grade corporate and government agency securities. Nuveen Asset Management (“Nuveen”) is the sub-adviser for this strategy – a short duration, high quality portfolio.
The domestic economy expanded at a moderate pace in the first half of 2013. The housing market continued to be a driver of the U.S. economic recovery and job market data continued to show gradual improvements. Consumer spending, which accounts for about 70% of the economy, held up fairly well in the face of higher taxes but manufacturing data softened for the first time since 2009 in response to slower global growth. Despite the moderate pace of growth, Fed Chairman Bernanke announced at the June Federal Open Market Committee meeting that the economic outlook had improved enough to warrant a possible “tapering” of the central bank’s quantitative easing programs, earlier than the market anticipated. In response, Treasury yields rose sharply.
While fundamentals were mostly unchanged or even improving for most of the non-government bond market sector, a deterioration in market technical indicators emerged in the second quarter as investors pulled money from bond funds, resulting in a universally weak second quarter for fixed income investments. The returns for the Fund’s Fixed Income strategy for the six month period ended June 30, 2013 were slightly negative but roughly in line with its benchmark the Barclays Capital 1-5 Year Government/ Credit Index. Though performance was similar to the benchmark, there were both positive and negative elements of the Fund’s strategy. On the positive side, portfolio duration was positioned defensively in anticipation of higher rates but this benefit was offset to overweight allocations to investment grade corporates and Commercial Mortgage-Backed Securities (“CMBS”), both of which lagged Treasuries amid market “risk off” shift in May and June.
Looking ahead, we expect fixed income markets to stabilize relative to recent months as investors become more comfortable with the notion that rates will likely remain at fairly low levels despite a potential reduction in asset purchases by the Fed. This environment should result in stable short term interest rates and solid private sector fundamentals, which would tend to be supportive of our positioning in the non-government sectors of the market.
LoCorr Long/Short Commodities Strategy Fund
The LoCorr Long/Short Commodities Strategy Fund (the “Long/Short Commodities Fund”) was created to provide investors with access to a commodities futures strategy in a mutual fund structure. Historically, investors have primarily accessed exposure to commodities in long-only funds, funds that rely on commodity price increases to generate positive returns. Of course, commodity prices don’t always appreciate and occasionally experience sharp declines. The Long/Short Commodity Fund has the ability to profit while commodity prices increase or decrease.
The Long/Short Commodities Fund’s primary investment objective is capital appreciation in rising and falling commodities markets. The Long/Short Commodities Fund attempts to achieve its investment objective by investing in two primary strategies – a Commodities strategy and a Fixed Income strategy.
Shareholder Letter | 5 |
Commodities Strategy
The Long/Short Commodities Fund invests up to 25% of its total assets into a portfolio of globally diversified commodity futures positions. The Fund accesses the Millburn returns via its investment in a total return swap agreement. The Fund uses Millburn to execute its Commodities strategy as manager of the swap’s reference index. The Long/Short Commodities Fund accesses returns generated by Millburn’s Commodity Program (“Milcom”), a commodity pool which commenced operations in 2005. Milcom systematically invests in about 50 futures markets with long and short positions in sectors such as energy, metals, softs, grains and livestock.
The Fund’s Commodities strategy posted a loss for the six months ended June 30, 2013 as losses from trading energy and agricultural commodity futures outdistanced the profits registered from trading metal futures and from spread trading.
Prices of crude oil and crude oil products failed to sustain a trend during the January-June period. These prices rose at the start of the year as market participants were encouraged by an improvement in U.S. economic conditions, by signs that China’s growth was recovering and by continued monetary ease worldwide. Later on, however, the aforementioned concerns about possible Federal Reserve policy shifts and slowing Chinese growth shook global markets and led to declining oil prices. Then, increased tensions in the Middle East led to a price rebound. Abrupt price reversals are typically not favorable environments to generate strong returns in the Fund’s Commodity strategy. Consequently, trading in many energy futures markets was unprofitable and was the largest contributor to our negative returns.
Our profitable trades for the period were from commodities that sustained price trends such as short sugar and coffee trades amid strong supplies in those markets. Also, short precious and industrial metals positions were profitable due to factors that either led to increased supply or reduced demand.
Fixed Income Strategy
The Fund’s fixed income portfolio is sub-advised by Galliard Capital Management (“Galliard”) and lagged its benchmark, the Barclays 1-5 Year Government/Credit Index, over the six months ended June 30, 2013. Underperformance during the period was driven by overweight allocations in non-U.S. Treasury sectors relative to the benchmark. In particular, allocations to Agency Mortgage-Backed Securities, CMBS and Asset-Backed Securities (“ABS”) were a drag on performance, as was an allocation to Treasury Inflation Protected Securities (“TIPS”). Additionally, the longer term bonds underperformed shorter term bonds as prices dropped and yield rose on the longer end of the yield curve. Holdings in the credit sector, however, have added modest excess returns.
Looking ahead, Galliard will continue to seek high-quality fixed income assets which offer compelling relative value. This includes U.S. Government-backed issues, corporate bonds, and short maturity AAA-rated ABS and CMBS. Duration is expected to remain in line with the benchmark for the near term.
LoCorr Long/Short Equity Fund
LoCorr Long/Short Equity Fund (“Long/Short Equity Fund”) is the newest addition to LoCorr Funds. Launched in May 2013, the Fund’s objective is long-term capital appreciation with reduced volatility compared to traditional broad-based equity market indices as a secondary objective. Consistent with the “low correlation” our Funds seek, long/short equity funds aim to provide positive returns when equity markets are rising yet they strive to provide potential downside protection when equity prices are declining.
The Fund’s initial sub-adviser, Millennium Asset Management (“Millennium”), focuses on small and micro-cap stocks as the core long holdings. Millennium will also look to short individual stocks and hold bear ETFs to seek to mitigate volatility and to profit when prices decline. During the Fund’s abbreviated period ending on June 30, 2013, the Fund’s net long exposure ranged from
6 | Shareholder Letter |
60% to 65%. The Fund’s Class I shares were down 2% through the end of June. May was a particularly tough month as there was churning and profit taking occurring in the micro and small-cap equity markets. June, the first full month of operations, was a volatile month for small and micro-cap markets, but the Fund registered flat returns. The Fed’s announcement of the possibility of tapering its quantitative easing led to varying interpretations. Millennium views the Fed’s announcement as a positive sign for continuing U.S. economic expansion, which may favor small and micro-cap companies like those the Fund currently holds. We anticipate choppy markets for micro and small-cap companies with an upward bias driven by improving fundamentals. Our view is the bull market will continue but that there are circumstances that could curtail or reverse that momentum.
Thank you for investing in LoCorr Funds.
It is not possible to invest directly into an index.
Correlation measures how much the returns of two investments move together over time. Duration is a commonly used measure of the potential volatility of the price of the debt security, or the aggregate market value of a portfolio of debt securities, prior to maturity. Securities with a longer duration generally have more volatile prices than securities of comparable quality with a shorter duration.
Barclays Capital 1-5 Year Government/Credit Index is an unmanaged index considered representative of performance of short-term U.S. corporate bonds and U.S. government bonds with maturities from one to five years.
The opinions expressed in the letter are those of the fund manager, are subject to change, are not guaranteed and should not be considered investment advice.
Must be preceded or accompanied by a prospectus. Fund holdings and sector allocation are subject to change and should not be considered a recommendation to buy or sell any security. For a complete list of fund holdings please refer to the Schedule of Investments included in this report.
Mutual fund investing involves risk. Principal loss is possible. The Funds are non-diversified, meaning they may invest their assets in fewer individual holdings than a diversified fund. Therefore, the Funds are more exposed to individual stock volatility than a diversified fund. The Funds invest in foreign investments and foreign currencies which involve greater volatility and political, economic and currency risks and differences in accounting methods. The Funds may make short sales of securities, which involves the risk that losses may exceed the original amount invested. Investing in commodities may subject the Funds to greater risks and volatility as commodity prices may be influenced by a variety of factors including unfavorable weather, environmental factors, and changes in government regulations. The Funds may invest in derivative securities, which derive their performance from the performance of an underlying asset, index, interest rate or currency exchange rate. Derivatives can be volatile and involve various types and degrees of risks, and, depending upon the characteristics of a particular derivative, suddenly can become illiquid. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in Asset Backed, Mortgage Backed, and Collateralized Mortgage Backed Securities include additional risks that investors should be aware of such as credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic developments.
Diversification does not assure a profit nor protect against loss in a declining market.
Past performance is not a guarantee of future results.
The LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Long/Short Equity Fund are distributed by Quasar Distributors, LLC.
Fund Performance | 7 |
LoCorr Managed Futures Strategy Fund
Rate of Return — For the period ended June 30, 2013 (Unaudited)
Average Annual | |||||||||
Inception Date | 6 Month | 1 Year | Since Inception | ||||||
LoCorr Managed Futures Strategy Fund - Class A (without maximum load) | 3/22/11 | -6.73% | -7.02% | -8.45% | |||||
LoCorr Managed Futures Strategy Fund - Class A (with maximum load) | 3/22/11 | -12.14% | -12.40% | -10.80% | |||||
LoCorr Managed Futures Strategy Fund - Class C (without maximum load) | 3/24/11 | -7.05% | -7.78% | -9.16% | |||||
LoCorr Managed Futures Strategy Fund - Class I | 3/24/11 | -6.70% | -6.89% | -8.27% | |||||
Barclays CTA Index | -1.02% | -2.27% | -2.32% | 1 | |||||
S&P 500 Total Return Index | 13.82% | 20.60% | 11.84% | 2 |
$100,000 investment in the LoCorr Managed Futures Strategy Fund – Class I For the period ended June 30, 2013 (Unaudited) | |
This chart illustrates the performance of a hypothetical $100,000 investment made in the Fund since inception. Assumes reinvestment of dividends and capital gains, but does not reflect the effect of any applicable sales charge or redemption fees. This chart does not imply any future performance.
Performance data represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1.855.LCFUNDS, or visiting www.LoCorrFunds.com.
Performance data shown reflects the Class A maximum sales charge of 5.75% and reflects the Class C Contingent Deferred Sales Charge (CDSC) of 1.00%. Performance of the Class A without load does not reflect the deduction of the sales load or fee. If reflected, the load or fee would reduce the performance quoted.
The Fund imposes a 1.00% redemption fee on shares held for less than 30 days. Performance data does not reflect the redemption fee. If it had, return would be reduced.
The S&P 500 Total Return Index is an unmanaged capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of the 500 stocks which represent all major industries. The Barclays CTA Index is a leading industry benchmark of representative performance of commodity trading advisors.
One cannot invest directly in an index.
1 Since inception return as of March 31, 2011.
2 Since inception return as of March 24, 2011.
LoCorr Long/Short Commodities Strategy Fund
Rate of Return — For the period ended June 30, 2013 (Unaudited)
Average Annual | |||||||||
Inception Date | 6 Month | 1 Year | Since Inception | ||||||
LoCorr Long/Short Commodities Strategy Fund - Class A (without maximum load) | 01/01/12 | -5.50% | -16.30% | -14.46% | |||||
LoCorr Long/Short Commodities Strategy Fund - Class A (with maximum load) | 01/01/12 | -10.92% | -21.14% | -17.77% | |||||
LoCorr Long/Short Commodities Strategy Fund - Class C (without maximum load) | 01/01/12 | -5.91% | -16.93% | -15.25% | |||||
LoCorr Long/Short Commodities Strategy Fund - Class I | 01/01/12 | -5.37% | -16.17% | -14.31% | |||||
Morningstar Long/Short Commodity Index | 2.79% | -6.66% | -6.02% | 1 | |||||
S&P 500 Total Return Index | 13.82% | 20.60% | 20.34% |
$100,000 investment in the LoCorr Long/Short Commodities Strategy Fund – Class I For the period ended June 30, 2013 (Unaudited) | |
This chart illustrates the performance of a hypothetical $100,000 investment made in the Fund since inception. Assumes reinvestment of dividends and capital gains, but does not reflect the effect of any applicable sales charge or redemption fees. This chart does not imply any future performance.
Performance data represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1.855.LCFUNDS, or visiting www.LoCorrFunds.com.
Performance data shown reflects the Class A maximum sales charge of 5.75% and reflects the Class C Contingent Deferred Sales Charge (CDSC) of 1.00%. Performance of the Class A without load does not reflect the deduction of the sales load or fee. If reflected, the load or fee would reduce the performance quoted.
The Fund imposes a 1.00% redemption fee on shares held for less than 30 days. Performance data does not reflect the redemption fee. If it had, return would be reduced.
The S&P 500 Total Return Index is an unmanaged capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of the 500 stocks which represent all major industries. The Morningstar Long/Short Commodity Index is a fully collateralized commodity futures index that uses the momentum rule to determine if each commodity is held long, short, or flat.
One cannot invest directly in an index.
1 Since inception returns as of December 31, 2011.
8 | Fund Performance |
LoCorr Long/Short Equity Fund
Rate of Return — For the period ended June 30, 2013 (Unaudited)
Inception Date | 1 Month | Since Inception1 | |||||
LoCorr Long/Short Equity Fund - Class A (without maximum load) | 5/10/13 | -0.20% | -2.00% | ||||
LoCorr Long/Short Equity Fund - Class A (with maximum load) | 5/10/13 | -5.95% | -7.63% | ||||
LoCorr Long/Short Equity Fund - Class C (without maximum load) | 5/10/13 | -0.20% | -2.10% | ||||
LoCorr Long/Short Equity Fund - Class I | 5/10/13 | -0.10% | -1.90% | ||||
Russell 2000 Total Return Index | -0.51% | 0.49% | |||||
S&P 500 Total Return Index | -1.34% | -1.39% |
$100,000 investment in the LoCorr Long/Short Equity Fund - Class I For the period ended June 30, 2013 (Unaudited) | |
This chart illustrates the performance of a hypothetical $100,000 investment made in the Fund since inception. Assumes reinvestment of dividends and capital gains, but does not reflect the effect of any applicable sales charge or redemption fees. This chart does not imply any future performance.
Performance data represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1.855.LCFUNDS, or visiting www.LoCorrFunds.com.
Performance data shown reflects the Class A maximum sales charge of 5.75% and reflects the Class C Contingent Deferred Sales Charge (CDSC) of 1.00%. Performance of the Class A without load does not reflect the deduction of the sales load or fee. If reflected, the load or fee would reduce the performance quoted.
The Fund imposes a 1.00% redemption fee on shares held for less than 30 days. Performance data does not reflect the redemption fee. If it had, return would be reduced.
The S&P 500 Total Return Index is an unmanaged capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of the 500 stocks which represent all major industries. The Russell 2000 Total Return Index measures the performance of the small-cap segment of the U.S. equity universe.
One cannot invest directly in an index.
1 Cumulative total return since inception of May 10, 2013.
LoCorr Managed Futures Strategy Fund - Consolidated Schedule of Investments | 9 |
LoCorr Managed Futures Strategy Fund
Consolidated Portfolio Composition1
As of June 30, 2013 (Unaudited)
1 As a percentage of total investments. |
Consolidated Schedule of Investments
June 30, 2013 (Unaudited)
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||||
ASSET BACKED SECURITIES: 11.77% | ||||||||||||||
321 Henderson Receivables I LLC 2004-A A1 (Acquired 02/08/2013, Cost $590,077) (a)(c) | 09/15/2045 | 0.54 | % | $ | 619,910 | $ | 599,828 | |||||||
AEP Texas Central Transition Funding III LLC | 12/01/2018 | 0.88 | % | 1,623,857 | 1,622,352 | |||||||||
Ally Auto Receivables Trust | ||||||||||||||
Series 2010-1 A4 | 12/15/2014 | 2.30 | % | 505,178 | 506,920 | |||||||||
Series 2012-3 A2 | 01/15/2015 | 0.70 | % | 743,784 | 744,203 | |||||||||
Series 2011-2 A3 | 04/15/2015 | 1.18 | % | 123,153 | 123,352 | |||||||||
Series 2011-4 A4 | 06/15/2016 | 1.14 | % | 1,406,000 | 1,412,868 | |||||||||
American Express Credit Account Master Trust | ||||||||||||||
Series 2009-2 A (c) | 03/15/2017 | 1.44 | % | 150,000 | 151,803 | |||||||||
Series 2012-2 A | 03/15/2018 | 0.68 | % | 2,500,000 | 2,496,230 | |||||||||
AmeriCredit Automobile Receivables Trust | ||||||||||||||
Series 2011-4 A2 | 03/09/2015 | 0.92 | % | 39,115 | 39,120 | |||||||||
Series 2012-1 A3 | 09/08/2016 | 1.23 | % | 2,765,000 | 2,774,238 | |||||||||
Atlantic City Electric Transition Funding LLC | ||||||||||||||
Series 2002-1 A3 | 07/20/2017 | 4.91 | % | 104,004 | 108,151 | |||||||||
Series 2003-1 A3 | 10/20/2020 | 5.05 | % | 1,100,000 | 1,226,876 | |||||||||
BA Credit Card Trust (c) | 09/15/2016 | 0.25 | % | 1,000,000 | 998,064 | |||||||||
Cabela’s Master Credit Card Trust | ||||||||||||||
Series 2010-2A A2 (Acquired 12/27/2012 and 02/08/2013, Cost $1,792,777 and | ||||||||||||||
$505,578, respectively) (a)(c) | 09/17/2018 | 0.89 | % | 2,275,000 | 2,289,696 | |||||||||
Series 2012-1A A1 (Acquired 05/08/2012 and 07/23/2012, Cost $754,697 and | ||||||||||||||
$763,542, respectively) (a) | 02/18/2020 | 1.63 | % | 1,500,000 | 1,502,034 | |||||||||
CenterPoint Energy Restoration Bond Co. LLC, 2009-1 A2 (Acquired 08/25/2011, | ||||||||||||||
05/10/2013 and 05/15/2013, Cost $630,019, $1,022,000 and $271,274, respectively) (a) | 08/15/2019 | 3.46 | % | 1,792,000 | 1,913,652 | |||||||||
CenterPoint Energy Transition Bond Co. IV LLC, 2012-1 A1 | 04/15/2018 | 0.90 | % | 2,802,654 | 2,804,344 | |||||||||
CFC 2013-1 LLC (Acquired 05/21/2013, Cost $2,399,374) (a) | 07/17/2017 | 1.65 | % | 2,399,427 | 2,391,770 | |||||||||
Chase Issuance Trust | 06/15/2017 | 0.79 | % | 2,250,000 | 2,249,174 | |||||||||
Discover Card Execution Note Trust | ||||||||||||||
Series 2011-A3 A (c) | 03/15/2017 | 0.40 | % | 1,000,000 | 999,793 | |||||||||
Series 2012-A1 A1 | 08/15/2017 | 0.81 | % | 700,000 | 701,227 | |||||||||
Series 2013-A1 A1 (c) | 08/17/2020 | 0.49 | % | 1,000,000 | 987,853 |
The accompanying notes are an integral part of these consolidated financial statements.
10 | LoCorr Managed Futures Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||||
Dryrock Issuance Trust, 2012-2 A | 08/15/2018 | 0.64 | % | $ | 1,500,000 | $ | 1,487,029 | |||||||
Entergy Texas Restoration Funding LLC, 2009-A A1 | 02/01/2016 | 2.12 | % | 1,779,475 | 1,799,790 | |||||||||
Fifth Third Auto Trust 2013-A B | 04/15/2019 | 1.21 | % | 1,500,000 | 1,477,183 | |||||||||
Ford Credit Auto Lease Trust, 2013-A A3 | 03/15/2016 | 0.60 | % | 2,500,000 | 2,472,335 | |||||||||
Ford Credit Auto Owner Trust | ||||||||||||||
Series 2009-C A4 | 11/15/2014 | 4.43 | % | 37,227 | 37,297 | |||||||||
Series 2013-B A3 | 10/15/2017 | 0.57 | % | 3,000,000 | 2,982,738 | |||||||||
FPL Recovery Funding LLC, 2007-A A2 | 08/01/2015 | 5.04 | % | 72,005 | 72,304 | |||||||||
GE Capital Credit Card Master Note Trust, 2011-1 A (c) | 01/15/2017 | 0.74 | % | 250,000 | 250,411 | |||||||||
Gracechurch Card Funding PLC, 2012-1A A1 (Acquired 03/02/2012 and 05/15/2013, Cost $1,250,000 and $201,479, respectively) (a)(b)(c) | 02/15/2017 | 0.89 | % | 1,450,000 | 1,459,960 | |||||||||
HLSS Servicer Advance Receivables Backed Notes | ||||||||||||||
Series 2012-T2 A1 (Acquired 10/10/2012, Cost $999,939) (a) | 10/15/2043 | 1.34 | % | 1,000,000 | 999,600 | |||||||||
Series 2013-T1 A1, A1 (Acquired 01/16/2013, Cost $1,000,000) (a) | 01/15/2044 | 0.90 | % | 1,000,000 | 996,500 | |||||||||
Series 2013-T2 A2 (Acquired 05/17/2013, Cost $2,249,998) (a) | 05/16/2044 | 1.15 | % | 2,250,000 | 2,244,713 | |||||||||
Series 2013-T1 D2 (Acquired 01/16/2013, Cost $750,000) (a) | 01/16/2046 | 3.23 | % | 750,000 | 750,225 | |||||||||
Newcastle Investment Trust, 2011-MH1 A (Acquired 10/24/2012, Cost $450,922) (a) | 12/10/2033 | 2.45 | % | 446,387 | 453,093 | |||||||||
Nissan Auto Lease Trust, 2012-A A3 | 05/15/2015 | 0.98 | % | 1,225,000 | 1,225,684 | |||||||||
Penarth Master Issuer PLC, 2012-1A A1 (Acquired 02/08/2013, Cost $1,665,490) (a)(b)(c) | 03/18/2014 | 0.76 | % | 1,660,000 | 1,664,470 | |||||||||
Porsche Financial Auto Securitization Trust, 2011-1 A4 (Acquired 12/13/2011, | ||||||||||||||
Cost $751,656) (a) | 12/17/2018 | 1.19 | % | 750,000 | 753,427 | |||||||||
Santander Drive Auto Receivables Trust 2011-1 A3 | 01/15/2015 | 1.28 | % | 382,777 | 383,044 | |||||||||
SMART Trust/Australia | ||||||||||||||
Series 2011-1USA A3B (Acquired 03/14/2012 and 06/27/2012, Cost $332,587 | ||||||||||||||
and $114,437, respectively) (a)(b)(c) | 10/14/2014 | 1.04 | % | 446,759 | 447,150 | |||||||||
Series 2012-2USA A3B (Acquired 02/08/2013, Cost $1,008,741) (a)(b)(c) | 10/14/2016 | 1.14 | % | 1,000,000 | 1,007,370 | |||||||||
United States Small Business Administration, 2008-10B 1 | 09/10/2018 | 5.73 | % | 126,612 | 136,453 | |||||||||
World Omni Auto Receivables Trust, 2010-A A4 | 05/15/2015 | 2.21 | % | 401,304 | 403,226 | |||||||||
TOTAL ASSET BACKED SECURITIES (Cost $52,323,189) | 52,147,550 | |||||||||||||
CORPORATE BONDS: 35.45% | ||||||||||||||
Accommodation and Food Services: 0.22% | ||||||||||||||
McDonald’s Corp. | 05/29/2019 | 1.88 | % | 1,000,000 | 985,219 | |||||||||
Administrative and Support and Waste Management and Remediation Services: 0.20% | ||||||||||||||
Waste Management, Inc. | 09/01/2016 | 2.60 | % | 840,000 | 867,511 | |||||||||
Construction: 0.43% | ||||||||||||||
Transocean Inc. (b) | 12/15/2016 | 5.05 | % | 1,750,000 | 1,902,994 | |||||||||
Finance and Insurance: 14.48% | ||||||||||||||
Aflac Inc. | 02/15/2017 | 2.65 | % | 1,750,000 | 1,791,778 | |||||||||
Allied World Assurance Co., Ltd. (b) | 08/01/2016 | 7.50 | % | 1,500,000 | 1,728,791 | |||||||||
American Express Credit Corp. | 06/12/2015 | 1.75 | % | 480,000 | 486,513 | |||||||||
American Express Credit Corp. | 09/19/2016 | 2.80 | % | 1,000,000 | 1,038,221 | |||||||||
American International Group, Inc. | 09/15/2016 | 4.88 | % | 1,500,000 | 1,643,047 | |||||||||
Australia & New Zealand Banking Group Ltd. (Acquired 11/15/2011, Cost $995,930) (a)(b) | 11/23/2016 | 2.40 | % | 1,000,000 | 1,034,900 | |||||||||
Bank of America Corp. | 04/01/2015 | 4.50 | % | 4,280,000 | 4,489,403 | |||||||||
Barclays Bank PLC (b) | 09/22/2016 | 5.00 | % | 1,000,000 | 1,104,781 | |||||||||
B.A.T. International Finance P.L.C. (Acquired 06/06/2012, Cost $995,160) (a)(b) | 06/07/2017 | 2.13 | % | 1,000,000 | 1,002,970 | |||||||||
Berkshire Hathaway Inc. | 08/15/2016 | 2.20 | % | 860,000 | 887,983 | |||||||||
BP Capital Markets P.L.C. (b) | 11/01/2016 | 2.25 | % | 1,000,000 | 1,024,042 | |||||||||
Caterpillar Financial Services Corp. | 05/29/2015 | 1.10 | % | 950,000 | 955,159 | |||||||||
Citigroup, Inc. | 12/15/2015 | 4.59 | % | 3,465,000 | 3,700,391 | |||||||||
Citigroup, Inc. | 11/21/2017 | 6.13 | % | 1,000,000 | 1,136,549 | |||||||||
Credit Agricole SA (Acquired 10/01/2012, Cost $1,504,262) (a)(b) | 10/01/2017 | 3.00 | % | 1,500,000 | 1,518,765 | |||||||||
Credit Suisse (b) | 05/01/2014 | 5.50 | % | 455,000 | 473,543 | |||||||||
Daimler Finance North America LLC (Acquired 01/04/2012 and 04/10/2012, | ||||||||||||||
Cost $499,370 and $505,392, respectively) (a) | 01/09/2015 | 2.30 | % | 1,000,000 | 1,015,390 | |||||||||
Deutsche Bank AG (b) | 09/01/2017 | 6.00 | % | 1,000,000 | 1,151,023 | |||||||||
Fifth Third Bancorp | 01/25/2016 | 3.63 | % | 255,000 | 269,195 | |||||||||
Fifth Third Bancorp | 06/01/2018 | 4.50 | % | 1,000,000 | 1,076,873 | |||||||||
General Electric Capital Corp. | 04/27/2017 | 2.30 | % | 1,820,000 | 1,845,134 | |||||||||
General Electric Capital Corp. | 05/01/2018 | 5.63 | % | 1,500,000 | 1,720,506 | |||||||||
Goldman Sachs Group, Inc./The | 09/01/2017 | 6.25 | % | 4,135,000 | 4,685,799 | |||||||||
Hartford Financial Services Group, Inc./The | 03/30/2015 | 4.00 | % | 1,000,000 | 1,045,586 |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Managed Futures Strategy Fund - Consolidated Schedule of Investments (continued) | 11 |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||||
Finance and Insurance (continued) | ||||||||||||||
Health Care REIT, Inc. | 04/01/2019 | 4.13 | % | $ | 1,500,000 | $ | 1,568,986 | |||||||
ING Bank N.V. (Acquired 02/29/2012 and 10/23/2012, Cost $746,145 | ||||||||||||||
and $787,933, respectively) (a)(b) | 03/07/2017 | 3.75 | % | 1,500,000 | 1,569,960 | |||||||||
John Deere Capital Corp. | 04/17/2015 | 0.88 | % | 1,000,000 | 1,004,133 | |||||||||
JPMorgan Chase & Co. | 10/01/2015 | 5.15 | % | 3,105,000 | 3,354,704 | |||||||||
KeyCorp | 08/13/2015 | 3.75 | % | 350,000 | 368,606 | |||||||||
Morgan Stanley | 01/26/2015 | 4.10 | % | 1,565,000 | 1,632,555 | |||||||||
Morgan Stanley (c) | 10/18/2016 | 0.73 | % | 1,000,000 | 968,069 | |||||||||
National Rural Utilities Cooperative Finance Corp. | 11/01/2015 | 1.90 | % | 500,000 | 512,165 | |||||||||
Nomura Holdings, Inc. (b) | 09/13/2016 | 2.00 | % | 1,250,000 | 1,236,051 | |||||||||
Nordea Bank AB (Acquired 02/12/2013, Cost $1,052,444) (a)(b) | 03/20/2017 | 3.13 | % | 1,000,000 | 1,029,080 | |||||||||
PNC Funding Corp. | 02/08/2015 | 3.63 | % | 500,000 | 521,619 | |||||||||
Private Export Funding Corp. | 05/15/2015 | 4.55 | % | 750,000 | 808,427 | |||||||||
Private Export Funding Corp. | 02/15/2017 | 1.38 | % | 780,000 | 787,071 | |||||||||
Prudential Covered Trust 2012-1 (Acquired 03/27/2012 and 04/19/2012, Cost $867,000 and $333,954, respectively) (a) | 09/30/2015 | 3.00 | % | 1,197,000 | 1,235,208 | |||||||||
Rabobank Nederland (b) | 01/19/2017 | 3.38 | % | 1,000,000 | 1,050,229 | |||||||||
Royal Bank of Scotland Group Public Limited Co./The (b) | 09/18/2015 | 2.55 | % | 1,000,000 | 1,016,759 | |||||||||
SABMiller Holdings Inc. (Acquired 01/10/2012 and 01/30/2012, Cost $354,979 | ||||||||||||||
and $383,179, respectively) (a) | 01/15/2015 | 1.85 | % | 735,000 | 745,697 | |||||||||
Simon Property Group L.P. | 02/01/2015 | 4.20 | % | 295,000 | 307,294 | |||||||||
Simon Property Group L.P. | 03/01/2017 | 5.88 | % | 1,000,000 | 1,128,479 | |||||||||
UBS AG (b) | 12/20/2017 | 5.88 | % | 872,000 | 1,003,020 | |||||||||
Ventas Realty LP / Ventas Capital Corp. | 11/30/2015 | 3.13 | % | 1,000,000 | 1,046,477 | |||||||||
Vornado Realty L.P. | 04/01/2015 | 4.25 | % | 815,000 | 848,466 | |||||||||
Wellpoint, Inc. | 01/15/2018 | 1.88 | % | 1,250,000 | 1,223,930 | |||||||||
Wells Fargo & Co. | 07/01/2015 | 1.50 | % | 1,250,000 | 1,264,241 | |||||||||
Wells Fargo & Co. | 06/15/2016 | 3.68 | % | 1,000,000 | 1,068,418 | |||||||||
64,125,986 | ||||||||||||||
Health Care and Social Assistance: 0.79% | ||||||||||||||
Catholic Health Initiatives | 11/01/2017 | 1.60 | % | 1,900,000 | 1,859,899 | |||||||||
Quest Diagnostics Inc. | 11/01/2015 | 5.45 | % | 1,500,000 | 1,637,461 | |||||||||
3,497,360 | ||||||||||||||
Information: 2.32% | ||||||||||||||
AT&T Inc. | 02/12/2016 | 0.90 | % | 945,000 | 937,877 | |||||||||
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. | 03/15/2015 | 3.55 | % | 500,000 | 519,087 | |||||||||
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. | 02/15/2016 | 3.13 | % | 1,000,000 | 1,037,760 | |||||||||
NBCUniversal Media, LLC. | 04/30/2015 | 3.65 | % | 1,000,000 | 1,050,737 | |||||||||
News America Inc. | 12/15/2014 | 5.30 | % | 700,000 | 744,770 | |||||||||
Qwest Corp. | 10/01/2014 | 7.50 | % | 300,000 | 322,908 | |||||||||
Time Warner Cable Inc. | 07/01/2018 | 6.75 | % | 2,000,000 | 2,289,310 | |||||||||
Tyco International Finance S.A. (b) | 10/15/2015 | 3.38 | % | 1,000,000 | 1,039,805 | |||||||||
Verizon Communications, Inc. | 11/02/2015 | 0.70 | % | 1,250,000 | 1,241,605 | |||||||||
Vodafone Group Public Limited Co. (b) | 09/15/2015 | 5.00 | % | 1,000,000 | 1,084,703 | |||||||||
10,268,562 | ||||||||||||||
Management of Companies and Enterprises: 0.98% | ||||||||||||||
BHP Billiton Finance (USA) Ltd. (b) | 02/24/2017 | 1.63 | % | 1,015,000 | 1,010,085 | |||||||||
Capital One Financial Corp. | 09/01/2016 | 6.15 | % | 1,000,000 | 1,115,912 | |||||||||
Ingersoll-Rand Global Holding Co., Ltd. (b) | 04/15/2014 | 9.50 | % | 500,000 | 533,633 | |||||||||
Macy’s Retail Holdings, Inc. | 12/01/2016 | 5.90 | % | 1,500,000 | 1,703,933 | |||||||||
4,363,563 | ||||||||||||||
Manufacturing: 9.35% | ||||||||||||||
AbbVie Inc. (Acquired 11/05/2012, Cost $1,229,176) (a) | 11/06/2015 | 1.20 | % | 1,230,000 | 1,231,352 | |||||||||
Actavis, Inc. | 10/01/2017 | 1.88 | % | 1,500,000 | 1,462,290 | |||||||||
Anheuser-Busch Cos. LLC | 10/15/2016 | 5.05 | % | 1,500,000 | 1,683,067 | |||||||||
Boeing Capital Corp. | 08/15/2018 | 2.90 | % | 1,250,000 | 1,301,619 | |||||||||
Cameron International Corp. | 04/30/2015 | 1.60 | % | 1,000,000 | 1,006,974 | |||||||||
Cisco Systems, Inc. | 03/14/2017 | 3.15 | % | 1,285,000 | 1,356,557 | |||||||||
ConAgra Foods, Inc. | 04/15/2014 | 5.88 | % | 1,135,000 | 1,180,495 | |||||||||
ConAgra Foods, Inc. | 01/25/2018 | 1.90 | % | 1,500,000 | 1,474,622 | |||||||||
Covidien International Finance S.A. (b) | 05/29/2015 | 1.35 | % | 1,000,000 | 1,008,629 | |||||||||
Dow Chemical Co./The | 02/15/2016 | 2.50 | % | 1,290,000 | 1,329,544 |
The accompanying notes are an integral part of these consolidated financial statements.
12 | LoCorr Managed Futures Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||||
Manufacturing (continued) | ||||||||||||||
Dr Pepper Snapple Group, Inc. | 01/15/2016 | 2.90 | % | $ | 1,000,000 | $ | 1,041,162 | |||||||
Eastman Chemical Co. | 06/01/2017 | 2.40 | % | 2,000,000 | 2,003,498 | |||||||||
Ford Motor Credit Co. LLC | 05/15/2015 | 2.75 | % | 1,500,000 | 1,520,985 | |||||||||
Genentech, Inc. | 07/15/2015 | 4.75 | % | 300,000 | 323,648 | |||||||||
Heineken N.V. (Acquired 10/02/2012, Cost $996,700) (a)(b) | 10/01/2017 | 1.40 | % | 1,000,000 | 971,602 | |||||||||
Hershey Co./The | 11/01/2016 | 1.50 | % | 1,000,000 | 1,011,905 | |||||||||
Hewlett-Packard Co. | 12/01/2020 | 3.75 | % | 1,500,000 | 1,451,938 | |||||||||
Intel Corp. | 10/01/2016 | 1.95 | % | 750,000 | 769,187 | |||||||||
Kellogg Co. | 05/21/2018 | 3.25 | % | 1,500,000 | 1,570,917 | |||||||||
Lorillard Tobacco Co. | 08/21/2017 | 2.30 | % | 1,500,000 | 1,481,136 | |||||||||
Medtronic, Inc. | 03/15/2015 | 3.00 | % | 450,000 | 466,818 | |||||||||
Merck & Co., Inc. | 01/15/2016 | 2.25 | % | 300,000 | 309,935 | |||||||||
Mondelez International, Inc. | 08/11/2017 | 6.50 | % | 1,740,000 | 2,023,011 | |||||||||
Motorola Solutions, Inc. | 11/15/2017 | 6.00 | % | 1,250,000 | 1,416,991 | |||||||||
Novartis Capital Corp. | 04/24/2015 | 2.90 | % | 1,000,000 | 1,042,368 | |||||||||
Phillips 66 | 05/01/2017 | 2.95 | % | 1,500,000 | 1,545,927 | |||||||||
Procter & Gamble Co./The | 08/15/2016 | 1.45 | % | 800,000 | 809,925 | |||||||||
Reynolds American Inc. | 10/30/2015 | 1.05 | % | 1,800,000 | 1,799,494 | |||||||||
Samsung Electronics America, Inc. (Acquired 04/18/2013, Cost $2,034,749) (a) | 04/10/2017 | 1.75 | % | 2,000,000 | 1,981,002 | |||||||||
Teva Pharmaceutical Finance III BV (b) | 03/21/2014 | 1.70 | % | 450,000 | 453,284 | |||||||||
Thermo Fisher Scientific Inc. | 08/15/2016 | 2.25 | % | 1,150,000 | 1,166,857 | |||||||||
Toyota Motor Credit Corp. | 05/22/2017 | 1.75 | % | 790,000 | 787,262 | |||||||||
Tyco Electronics Group S.A. (b) | 02/03/2015 | 1.60 | % | 335,000 | 337,399 | |||||||||
Volkswagen International Finance N.V. (Acquired 03/19/2012, Cost $782,739) (a)(b) | 03/22/2015 | 1.63 | % | 785,000 | 794,161 | |||||||||
Wyeth LLC | 02/01/2014 | 5.50 | % | 300,000 | 308,852 | |||||||||
Zoetis Inc. (Acquired 02/08/2013, Cost $1,004,866) (a) | 02/01/2018 | 1.88 | % | 1,000,000 | 978,951 | |||||||||
41,403,364 | ||||||||||||||
Mining, Quarrying, and Oil and Gas Extraction: 2.80% | ||||||||||||||
Anadarko Petroleum Corp. | 09/15/2017 | 6.38 | % | 1,000,000 | 1,149,980 | |||||||||
Ensco PLC (b) | 03/15/2016 | 3.25 | % | 1,575,000 | 1,645,754 | |||||||||
Freeport-McMoRan Copper & Gold Inc. | 03/01/2017 | 2.15 | % | 1,500,000 | 1,468,185 | |||||||||
Noble Holding International Ltd. (b) | 08/01/2015 | 3.45 | % | 1,150,000 | 1,192,288 | |||||||||
Occidental Petroleum Corp. | 02/15/2018 | 1.50 | % | 425,000 | 415,437 | |||||||||
Petrobras International Finance Co. (b) | 02/06/2015 | 2.88 | % | 830,000 | 837,481 | |||||||||
Rio Tinto Finance (USA) PLC (b) | 08/21/2017 | 1.63 | % | 1,505,000 | 1,476,084 | |||||||||
Teck Resources Ltd. (b) | 08/15/2017 | 3.85 | % | 2,000,000 | 2,076,124 | |||||||||
Total Capital (b) | 03/15/2016 | 2.30 | % | 360,000 | 371,709 | |||||||||
Xstrata Finance (Canada) Ltd. (Acquired 02/14/2012 and 03/12/2013, | ||||||||||||||
Cost $776,203 and $1,053,476, respectively) (a)(b) | 01/15/2017 | 3.60 | % | 1,750,000 | 1,763,713 | |||||||||
12,396,755 | ||||||||||||||
Professional, Scientific, and Technical Services: 0.86% | ||||||||||||||
Asciano Finance Ltd. (Acquired 05/24/2012 and 06/27/2013, Cost $998,750 | ||||||||||||||
and $1,024,120, respectively) (a)(b) | 09/23/2015 | 3.13 | % | 2,000,000 | 2,043,710 | |||||||||
Computer Sciences Corp. | 09/15/2015 | 2.50 | % | 750,000 | 764,654 | |||||||||
Vivendi SA (Acquired 04/03/2012 and 04/10/2012, Cost $499,970 | ||||||||||||||
and $501,672, respectively) (a)(b) | 04/10/2015 | 2.40 | % | 1,000,000 | 1,017,600 | |||||||||
3,825,964 | ||||||||||||||
Real Estate and Rental and Leasing: 0.21% | ||||||||||||||
Penske Truck Leasing Co. LP / PTL Finance Corp. (Acquired 05/14/2012, Cost $905,543) (a) | 05/11/2015 | 3.13 | % | 900,000 | 929,971 | |||||||||
Retail Trade: 0.87% | ||||||||||||||
Amazon.com, Inc. | 11/29/2017 | 1.20 | % | 1,305,000 | 1,262,110 | |||||||||
eBay Inc. | 07/15/2017 | 1.35 | % | 1,000,000 | 982,849 | |||||||||
Sherwin-Williams Co./The | 12/15/2017 | 1.35 | % | 1,640,000 | 1,595,326 | |||||||||
3,840,285 | ||||||||||||||
Transportation and Warehousing: 0.76% | ||||||||||||||
GATX Corp. | 07/30/2018 | 2.38 | % | 2,000,000 | 1,966,078 | |||||||||
United Parcel Service, Inc. | 04/01/2014 | 3.88 | % | 500,000 | 512,626 | |||||||||
Vale Overseas Ltd. (b) | 01/11/2016 | 6.25 | % | 825,000 | 909,868 | |||||||||
3,388,572 |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Managed Futures Strategy Fund - Consolidated Schedule of Investments (continued) | 13 |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||||
Utilities: 0.82% | ||||||||||||||
Duke Energy Corp. | 09/15/2014 | 3.95 | % | $ | 400,000 | $ | 414,563 | |||||||
Exelon Generation Co., LLC | 10/01/2019 | 5.20 | % | 2,000,000 | 2,199,406 | |||||||||
Sempra Energy | 04/01/2017 | 2.30 | % | 1,000,000 | 1,012,832 | |||||||||
3,626,801 | ||||||||||||||
Wholesale Trade: 0.36% | ||||||||||||||
Express Scripts Holding Co. | 11/15/2016 | 3.50 | % | 1,500,000 | 1,592,304 | |||||||||
TOTAL CORPORATE BONDS (Cost $157,455,059) | 157,015,211 | |||||||||||||
MORTGAGE BACKED SECURITIES: 21.19% | ||||||||||||||
American Tower Trust I (Acquired 03/06/2013, Cost $1,830,000) (a) | 03/15/2018 | 1.55 | % | 1,830,000 | 1,798,299 | |||||||||
Bear Stearns Commercial Mortgage Securities Trust (c) | 09/11/2038 | 5.72 | % | 2,235,000 | 2,467,145 | |||||||||
Bear Stearns Commercial Mortgage Securities Trust (c) | 12/11/2040 | 5.41 | % | 2,250,000 | 2,410,231 | |||||||||
CD 2005-CD1 Commercial Mortgage Trust (c) | 07/15/2044 | 5.22 | % | 255,000 | 273,920 | |||||||||
Citigroup Commercial Mortgage Trust | 09/10/2045 | 1.81 | % | 3,500,000 | 3,492,727 | |||||||||
COMM 2012-CCRE2 Mortgage Trust | 08/15/2045 | 0.82 | % | 2,475,378 | 2,461,795 | |||||||||
COMM 2012-CCRE4 Mortgage Trust | 10/15/2045 | 1.80 | % | 2,000,000 | 1,980,016 | |||||||||
COMM 2012-LC4 Mortgage Trust | 12/10/2044 | 1.16 | % | 743,281 | 744,435 | |||||||||
Commercial Mortgage Trust 2007-GG11 | 12/10/2049 | 5.74 | % | 1,250,000 | 1,399,948 | |||||||||
Credit Suisse Mortgage Capital Certificates, 2013-IVR4 A3 | ||||||||||||||
(Acquired 06/12/2013, Cost $3,050,584) (a)(c) | 07/25/2043 | 3.00 | % | 3,000,000 | 2,978,436 | |||||||||
DBUBS 2011-LC3 Mortgage Trust | 08/10/2044 | 3.64 | % | 1,990,000 | 2,101,126 | |||||||||
Extended Stay America Trust 2013-ESH | ||||||||||||||
Series 2013-ESFL A2FL (Acquired 01/24/2013, Cost $1,565,000) (a)(c) | 12/05/2031 | 0.89 | % | 1,565,000 | 1,557,134 | |||||||||
Series 2013-ESFL A1FL (Acquired 01/24/2013, Cost $785,000) (a)(c) | 12/05/2031 | 0.99 | % | 785,000 | 782,924 | |||||||||
Fannie Mae-Aces | 02/25/2016 | 1.08 | % | 2,620,000 | 2,634,148 | |||||||||
Fannie Mae-Aces | 07/25/2019 | 3.40 | % | 571,537 | 599,442 | |||||||||
Fannie Mae-Aces | 12/25/2019 | 1.17 | % | 2,053,753 | 2,058,448 | |||||||||
Fannie Mae Pool | 01/01/2016 | 2.67 | % | 383,686 | 387,056 | |||||||||
Fannie Mae Pool | 02/01/2021 | 3.50 | % | 143,009 | 149,543 | |||||||||
Fannie Mae Pool | 06/01/2021 | 3.50 | % | 190,590 | 199,283 | |||||||||
Fannie Mae Pool | 08/01/2021 | 3.00 | % | 498,357 | 520,155 | |||||||||
Fannie Mae Pool | 09/01/2021 | 3.00 | % | 583,978 | 609,592 | |||||||||
Fannie Mae Pool | 11/01/2021 | 3.00 | % | 1,105,634 | 1,154,196 | |||||||||
Fannie Mae Pool | 12/01/2025 | 3.50 | % | 708,132 | 738,166 | |||||||||
Fannie Mae Pool | 09/01/2026 | 3.50 | % | 700,618 | 730,152 | |||||||||
Fannie Mae Pool | 08/01/2027 | 2.50 | % | 3,699,740 | 3,727,436 | |||||||||
Fannie Mae Pool | 09/01/2027 | 3.00 | % | 2,888,435 | 2,974,927 | |||||||||
Fannie Mae Pool (c) | 10/01/2033 | 2.89 | % | 1,581,308 | 1,690,478 | |||||||||
FDIC Commercial Mortgage Trust | ||||||||||||||
Series 2011-C1 A (Acquired 06/06/2012, Cost $461,189) (a)(c) | 04/25/2031 | 1.84 | % | 458,191 | 462,680 | |||||||||
Series 2012-C1 A (Acquired 05/10/2012, Cost $1,127,738) (a)(c) | 05/25/2035 | 0.84 | % | 1,127,738 | 1,128,888 | |||||||||
FDIC Guaranteed Notes Trust | ||||||||||||||
Series 2010-S4 A (Acquired 02/24/2012, Cost $771,693) (a)(c) | 12/04/2020 | 0.72 | % | 767,866 | 770,133 | |||||||||
Series 2010-S1 2A (Acquired 03/01/2012, Cost $994,761) (a) | 04/25/2038 | 3.25 | % | 975,724 | 1,014,753 | |||||||||
Series 2010-S1 1A (Acquired 11/18/2011, Cost $649,295) (a)(c) | 02/25/2048 | 0.75 | % | 650,311 | 649,283 | |||||||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||||||||
Series K501 A1 | 06/25/2016 | 1.34 | % | 560,130 | 563,557 | |||||||||
Series K703 A1 | 01/25/2018 | 1.87 | % | 659,818 | 671,329 | |||||||||
Series K709 A1 | 10/25/2018 | 1.56 | % | 1,639,820 | 1,652,524 | |||||||||
Fosse Master Issuer PLC (Acquired 09/30/2011 and 06/27/2012, Cost $561,037 | ||||||||||||||
and $644,794, respectively) (a)(b)(c) | 10/18/2054 | 1.68 | % | 1,205,114 | 1,216,847 | |||||||||
Freddie Mac REMICS | 02/15/2026 | 2.50 | % | 71,897 | 73,532 | |||||||||
GS Mortgage Securities Corp. II Series 2005-GG4 A4A | 07/10/2039 | 4.75 | % | 250,000 | 262,589 | |||||||||
GS Mortgage Securities Trust | ||||||||||||||
Series 2010-C2 A1 (Acquired 04/11/2012, Cost $1,494,660) (a) | 12/10/2043 | 3.85 | % | 1,404,525 | 1,491,674 | |||||||||
Series 2011-GC5 A2 | 08/10/2044 | 3.00 | % | 1,715,000 | 1,786,234 | |||||||||
Series 2007-GG10 A4 (c) | 08/10/2045 | 5.80 | % | 3,000,000 | 3,343,074 | |||||||||
Holmes Master Issuer PLC (Acquired 01/18/2012, Cost $1,000,000) (a)(b)(c) | 10/15/2054 | 1.93 | % | 1,000,000 | 1,017,359 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP5 (c) | 12/15/2044 | 5.20 | % | 250,000 | 269,785 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||||||||
Series 2013-JWRZ A (Acquired 05/22/2013, Cost $2,960,000) (a)(c) | 04/15/2030 | 0.97 | % | 2,960,000 | 2,951,783 | |||||||||
Series 2010-C1 A1 (Acquired 12/30/2011, Cost $1,495,641) (a) | 06/15/2043 | 3.85 | % | 1,431,657 | 1,495,352 | |||||||||
Series 2010-C2 A1 (Acquired 11/01/2011, Cost $852,715) (a) | 11/15/2043 | 2.75 | % | 844,333 | 871,151 | |||||||||
Series 2011-C3 A1 (Acquired 09/20/2011, Cost $449,197) (a) | 02/15/2046 | 1.88 | % | 446,865 | 449,975 |
The accompanying notes are an integral part of these consolidated financial statements.
14 | LoCorr Managed Futures Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||||
MORTGAGE BACKED SECURITIES (continued) | ||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust (continued) | ||||||||||||||
Series 2007-CIBC18 A3 | 06/12/2047 | 5.45 | % | $ | 375,335 | $ | 385,020 | |||||||
Series 2007-CIBC20 A4 (c) | 02/12/2051 | 5.79 | % | 1,400,000 | 1,593,372 | |||||||||
JPMorgan Chase Commercial Mortgage Series Trust 2013-FL3 A2 (Acquired 04/24/2013, Cost $2,805,000) (a)(c) | 04/15/2028 | 0.89 | % | 2,805,000 | 2,795,413 | |||||||||
Morgan Stanley Capital I Trust | ||||||||||||||
Series 2008-TOP29 (c) | 01/11/2043 | 6.28 | % | 1,250,000 | 1,452,943 | |||||||||
Series 2011-C1 (Acquired 09/20/2011 and 06/28/2012, Cost $1,039,008 and $1,234,498, respectively) (a) | 09/15/2047 | 3.88 | % | 2,150,000 | 2,276,566 | |||||||||
Series 2011-C3 | 07/15/2049 | 2.18 | % | 864,941 | 879,469 | |||||||||
Motel 6 Trust (Acquired 11/02/2012, Cost $1,999,992) (a) | 10/05/2025 | 1.95 | % | 2,000,000 | 1,960,882 | |||||||||
NCUA Guaranteed Notes Trust | ||||||||||||||
Series 2010-R2 (c) | 11/06/2017 | 0.57 | % | 2,756,321 | 2,755,880 | |||||||||
Series 2011-R1 (c) | 01/08/2020 | 0.65 | % | 116,326 | 117,126 | |||||||||
Series 2011-R2 (c) | 02/06/2020 | 0.60 | % | 3,072,319 | 3,076,159 | |||||||||
Series 2011-R3 (c) | 03/11/2020 | 0.59 | % | 3,813,466 | 3,825,383 | |||||||||
Series 2010-R1 (c) | 10/07/2020 | 0.65 | % | 378,904 | 380,799 | |||||||||
Sequoia Mortgage Trust 2013-1 1A1 (c) | 02/25/2043 | 1.45 | % | 1,657,793 | 1,599,944 | |||||||||
Springleaf Mortgage Loan Trust | ||||||||||||||
Series 2013-1A A (Acquired 04/03/2013, Cost $2,517,266) (a)(c) | 06/25/2058 | 1.27 | % | 2,517,466 | 2,521,844 | |||||||||
Series 2012-3A A (Acquired 10/18/2012, Cost $843,713) (a)(c) | 12/25/2059 | 1.57 | % | 843,824 | 847,906 | |||||||||
WF-RBS Commercial Mortgage Trust, 2012-C9 A1 | 11/15/2045 | 0.67 | % | 1,782,216 | 1,761,620 | |||||||||
WIMC Capital Trust 2012-A (Acquired 06/21/2012, Cost $835,494) (a) | 10/16/2050 | 4.55 | % | 835,502 | 835,236 | |||||||||
TOTAL MORTGAGE BACKED SECURITIES (Cost $94,452,836) | 93,829,222 | |||||||||||||
MUNICIPAL BONDS: 1.77% | ||||||||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority | 02/01/2018 | 1.52 | % | 1,226,823 | 1,235,999 | |||||||||
Metropolitan Council | 09/01/2017 | 1.20 | % | 2,020,000 | 2,004,123 | |||||||||
Metropolitan Government of Nashville & Davidson County TN | 07/01/2017 | 1.21 | % | 1,500,000 | 1,476,705 | |||||||||
Port of Seattle WA | 11/01/2013 | 0.88 | % | 1,500,000 | 1,502,025 | |||||||||
State of Ohio | 08/01/2017 | 3.33 | % | 1,500,000 | 1,599,795 | |||||||||
TOTAL MUNICIPAL BONDS (Cost $7,891,901) | 7,818,647 | |||||||||||||
FOREIGN GOVERNMENT BONDS: 0.53% | ||||||||||||||
Hydro-Quebec (b) | 06/30/2016 | 2.00 | % | 900,000 | 925,830 | |||||||||
Province of Ontario Canada (b) | 02/05/2015 | 2.95 | % | 380,000 | 394,396 | |||||||||
Province of Ontario Canada (b) | 09/21/2016 | 1.60 | % | 1,000,000 | 1,014,676 | |||||||||
TOTAL FOREIGN GOVERNMENT BONDS (Cost $2,303,946) | 2,334,902 | |||||||||||||
U.S. GOVERNMENT AGENCY ISSUES: 8.87% | ||||||||||||||
Federal Home Loan Banks | 09/13/2013 | 5.25 | % | 2,000,000 | 2,020,302 | |||||||||
Federal Home Loan Banks | 11/27/2013 | 0.38 | % | 6,500,000 | 6,506,188 | |||||||||
Federal Home Loan Mortgage Corp. | 10/28/2013 | 0.88 | % | 3,650,000 | 3,658,713 | |||||||||
Federal Home Loan Mortgage Corp. | 08/20/2014 | 1.00 | % | 8,000,000 | 8,065,648 | |||||||||
Federal Home Loan Mortgage Corp. | 08/27/2014 | 1.00 | % | 3,000,000 | 3,027,357 | |||||||||
Federal Home Loan Mortgage Corp. | 04/17/2015 | 0.50 | % | 4,000,000 | 4,009,552 | |||||||||
Federal Home Loan Mortgage Corp. | 09/10/2015 | 1.75 | % | 1,000,000 | 1,027,377 | |||||||||
Federal Home Loan Mortgage Corp. | 08/25/2016 | 2.00 | % | 1,500,000 | 1,553,985 | |||||||||
Federal National Mortgage Association | 12/18/2013 | 0.75 | % | 2,250,000 | 2,256,604 | |||||||||
Federal National Mortgage Association | 05/15/2014 | 2.50 | % | 1,500,000 | 1,529,782 | |||||||||
Federal National Mortgage Association | 10/30/2014 | 0.63 | % | 1,060,000 | 1,064,507 | |||||||||
Federal National Mortgage Association | 12/19/2014 | 0.75 | % | 3,500,000 | 3,521,252 | |||||||||
Federal National Mortgage Association | 07/28/2015 | 2.38 | % | 1,000,000 | 1,039,520 | |||||||||
TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $39,191,208) | 39,280,787 | |||||||||||||
U.S. GOVERNMENT NOTES/BONDS: 2.93% | ||||||||||||||
United States Treasury Note/Bond | 10/31/2014 | 0.25 | % | 8,000,000 | 8,003,128 | |||||||||
United States Treasury Note/Bond | 10/15/2015 | 0.25 | % | 5,000,000 | 4,977,735 | |||||||||
TOTAL U.S. GOVERNMENT NOTES/BONDS (Cost $13,001,033) | 12,980,863 |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Managed Futures Strategy Fund - Consolidated Schedule of Investments (continued) | 15 |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||||
SHORT TERM INVESTMENTS: 5.68% | ||||||||||||||
U.S. GOVERNMENT AGENCY ISSUES: 2.03% | ||||||||||||||
Federal Home Loan Banks | 03/04/2014 | 0.13 | % | $ | 5,000,000 | $ | 4,997,135 | |||||||
Federal Home Loan Mortgage Corp. | 03/21/2014 | 0.30 | % | 4,000,000 | 4,003,752 | |||||||||
TOTAL U.S. GOVERNMENT AGENCY ISSUES | 9,000,887 | |||||||||||||
MONEY MARKET FUND: 3.65% | Shares | |||||||||||||
Fidelity Institutional Money Market Portfolio - Class I , 0.08% (d) | 16,137,070 | 16,137,070 | ||||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $25,119,410) | ||||||||||||||
25,137,957 | ||||||||||||||
TOTAL INVESTMENTS (Cost $391,738,582): 88.19% | 390,545,139 | |||||||||||||
Other Assets in Excess of Liabilities: 11.81% (e) | 52,323,959 | |||||||||||||
TOTAL NET ASSETS: 100.00% | $ | 442,869,098 |
(a) | Restricted security as defined in Rule 144(a) under the Securities Act of 1933 and determined to be liquid. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30,2013, the value of these securities total $72,212,038 which represents 16.31% of total net assets. |
(b) | Foreign issued security. |
(c) | Variable rate security. The rate reported is the rate in effect as of June 30, 2013. |
(d) | The rate quoted is the annualized seven-day effective yield as of June 30, 2013. |
(e) | Includes assets pledged as collateral for swap contracts. |
The accompanying notes are an integral part of these consolidated financial statements.
16 | LoCorr Managed Futures Strategy Fund - Consolidated Schedule of Swap Contracts |
LoCorr Managed Futures Strategy Fund
Consolidated Schedule of Swap Contracts
June 30, 2013 (Unaudited)
LONG TOTAL RETURN SWAP CONTRACTS
This investment is a holding of LCMFS Fund Limited. See Note 1.
Unrealized | ||||||||
Appreciation | ||||||||
Termination Date | Reference Index | Notional | (Depreciation)* | Counterparty | ||||
12/20/2017 | LoCorr Managed Futures Index | $495,000,000 | $(30,159,268) | Deutsche Bank AG |
*Unrealized depreciation is a payable on the consolidated statement of assets and liabilities.
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments | 17 |
LoCorr Long/Short Commodities Strategy Fund
Consolidated Portfolio Composition1
As of June 30, 2013 (Unaudited)
1 As a percentage of total investments.
Consolidated Schedule of Investments
June 30, 2013 (Unaudited)
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||||
ASSET BACKED SECURITIES: 11.00% | ||||||||||||||
Ally Auto Receivables Trust | ||||||||||||||
Series 2012-SN1 A2 | 12/22/2014 | 0.51 | % | $ | 20,107 | $ | 20,097 | |||||||
Series 2012-4 A3 | 01/17/2017 | 0.59 | % | 25,000 | 24,938 | |||||||||
Series 2012-5 A3 | 03/15/2017 | 0.62 | % | 50,000 | 49,866 | |||||||||
AmeriCredit Automobile Receivables Trust | ||||||||||||||
Series 2012-3 A2 | 12/08/2015 | 0.71 | % | 16,137 | 16,146 | |||||||||
Series 2012-5 A2 | 01/08/2016 | 0.51 | % | 33,827 | 33,806 | |||||||||
Series 2013-2 A2 | 11/08/2016 | 0.53 | % | 50,000 | 49,929 | |||||||||
Series 2012-4 A3 | 06/08/2017 | 0.67 | % | 25,000 | 24,885 | |||||||||
Series 2013-1 A3 | 10/10/2017 | 0.61 | % | 45,000 | 44,686 | |||||||||
Series 2013-3 A3 | 04/09/2018 | 0.92 | % | 50,000 | 49,794 | |||||||||
Bank of America Auto Trust 2012-1 A3 | 06/15/2016 | 0.78 | % | 10,000 | 10,007 | |||||||||
Capital Auto Receivables Asset Trust | ||||||||||||||
Series 2013-2 A1 | 07/20/2015 | 0.77 | % | 25,000 | 24,993 | |||||||||
Series 2013-1 A2 | 07/20/2016 | 0.62 | % | 50,000 | 49,895 | |||||||||
CarMax Auto Owner Trust 2012-3 A3 | 07/17/2017 | 0.52 | % | 25,000 | 24,836 | |||||||||
CNH Equipment Trust | ||||||||||||||
Series 2012-B A3 | 09/15/2017 | 0.86 | % | 15,000 | 15,019 | |||||||||
Series 2012-C A3 | 12/15/2017 | 0.57 | % | 25,000 | 24,856 | |||||||||
Series 2012-D A3 | 04/16/2018 | 0.65 | % | 50,000 | 49,752 | |||||||||
Fifth Third Auto Trust 2013-A A3 | 09/15/2017 | 0.61 | % | 50,000 | 49,701 | |||||||||
Ford Credit Auto Owner Trust 2013-B A3 | 10/15/2017 | 0.57 | % | 50,000 | 49,712 | |||||||||
GE Equipment Midticket LLC 2012-1 A3 | 05/23/2016 | 0.60 | % | 25,000 | 24,944 | |||||||||
GE Equipment Small Ticket LLC Series 2012-1A A3 (Acquired 05/22/2012, Cost $14,997) (a) | 09/21/2015 | 1.04 | % | 15,000 | 15,037 | |||||||||
GE Equipment Transportation LLC Series 2012-2 A3 | 07/25/2016 | 0.62 | % | 30,000 | 29,872 | |||||||||
Honda Auto Receivables 2012-4 Owner Trust | 08/18/2016 | 0.52 | % | 25,000 | 24,916 | |||||||||
Honda Auto Receivables 2013-2 Owner Trust | 02/16/2017 | 0.53 | % | 50,000 | 49,733 |
The accompanying notes are an integral part of these consolidated financial statements.
18 | LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||||
Hyundai Auto Receivables Trust | ||||||||||||||
Series 2012-B A3 | 09/15/2016 | 0.62 | % | $ | 25,000 | $ | 25,011 | |||||||
Series 2013-B A3 | 09/15/2017 | 0.71 | % | 50,000 | 49,930 | |||||||||
John Deere Owner Trust 2013-A A3 | 03/15/2017 | 0.60 | % | 50,000 | 49,757 | |||||||||
Mercedes-Benz Auto Lease Trust 2013-A A3 | 02/15/2016 | 0.59 | % | 50,000 | 49,810 | |||||||||
Mercedes-Benz Auto Receivables Trust 2012-1 A2 | 03/16/2015 | 0.37 | % | 19,875 | 19,870 | |||||||||
Navistar Financial 2012-A A2 Owner Trust (Acquired 06/26/2012, Cost $18,018) (a) | 03/18/2015 | 0.85 | % | 18,018 | 18,025 | |||||||||
Nissan Auto Receivables 2013-A A3 Owner Trust | 05/15/2017 | 0.50 | % | 50,000 | 49,747 | |||||||||
Santander Drive Auto Receivables Trust | ||||||||||||||
Series 2012-4 A2 | 08/17/2015 | 0.79 | % | 14,244 | 14,247 | |||||||||
Series 2012-5 A2 | 12/15/2015 | 0.57 | % | 15,781 | 15,779 | |||||||||
Series 2013-1 A3 | 06/15/2017 | 0.62 | % | 25,000 | 24,972 | |||||||||
Series 2013-2 A3 | 09/15/2017 | 0.70 | % | 40,000 | 39,869 | |||||||||
Series 2013-3 A3 | 10/16/2017 | 0.70 | % | 50,000 | 49,805 | |||||||||
Small Business Administration Participation Certificates 2012-20K 1 | 11/01/2032 | 2.09 | % | 24,359 | 23,313 | |||||||||
Toyota Auto Receivables 2013-A Owner Trust | 01/17/2017 | 0.55 | % | 50,000 | 49,760 | |||||||||
World Omni Auto Receivables Trust | ||||||||||||||
Series 2012-A A3 | 02/15/2017 | 0.64 | % | 25,000 | 24,977 | |||||||||
Series 2012-B A3 | 06/15/2017 | 0.61 | % | 25,000 | 24,600 | |||||||||
Series 2013-A A3 | 04/16/2018 | 0.64 | % | 75,000 | 74,424 | |||||||||
TOTAL ASSET BACKED SECURITIES (Cost $1,367,226) | 1,361,316 | |||||||||||||
CORPORATE BONDS: 18.56% | ||||||||||||||
Construction: 0.13% | ||||||||||||||
ABB Treasury Center USA Inc. (Acquired 06/19/2012, Cost $15,387) (a) | 06/15/2016 | 2.50 | % | 15,000 | 15,531 | |||||||||
Educational Services: 0.28% | ||||||||||||||
Princeton University | 03/01/2019 | 4.95 | % | 30,000 | 34,462 | |||||||||
Finance and Insurance: 7.94% | ||||||||||||||
American Express Co. | 05/22/2018 | 1.55 | % | 20,000 | 19,416 | |||||||||
American Express Credit Corp. | 09/19/2016 | 2.80 | % | 20,000 | 20,764 | |||||||||
Bank of America Corp. | 08/01/2016 | 6.50 | % | 30,000 | 33,823 | |||||||||
Bank of New York Mellon Corp./The | 07/28/2016 | 2.30 | % | 20,000 | 20,616 | |||||||||
BB&T Corp. | 03/22/2017 | 2.15 | % | 15,000 | 15,025 | |||||||||
BB&T Corp. | 08/15/2017 | 1.60 | % | 20,000 | 19,559 | |||||||||
Berkshire Hathaway Finance Corp. | 05/15/2017 | 1.60 | % | 35,000 | 34,853 | |||||||||
Boston Properties Limited Partnership | 06/01/2015 | 5.00 | % | 10,000 | 10,748 | |||||||||
BP Capital Markets P.L.C. (b) | 05/05/2017 | 1.85 | % | 20,000 | 20,024 | |||||||||
BP Capital Markets P.L.C. (b) | 05/10/2018 | 1.38 | % | 10,000 | 9,639 | |||||||||
Caterpillar Financial Services Corp. | 02/17/2015 | 4.75 | % | 15,000 | 15,990 | |||||||||
Caterpillar Financial Services Corp. | 05/29/2015 | 1.10 | % | 10,000 | 10,054 | |||||||||
Charles Schwab Corp./The | 09/01/2017 | 6.38 | % | 23,000 | 26,905 | |||||||||
Citigroup Inc. (c) | 04/01/2014 | 1.21 | % | 2,000 | 2,008 | |||||||||
Citigroup Inc. | 11/21/2017 | 6.13 | % | 25,000 | 28,414 | |||||||||
Dragon 2012 LLC | 03/12/2024 | 1.97 | % | 23,098 | 22,642 | |||||||||
ERP Operating Limited Partnership (Equity Residential only) | 09/15/2014 | 5.25 | % | 25,000 | 26,297 | |||||||||
General Electric Capital Corp. | 12/11/2015 | 1.00 | % | 10,000 | 9,985 | |||||||||
General Electric Capital Corp. | 01/09/2017 | 2.90 | % | 30,000 | 31,013 | |||||||||
Goldman Sachs Group, Inc./The | 01/15/2015 | 5.13 | % | 35,000 | 36,920 | |||||||||
Helios Leasing I LLC | 05/29/2024 | 2.02 | % | 23,138 | 22,694 | |||||||||
Helios Leasing I LLC | 07/24/2024 | 1.73 | % | 23,599 | 22,777 | |||||||||
Helios Leasing I LLC | 09/28/2024 | 1.56 | % | 23,578 | 22,453 | |||||||||
John Deere Capital Corp. | 06/29/2015 | 0.95 | % | 15,000 | 15,076 | |||||||||
John Deere Capital Corp. | 04/13/2017 | 5.50 | % | 15,000 | 17,034 | |||||||||
JPMorgan Chase & Co. | 08/15/2017 | 2.00 | % | 20,000 | 19,849 | |||||||||
JPMorgan Chase & Co. | 01/15/2018 | 6.00 | % | 25,000 | 28,529 | |||||||||
KeyBank National Association | 11/01/2017 | 5.70 | % | 27,000 | 30,213 | |||||||||
Kimco Realty Corp. | 02/01/2018 | 4.30 | % | 30,000 | 32,237 | |||||||||
Liberty Property Limited Partnership | 10/01/2017 | 6.63 | % | 25,000 | 28,518 | |||||||||
Morgan Stanley | 03/22/2017 | 4.75 | % | 30,000 | 31,820 | |||||||||
MSN 41079 and 41084 Ltd. (b) | 07/13/2024 | 1.72 | % | 23,594 | 22,753 | |||||||||
New York Life Global Funding (Acquired 10/09/2012, Cost $20,853) (a) | 05/04/2015 | 3.00 | % | 20,000 | 20,841 | |||||||||
Phoenix 2012 LLC | 07/03/2024 | 1.61 | % | 24,013 | 23,012 | |||||||||
PNC Funding Corp. | 09/19/2016 | 2.70 | % | 10,000 | 10,408 |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) | 19 |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||||
Finance and Insurance (continued) | ||||||||||||||
Realty Income Corp. | 09/15/2016 | 5.95 | % | $ | 15,000 | $ | 16,845 | |||||||
Royal Bank of Canada (b) | 10/30/2015 | 0.80 | % | 10,000 | 9,986 | |||||||||
Royal Bank of Canada (b) | 09/19/2017 | 1.20 | % | 25,000 | 24,391 | |||||||||
Safina Ltd. (b) | 01/15/2022 | 1.55 | % | 23,131 | 22,798 | |||||||||
Simon Property Group, L.P. | 08/15/2014 | 5.63 | % | 25,000 | 26,326 | |||||||||
State Street Bank and Trust Co. | 10/15/2018 | 5.25 | % | 20,000 | 22,798 | |||||||||
State Street Corp. | 05/30/2014 | 4.30 | % | 30,000 | 31,060 | |||||||||
Tagua Leasing LLC | 11/16/2024 | 1.58 | % | 24,057 | 22,922 | |||||||||
Travelers Companies, Inc./The | 12/01/2015 | 5.50 | % | 16,000 | 17,686 | |||||||||
Ventas Realty LP / Ventas Capital Corp. | 02/15/2018 | 2.00 | % | 15,000 | 14,520 | |||||||||
Vornado Realty L.P. | 04/01/2015 | 4.25 | % | 10,000 | 10,411 | |||||||||
982,652 | ||||||||||||||
Information: 0.99% | ||||||||||||||
AT&T Inc. | 05/15/2016 | 2.95 | % | 10,000 | 10,450 | |||||||||
AT&T Inc. | 06/01/2017 | 1.70 | % | 10,000 | 9,902 | |||||||||
Cellco Partnership / Verizon Wireless Capital LLC | 02/01/2014 | 5.55 | % | 25,000 | 25,666 | |||||||||
Comcast Corp. | 06/15/2016 | 4.95 | % | 8,000 | 8,861 | |||||||||
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. | 03/15/2017 | 2.40 | % | 35,000 | 35,169 | |||||||||
Oracle Corp. | 04/15/2018 | 5.75 | % | 13,000 | 15,127 | |||||||||
Walt Disney Co./The | 09/15/2016 | 5.63 | % | 15,000 | 17,080 | |||||||||
122,255 | ||||||||||||||
Management of Companies and Enterprises: 0.37% | ||||||||||||||
BAE SYSTEMS Holdings Inc. (Acquired 06/04/2012, Cost $10,600) (a) | 08/15/2015 | 5.20 | % | 10,000 | 10,761 | |||||||||
BHP Billiton Finance (USA) Ltd. (b) | 02/24/2017 | 1.63 | % | 35,000 | 34,830 | |||||||||
45,591 | ||||||||||||||
Manufacturing: 5.51% | ||||||||||||||
AbbVie Inc. (Acquired 11/05/2012, Cost $19,987) (a) | 11/06/2015 | 1.20 | % | 20,000 | 20,022 | |||||||||
Anheuser-Busch InBev Worldwide Inc. | 07/15/2015 | 0.80 | % | 15,000 | 14,996 | |||||||||
Anheuser-Busch InBev Worldwide Inc. | 02/15/2016 | 2.88 | % | 15,000 | 15,695 | |||||||||
Baxter International Inc. | 01/15/2017 | 1.85 | % | 10,000 | 10,061 | |||||||||
Baxter International Inc. | 06/15/2018 | 1.85 | % | 25,000 | 24,797 | |||||||||
Bemis Company, Inc. | 08/01/2014 | 5.65 | % | 20,000 | 20,945 | |||||||||
Campbell Soup Co. | 07/15/2017 | 3.05 | % | 20,000 | 20,784 | |||||||||
Chevron Corp. | 12/05/2017 | 1.10 | % | 10,000 | 9,771 | |||||||||
Chevron Corp. | 06/24/2018 | 1.72 | % | 20,000 | 19,816 | |||||||||
Cintas Corp. No. 2 | 06/01/2016 | 2.85 | % | 15,000 | 15,660 | |||||||||
Coca Cola Co./The | 11/15/2017 | 5.35 | % | 30,000 | 34,408 | |||||||||
ConocoPhillips | 05/15/2018 | 5.20 | % | 36,000 | 41,150 | |||||||||
Covidien International Finance S.A. (b) | 05/29/2015 | 1.35 | % | 7,000 | 7,060 | |||||||||
Diageo Capital PLC (b) | 05/11/2017 | 1.50 | % | 20,000 | 19,820 | |||||||||
Eaton Corp. (Acquired 11/14/2012, Cost $9,989) (a) | 11/02/2017 | 1.50 | % | 10,000 | 9,707 | |||||||||
ECOLAB Inc. | 02/15/2015 | 4.88 | % | 15,000 | 15,912 | |||||||||
ECOLAB Inc. | 12/08/2016 | 3.00 | % | 15,000 | 15,650 | |||||||||
E.I. du Pont de Nemours and Co. | 03/15/2015 | 4.75 | % | 14,000 | 14,941 | |||||||||
Emerson Electric Co. | 10/15/2017 | 5.38 | % | 10,000 | 11,408 | |||||||||
General Mills, Inc. | 03/17/2015 | 5.20 | % | 25,000 | 26,850 | |||||||||
Heineken N.V. (Acquired 10/02/2012, Cost $9,983) (a)(b) | 10/01/2015 | 0.80 | % | 10,000 | 9,949 | |||||||||
Ingredion Inc. | 11/01/2015 | 3.20 | % | 30,000 | 31,350 | |||||||||
Intel Corp. | 12/15/2017 | 1.35 | % | 25,000 | 24,465 | |||||||||
Kellogg Co. | 05/17/2017 | 1.75 | % | 40,000 | 39,699 | |||||||||
Kraft Foods Group, Inc. | 06/05/2017 | 2.25 | % | 30,000 | 30,210 | |||||||||
Lockheed Martin Corp. | 09/15/2016 | 2.13 | % | 10,000 | 10,209 | |||||||||
Mondelez International, Inc. | 08/11/2017 | 6.50 | % | 31,000 | 36,042 | |||||||||
Parker-Hannifin Corp. | 05/15/2018 | 5.50 | % | 10,000 | 11,429 | |||||||||
Procter & Gamble Co./The | 02/15/2019 | 4.70 | % | 25,000 | 28,232 | |||||||||
Roper Industries, Inc. | 11/15/2017 | 1.85 | % | 15,000 | 14,762 | |||||||||
SABMiller PLC (Acquired 08/15/2012, Cost $15,332) (a)(b) | 01/15/2014 | 5.70 | % | 15,000 | 15,402 | |||||||||
Thermo Fisher Scientific Inc. | 06/01/2015 | 5.00 | % | 10,000 | 10,666 | |||||||||
Thermo Fisher Scientific Inc. | 08/15/2016 | 2.25 | % | 10,000 | 10,147 | |||||||||
Toyota Motor Credit Corp. | 01/12/2017 | 2.05 | % | 10,000 | 10,115 | |||||||||
United Technologies Corp. | 06/01/2017 | 1.80 | % | 30,000 | 30,110 | |||||||||
682,240 |
The accompanying notes are an integral part of these consolidated financial statements.
20 | LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||||
Mining, Quarrying, and Oil and Gas Extraction: 0.76% | ||||||||||||||
Devon Energy Corp. | 05/15/2017 | 1.88 | % | $ | 15,000 | $ | 14,797 | |||||||
Rio Tinto Finance (USA) PLC (b) | 03/22/2017 | 2.00 | % | 10,000 | 9,935 | |||||||||
Rio Tinto Finance (USA) PLC (b) | 08/21/2017 | 1.63 | % | 15,000 | 14,712 | |||||||||
Schlumberger Norge AS (Acquired 07/24/2012 and 09/11/2012, Cost $9,991 and $4,990, respectively) (a)(b) | 08/01/2017 | 1.25 | % | 15,000 | 14,537 | |||||||||
Total Capital International SA (b) | 06/28/2017 | 1.55 | % | 15,000 | 14,866 | |||||||||
XTO Energy Inc. | 02/01/2014 | 4.90 | % | 25,000 | 25,624 | |||||||||
94,471 | ||||||||||||||
Retail Trade: 0.59% | ||||||||||||||
Sherwin-Williams Co./The | 12/15/2014 | 3.13 | % | 39,000 | 40,315 | |||||||||
Wal-Mart Stores, Inc. | 02/01/2019 | 4.13 | % | 30,000 | 33,077 | |||||||||
73,392 | ||||||||||||||
Transportation and Warehousing: 0.70% | ||||||||||||||
Canadian National Railway Co. (b) | 06/01/2016 | 5.80 | % | 20,000 | 22,554 | |||||||||
Norfolk Southern Corp. | 01/15/2016 | 5.75 | % | 20,000 | 22,251 | |||||||||
Union Pacific Corp. | 01/15/2015 | 4.88 | % | 25,000 | 26,505 | |||||||||
VRG Linhas Aereas S.A. (b) | 06/30/2014 | 1.00 | % | 15,683 | 15,748 | |||||||||
87,058 | ||||||||||||||
Utilities: 1.29% | ||||||||||||||
Atmos Energy Corp. | 10/15/2014 | 4.95 | % | 25,000 | 26,308 | |||||||||
Avista Corp. | 06/01/2018 | 5.95 | % | 20,000 | 23,358 | |||||||||
Commonwealth Edison Co. | 04/15/2015 | 4.70 | % | 20,000 | 21,289 | |||||||||
Connecticut Light and Power Co./The | 03/01/2017 | 5.38 | % | 20,000 | 22,287 | |||||||||
Southern California Edison Co. | 09/15/2014 | 4.15 | % | 15,000 | 15,635 | |||||||||
Southern California Edison Co. | 04/01/2015 | 4.65 | % | 15,000 | 16,055 | |||||||||
Wisconsin Electric Power Co. | 04/01/2014 | 6.00 | % | 11,000 | 11,437 | |||||||||
Wisconsin Electric Power Co. | 12/01/2015 | 6.25 | % | 21,000 | 23,678 | |||||||||
160,047 | ||||||||||||||
TOTAL CORPORATE BONDS (Cost $2,325,538) | 2,297,699 | |||||||||||||
MORTGAGE BACKED SECURITIES: 27.06% | ||||||||||||||
Banc of America Commercial Mortgage Trust 2006-2 A4 (c) | 05/10/2045 | 5.73 | % | 20,000 | 22,085 | |||||||||
Bear Stearns Commercial Mortgage Securities Trust | ||||||||||||||
Series 2006-PWR12 A4 (c) | 09/11/2038 | 5.71 | % | 25,000 | 27,597 | |||||||||
Series 2006-PWR14 A4 | 12/11/2038 | 5.20 | % | 25,000 | 27,593 | |||||||||
Series 2006-TOP24 A4 | 10/12/2041 | 5.54 | % | 25,000 | 27,760 | |||||||||
Citigroup Commercial Mortgage Trust 2006-C5 A4 | 10/15/2049 | 5.43 | % | 35,000 | 38,768 | |||||||||
Commercial Mortgage Pass-Through Certificates 2006-C1 A4 (c) | 02/15/2039 | 5.39 | % | 10,000 | 10,924 | |||||||||
Commercial Mortgage Pass-Through Certificates 2012-CR3 A1 | 11/15/2045 | 0.67 | % | 22,246 | 22,022 | |||||||||
Fannie Mae-Aces | 11/25/2015 | 0.95 | % | 130,000 | 130,708 | |||||||||
Fannie Mae-Aces | 02/25/2016 | 1.08 | % | 50,000 | 50,270 | |||||||||
Fannie Mae-Aces | 11/25/2016 | 1.07 | % | 75,000 | 74,916 | |||||||||
Fannie Mae-Aces | 03/25/2018 | 1.23 | % | 100,000 | 99,154 | |||||||||
Fannie Mae Pool | 06/01/2017 | 1.49 | % | 25,000 | 25,183 | |||||||||
Fannie Mae Pool | 07/01/2017 | 1.50 | % | 35,000 | 35,100 | |||||||||
Fannie Mae Pool | 09/01/2017 | 1.27 | % | 50,000 | 49,818 | |||||||||
Fannie Mae Pool | 08/01/2022 | 2.50 | % | 42,010 | 43,173 | |||||||||
Fannie Mae Pool | 09/01/2022 | 2.50 | % | 128,980 | 132,562 | |||||||||
Fannie Mae Pool | 10/01/2022 | 2.50 | % | 89,295 | 91,780 | |||||||||
Fannie Mae Pool | 11/01/2022 | 2.50 | % | 135,824 | 139,602 | |||||||||
Fannie Mae Pool | 12/01/2022 | 2.00 | % | 77,716 | 78,325 | |||||||||
Fannie Mae Pool | 12/01/2022 | 2.50 | % | 199,598 | 205,143 | |||||||||
Fannie Mae Pool | 01/01/2023 | 2.50 | % | 93,199 | 95,799 | |||||||||
Fannie Mae Pool | 02/01/2023 | 2.50 | % | 47,516 | 48,842 | |||||||||
Fannie Mae Pool | 03/01/2023 | 2.50 | % | 47,853 | 49,190 | |||||||||
Fannie Mae Pool | 05/01/2023 | 2.00 | % | 49,086 | 49,471 | |||||||||
Fannie Mae Pool | 06/01/2023 | 2.00 | % | 49,481 | 49,869 | |||||||||
Fannie Mae Pool | 07/01/2023 | 2.50 | % | 100,000 | 102,230 | |||||||||
Fannie Mae Pool | 04/01/2027 | 3.00 | % | 17,149 | 17,659 | |||||||||
Fannie Mae Pool | 09/01/2027 | 3.00 | % | 33,425 | 34,380 |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) | 21 |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||||
MORTGAGE BACKED SECURITIES (continued) | ||||||||||||||
Fannie Mae Pool | 10/01/2027 | 3.00 | % | $ | 48,080 | $ | 49,453 | |||||||
Fannie Mae Pool | 12/01/2027 | 2.50 | % | 95,244 | 95,134 | |||||||||
Fannie Mae Pool | 12/01/2027 | 3.00 | % | 48,464 | 49,955 | |||||||||
Fannie Mae Pool | 01/01/2028 | 2.50 | % | 97,593 | 98,281 | |||||||||
Fannie Mae Pool (c) | 09/01/2042 | 2.32 | % | 21,923 | 22,149 | |||||||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||||||||
Series K502 A2 | 08/25/2017 | 1.43 | % | 35,000 | 35,125 | |||||||||
Series K708 A2 | 01/25/2019 | 2.13 | % | 30,000 | 29,975 | |||||||||
Series K709 A2 | 03/25/2019 | 2.09 | % | 25,000 | 24,688 | |||||||||
Series KF01 A (c) | 04/25/2019 | 0.54 | % | 22,226 | 22,267 | |||||||||
Series K710 A2 | 05/25/2019 | 1.88 | % | 50,000 | 49,090 | |||||||||
Series K712 A2 | 11/25/2019 | 1.87 | % | 75,000 | 72,851 | |||||||||
Freddie Mac Gold Pool | 04/01/2023 | 2.50 | % | 96,265 | 98,288 | |||||||||
Freddie Mac Gold Pool | 04/01/2027 | 3.00 | % | 33,494 | 34,521 | |||||||||
Freddie Mac Gold Pool | 05/01/2027 | 3.00 | % | 22,376 | 23,100 | |||||||||
Freddie Mac Gold Pool | 10/01/2027 | 2.50 | % | 46,123 | 47,065 | |||||||||
Freddie Mac Gold Pool | 12/01/2027 | 2.50 | % | 218,650 | 219,171 | |||||||||
Freddie Mac Non Gold Pool (c) | 07/01/2042 | 2.19 | % | 15,576 | 15,878 | |||||||||
Freddie Mac Non Gold Pool (c) | 07/01/2042 | 2.37 | % | 18,767 | 19,222 | |||||||||
Freddie Mac Non Gold Pool (c) | 07/01/2042 | 2.43 | % | 21,105 | 21,439 | |||||||||
Freddie Mac Non Gold Pool (c) | 08/01/2042 | 2.59 | % | 19,302 | 19,693 | |||||||||
Freddie Mac Non Gold Pool (c) | 10/01/2042 | 2.19 | % | 20,475 | 20,798 | |||||||||
Freddie Mac Non Gold Pool (c) | 01/01/2043 | 2.15 | % | 71,467 | 71,664 | |||||||||
Freddie Mac Non Gold Pool (c) | 01/01/2043 | 2.21 | % | 24,427 | 24,553 | |||||||||
Freddie Mac Non Gold Pool (c) | 02/01/2043 | 2.14 | % | 48,247 | 48,355 | |||||||||
GS Mortgage Securities Trust 2006-GG8 A4 | 11/10/2039 | 5.56 | % | 25,000 | 27,687 | |||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||||||||
Series 2006-LDP6 A4 (c) | 04/15/2043 | 5.48 | % | 33,610 | 36,774 | |||||||||
Series 2006-LDP7 A4 (c) | 04/15/2045 | 5.86 | % | 25,000 | 27,621 | |||||||||
Series 2012-C8 ASB (Acquired 04/23/2013, Cost $50,926) (a) | 10/17/2045 | 2.38 | % | 50,000 | 47,594 | |||||||||
LB Commercial Mortgage Trust 2007-C3 A4B | 07/15/2044 | 5.52 | % | 35,000 | 39,206 | |||||||||
LB-UBS Commercial Mortgage Trust 2006-C6 A4 | 09/15/2039 | 5.37 | % | 40,000 | 44,001 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 A1 | 11/17/2045 | 0.66 | % | 22,254 | 22,048 | |||||||||
Morgan Stanley Capital I Trust | ||||||||||||||
Series 2006-IQ12 A4 | 12/15/2043 | 5.33 | % | 25,000 | 27,513 | |||||||||
Series 2006-TOP21 A4 (c) | 10/12/2052 | 5.16 | % | 25,000 | 27,015 | |||||||||
NCUA Guaranteed Notes Trust | ||||||||||||||
Series 2010-R2 1A (c) | 11/06/2017 | 0.56 | % | 39,908 | 39,902 | |||||||||
Series 2011-R4 1A (c) | 03/06/2020 | 0.57 | % | 17,939 | 17,917 | |||||||||
TOTAL MORTGAGE BACKED SECURITIES (Cost $3,387,195) | 3,349,916 | |||||||||||||
MUNICIPAL BONDS: 4.59% | ||||||||||||||
City of El Paso, TX | 08/15/2014 | 3.61 | % | 50,000 | 51,666 | |||||||||
City of Huntsville, AL | 09/01/2016 | 2.41 | % | 40,000 | 41,174 | |||||||||
City of Lubbock, TX | 02/15/2018 | 4.44 | % | 25,000 | 27,712 | |||||||||
City of Rochester, MN | 02/01/2016 | 2.25 | % | 25,000 | 25,479 | |||||||||
County of Berks, PA | 11/15/2016 | 1.01 | % | 25,000 | 24,788 | |||||||||
County of Forsyth, NC | 04/01/2020 | 3.55 | % | 30,000 | 31,737 | |||||||||
Denton Independent School District | 08/15/2015 | 2.00 | % | 40,000 | 41,176 | |||||||||
Maricopa County School District No. 28 Kyrene Elementary | 07/01/2019 | 5.38 | % | 15,000 | 17,041 | |||||||||
Rosemount-Apple Valley-Eagan Independent School District No. 196 | 02/01/2019 | 5.00 | % | 25,000 | 28,673 | |||||||||
State of Connecticut | 03/15/2015 | 4.40 | % | 25,000 | 26,442 | |||||||||
State of Hawaii | 02/01/2017 | 3.73 | % | 25,000 | 26,853 | |||||||||
State of Mississippi | 11/01/2017 | 1.35 | % | 30,000 | 29,721 | |||||||||
State of Ohio | 04/01/2018 | 3.66 | % | 45,000 | 48,127 | |||||||||
State of Tennessee | 05/01/2017 | 3.82 | % | 25,000 | 26,966 | |||||||||
State of Texas | 10/01/2017 | 2.50 | % | 25,000 | 25,638 | |||||||||
State of Washington | 02/01/2017 | 3.04 | % | 40,000 | 42,224 | |||||||||
University of Texas System | 08/15/2018 | 3.81 | % | 25,000 | 27,153 | |||||||||
Virginia College Building Authority | 02/01/2016 | 2.40 | % | 25,000 | 25,688 | |||||||||
TOTAL MUNICIPAL BONDS (Cost $572,132) | 568,258 | |||||||||||||
FOREIGN GOVERNMENT BOND: 0.19% | ||||||||||||||
Petroleos Mexicanos (b) | 12/20/2022 | 2.00 | % | 24,000 | 23,859 | |||||||||
TOTAL FOREIGN GOVERNMENT BOND (Cost $24,000) | 23,859 |
The accompanying notes are an integral part of these consolidated financial statements.
22 | LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||||
U.S. GOVERNMENT AGENCY ISSUES: 10.67% | ||||||||||||||
Fannie Mae (d) | 07/01/2023 | 2.00 | % | $ | 150,000 | $ | 150,225 | |||||||
Fannie Mae (d) | 07/01/2023 | 2.50 | % | 50,000 | 50,975 | |||||||||
Fannie Mae (d) | 08/01/2023 | 2.00 | % | 50,000 | 49,960 | |||||||||
Federal Home Loan Banks | 01/29/2014 | 0.38 | % | 250,000 | 250,251 | |||||||||
Federal Home Loan Banks | 05/28/2014 | 1.38 | % | 150,000 | 151,571 | |||||||||
Federal National Mortgage Association | 08/09/2013 | 0.50 | % | 200,000 | 200,076 | |||||||||
Federal National Mortgage Association | 03/13/2014 | 2.75 | % | 240,000 | 244,261 | |||||||||
Ginnie Mae II Pool | 07/20/2060 | 5.31 | % | 25,961 | 29,166 | |||||||||
Ginnie Mae II Pool | 06/20/2062 | 4.22 | % | 99,774 | 108,829 | |||||||||
Ginnie Mae II Pool | 07/20/2062 | 4.56 | % | 25,895 | 28,614 | |||||||||
Ginnie Mae II Pool | 08/20/2062 | 4.12 | % | 51,719 | 56,184 | |||||||||
TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $1,325,215) | 1,320,112 | |||||||||||||
U.S. TREASURY OBLIGATION: 2.91% | ||||||||||||||
United States Treasury Inflation Indexed Bonds | 04/15/2018 | 0.13 | % | 351,070 | 360,121 | |||||||||
TOTAL U.S. TREASURY OBLIGATION (Cost $376,742) | 360,121 | |||||||||||||
CERTIFICATES OF DEPOSIT: 0.97% | ||||||||||||||
BMW Bank of North America | 07/18/2014 | 1.00 | % | 40,000 | 40,120 | |||||||||
Discover Bank | 07/11/2014 | 1.00 | % | 40,000 | 40,119 | |||||||||
GE Capital Retail Bank | 07/07/2014 | 1.00 | % | 40,000 | 40,118 | |||||||||
TOTAL CERTIFICATES OF DEPOSIT (Cost $119,680) | 120,357 | |||||||||||||
Shares | ||||||||||||||
MONEY MARKET FUND: 8.68% | 1,074,615 | |||||||||||||
Fidelity Institutional Money Market Portfolio - Class I, 0.08% (e) | 1,074,615 | |||||||||||||
TOTAL MONEY MARKET FUND (Cost $1,074,615) | 1,074,615 | |||||||||||||
TOTAL INVESTMENTS (Cost $10,572,343): 84.63% | 10,476,253 | |||||||||||||
Other Assets in Excess of Liabilities: 15.37% (f) | 1,901,988 | |||||||||||||
TOTAL NET ASSETS: 100.00% | $ | 12,378,241 |
(a) | Restricted security as defined in Rule 144(a) under the Securities Act of 1933 and determined to be liquid. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2013, the value of these securities total $197,406 which represents 1.59% of total net assets. |
(b) | Foreign issued security. |
(c) | Variable rate security. The rate reported is the rate in effect as of June 30, 2013. |
(d) | When-issued security. At June 30, 2013, these securities represented $251,160 or 2.03% of total net assets. |
(e) | The rate quoted is the annualized seven-day effective yield as of June 30, 2013. |
(f) | Includes assets pledged as collateral for swap contracts. |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Swap Contracts | 23 |
LoCorr Long/Short Commodities Strategy Fund
Consolidated Schedule of Swap Contracts
June 30, 2013 (Unaudited)
LONG TOTAL RETURN SWAP CONTRACTS
This investment is a holding of LCLSCS Fund Limited. See Note 1.
Termination Date | Reference Index | Notional | Unrealized Appreciation (Depreciation)* | Counterparty | ||||
12/20/2017 | LoCorr Commodities Index | $12,000,000 | $(599,268) | Deutsche Bank AG |
*Unrealized depreciation is a payable on the consolidated statement of assets and liabilities.
The accompanying notes are an integral part of these consolidated financial statements.
24 | LoCorr Long/Short Equity Fund - Schedule of Investments |
LoCorr Long/Short Equity Fund
Portfolio Composition1
As of June 30, 2013 (Unaudited)
1 As a percentage of total investments.
Schedule of Investments
June 30, 2013 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 82.80% | ||||||||
Accommodation and Food Services: 2.69% | ||||||||
University General Health System, Inc. (a) | 129,000 | $ | 78,690 | |||||
Administrative and Support and Waste Management and Remediation Services: 0.94% | ||||||||
Hudson Technologies, Inc. (a) | 8,600 | 27,434 | ||||||
Finance and Insurance: 5.58% | ||||||||
Banco Latinoamericano de Comercio Exterior, S.A. (b) | 4,800 | 107,472 | ||||||
INTL FCStone Inc. (a) | 3,200 | 55,840 | ||||||
163,312 | ||||||||
Industrials: 3.67% | ||||||||
Aceto Corp. | 7,700 | 107,261 | ||||||
Information: 4.88% | ||||||||
Alteva | 1,400 | 13,832 | ||||||
NetSol Technologies, Inc. (a) | 7,800 | 78,468 | ||||||
Vonage Holdings Corp. (a) | 17,800 | 50,374 | ||||||
142,674 | ||||||||
Management of Companies and Enterprises: 2.24% | ||||||||
Newtek Business Services, Inc. (a) | 31,000 | 65,410 | ||||||
Manufacturing: 41.56% | ||||||||
Acme United Corp. | 4,300 | 55,255 | ||||||
ADA-ES Inc. (a) | 2,800 | 117,936 | ||||||
Anika Therapeutics, Inc. (a) | 7,150 | 121,550 | ||||||
Bacterin International Holdings, Inc. (a) | 27,000 | 12,150 | ||||||
Biolase, Inc. (a) | 10,530 | 37,697 |
The accompanying notes are an integral part of these financial statements.
LoCorr Long/Short Equity Fund - Schedule of Investments (continued) | 25 |
Shares | Value | |||||||
Manufacturing (continued) | ||||||||
Farmer Bros. Co. (a) | 3,600 | $ | 50,616 | |||||
Flotek Industries, Inc. (a) | 6,300 | 113,022 | ||||||
Geospace Technologies Corp. (a) | 850 | 58,718 | ||||||
GSI Group Inc. (a)(b) | 5,200 | 41,808 | ||||||
LSB Industries, Inc. (a) | 1,150 | 34,971 | ||||||
LSI Industries Inc. | 9,100 | 73,619 | ||||||
NN, Inc. | 9,700 | 110,677 | ||||||
Nova Measuring Instruments Ltd (a)(b) | 9,100 | 82,355 | ||||||
Nymox Pharmaceutical Corp. (a)(b) | 10,400 | 53,560 | ||||||
Orchids Paper Products Co. | 3,450 | 90,563 | ||||||
PhotoMedex, Inc. (a) | 4,900 | 78,106 | ||||||
Rocky Mountain Chocolate Factory, Inc. | 5,300 | 64,077 | ||||||
UFP Technologies, Inc. (a) | 1,000 | 19,580 | ||||||
1,216,260 | ||||||||
Mining, Quarrying, and Oil and Gas Extraction: 2.76% | ||||||||
Arabian American Development Co. (a) | 9,300 | 80,910 | ||||||
Professional, Scientific, and Technical Services: 8.54% | ||||||||
Computer Task Group, Inc. | 4,650 | 106,811 | ||||||
Edgewater Technology, Inc. (a) | 12,200 | 51,972 | ||||||
Hackett Group, Inc./The | 14,700 | 76,293 | ||||||
TGC Industries, Inc. | 1,800 | 14,796 | ||||||
249,872 | ||||||||
Retail Trade: 2.69% | ||||||||
PriceSmart, Inc. (c) | 900 | 78,867 | ||||||
Wholesale Trade: 7.25% | ||||||||
DXP Enterprises, Inc. (a) | 1,600 | 106,560 | ||||||
TESSCO Technologies, Inc. | 4,000 | 105,600 | ||||||
212,160 | ||||||||
TOTAL COMMON STOCKS (Cost $2,423,376) | 2,422,850 | |||||||
EXCHANGE TRADED FUNDS: 2.80% | ||||||||
Direxion Daily 20 Year Plus Treasury Bear 3X Shares (a) | 650 | 42,068 | ||||||
Direxion Daily Small Cap Bear 3X Shares (a) | 1,250 | 39,825 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $81,051) | 81,893 | |||||||
MONEY MARKET FUND: 4.92% | ||||||||
Fidelity Institutional Money Market Portfolio - Class I, 0.08% (d) | 144,127 | 144,127 | ||||||
TOTAL MONEY MARKET FUND (Cost $144,127) | 144,127 | |||||||
TOTAL INVESTMENTS (Cost $2,648,554): 90.52% | 2,648,870 | |||||||
Other Assets in Excess of Liabilities: 9.48% | 277,261 | |||||||
TOTAL NET ASSETS: 100.00% | $ | 2,926,131 |
(a) | Non-income producing security. |
(b) | Foreign issued security. |
(c) | This security or a portion of this security is pledged to cover short positions. |
(d) | The rate quoted is the annualized seven-day effective yield as of June 30, 2013. |
The accompanying notes are an integral part of these financial statements.
26 | LoCorr Long/Short Equity Fund - Schedule of Securities Sold Short |
LoCorr Long/Short Equity Fund
Schedule of Securities Sold Short
June 30, 2013 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: (1.65)% | ||||||||
Mining, Quarrying, and Oil and Gas Extraction: (1.65)% | ||||||||
Vulcan Materials Co. | (1,000 | ) | $ | (48,410 | ) | |||
TOTAL SECURITIES SOLD SHORT (Proceeds $50,232), (1.65)% | $ | (48,410 | ) |
Percentages are stated as a percent of net assets.
The accompanying notes are an integral part of these financial statements.
LoCorr Managed Futures Strategy Fund and LoCorr Long/Short Commodities Strategy Fund - Consolidated Statements of Assets & Liabilities | 27 |
Consolidated Statements of Assets & Liabilities
June 30, 2013 (Unaudited)
LoCorr | LoCorr | |||||||
Managed Futures | Long/Short Commodities | |||||||
Strategy Fund | Strategy Fund | |||||||
Assets | ||||||||
Investments, at value (Cost $391,738,582 and $10,572,343, respectively) | $ | 390,545,139 | $ | 10,476,253 | ||||
Cash | 4,182,185 | 260,364 | ||||||
Receivable for Fund shares sold | 2,104,300 | 9,424 | ||||||
Receivables for securities sold | 964,378 | 106,099 | ||||||
Interest receivable | 1,816,399 | 38,389 | ||||||
Receivable from Adviser | - | 11,953 | ||||||
Cash collateral held at broker for swap contracts (Note 2) | 101,000,010 | 2,400,010 | ||||||
Prepaid expenses and other assets | 95,184 | 20,543 | ||||||
Total Assets | 500,707,595 | 13,323,035 | ||||||
Liabilities | ||||||||
Payable for securities purchased | $ | 4,090,089 | $ | 283,750 | ||||
Payable for Fund shares redeemed | 2,723,973 | 9,639 | ||||||
Accrued management fees | 552,788 | - | ||||||
Accrued Trustees’ fees | 15,392 | 1,751 | ||||||
Accrued Rule 12b-1 fees | 106,268 | 4,399 | ||||||
Advanced payment on swap contracts (Note 2) | 20,000,000 | - | ||||||
Unrealized loss on swap contracts (Note 1) | 30,159,268 | 599,268 | ||||||
Accrued expenses and other liabilities | 190,719 | 45,987 | ||||||
Total Liabilities | 57,838,497 | 944,794 | ||||||
Net Assets | $ | 442,869,098 | $ | 12,378,241 | ||||
Net Assets Consist of: | ||||||||
Paid-in capital | $ | 475,962,269 | $ | 13,161,661 | ||||
Accumulated net investment loss | (2,188,491 | ) | (93,902 | ) | ||||
Accumulated net realized gain on investments | 448,031 | 5,840 | ||||||
Net unrealized depreciation of investments | (1,193,443 | ) | (96,090 | ) | ||||
Net unrealized depreciation of swap contracts | (30,159,268 | ) | (599,268 | ) | ||||
NET ASSETS | $ | 442,869,098 | $ | 12,378,241 | ||||
Class A Shares | ||||||||
Net assets | $ | 220,343,623 | $ | 3,800,649 | ||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 26,948,963 | 480,308 | ||||||
Net asset value, redemption, and minimum offering price per share (a)(b) | $ | 8.18 | $ | 7.91 | ||||
Maximum offering price per share ($8.18/0.9425) ($7.91/0.9425)(c) | $ | 8.68 | $ | 8.39 | ||||
Class C Shares | ||||||||
Net assets | $ | 85,085,670 | $ | 1,690,997 | ||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 10,582,579 | 216,664 | ||||||
Net asset value, redemption, and offering price per share (a)(b) | $ | 8.04 | $ | 7.80 | ||||
Class I Shares | ||||||||
Net assets | $ | 137,439,805 | $ | 6,886,595 | ||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 16,713,734 | 867,927 | ||||||
Net asset value, redemption, and offering price per share (b) | $ | 8.22 | $ | 7.93 |
(a) | A 1.00% contingent deferred sales charge may apply to redemptions made within twelve months of purchase. The contingent deferred sales charge only applies to Class A share purchases of $1 million or more. |
(b) | Redemptions made within 30 days of purchase may be assessed a redemption fee of 1.00%. |
(c) | On investments of $25,000 or more, the offering price is reduced. |
The accompanying notes are an integral part of these consolidated financial statements.
28 | LoCorr Long/Short Equity Fund - Statement of Assets & Liabilities |
Statement of Assets & Liabilities
June 30, 2013 (Unaudited)
LoCorr | ||||
Long/Short | ||||
Equity Fund | ||||
Assets | ||||
Investments, at value (Cost $2,648,554) | $ | 2,648,870 | ||
Cash | 666,422 | |||
Receivable for Fund shares sold | 210,633 | |||
Receivables for securities sold | 77,886 | |||
Interest receivable | 423 | |||
Receivable from Adviser | 34,033 | |||
Deposits with brokers for securities sold short | 40,236 | |||
Prepaid expenses and other assets | 491 | |||
Total Assets | 3,678,994 | |||
Liabilities | ||||
Securities sold short, at fair value (proceeds $50,232) | $ | 48,410 | ||
Payable for securities purchased | 653,415 | |||
Payable for Fund shares redeemed | 17,600 | |||
Accrued Trustees’ fees | 628 | |||
Accrued Rule 12b-1 fees | 205 | |||
Accrued expenses and other liabilities | 32,605 | |||
Total Liabilities | 752,863 | |||
Net Assets | $ | 2,926,131 | ||
Net Assets Consist of: | ||||
Paid-in capital | $ | 2,933,321 | ||
Accumulated net investment loss | (3,545 | ) | ||
Accumulated net realized loss on investments | (5,783 | ) | ||
Net unrealized appreciation of investments | 316 | |||
Net unrealized appreciation of securities sold short | 1,822 | |||
NET ASSETS | $ | 2,926,131 | ||
Class A Shares | ||||
Net assets | $ | 1,127,988 | ||
Shares issued and outstanding (unlimited shares authorized, no par value) | 115,063 | |||
Net asset value, redemption, and minimum offering price per share (a)(b) | $ | 9.80 | ||
Maximum offering price per share ($9.80/0.9425)(c) | $ | 10.40 | ||
Class C Shares | ||||
Net assets | $ | 141,828 | ||
Shares issued and outstanding (unlimited shares authorized, no par value) | 14,491 | |||
Net asset value, redemption, and offering price per share (a)(b) | $ | 9.79 | ||
Class I Shares | ||||
Net assets | $ | 1,656,315 | ||
Shares issued and outstanding (unlimited shares authorized, no par value) | 168,919 | |||
Net asset value, redemption, and offering price per share (b) | $ | 9.81 |
(a) | A 1.00% contingent deferred sales charge may apply to redemptions made within twelve months of purchase. The contingent deferred sales charge only applies to Class A share purchases of $1 million or more. |
(b) | Redemptions made within 30 days of purchase may be assessed a redemption fee of 1.00%. |
(c) | On investments of $25,000 or more, the offering price is reduced. |
The accompanying notes are an integral part of these financial statements.
LoCorr Managed Futures Strategy Fund and LoCorr Long/Short Commodities Strategy Fund - Consolidated Statements of Operations | 29 |
Consolidated Statements of Operations
Six Months Ended June 30, 2013 (Unaudited)
LoCorr | LoCorr | |||||||
Managed Futures | Long/Short Commodities | |||||||
Strategy Fund | Strategy Fund | |||||||
Investment Income | ||||||||
Interest income | $ | 2,468,142 | $ | 33,374 | ||||
Total Investment Income | 2,468,142 | 33,374 | ||||||
Expenses | ||||||||
Management fees (Note 5) | 3,326,665 | 88,268 | ||||||
Fund administration fees | 82,465 | 24,533 | ||||||
Fund accounting fees | 95,623 | 36,688 | ||||||
Trustees’ fees | 31,341 | 3,523 | ||||||
Transfer agent fees and expenses | 275,766 | 25,117 | ||||||
Custodian fees | 11,936 | 4,287 | ||||||
Registration expenses | 61,568 | 25,566 | ||||||
Rule 12b-1 fees - Class A (Note 5) | 264,714 | 4,212 | ||||||
Rule 12b-1 fees - Class C (Note 5) | 424,873 | 8,316 | ||||||
Insurance expenses | �� | 11,826 | 78 | |||||
Legal and audit fees | 32,986 | 21,658 | ||||||
Printing and mailing expenses | 35,320 | 1,427 | ||||||
Other expenses | 1,550 | 1,539 | ||||||
Total expenses before reimbursement | 4,656,633 | 245,212 | ||||||
Reimbursement from Adviser (Note 5) | - | (117,936 | ) | |||||
Net Expenses | 4,656,633 | 127,276 | ||||||
Net Investment Loss | (2,188,491 | ) | (93,902 | ) | ||||
Realized and Unrealized Gain (Loss) on Investments | ||||||||
Net realized gain on investments | 382,341 | 5,840 | ||||||
Net change in unrealized depreciation of investments | (4,946,722 | ) | (151,337 | ) | ||||
Net change in unrealized depreciation of swap contracts | (28,334,068 | ) | (432,924 | ) | ||||
Net realized and unrealized loss on investments and swap contracts | (32,898,449 | ) | (578,421 | ) | ||||
Net Decrease in Net Assets From Operations | $ | (35,086,940 | ) | $ | (672,323 | ) |
The accompanying notes are an integral part of these consolidated financial statements.
30 | LoCorr Long/Short Equity Fund - Statement of Operations |
Statement of Operations
Period from May 10, 2013 (commencement of operations) through June 30, 2013 (Unaudited)
LoCorr | ||||
Long/Short | ||||
Equity Fund | ||||
Investment Income | ||||
Dividend income | $ | 1,527 | ||
Interest income | 4 | |||
Total Investment Income | 1,531 | |||
Expenses | ||||
Management fees (Note 5) | 4,115 | |||
Fund administration fees | 7,959 | |||
Fund accounting fees | 9,686 | |||
Trustees’ fees | 1,140 | |||
Transfer agent fees and expenses | 7,252 | |||
Custodian fees | 959 | |||
Registration expenses | 7,096 | |||
Rule 12b-1 fees - Class A (Note 5) | 140 | |||
Rule 12b-1 fees - Class C (Note 5) | 65 | |||
Insurance expenses | 385 | |||
Legal and audit fees | 17,647 | |||
Printing and mailing expenses | 707 | |||
Other expenses | 1,355 | |||
Total expenses before reimbursement | 58,506 | |||
Reimbursement from Adviser (Note 5) | (53,430 | ) | ||
Net Expenses | 5,076 | |||
Net Investment Loss | (3,545 | ) | ||
Realized and Unrealized Gain (Loss) on Investments | ||||
Net realized loss on investments | (5,783 | ) | ||
Net change in unrealized appreciation of investments | 316 | |||
Net change in unrealized appreciation of securities sold short | 1,822 | |||
Net realized and unrealized loss on investments and securities sold short | (3,645 | ) | ||
Net Decrease in Net Assets From Operations | $ | (7,190 | ) |
The accompanying notes are an integral part of these financial statements.
LoCorr Managed Futures Strategy Fund - Consolidated Statements of Changes in Net Assets | 31 |
LoCorr Managed Futures Strategy Fund
Consolidated Statements of Changes in Net Assets
Six Months Ended | ||||||||
June 30, 2013 | Year Ended | |||||||
(Unaudited) | December 31, 2012 | |||||||
Operations | ||||||||
Net investment loss | $ | (2,188,491 | ) | $ | (8,515,283 | ) | ||
Net realized gain (loss) on investments, futures and forward currency contracts | 382,341 | (8,992,411 | ) | |||||
Net change in unrealized depreciation of investments, futures contracts, forward currency contracts and swap contracts | (33,280,790 | ) | (250,715 | ) | ||||
Decrease in Net Assets From Operations | (35,086,940 | ) | (17,758,409 | ) | ||||
Distributions to Shareholders From | ||||||||
Net realized gain on investments sold Class A | - | (41,404 | ) | |||||
Net realized gain on investments sold Class C | - | (17,692 | ) | |||||
Net realized gain on investments sold Class I | - | (31,260 | ) | |||||
Total Distributions to Shareholders | - | (90,356 | ) | |||||
Capital Transactions - Controlling Interest (Note 6) | ||||||||
Proceeds from shares sold | 160,132,364 | 299,150,001 | ||||||
Reinvestment of distributions | - | 76,672 | ||||||
Cost of shares redeemed | (79,715,366 | ) | (85,081,010 | ) | ||||
Redemption fees | 7,028 | 13,286 | ||||||
Increase in Net Assets From Capital Transactions | 80,424,026 | 214,158,949 | ||||||
Capital Transactions - Non-Controlling Interest | ||||||||
Proceeds from Contributions | - | 1,873,184 | ||||||
Withdrawals | - | (378,438 | ) | |||||
Increase in Net Assets From Capital Transactions - Non-Controlling Interest | - | 1,494,746 | ||||||
Total Increase in Net Assets | 45,337,086 | 197,804,930 | ||||||
Deconsolidation of Partnership - Elimination of non-controlling interest (Note 1) | - | (3,235,738 | ) | |||||
Net Assets | ||||||||
Beginning of period | 397,532,012 | 202,962,820 | ||||||
End of period (including accumulated net investment loss of $2,188,491 and $0, respectively) | $ | 442,869,098 | $ | 397,532,012 |
The accompanying notes are an integral part of these consolidated financial statements.
32 | LoCorr Long/Short Commodities Strategy Fund - Consolidated Statements of Changes in Net Assets |
LoCorr Long/Short Commodities Strategy Fund
Consolidated Statements of Changes in Net Assets
Six Months Ended | ||||||||
June 30, 2013 | Year Ended | |||||||
(Unaudited) | December 31, 2012 | |||||||
Operations | ||||||||
Net investment loss | $ | (93,902 | ) | $ | (97,535 | ) | ||
Net realized gain (loss) on investments | 5,840 | (1,163,156 | ) | |||||
Net change in unrealized depreciation of investments and swap contracts | (584,261 | ) | (111,097 | ) | ||||
Decrease in Net Assets From Operations | (672,323 | ) | (1,371,788 | ) | ||||
Capital Transactions (Note 6) | ||||||||
Proceeds from shares sold | 3,939,994 | 14,516,303 | ||||||
Cost of shares redeemed | (2,079,792 | ) | (1,954,698 | ) | ||||
Redemption fees | 96 | 449 | ||||||
Increase in Net Assets From Capital Transactions | 1,860,298 | 12,562,054 | ||||||
Total Increase in Net Assets | 1,187,975 | 11,190,266 | ||||||
Net Assets | ||||||||
Beginning of period | 11,190,266 | - | ||||||
End of period (including accumulated net investment loss of $93,902 and $0, respectively) | $ | 12,378,241 | $ | 11,190,266 |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Long/Short Equity Fund - Statement of Changes in Net Assets | 33 |
LoCorr Long/Short Equity Fund
Statement of Changes in Net Assets
Period from May 10, 2013(a) | ||||
through June 30, 2013 | ||||
(Unaudited) | ||||
Operations | ||||
Net investment loss | $ | (3,545 | ) | |
Net realized loss on investments | (5,783 | ) | ||
Net change in unrealized appreciation of investments and securities sold short | 2,138 | |||
Decrease in Net Assets From Operations | (7,190 | ) | ||
Capital Transactions (Note 6) | ||||
Proceeds from shares sold | 2,950,921 | |||
Cost of shares redeemed | (17,600 | ) | ||
Increase in Net Assets From Capital Transactions | 2,933,321 | |||
Total Increase in Net Assets | 2,926,131 | |||
Net Assets | ||||
Beginning of period | - | |||
End of period (including accumulated net investment loss of $3,545) | $ | 2,926,131 |
(a) | Commencement of operations. |
The accompanying notes are an integral part of these financial statements.
34 | LoCorr Managed Futures Strategy Fund - Consolidated Financial Highlights - Class A |
LoCorr Managed Futures Strategy Fund - Class A
Consolidated Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 20132 (Unaudited) | Year Ended December 31, 20123 | Period from March 22, 20111 through December 31, 20112, 3 | ||||||||||
Per Share | ||||||||||||
Net asset value, beginning of period | $ | 8.77 | $ | 9.33 | $ | 10.00 | ||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)4 | (0.04 | ) | (0.24 | ) | (0.22 | ) | ||||||
Net realized and unrealized gain (loss) | (0.55 | ) | (0.32 | ) | (0.45 | ) | ||||||
Total from Investment Operations | (0.59 | ) | (0.56 | ) | (0.67 | ) | ||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | - | - | - | |||||||||
Net realized gains on investments sold | - | 0.00 | 5 | - | ||||||||
Total Distributions | - | 0.00 | 5 | - | ||||||||
Redemption Fees5 | - | - | - | |||||||||
Net Asset Value, End of Period | $ | 8.18 | $ | 8.77 | $ | 9.33 | ||||||
Total Investment Return6 | (6.73 | )% | (5.98 | )% | (6.70 | )% | ||||||
Net Assets, End of Period, in Thousands | $ | 220,343 | $ | 182,457 | $ | 71,532 | ||||||
Ratios/Supplemental Data: | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||
Before expense reimbursement or recovery | 2.04 | % | 3.95 | % | 4.15 | % | ||||||
After expense reimbursement or recovery | 2.04 | % | 4.00 | % | 3.93 | % | ||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||
Before expense reimbursement or recovery | (0.93 | )% | (2.60 | )% | (3.18 | )% | ||||||
After expense reimbursement or recovery | (0.93 | )% | (2.65 | )% | (2.96 | )% | ||||||
Portfolio turnover rate7 | 15.36 | % | 45.59 | % | 18.22 | % |
1 Commencement of share class operations.
2 All ratios have been annualized except total investment return and portfolio turnover.
3 Selected data and ratios (for a share outstanding throughout the period) do not include non-controlling interest.
4 Net investment income (loss) per share is based on average shares outstanding.
5 Amount represents less than $0.005 per share.
6 Total return excludes the effect of applicable sales charges.
7 Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Managed Futures Strategy Fund - Consolidated Financial Highlights - Class C | 35 |
LoCorr Managed Futures Strategy Fund - Class C
Consolidated Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 20132 (Unaudited) | Year Ended December 31, 20123 | Period from March 24, 20111 through December 31, 20112, 3 | ||||||||||
Per Share | ||||||||||||
Net asset value, beginning of period | $ | 8.65 | $ | 9.28 | $ | 10.00 | ||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)4 | (0.07 | ) | (0.30 | ) | (0.27 | ) | ||||||
Net realized and unrealized gain (loss) | (0.54 | ) | (0.33 | ) | (0.45 | ) | ||||||
Total from Investment Operations | (0.61 | ) | (0.63 | ) | (0.72 | ) | ||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | - | - | - | |||||||||
Net realized gains on investments sold | - | 0.00 | 5 | - | ||||||||
Total Distributions | - | 0.00 | 5 | - | ||||||||
Redemption Fees5 | - | - | - | |||||||||
Net Asset Value, End of Period | $ | 8.04 | $ | 8.65 | $ | 9.28 | ||||||
Total Investment Return6 | (7.05 | )% | (6.77 | )% | (7.20 | )% | ||||||
Net Assets, End of Period, in Thousands | $ | 85,086 | $ | 76,979 | $ | 38,055 | ||||||
Ratios/Supplemental Data: | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||
Before expense reimbursement or recovery | 2.79 | % | 4.70 | % | 4.89 | % | ||||||
After expense reimbursement or recovery | 2.79 | % | 4.75 | % | 4.68 | % | ||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||
Before expense reimbursement or recovery | (1.68 | )% | (3.35 | )% | (3.92 | )% | ||||||
After expense reimbursement or recovery | (1.68 | )% | (3.40 | )% | (3.71 | )% | ||||||
Portfolio turnover rate7 | 15.36 | % | 45.59 | % | 18.22 | % | ||||||
1 Commencement of share class operations.
2 All ratios have been annualized except total investment return and portfolio turnover.
3 Selected data and ratios (for a share outstanding throughout the period) do not include non-controlling interest.
4 Net investment income (loss) per share is based on average shares outstanding.
5 Amount represents less than $0.005 per share.
6 Total return excludes the effect of applicable sales charges.
7 Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.
The accompanying notes are an integral part of these consolidated financial statements.
36 | LoCorr Managed Futures Strategy Fund - Consolidated Financial Highlights - Class I |
LoCorr Managed Futures Strategy Fund - Class I
Consolidated Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 20132 (Unaudited) | Year Ended December 31, 20123 | Period from March 24, 20111 through December 31, 20112, 3 | ||||||||||
Per Share | ||||||||||||
Net asset value, beginning of period | $ | 8.81 | $ | 9.35 | $ | 10.00 | ||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)4 | (0.03 | ) | (0.22 | ) | (0.20 | ) | ||||||
Net realized and unrealized gain (loss) | (0.56 | ) | (0.32 | ) | (0.45 | ) | ||||||
Total from Investment Operations | (0.59 | ) | (0.54 | ) | (0.65 | ) | ||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | - | - | - | |||||||||
Net realized gains on investments sold | - | 0.00 | 5 | - | ||||||||
Total Distributions | - | 0.00 | 5 | - | ||||||||
Redemption Fees5 | - | - | - | |||||||||
Net Asset Value, End of Period | $ | 8.22 | $ | 8.81 | $ | 9.35 | ||||||
Total Investment Return | (6.70 | )% | (5.75 | )% | (6.50 | )% | ||||||
Net Assets, End of Period, in Thousands | $ | 137,440 | $ | 138,096 | $ | 91,161 | ||||||
Ratios/Supplemental Data | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||
Before expense reimbursement or recovery | 1.79 | % | 3.70 | % | 3.89 | % | ||||||
After expense reimbursement or recovery | 1.79 | % | 3.75 | % | 3.68 | % | ||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||
Before expense reimbursement or recovery | (0.68 | )% | (2.35 | )% | (2.92 | )% | ||||||
After expense reimbursement or recovery | (0.68 | )% | (2.40 | )% | (2.71 | )% | ||||||
Portfolio turnover rate6 | 15.36 | % | 45.59 | % | 18.22 | % | ||||||
1 Commencement of share class operations.
2 All ratios have been annualized except total investment return and portfolio turnover.
3 Selected data and ratios (for a share outstanding throughout the period) do not include non-controlling interest.
4 Net investment income (loss) per share is based on average shares outstanding.
5 Amount represents less than $0.005 per share.
6 Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Long/Short Commodities Strategy Fund - Consolidated Financial Highlights - Class A | 37 |
LoCorr Long/Short Commodities Strategy Fund - Class A
Consolidated Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 20131 (Unaudited) | Year Ended December 31, 2012 | |||||||
Per Share | ||||||||
Net asset value, beginning of period | $ | 8.37 | $ | 10.00 | ||||
Income (loss) from investment operations: | ||||||||
Net investment income (loss)2 | (0.07 | ) | (0.17 | ) | ||||
Net realized and unrealized gain (loss) | (0.39 | ) | (1.46 | ) | ||||
Total from Investment Operations | (0.46 | ) | (1.63 | ) | ||||
Redemption Fees3 | - | - | ||||||
Net Asset Value, End of Period | $ | 7.91 | $ | 8.37 | ||||
Total Investment Return4 | (5.50 | )% | (16.30 | )% | ||||
Net Assets, End of Period, in Thousands | $ | 3,801 | $ | 3,213 | ||||
Ratios/Supplemental Data: | ||||||||
Ratio of expenses to average net assets: | ||||||||
Before expense reimbursement or recovery | 4.22 | % | 6.12 | % | ||||
After expense reimbursement or recovery | 2.20 | % | 2.20 | % | ||||
Ratio of net investment income (loss) to average net assets: | ||||||||
Before expense reimbursement or recovery | (3.65 | )% | (5.82 | )% | ||||
After expense reimbursement or recovery | (1.63 | )% | (1.90 | )% | ||||
Portfolio turnover rate5 | 33.95 | % | 60.42 | % |
1 All ratios have been annualized except total investment return and portfolio turnover.
2 Net investment income (loss) per share is based on average shares outstanding.
3 Amount represents less than $0.005 per share.
4 Total return excludes the effect of applicable sales charges.
5 Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.
The accompanying notes are an integral part of these consolidated financial statements.
38 | LoCorr Long/Short Commodities Strategy Fund - Consolidated Financial Highlights - Class C |
LoCorr Long/Short Commodities Strategy Fund - Class C
Consolidated Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 20131 (Unaudited) | Year Ended December 31, 2012 | |||||||
Per Share | ||||||||
Net asset value, beginning of period | $ | 8.29 | $ | 10.00 | ||||
Income (loss) from investment operations: | ||||||||
Net investment income (loss)2 | (0.10 | ) | (0.24 | ) | ||||
Net realized and unrealized gain (loss) | (0.39 | ) | (1.47 | ) | ||||
Total from Investment Operations | (0.49 | ) | (1.71 | ) | ||||
Redemption Fees | - | 0.00 | 3 | |||||
Net Asset Value, End of Period | $ | 7.80 | $ | 8.29 | ||||
Total Investment Return4 | (5.91 | )% | (17.10 | )% | ||||
Net Assets, End of Period, in Thousands | $ | 1,691 | $ | 1,605 | ||||
Ratios/Supplemental Data: | ||||||||
Ratio of expenses to average net assets: | ||||||||
Before expense reimbursement or recovery | 4.95 | % | 6.87 | % | ||||
After expense reimbursement or recovery | 2.95 | % | 2.95 | % | ||||
Ratio of net investment income (loss) to average net assets: | ||||||||
Before expense reimbursement or recovery | (4.39 | )% | (6.57 | )% | ||||
After expense reimbursement or recovery | (2.39 | )% | (2.65 | )% | ||||
Portfolio turnover rate5 | 33.95 | % | 60.42 | % |
1 All ratios have been annualized except total investment return and portfolio turnover.
2 Net investment income (loss) per share is based on average shares outstanding.
3 Amount represents less than $0.005 per share.
4 Total return excludes the effect of applicable sales charges.
5 Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Long/Short Commodities Strategy Fund - Consolidated Financial Highlights - Class I | 39 |
LoCorr Long/Short Commodities Strategy Fund - Class I
Consolidated Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 20131 (Unaudited) | Year Ended December 31, 2012 | |||||||
Per Share | ||||||||
Net asset value, beginning of period | $ | 8.38 | $ | 10.00 | ||||
Income (loss) from investment operations: | ||||||||
Net investment income (loss)2 | (0.06 | ) | (0.15 | ) | ||||
Net realized and unrealized gain (loss) | (0.39 | ) | (1.47 | ) | ||||
Total from Investment Operations | (0.45 | ) | (1.62 | ) | ||||
Redemption Fees3 | - | - | ||||||
Net Asset Value, End of Period | $ | 7.93 | $ | 8.38 | ||||
Total Investment Return | (5.37 | )% | (16.20 | )% | ||||
Net Assets, End of Period, in Thousands | $ | 6,886 | $ | 6,373 | ||||
Ratios/Supplemental Data: | ||||||||
Ratio of expenses to average net assets: | ||||||||
Before expense reimbursement or recovery | 3.95 | % | 5.87 | % | ||||
After expense reimbursement or recovery | 1.95 | % | 1.95 | % | ||||
Ratio of net investment income (loss) to average net assets: | ||||||||
Before expense reimbursement or recovery | (3.38 | )% | (5.57 | )% | ||||
After expense reimbursement or recovery | (1.38 | )% | (1.65 | )% | ||||
Portfolio turnover rate4 | 33.95 | % | 60.42 | % |
1 All ratios have been annualized except total investment return and portfolio turnover.
2 Net investment income (loss) per share is based on average shares outstanding.
3 Amount represents less than $0.005 per share.
4 Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.
The accompanying notes are an integral part of these consolidated financial statements.
40 | LoCorr Long/Short Equity Fund - Financial Highlights - Class A |
LoCorr Long/Short Equity Fund - Class A
Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Period from May 10, 20131 through June 30, 20132 (Unaudited) | ||||
Per Share | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Income (loss) from investment operations: | ||||
Net investment income (loss)3 | (0.03 | ) | ||
Net realized and unrealized gain (loss) | (0.17 | ) | ||
Total from Investment Operations | (0.20 | ) | ||
Redemption Fees | - | |||
Net Asset Value, End of Period | $ | 9.80 | ||
Total Investment Return4 | (2.00 | )% | ||
Net Assets, End of Period, in Thousands | $ | 1,128 | ||
Ratios/Supplemental Data: | ||||
Ratio of expenses to average net assets: | ||||
Before expense reimbursement or recovery | 32.71 | % | ||
After expense reimbursement or recovery | 3.15 | % | ||
Ratio of net investment income (loss) to average net assets: | ||||
Before expense reimbursement or recovery | (31.67 | )% | ||
After expense reimbursement or recovery | (2.11 | )% | ||
Portfolio turnover rate5 | 14.08 | % |
1 Commencement of operations.
2 All ratios have been annualized except total investment return and portfolio turnover.
3 Net investment income (loss) per share is based on average shares outstanding.
4 Total return excludes the effect of applicable sales charges.
5 Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.
The portfolio turnover rate excludes purchases and sales of short positions as the Adviser does not intend to hold the short positions
for more than one year.
The portfolio turnover rate excludes purchases and sales of short positions as the Adviser does not intend to hold the short positions
for more than one year.
The accompanying notes are an integral part of these financial statements.
LoCorr Long/Short Equity Fund - Financial Highlights - Class C | 41 |
LoCorr Long/Short Equity Fund - Class C
Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Period from May 10, 20131 through June 30, 20132 (Unaudited) | ||||
Per Share | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Income (loss) from investment operations: | ||||
Net investment income (loss)3 | (0.04 | ) | ||
Net realized and unrealized gain (loss) | (0.17 | ) | ||
Total from Investment Operations | (0.21 | ) | ||
Redemption Fees | - | |||
Net Asset Value, End of Period | $ | 9.79 | ||
Total Investment Return4 | (2.10 | )% | ||
Net Assets, End of Period, in Thousands | $ | 142 | ||
Ratios/Supplemental Data: | ||||
Ratio of expenses to average net assets: | ||||
Before expense reimbursement or recovery | 32.18 | % | ||
After expense reimbursement or recovery | 3.90 | % | ||
Ratio of net investment income (loss) to average net assets: | ||||
Before expense reimbursement or recovery | (31.12 | )% | ||
After expense reimbursement or recovery | (2.84 | )% | ||
Portfolio turnover rate5 | 14.08 | % |
1 Commencement of operations.
2 All ratios have been annualized except total investment return and portfolio turnover.
3 Net investment income (loss) per share is based on average shares outstanding.
4 Total return excludes the effect of applicable sales charges.
5 Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.
The portfolio turnover rate excludes purchases and sales of short positions as the Adviser does not intend to hold the short positions for more than one year.
The portfolio turnover rate excludes purchases and sales of short positions as the Adviser does not intend to hold the short positions for more than one year.
The accompanying notes are an integral part of these financial statements.
42 | LoCorr Long/Short Equity Fund - Financial Highlights - Class I |
LoCorr Long/Short Equity Fund - Class I
Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Period from May 10, 20131 through June 30, 20132 (Unaudited) | ||||
Per Share | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Income (loss) from investment operations: | ||||
Net investment income (loss)3 | (0.03 | ) | ||
Net realized and unrealized gain (loss) | (0.16 | ) | ||
Total from Investment Operations | (0.19 | ) | ||
Redemption Fees | - | |||
Net Asset Value, End of Period | $ | 9.81 | ||
Total Investment Return | (1.90 | )% | ||
Net Assets, End of Period, in Thousands | $ | 1,656 | ||
Ratios/Supplemental Data: | ||||
Ratio of expenses to average net assets: | ||||
Before expense reimbursement or recovery | 36.12 | % | ||
After expense reimbursement or recovery | 2.90 | % | ||
Ratio of net investment income (loss) to average net assets: | ||||
Before expense reimbursement or recovery | (35.28 | )% | ||
After expense reimbursement or recovery | (2.06 | )% | ||
Portfolio turnover rate4 | 14.08 | % |
1 Commencement of operations.
2 All ratios have been annualized except total investment return and portfolio turnover.
3 Net investment income (loss) per share is based on average shares outstanding.
4 Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.
The portfolio turnover rate excludes purchases and sales of short positions as the Adviser does not intend to hold the short positions for more than one year.
The portfolio turnover rate excludes purchases and sales of short positions as the Adviser does not intend to hold the short positions for more than one year.
The accompanying notes are an integral part of these financial statements.
LoCorr Managed Futures Strategy Fund and LoCorr Long/Short Commodities Strategy Fund - Notes to Consolidated Financial Statements (Unaudited) | | 43 | |
LoCorr Long/Short Equity Fund - Notes to Financial Statements (Unaudited) | ||
LoCorr Investment Trust
Notes to the Consolidated Financial Statements
June 30, 2013 (Unaudited)
1. Organization
LoCorr Investment Trust (the “Trust”), an Ohio business trust, was formed on November 15, 2010 and is a non-diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund and the LoCorr Long/Short Equity Fund (individually a “Fund” and collectively the “Funds”) are series within the Trust. The LoCorr Managed Futures Strategy Fund’s primary investment objective is capital appreciation in rising and falling equity markets with managing volatility as a secondary objective. The LoCorr Long/Short Commodities Strategy Fund’s primary objective is capital appreciation in rising and falling commodities markets with managing volatility as a secondary objective. The LoCorr Long/Short Equity Fund’s primary investment objective is long-term capital appreciation with reduced volatility compared to traditional broad-based equity market indices as a secondary objective.
In order to achieve their investment objectives, the LoCorr Managed Futures Strategy Fund and the LoCorr Long/Short Commodities Strategy Fund each invest up to 25% of their total assets (measured at the time of purchase) in wholly-owned subsidiaries, LCMFS Fund Limited (“LCMFS”) and LCLSCS Fund Limited (“LCLSCS”), respectively; both companies incorporated under the laws of the Cayman Islands. LCMFS and LCLSCS act as investment vehicles in order to enter into certain investments for the LoCorr Managed Futures Strategy Fund and LoCorr Long/Short Commodity Strategy Fund, respectively, consistent with their investment objectives and policies specified in the Prospectus and Statement of Additional Information. The consolidated financial statements of the LoCorr Managed Futures Strategy Fund and the LoCorr Long/ Short Commodities Strategy Fund each include the investment activity and financial statements of LCMFS and LCLSCS, respectively. The only investment held by LCMFS and LCLSCS at June 30, 2013 are swap contracts, for which the notional value was $495,000,000 and $12,000,000, respectively, and the unrealized loss was $30,159,268 and $599,268, respectively.
During the year ended December 31, 2012, LCMFS had a controlling ownership interest in Millburn Diversified Plus L.P. (the “Partnership”), a limited partnership organized on February 14, 2011 under the Delaware Revised Uniform Limited Partnership Act, which commenced operations on March 24, 2011. The Partnership engages in speculative trading of futures and forward currency contracts. Similarly, LCLSCS had an investment in a partnership during the year ended December 31, 2012, however, based on the ownership percentage held during the year ended December 31, 2012, LCLSCS was not considered to have a controlling interest in that entity. The General Partner of the Partnership is Millburn Ridgefield Corporation (the “General Partner”). LCMFS and LCLSCS had fully redeemed out of their positions held in the partnerships as of December 20, 2012, and as a result, LCMFS no longer consolidated the Partnership, and it’s assets, liabilities, and related non-controlling interest are no longer included in the LoCorr Managed Futures Strategy Fund’s financial statements. As of December 20, 2012, there was no gain or loss on the redemption and deconsolidation because the investment in the Partnership was carried at fair value on a daily basis by LCMFS.
Because LCMFS had a controlling interest (greater than 50% but less than 100%) in the Partnership for the period January 1, 2012 through December 20, 2012, the financial activity of the Partnership for that period ended December 20, 2012, has also been consolidated with the financial statements of LCMFS. All intercompany balances, revenues, and expenses have been eliminated in consolidation. LoCorr Managed Futures Strategy Fund, LCMFS and the Partnership are collectively referred to as the LoCorr Managed Futures Strategy Fund throughout these consolidated financials statements.
Non-controlling interest is the portion of equity ownership in the Partnership not attributable to the Fund. Non-controlling interest represents additional, non-related partners in the Partnership and was equal to 2.20% of the Partnership’s net assets prior to LCMFS having fully redeemed its holding of the Partnership.
The Funds currently offer three classes of shares, Class A, Class C and Class I shares. Each share class represents an interest in the same assets of the Fund, has the same rights and is identical in all material respects except that (i) Class A shares have a maximum front end sales load of 5.75% and maximum deferred sales charge of 1.00% and Class C shares have a maximum deferred sales charge of 1.00%, (ii) Class A shares have a 12b-1 fee of 0.25% and Class C shares have a 12b-1 fee of 1.00%; (iii) certain other class-specific expenses will be borne solely by the class to which such expenses are attributable and (iv) each class will have exclusive voting rights with respect to matters relating to its own distribution arrangements. All classes are subject to a 1.00% redemption fee on redemptions made within 30 days of the original purchase. The LoCorr Managed Futures Strategy Fund Class A commenced operations on March 22, 2011 and Class C and Class I commenced operations on March 24, 2011. All three classes of the LoCorr Long/Short Commodities Strategy Fund commenced operations on January 1, 2012. All three classes of the LoCorr Long/Short Equity Fund commenced operations on May 10, 2013.
The Funds may issue an unlimited number of shares of beneficial interest, with no par value. All shares of the Funds have equal rights and privileges, except as to class-specific rights and privileges described above.
2. Significant Accounting Policies
Investment Valuation
The Funds follow fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and changes in valuation techniques and related inputs during the period. These inputs are summarized in three broad levels listed below:
44 | | LoCorr Managed Futures Strategy Fund and LoCorr Long/Short Commodities Strategy Fund - Notes to Consolidated Financial Statements (Unaudited) (continued) |
LoCorr Long/Short Equity Fund - Notes to Financial Statements (Unaudited) (continued) | |
Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
Generally, the Funds’ investments are valued each day at the last quoted sales price on each investment’s primary exchange. Investments traded or dealt in upon one or more exchanges (whether domestic or foreign) for which market quotations are readily available and not subject to restrictions against resale shall be valued at the last quoted sales price on the primary exchange or, in the absence of a sale on the primary exchange, at the last bid on the primary exchange. Investments primarily traded in the National Association of Securities Dealers’ Automated Quotation System (“NASDAQ”) National Market System for which market quotations are readily available shall be valued using the NASDAQ Official Closing Price. If market quotations are not readily available, investments will be valued at their fair value as determined in good faith by LoCorr Fund Management, LLC (the “Adviser”) in accordance with procedures approved by the Board of Trustees (the “Board”) and evaluated by the Board as to the reliability of the fair value method used. In these cases, a Fund’s net asset value (“NAV”) will reflect certain portfolio investments’ fair value rather than their market price. Fair value pricing involves subjective judgments and it is possible that the fair value determined for an investment is materially different than the value that could be realized upon the sale of that investment. The fair value prices can differ from market prices when they become available or when a price becomes available.
The Funds may use independent pricing services to assist in calculating the value of the Funds’ investments. In addition, market prices for foreign investments are not determined at the same time of day as the NAV for the Funds. Because the Funds may invest in portfolio investments primarily listed on foreign exchanges, and these exchanges may trade on weekends or other days when the Funds do not price their shares, the value of some of the Funds’ portfolio investments may change on days when you may not be able to buy or sell the Funds’ shares. In computing the NAV, the Funds value foreign investments held by the Funds at the latest closing price on the exchange in which they are traded immediately prior to closing of the NYSE. Prices of foreign investments quoted in foreign currencies are translated into U.S. dollars at current rates. If events materially affecting the value of an investment in the Funds’ portfolio, particularly foreign investments, occur after the close of trading on a foreign market but before the Funds price their shares, the investment will be valued at fair value.
Fixed income securities are valued using an evaluated price supplied by an independent pricing service. Inputs used by the pricing service for U.S. government and treasury securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker dealer quotes, yields, bids, offers, and reference data. Agency issued debt securities, foreign issued bonds and municipal bonds are generally valued in a manner similar to U.S. government securities. Evaluations for corporate bonds are typically based on valuation methodologies such as market pricing and other analytical pricing models as well as market transactions and dealer quotations based on observable inputs. Fixed income securities are generally categorized in Level 1 or Level 2 of the fair value hierarchy depending on inputs used and market activity levels for specific securities.
The fair value of asset backed securities and mortgage backed securities is estimated on models that consider the estimate cash flows of each tranche of the entity, establish a benchmark yield, and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Additional inputs such as creditworthiness of the underlying collateral and quotes from outside brokers for the same or similar issuance may also be considered in the development of fair value. Asset backed and mortgage backed securities are generally categorized in Level 2 of the fair value hierarchy. Short-term investments in fixed income securities with maturities of less than 60 days when acquired, or which subsequently are within 60 days of maturity, are valued using an amortized cost method of valuation, and are categorized Level 2.
Equity securities generally are valued by using market quotations, but may be valued on the basis of prices furnished by a pricing service when the Adviser believes such prices accurately reflect the fair market value of such securities. Securities that are traded on any stock exchange or on the NASDAQ over-the-counter market are generally valued by the pricing service at the last quoted sale price. Lacking a last sale price, an equity security is generally valued by the pricing service at its last bid price. Equity securities are generally categorized in Level 1 or Level 2 of the fair value hierarchy.
With respect to any portion of the Funds’ assets that are invested in one or more open-end management investment companies, including money market funds, registered under the 1940 Act, the Funds’ net asset value is calculated based upon the net asset values of those open-end management investment companies, and the prospectuses for these companies explain the circumstances under which those companies will use fair value pricing and the effects of using fair value pricing.
Futures contracts are carried at fair value using the primary exchange’s closing (settlement) price, and are categorized as Level 1. Forward currency contracts are carried at fair value using spot currency rates and are adjusted for the time value of money (forward points) and contractual prices of the underlying financial instruments. Forward currency contracts are generally categorized as Level 2.
Total return swap contracts are stated at fair value daily based on the fair value of the underlying futures and forward currency contracts constituting the contract’s stated index, taking into account any fees and expenses associated with the swap agreement. Total return swap contracts are generally categorized in Level 2.
LoCorr Managed Futures Strategy Fund and LoCorr Long/Short Commodities Strategy Fund - Notes to Consolidated Financial Statements (Unaudited) (continued) LoCorr Long/Short Equity Fund - Notes to Financial Statements (Unaudited) (continued) | | 45 |
The following table summarizes the LoCorr Managed Futures Strategy Fund’s consolidated investments as of June 30, 2013: |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Asset Backed Securities | $ | - | $ | 52,147,550 | $ | - | $ | 52,147,550 | ||||||||
Corporate Bonds | - | 157,015,211 | - | 157,015,211 | ||||||||||||
Mortgage Backed Securities | - | 93,829,222 | - | 93,829,222 | ||||||||||||
Municipal Bonds | - | 7,818,647 | - | 7,818,647 | ||||||||||||
Foreign Government Bonds | - | 2,334,902 | - | 2,334,902 | ||||||||||||
U.S. Government Agency Issues | - | 39,280,787 | - | 39,280,787 | ||||||||||||
U.S. Government Notes/Bonds | - | 12,980,863 | - | 12,980,863 | ||||||||||||
Short Term Investments | 16,137,070 | 9,000,887 | - | 25,137,957 | ||||||||||||
Total Investments | $ | 16,137,070 | $ | 374,408,069 | $ | - | $ | 390,545,139 | ||||||||
Swap Contracts* | ||||||||||||||||
Long Total Return Swap Contracts | $ | - | $ | (30,159,268 | ) | $ | - | $ | (30,159,268 | ) | ||||||
Total Swap Contracts | $ | - | $ | (30,159,268 | ) | $ | - | $ | (30,159,268 | ) | ||||||
Total | $ | 16,137,070 | $ | 344,248,801 | $ | - | $ | 360,385,871 |
*Swap contracts are derivative instruments not reflected in the consolidated schedule of investments, which are presented at the unrealized depreciation on the instrument. See the consolidated schedule of investments for the investments detailed by industry classification.
The following table summarizes the LoCorr Long/Short Commodities Strategy Fund’s consolidated investments as of June 30, 2013: | ||||||||||||||||
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Asset Backed Securities | $ | - | $ | 1,361,316 | $ | - | $ | 1,361,316 | ||||||||
Corporate Bonds | - | 2,297,699 | - | 2,297,699 | ||||||||||||
Mortgage Backed Securities | - | 3,349,916 | - | 3,349,916 | ||||||||||||
Municipal Bonds | - | 568,258 | - | 568,258 | ||||||||||||
Foreign Government Bond | - | 23,859 | - | 23,859 | ||||||||||||
U.S. Government Agency Issues | - | 1,320,112 | - | 1,320,112 | ||||||||||||
U.S. Treasury Obligation | - | 360,121 | - | 360,121 | ||||||||||||
Certificates of Deposit | - | 120,357 | - | 120,357 | ||||||||||||
Money Market Fund | 1,074,615 | - | - | 1,074,615 | ||||||||||||
Total Investments | $ | 1,074,615 | $ | 9,401,638 | $ | - | $ | 10,476,253 | ||||||||
Swap Contracts* | ||||||||||||||||
Long Total Return Swap Contracts | $ | - | $ | (599,268 | ) | $ | - | $ | (599,268 | ) | ||||||
Total Swap Contracts | $ | - | $ | (599,268 | ) | $ | - | $ | (599,268 | ) | ||||||
Total | $ | 1,074,615 | $ | 8,802,370 | $ | - | $ | 9,876,985 |
*Swap contracts are derivative instruments not reflected in the consolidated schedule of investments, which are presented at the unrealized depreciation on the instrument. See the consolidated schedule of investments for the investments detailed by industry classification.
The following table summarizes the LoCorr Long/Short Equity Fund’s investments as of June 30, 2013: |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Common Stocks | $ | 2,367,595 | $ | 55,255 | $ | - | $ | 2,422,850 | ||||||||
Exchange Traded Funds | 81,893 | - | - | 81,893 | ||||||||||||
Money Market Fund | 144,127 | - | - | 144,127 | ||||||||||||
Total Investments | $ | 2,593,615 | $ | 55,255 | $ | - | $ | 2,648,870 | ||||||||
Securities Sold Short | ||||||||||||||||
Common Stocks - Short | $ | (48,410 | ) | $ | - | $ | - | $ | (48,410 | ) | ||||||
Total Securities Sold Short | $ | (48,410 | ) | $ | - | $ | - | $ | (48,410 | ) |
See the schedule of investments for the investments detailed by industry classification. |
46 | | LoCorr Managed Futures Strategy Fund and LoCorr Long/Short Commodities Strategy Fund - Notes to Consolidated Financial Statements (Unaudited) (continued) LoCorr Long/Short Equity Fund - Notes to Financial Statements (Unaudited) (continued) |
The following table summarizes the LoCorr Long/Short Equity Fund’s transfers between levels of the fair value hierarchy:
Security Classification | Level 1 | Level 2 | ||||||||
Transfers in | Common Stocks | $ | - | $ | 55,255 | |||||
Transfers out | Common Stocks | (55,255 | ) | - | ||||||
Net Transfers in and/or out | $ | (55,255 | ) | $ | 55,255 |
At June 30, 2013, the LoCorr Long/Short Equity Fund held one common stock classified as Level 2 of the fair value hierarchy. The transfer of this investment from Level 1 to Level 2 was due to lack of trading volume on June 28, 2013. Transfers between levels are recognized at the end of the reporting period.
There were no transfers between levels during the period for the LoCorr Managed Futures Strategy Fund or the LoCorr Long/Short Commodities Strategy Fund.
The Funds did not hold any Level 3 investments during the period.
Federal Income Taxes
The Funds intend to qualify as regulated investment companies pursuant to Subchapter M of the Internal Revenue Code. The Funds intend to distribute substantially all of their investment company net taxable income and net capital gains to shareholders. Therefore, no federal income tax provision is required.
As of and during the period ended June 30, 2013, the Funds did not have any tax positions that did not meet the “more-likely-than-not” threshold of being sustained by applicable tax authorities. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits on uncertain tax position as interest or, other expense in the consolidated statements of operations. During the period ended June 30, 2013, the Funds did not incur any interest or penalties. Generally, tax authorities can examine all the tax returns filed for the last three years.
For tax purposes, LCMFS and LCLSCS are exempted Cayman investment companies. LCMFS and LCLSCS have received an undertaking from the Government of the Cayman Islands exempting them from all local income, profits, and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, LCMFS and LCLSCS are controlled foreign corporations (“CFC’s”) and as such are not subject to U.S. income tax. However, as a wholly-owned CFC, LCMFS’s and LCLSCS’s net income and capital gain, to the extent of its earnings and profits, will be included each year in the respective Funds’ investment company taxable income.
Use of Estimates
The preparation of consolidated financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported revenues and expenses during the reporting period. Actual results could differ from those estimates.
Indemnifications
In the normal course of business, the Funds enter into contracts that contain general indemnifications to other parties. The Funds’ maximum exposure under these contracts is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
Security Transactions and Investment Income
Security transactions are recorded on trade date. Realized gains and losses on sales of investments are calculated on the specifically identified cost basis of the securities. Dividend income, less foreign taxes withheld, if any, are recorded on the ex-dividend date. Interest income is recognized on the accrual basis. Market discounts, premiums and original issue discounts on fixed-income securities are amortized daily over the expected life of the security using the effective yield method.
Allocation of Income and Expenses
Net investment income, other than class specific expenses, and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses associated with a specific Fund in the Trust are charged to that Fund. Common expenses are typically allocated based upon the relative net assets of each Fund, or by other equitable means.
Distributions to Shareholders
Shareholder transactions are recorded on trade date. Dividends from net investment income are declared and paid at least annually by the Funds. Distribution of net realized capital gains, if any, are declared and paid at least annually. Distributions to shareholders are recorded on the ex-dividend date. The character of distributions made during the year from net investment income or net realized gains may differ from the characterization for federal income tax purposes due to the difference in the recognition of income, expense and gain items for financial statement and tax purposes. There were no distributions paid during the period ended June 30, 2013. During the year ended December 31, 2012, the LoCorr Managed Futures Strategy Fund distributed $90,356 in long term capital gains.
Distributable Earnings and Investment Transactions
Net investment income and net realized gains (losses) may differ for financial reporting and tax purposes because of temporary or permanent book/tax differences. To the extent these differences are permanent, reclassifications are made to the appropriate equity accounts in the period that the difference arises.
LoCorr Managed Futures Strategy Fund and LoCorr Long/Short Commodities Strategy Fund - Notes to Consolidated Financial Statements (Unaudited) (continued) LoCorr Long/Short Equity Fund - Notes to Financial Statements (Unaudited) (continued) | | 47 |
Additionally, U.S. generally accepted accounting principles require that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. See Note 7.
Foreign Securities and Currency
Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.
The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at period end, resulting from changes in exchange rates.
Futures Contracts
Gains or losses are realized when contracts are liquidated. Any change in net unrealized gain or loss is reported in the statement of operations. Brokerage commissions on open futures contracts are charged to expense when paid.
Forward Currency Contracts
Gains or losses are realized when foreign currency contracts are liquidated. Any change in net unrealized gain or loss is reported in the statement of operations.
Total Return Swap Contracts
The Funds may enter into total return swap agreements. A total return swap entered into by the Funds is a derivative contract that transfers the market risk of underlying portfolios of futures and forward currency contracts (considered the “index” within each total return swap contract) between counterparties. The “notional amount” of each total return swap agreement is the agreed upon amount or value of the index used for calculating the returns that the parties to a swap agreement have agreed to exchange. The total returns swaps are marked to market daily and any change is recorded in unrealized gain/loss on the consolidated statement of operations based on the value of the index on which the total return swap is referenced, as defined within the total return swap agreement between the counterparties. The composition of the index may vary based on how the underlying portfolio of futures and forward currency contracts is traded. A Fund’s obligation under a total return swap agreement, including any related fees, offset against amounts owed to the Fund in the case of positive performance, will be covered by designating liquid assets on the Fund’s books and records (see the consolidated statement of assets and liabilities for cash collateral). Gains or losses are realized when the total return swap contracts are liquidated. Total return swaps outstanding at period end, if any, are listed after the Funds’ consolidated schedules of investments.
During the six months ended June 30, 2013, the LoCorr Managed Futures Strategy Fund received $20 million in excess value on the swap from Deutsche Bank. This amount is presented as Advanced payment on swap contracts in the Fund’s Consolidated Statement of Assets and Liabilities at June 30, 2013. Upon closing of the swap, the proceeds due to the LoCorr Managed Futures Strategy Fund will be reduced by this advance payment or conversely, will be added to the payment owed by the Fund, depending on the value at the closing of the swap.
Short Sales
The LoCorr Long/Short Equity Fund may sell securities short. A short sale is a transaction in which the Fund sells a security it does not own or have the right to acquire (or that it owns but does not wish to deliver) in anticipation that the market price of that security will decline.
When the Fund makes a short sale, the broker-dealer through which the short sale is made must borrow the security sold short and deliver it to the party purchasing the security. The Fund is required to make a margin deposit in connection with such short sales; the Fund may have to pay a fee to borrow particular securities and will often be obligated to pay over any dividends and accrued interest on borrowed securities.
If the price of the security sold short increases between the time of the short sale and the time the Fund covers its short position, the Fund will incur a loss; conversely, if the price declines, the Fund will realize a capital gain. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in size, will be recognized upon the close of a short sale. Any gain will be decreased, and any loss increased, by the transaction costs described above. The successful use of short selling may be adversely affected by imperfect correlation between movements in the price of the security sold short and the securities being hedged.
In addition, the Fund is required to pay the lender any dividends declared on short positions. Dividends declared on open short positions are recorded on ex-date and shown as an expense for financial reporting purposes. To borrow the security, the Fund also may be required to pay a fee, which is shown as an expense for financial reporting purposes.
To the extent the Fund sells securities short, it will provide collateral to the broker-dealer and (except in the case of short sales “against the box”) will maintain additional asset coverage in the form of cash, U.S. government securities or other liquid securities with its custodian in a segregated account in an amount at least equal to the difference between the current market value of the securities sold short and any amounts required to be deposited as collateral with the selling broker (not including the proceeds of the short sale). A short sale is “against the box” to the extent the Fund contemporaneously owns, or has the right to obtain at no added cost, securities identical to those sold short. Short sales are collateralized by cash deposits with the counterparty broker and pledged securities held at the custodian, U.S. Bank, N.A. The collateral required is determined daily by reference to the market value of the short positions. At June 30, 2013, the LoCorr Long/Short Equity Fund had cash on deposit with the broker-dealer in the amount of $40,236 and pledged securities with a fair value of $52,578.
48 | | LoCorr Managed Futures Strategy Fund and LoCorr Long/Short Commodities Strategy Fund - Notes to Consolidated Financial Statements (Unaudited) (continued) LoCorr Long/Short Equity Fund - Notes to Financial Statements (Unaudited) (continued) |
Deposits with Broker
The LoCorr Managed Futures Strategy Fund and the LoCorr Long/Short Commodities Strategy Fund have a substantial portion of their assets on deposit with Deutsche Bank in connection with their trading of swap contracts. Assets deposited with Deutsche Bank in connection with the trading of swap contracts for the LoCorr Managed Futures Strategy Fund and the LoCorr Long/Short Commodities Strategy Fund are partially restricted due to deposit requirements. At June 30, 2013, the LoCorr Managed Futures Strategy Fund and LoCorr Long/Short Commodities Strategy Fund had cash on deposit with Deutsche Bank in the amount of $101,000,010 and $2,400,010, respectively. Risks arise from the possible inability of the counterparty to meet the term of its contract and may increase if the counterparty’s financial condition worsens.
Market and Credit Risks
Futures transactions of the Funds are cleared by Citigroup Global Markets, Inc., pursuant to a customer agreement.
The Funds may engage in the speculative trading of U.S. and foreign futures, forward currency and swap contracts (collectively, derivatives). The Funds are exposed to both market risk, which is the risk arising from changes in the fair value of the contracts, and credit risk, which is the risk of failure by another party to perform according to the terms of a contract.
Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. government securities) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited.
For derivatives, risks arise from changes in the fair value of the contracts. Theoretically, the Funds are exposed to a market risk equal to the notional contract value of swap, futures and forward currency contracts purchased and unlimited liability on such contracts sold short.
The Funds also engage in investing its assets in U.S. government securities. Risks arise from investments in U.S. government securities due to possible market illiquidity. U.S. government securities are also sensitive to changes in interest rates and economic conditions.
The Funds have established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so.
Subsequent Events
Management has evaluated the Trust’s related events and transactions that occurred subsequent to June 30, 2013, through the date the financial statements have been issued. There were no events or transactions that occurred since June 30, 2013 that materially impacted the amounts or disclosures in the Trust’s financial statements.
3. Derivatives
The Funds may invest in derivatives such as futures, forward currency, and swap contracts, in order to hedge against market movements while liquidating certain positions and buying other securities or as substitutes for securities, as well as for speculative purposes to gain exposure to such market movements.
The Funds’ market risk related to its derivatives trading is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, weather, supply and demand of commodities, the market value of futures and forward currency contracts, the diversification effects among the Funds’ open positions and the liquidity of the markets in which they trade.
The Funds engage in the speculative trading of futures, forward currency and swap contracts. The Funds trade futures contracts on interest rates, commodities, currencies, metals, energies, livestock and stock indices. During the year ended December 31, 2012, the majority of the Funds’ futures and forward currency contracts activity was in the underlying partnership investments of LCMFS and LCLSCS. It is the Funds’ intention that the total return swap contracts held as of December 31, 2012, will provide futures exposure to such market movements. The following were the primary trading risk exposures by market sector of the Funds during 2012, and as encompassed in the total return swap contracts:
Agricultural (grains, livestock and softs). The Funds’ primary exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions.
Currencies. Exchange rate risk is a principal market exposure of the Funds. The Funds’ currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Funds trade in a large number of currencies including cross-rates – e.g., positions between two currencies other than the U.S. dollar.
Energy. The Funds’ primary energy market exposure is to gas and oil price movements, often resulting from political developments in the Middle East and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.
Interest rates. Interest rate movements directly affect the price of the sovereign bond futures positions held by the Funds and indirectly the value of its stock index currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Funds’ profitability. The Funds’ primary interest rate exposure is to interest rate fluctuations in countries or regions including Australia, Canada, Japan, Switzerland, the United Kingdom, the United States and the Eurozone. However, the Funds also may take positions in futures contracts on the government debt of other nations. The Funds anticipate that interest rates in these industrialized countries or areas, both long-term and short-term, will remain a primary market exposure of the Funds for the foreseeable future.
LoCorr Managed Futures Strategy Fund and LoCorr Long/Short Commodities Strategy Fund - Notes to Consolidated Financial Statements (Unaudited) (continued) LoCorr Long/Short Equity Fund - Notes to Financial Statements (Unaudited) (continued) | | 49 |
Metals. The Funds’ metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, palladium, tin, silver and zinc.
Stock index. The Funds’ equity exposure, through stock index futures, is to equity price risk in the major industrialized countries as well as other countries.
In January 2013, the Financial Accounting Standards Board (“FASB”) issued Accounting Standard Update (“ASU”) ASU No. 2013-01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” in Generally Accepted Accounting Principles (“GAAP”) and International Reporting Financial Standards (“IFRS”). ASU No. 2013-01 clarifies ASU No. 2011-11, Disclosures about Offsetting Assets and Liabilities to increase comparability and reduce presentation differences between financial statements prepared in accordance with GAAP and financial statements prepared in accordance with IFRS. This requires increased disclosure about derivative instruments that are offset in a reporting entity’s Statement of Assets and Liabilities and derivative instruments that are subject to a master netting agreement (“MNA”). Specifically, the ASU requires reporting entities to present separately for assets and liabilities, a) the gross amounts of those recognized assets and recognized liabilities, b) the amounts offset to determine the net amounts presented in the Statement of Assets and Liabilities, c) The net amount presented in the Statement of Assets and Liabilities, d) the amounts subject to an enforceable MNA not included in (b), and e) the net amount after deducting the amounts from (d) and (c). The effective date of the ASU is for interim and annual periods beginning on or after January 1, 2013.
At June 30, 2013, the LoCorr Managed Futures Strategy Fund and the LoCorr Long/Short Commodities Strategy Fund held swap contracts which are not subject to a master netting agreement. As the tables below illustrate, no positions are netted in these financial statements.
LoCorr Managed Futures Strategy Fund - June 30, 2013 | ||||||||||||||||||||||||
Assets: | Gross Amounts not offset in the Statement | |||||||||||||||||||||||
of Asset & Liabilities | ||||||||||||||||||||||||
Gross Amounts | Net Amounts | |||||||||||||||||||||||
Offset in the | Presented in the | |||||||||||||||||||||||
Gross Amounts of | Statement of Assets | Statement of Assets | Collateral Pledged | |||||||||||||||||||||
Description | Recognized Assets | & Liabilities | & Liabilities | Financial Instruments | (Received) | Net Amount | ||||||||||||||||||
Swap Contracts | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | ||||||||||||
Total | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - |
Liabilities: | Gross Amounts not offset in the Statement | |||||||||||||||||||||||
of Asset & Liabilities | ||||||||||||||||||||||||
Gross Amounts | Net Amounts | |||||||||||||||||||||||
Offset in the | Presented in the | |||||||||||||||||||||||
Gross Amounts of | Statement of Assets | Statement of Assets | Collateral Pledged | |||||||||||||||||||||
Description | Recognized Liabilities | & Liabilities | & Liabilities | Financial Instruments | (Received) | Net Amount | ||||||||||||||||||
Swap Contracts | $ | 30,159,268 | $ | - | $ | 30,159,268 | $ | - | $ | 30,159,268 | $ | - | ||||||||||||
Total | $ | 30,159,268 | $ | - | $ | 30,159,268 | $ | - | $ | 30,159,268 | $ | - |
LoCorr Long/Short Commodities Strategy Fund - June 30, 2013 | ||||||||||||||||||||||||
Assets: | Gross Amounts not offset in the Statement | |||||||||||||||||||||||
of Asset & Liabilities | ||||||||||||||||||||||||
Gross Amounts | Net Amounts | |||||||||||||||||||||||
Offset in the | Presented in the | |||||||||||||||||||||||
Gross Amounts of | Statement of Assets | Statement of Assets | Collateral Pledged | |||||||||||||||||||||
Description | Recognized Assets | & Liabilities | & Liabilities | Financial Instruments | (Received) | Net Amount | ||||||||||||||||||
Swap Contracts | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | ||||||||||||
Total | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - |
Liabilities: | Gross Amounts not offset in the Statement | |||||||||||||||||||||||
of Asset & Liabilities | ||||||||||||||||||||||||
Gross Amounts | Net Amounts | |||||||||||||||||||||||
Offset in the | Presented in the | |||||||||||||||||||||||
Gross Amounts of | Statement of Assets | Statement of Assets | Collateral Pledged | |||||||||||||||||||||
Description | Recognized Liabilities | & Liabilities | & Liabilities | Financial Instruments | (Received) | Net Amount | ||||||||||||||||||
Swap Contracts | $ | 599,268 | $ | - | $ | 599,268 | $ | - | $ | 599,268 | $ | - | ||||||||||||
Total | $ | 599,268 | $ | - | $ | 599,268 | $ | - | $ | 599,268 | $ | - |
The Funds have adopted authoritative standards regarding disclosure about derivatives and hedging activities and how they affect the Funds’ statements of asset and liabilities and statements of operations. Fair value of swap contracts are recorded in the consolidated statement of assets and liabilities as net unrealized gain on swap contracts or net unrealized loss on swap contracts and net unrealized appreciation of swap contracts or net unrealized depreciation of swap contracts.
Since the derivatives held long or short are for speculative trading purposes, the derivative instruments are not designated as hedging instruments. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open contracts from the preceding period, are recognized as part of realized and unrealized gain (loss) in the consolidated statements of operations.
50 | | LoCorr Managed Futures Strategy Fund and LoCorr Long/Short Commodities Strategy Fund - Notes to Consolidated Financial Statements (Unaudited) (continued) |
LoCorr Long/Short Equity Fund - Notes to Financial Statements (Unaudited) (continued) | |
The following table presents the fair value of consolidated open swap contracts for the LoCorr Managed Futures Strategy Fund at June 30, 2013 as presented on the consolidated statement of assets and liabilities.
June 30, 2013 | ||||||||||||||||||
Fair Value – | Fair Value – | Net Unrealized | ||||||||||||||||
Long Positions | Short Positions | Gain (Loss) on | ||||||||||||||||
Swap Contracts | Assets | Liabilities | Assets | Liabilities | Open Positions | |||||||||||||
LoCorr Managed Futures Index | $ | - | $30,159,268 | $ | - | $ | - | $(30,159,268 | ) | |||||||||
Total Swap Contracts | $ | - | $30,159,268 | $ | - | $ | - | $(30,159,268 | ) |
The following table presents the fair value of consolidated open swap contracts for the LoCorr Long/Short Commodities Futures Strategy Fund at June 30, 2013 as presented on the consolidated statement of assets and liabilities.
June 30, 2013 | ||||||||||||||||||
Fair Value – | Fair Value – | Net Unrealized | ||||||||||||||||
Long Positions | Short Positions | Gain (Loss) on | ||||||||||||||||
Swap Contracts | Assets | Liabilities | Assets | Liabilities | Open Positions | |||||||||||||
LoCorr Commodities Index | $ | - | $599,268 | $ | - | $ | - | $(599,268 | ) | |||||||||
Total Swap Contracts | $ | - | $599,268 | $ | - | $ | - | $(599,268 | ) |
The following table presents the trading results of the derivative trading and information related to the volume of the LoCorr Managed Futures Strategy Fund and the LoCorr Long/Short Commodities Strategy Fund for the six months ended June 30, 2013. The below captions of “Net Realized” and “Net Change in Unrealized” correspond to the captions in the consolidated statement of operations.
LoCorr Managed Futures Strategy Fund | |||||||||
Six Months Ended June 30, 2013 | |||||||||
Gain (Loss) from Trading | |||||||||
Net Change in | |||||||||
Net Realized | Unrealized | ||||||||
Swap Contracts | $ | - | $ | (28,334,068 | ) |
LoCorr Long/Short Commodities Strategy Fund | |||||||||
Six Months Ended June 30, 2013 | |||||||||
Gain (Loss) from Trading | |||||||||
Net Change in | |||||||||
Net Realized | Unrealized | ||||||||
Swap Contracts | $ | - | $ | (432,924 | ) |
The average monthly notional amount of the swap contracts during the six months ended June 30, 2013 for the LoCorr Managed Futures Strategy Fund was $447,142,857.
There were no changes to the notional amounts of the total return swap contracts held by the LoCorr Long/Short Commodities Strategy Fund during the six months ended June 30, 2013, as noted on the Fund’s consolidated schedule of swap contracts.
Please refer to the Funds’ prospectus for a full listing of risks associated with these investments.
4. Investment Transactions
The cost of security purchases and proceeds from security sales, other than U.S. Government obligations, short-term investments, short sales, purchases to cover and short-term securities for the six months ended June 30, 2013 for the LoCorr Managed Futures Strategy Fund and LoCorr Long/Short Commodities Strategy Fund and from May 10, 2013 (commencement of operations) through June 30, 2013 for the LoCorr Long/ Short Equity Fund, were as follows:
Fund | Purchases | Sales | ||||||
LoCorr Managed Futures Strategy Fund | $ | 125,275,289 | $ | 42,931,536 | ||||
LoCorr Long/Short Commodities Strategy Fund | 3,750,308 | 768,583 | ||||||
LoCorr Long/Short Equity Fund | 2,737,141 | 226,933 |
Purchases and sales of U.S. Government obligations for the six months ended June 30, 2013 for the LoCorr Managed Futures Strategy Fund and LoCorr Long/Short Commodities Strategy Fund and from May 10, 2013 (commencement of operations) through June 30, 2013 for the LoCorr Long/Short Equity Fund were as follows:
Fund | Purchases | Sales | ||||||
LoCorr Managed Futures Strategy Fund | $ | - | $ | 8,147,906 | ||||
LoCorr Long/Short Commodities Strategy Fund | 816,262 | 2,045,120 | ||||||
LoCorr Long/Short Equity Fund | - | - |
LoCorr Managed Futures Strategy Fund and LoCorr Long/Short Commodities Strategy Fund - Notes to Consolidated Financial Statements (Unaudited) (continued) LoCorr Long/Short Equity Fund - Notes to Financial Statements (Unaudited) (continued) | | 51 |
5. Management Fees and Other Transactions with Affiliates
The Funds have a Management Agreement with the Adviser, with whom certain officers and Trustees of the Funds are affiliated, to furnish investment advisory services to the Funds. Pursuant to the Management Agreement between the Funds and the Adviser, the Adviser is entitled to receive a fee, in accordance with the Incremental Advisory Fee schedule below based on each of the LoCorr Managed Futures Strategy Fund and the LoCorr Long/Short Commodities Strategy Fund’s average daily net assets and an annual rate of 2.45% of the LoCorr Long/Short Equity Fund’s average daily net assets, computed daily and payable monthly.
Net Assets per Fund for each of the LoCorr Managed Futures Strategy Fund and the LoCorr Long/Short Commodities Strategy Fund | Incremental* Advisory Fee |
$0 – $1 billion | 1.50% |
$1.0 – $1.5 billion | 1.40% |
$1.5 – $2.0 billion | 1.30% |
$2.0 – $2.5 billion | 1.20% |
$2.5 – $3.0 billion | 1.10% |
Over $3.0 billion | 1.00% |
* Incremental advisory fee represents the fees paid on assets at the related asset level. For example, with $2 billion in net assets in a Fund, the Adviser would earn 1.50% on the first $1 billion, plus 1.40% on the next $500 million, plus 1.30% on the final $500 million.
For the six months ended June 30, 2013, the LoCorr Managed Futures Strategy Fund and the LoCorr Long/Short Commodities Strategy Fund incurred $3,326,665 and $88,268, respectively, in advisory fees and the LoCorr Long/Short Equity Fund incurred $4,115 in advisory fees for the period from May 10, 2013 (commencement of operations) through June 30, 2013. At June 30, 2013, the LoCorr Managed Futures Strategy Fund owed the Adviser $552,788. At June 30, 2013, the LoCorr Long/Short Commodities Strategy Fund and the LoCorr Long/Short Equity Fund reported a receivable from Adviser of $11,953 and $34,033, respectively.
Pursuant to a sub-advisory agreement between the Adviser and Nuveen Asset Management, LLC (“Nuveen”) related to the LoCorr Managed Futures Strategy Fund, and the Adviser and Galliard Capital Management, Inc. (“Galliard”) related to the LoCorr Long/Short Commodities Strategy Fund, Nuveen and Galliard are entitled to receive a monthly fee at an annual rate equal to 0.18% of the average daily net assets of the first $50 million of sub-advised assets, 0.14% of the average daily net assets of the next $50 million of sub-advised assets, and 0.10% of the average daily net assets in excess of $100 million of sub-advised assets. The minimum annual fee payable by Adviser to Nuveen and Galliard is $45,000. Pursuant to a sub-advisory agreement between the Adviser and Millennium Asset Management, L.L.C. (“Millennium”) related to the LoCorr Long/Short Equity Fund, Millennium is entitled to receive a monthly fee at an annual rate equal to 1.00% of the average daily net assets of the sub-advised assets.
The Adviser is solely responsible for the payment of the sub-adviser’s fees, and the sub-adviser agrees not to seek payment of its fees from the Trust or the Funds.
The Funds’ Adviser has contractually agreed to waive management fees and/or reimburse the Funds for expenses it incurs but only to the extent necessary to maintain the Funds’ total annual operating expenses after fee waiver and/or reimbursement (excluding taxes, any Rule 12b-1 distribution and/or servicing fees, interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, indirect expenses, expenses of other investment companies in which the Funds may invest, or extraordinary expenses such as litigation, and inclusive of organizational costs incurred prior to the commencement of operations) at 1.95% of the average daily net assets of each share class of the LoCorr Managed Futures Strategy Fund and LoCorr Long/Short Commodities Strategy Fund and 2.90% of the average daily net assets of each share class of the LoCorr Long/Short Equity Fund.
Any waiver or reimbursement is subject to repayment by the Funds within the three fiscal years following the fiscal year in which the expenses occurred, if the Funds are able to make the repayment without exceeding their current expense limitations and the repayment is approved by the Board of Trustees. The organizational and offering costs are subject to repayment by the Funds.
For the six months ended June 30, 2013, the Adviser waived $88,268 in fees and reimbursed other expenses of $29,668 for the LoCorr Long/ Short Commodities Strategy Fund. The waived fees and reimbursed other expenses are subject to repayment on or before December 31, 2016. The Adviser waived $80,503 in fees and reimbursed other expenses of $129,605 for the LoCorr Long/Short Commodities Strategy Fund during the year ended December 31, 2012, which are subject to repayment on or before December 31, 2015.
For the LoCorr Long/Short Equity Fund, the Adviser waived $4,115 in fees and reimbursed other expenses of $49,315 during the period from May 10, 2013 (commencement of operations) through June 30, 2013. The waived fees and reimbursed other expenses are subject to repayment on or before December 31, 2016.
At June 30, 2013, there are no additional fees subject to recovery for the LoCorr Managed Futures Strategy Fund.
The Funds have entered into a 12b-1 distribution agreement with Quasar Distributors, LLC (“Quasar”). Class A and Class C shareholders pay Rule 12b-1 fees to Quasar at the annual rate of 0.25% and 1.00%, respectively, of average daily net assets. Class I shareholders pay no 12b-1 fees.
52 | | LoCorr Managed Futures Strategy Fund and LoCorr Long/Short Commodities Strategy Fund - Notes to Consolidated Financial Statements (Unaudited) (continued) |
LoCorr Long/Short Equity Fund - Notes to Financial Statements (Unaudited) (continued) | |
6. Fund Shares
At June 30, 2013, there were an unlimited number of shares of beneficial interest authorized. The following table summarizes the activity in shares and dollar amounts applicable to each class of the Funds:
LoCorr Managed Futures Strategy Fund – Class A | |||||||||||||
For the Six Months Ended June 30, 2013 | For the Year Ended December 31, 2012 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 10,472,576 | $ | 93,792,780 | 16,673,873 | $ | 149,055,259 | |||||||
Shares Redeemed | (4,339,038 | ) | (38,001,548 | ) | (3,527,192 | ) | (31,265,302 | ) | |||||
Dividends Reinvested | - | - | 4,170 | 36,572 | |||||||||
Redemption Fees | - | 4,980 | - | 3,627 | |||||||||
6,133,538 | $ | 55,796,212 | 13,150,851 | $ | 117,830,156 | ||||||||
Beginning Shares | 20,815,425 | 7,664,574 | |||||||||||
Ending Shares | 26,948,963 | 20,815,425 | |||||||||||
LoCorr Managed Futures Strategy Fund – Class C | |||||||||||||
For the Six Months Ended June 30, 2013 | For the Year Ended December 31, 2012 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 2,757,691 | $ | 24,256,462 | 6,352,123 | $ | 56,157,775 | |||||||
Shares Redeemed | (1,072,599 | ) | (9,235,969 | ) | (1,556,670 | ) | (13,589,975 | ) | |||||
Dividends Reinvested | - | - | 1,901 | 16,448 | |||||||||
Redemption Fees | - | 1 | - | 37 | |||||||||
1,685,092 | $ | 15,020,494 | 4,797,354 | $ | 42,584,285 | ||||||||
Beginning Shares | 8,897,487 | 4,100,133 | |||||||||||
Ending Shares | 10,582,579 | 8,897,487 | |||||||||||
LoCorr Managed Futures Strategy Fund – Class I | |||||||||||||
For the Six Months Ended June 30, 2013 | For the Year Ended December 31, 2012 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 4,685,012 | $ | 42,083,122 | 10,460,207 | $ | 93,936,967 | |||||||
Shares Redeemed | (3,654,505 | ) | (32,477,849 | ) | (4,529,051 | ) | (40,225,733 | ) | |||||
Dividends Reinvested | - | - | 2,685 | 23,652 | |||||||||
Redemption Fees | - | 2,047 | - | 9,622 | |||||||||
1,030,507 | $ | 9,607,320 | 5,933,841 | $ | 53,744,508 | ||||||||
Beginning Shares | 15,683,227 | 9,749,386 | |||||||||||
Ending Shares | 16,713,734 | 15,683,227 | |||||||||||
LoCorr Managed Futures Strategy Fund | |||||||||||||
Total Net Increase | $ | 80,424,026 | $ | 214,158,949 |
LoCorr Long/Short Commodities Strategy Fund – Class A | |||||||||||||
For the Six Months Ended June 30, 2013 | For the Year Ended December 31, 2012 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 144,381 | $ | 1,173,406 | 403,443 | $ | 3,762,552 | |||||||
Shares Redeemed | (47,808 | ) | (392,307 | ) | (19,708 | ) | (172,315 | ) | |||||
Redemption Fees | - | 47 | - | 22 | |||||||||
96,573 | $ | 781,146 | 383,735 | $ | 3,590,259 | ||||||||
Beginning Shares | 383,735 | - | |||||||||||
Ending Shares | 480,308 | 383,735 | |||||||||||
LoCorr Long/Short Commodities Strategy Fund – Class C | |||||||||||||
For the Six Months Ended June 30, 2013 | For the Year Ended December 31, 2012 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 38,002 | $ | 308,552 | 198,978 | $ | 1,779,954 | |||||||
Shares Redeemed | (14,988 | ) | (122,117 | ) | (5,328 | ) | (45,420 | ) | |||||
Redemption Fees | - | - | - | 49 | |||||||||
23,014 | $ | 186,435 | 193,650 | $ | 1,734,583 | ||||||||
Beginning Shares | 193,650 | - | |||||||||||
Ending Shares | 216,664 | 193,650 | |||||||||||
LoCorr Long/Short Commodities Strategy Fund – Class I | |||||||||||||
For the Six Months Ended June 30, 2013 | For the Year Ended December 31, 2012 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 299,821 | $ | 2,458,036 | 961,026 | $ | 8,973,797 | |||||||
Shares Redeemed | (192,033 | ) | (1,565,368 | ) | (200,887 | ) | (1,736,963 | ) | |||||
Redemption Fees | - | 49 | - | 378 | |||||||||
107,788 | $ | 892,717 | 760,139 | $ | 7,237,212 | ||||||||
Beginning Shares | 760,139 | - | |||||||||||
Ending Shares | 867,927 | 760,139 | |||||||||||
LoCorr Long/Short Commodities Strategy Fund | |||||||||||||
Total Net Increase | $ | 1,860,298 | $ | 12,562,054 |
LoCorr Managed Futures Strategy Fund and LoCorr Long/Short Commodities Strategy Fund - Notes to Consolidated Financial Statements (Unaudited) (continued) LoCorr Long/Short Equity Fund - Notes to Financial Statements (Unaudited) (continued) | | 53 |
LoCorr Long/Short Equity Fund – Class A | |||||||
For the Period Ended June 30, 20131 | |||||||
Shares | Amount | ||||||
Shares Sold | 115,063 | $ | 1,130,335 | ||||
Shares Redeemed | - | - | |||||
Redemption Fees | - | - | |||||
115,063 | $ | 1,130,335 | |||||
Beginning Shares | - | ||||||
Ending Shares | 115,063 | ||||||
LoCorr Long/Short Equity Fund – Class C | |||||||
For the Period Ended June 30, 20131 | |||||||
Shares | Amount | ||||||
Shares Sold | 14,491 | $ | 141,678 | ||||
Shares Redeemed | - | - | |||||
Redemption Fees | - | - | |||||
14,491 | $ | 141,678 | |||||
Beginning Shares | - | ||||||
Ending Shares | 14,491 | ||||||
LoCorr Long/Short Equity Fund – Class I | |||||||
For the Period Ended June 30, 20131 | |||||||
Shares | Amount | ||||||
Shares Sold | 170,717 | $ | 1,678,908 | ||||
Shares Redeemed | (1,798 | ) | (17,600 | ) | |||
Redemption Fees | - | - | |||||
168,919 | $ | 1,661,308 | |||||
Beginning Shares | - | ||||||
Ending Shares | 168,919 | ||||||
LoCorr Long/Short Equity Fund | |||||||
Total Net Increase | $ | 2,933,321 |
¹ Class A, Class C and Class I of the LoCorr Long/Short Equity Fund commenced operations on May 10, 2013.
7. Federal Tax Information
At December 31, 2012, the components of accumulated earnings (losses) on a tax basis were as follows:
LoCorr Managed Futures Strategy Fund
Year Ended December 31, 2012 | ||||
Cost of investments | $ | 313,595,765 | ||
Gross unrealized appreciation | 3,869,754 | |||
Gross unrealized depreciation | (116,475 | ) | ||
Net unrealized appreciation | 3,753,279 | |||
Undistributed ordinary income | - | |||
Undistributed long-term capital gains | 79,374 | |||
Total distributable earnings | $ | 79,374 | ||
Other accumulated losses | $ | (1,838,884 | ) | |
Total accumulated earnings | $ | 1,993,769 |
LoCorr Long/Short Commodities Strategy Fund | ||||
Year Ended December 31, 2012 | ||||
Cost of investments | $ | 9,148,214 | ||
Gross unrealized appreciation | 57,594 | |||
Gross unrealized depreciation | (2,347 | ) | ||
Net unrealized appreciation | 55,247 | |||
Undistributed ordinary income | - | |||
Undistributed long-term capital gains | - | |||
Total distributable earnings | $ | - | ||
Other accumulated losses | $ | (166,344 | ) | |
Total accumulated losses | $ | (111,097 | ) |
54 | LoCorr Investment Trust - Expense Example (Unaudited) |
Expense Example
June 30, 2013 (Unaudited)
As a shareholder of a mutual fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments; redemption fees; and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees and other Fund expenses.
This Example is intended to help you understand your ongoing costs (in dollars) of investing in each of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. For the LoCorr Managed Futures Strategy Fund and LoCorr Long/Short Commodities Strategy Fund, the Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2013 through June 30, 2013). For the LoCorr Long/Short Equity Fund, the Example is based on an investment of $1,000 invested at the date of the Fund’s inception and held for the entire period (May 10, 2013 (commencement of operations) through June 30, 2013).
Actual Expenses
The actual return rows in the following table provide information about account values based on actual returns and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. The only transaction fees you may be required to pay are for outgoing wire transfers, returned checks and stop payment orders at prevailing rates charged by U.S. Bancorp Fund Services, LLC, the Funds’ transfer agent. These fees are assessed on all accounts, as applicable. If you request that a redemption be made by wire transfer, currently the Funds’ transfer agent charges a $15.00 fee. The Funds’ transfer agent charges a transaction fee of $25.00 on returned checks and stop payment orders. If you paid a transaction fee, you would add the fee amount to the expenses paid on your account this period to obtain your total expenses paid.
Hypothetical Example for Comparison Purposes
The hypothetical return rows in the following table provide 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. A transaction fee of $15.00 may be assessed on outgoing wire transfers and a transaction fee of $25.00 may be assessed on returned checks and stop payment orders. To include this fee in the calculation, you would add the estimated transaction fee to the hypothetical expenses shown in the table. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect the transaction fees discussed above. Therefore, those columns are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Actual vs. Hypothetical Returns
Actual vs. Hypothetical Returns for the Six Months Ended June 30, 2013 (Unaudited)
Fund’s Annualized Consolidated Expense Ratio | Beginning Account Value 01/01/2013 | Ending Account Value 06/30/2013 | Consolidated Expenses Paid During Period1 | |
LoCorr Managed Futures Strategy Fund – Class A | ||||
Actual | 2.04% | $1,000.00 | $932.70 | $9.77 |
Hypothetical2 | 2.04% | $1,000.00 | $1,014.68 | $10.19 |
LoCorr Managed Futures Strategy Fund – Class C | ||||
Actual | 2.79% | $1,000.00 | $929.50 | $13.34 |
Hypothetical2 | 2.79% | $1,000.00 | $1,010.96 | $13.91 |
LoCorr Managed Futures Strategy Fund – Class I | ||||
Actual | 1.79% | $1,000.00 | $933.00 | $8.57 |
Hypothetical2 | 1.79% | $1,000.00 | $1,015.93 | $8.93 |
1 Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 181 days and divided by 365 to reflect the period of January 1, 2013 through June 30, 2013.
2 Hypothetical assumes a 5% return.
LoCorr Investment Trust - Expense Example (Unaudited) (continued) | 55 |
Fund’s Annualized Consolidated Expense Ratio | Beginning Account Value 01/01/2013 | Ending Account Value 06/30/2013 | Consolidated Expenses Paid During Period1 | |
LoCorr Long/Short Commodities Strategy Fund – Class A | ||||
Actual | 2.20% | $1,000.00 | $945.00 | $10.62 |
Hypothetical2 | 2.20% | $1,000.00 | $1,013.87 | $11.00 |
LoCorr Long/Short Commodities Strategy Fund – Class C | ||||
Actual | 2.95% | $1,000.00 | $940.90 | $14.19 |
Hypothetical2 | 2.95% | $1,000.00 | $1,010.17 | $14.70 |
LoCorr Long/Short Commodities Strategy Fund – Class I | ||||
Actual | 1.95% | $1,000.00 | $946.30 | $9.41 |
Hypothetical2 | 1.95% | $1,000.00 | $1,015.13 | $9.74 |
1 Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 181 days and divided by 365 to reflect the period of January 1, 2013 through June 30, 2013.
2 Hypothetical assumes a 5% return.
Fund’s Annualized Expense Ratio | Beginning Account Value 05/10/20131 | Ending Account Value 06/30/2013 | Expenses Paid During Period2 | |
LoCorr Long/Short Equity Fund – Class A | ||||
Actual | 3.15% | $1,000.00 | $980.00 | $4.36 |
Hypothetical3 | 3.15% | $1,000.00 | $1,002.58 | $4.41 |
LoCorr Long/Short Equity Fund – Class C | ||||
Actual | 3.90% | $1,000.00 | $979.00 | $5.39 |
Hypothetical3 | 3.90% | $1,000.00 | $1,001.54 | $5.45 |
LoCorr Long/Short Equity Fund – Class I | ||||
Actual | 2.90% | $1,000.00 | $981.00 | $4.01 |
Hypothetical3 | 2.90% | $1,000.00 | $1,002.93 | $4.06 |
1 Commencement of operations.
2 Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 51 days and divided by 365 to reflect the period of May 10, 2013 through June 30, 2013.
3 Hypothetical assumes a 5% return.
56 | Approval of Advisory Agreements (Unaudited) |
LoCorr Investment Trust
June 30, 2013 (Unaudited)
LoCorr Managed Futures Strategy Fund and
LoCorr Long/Short Commodities Strategy Fund
Approval of Advisory Agreement
In connection with a regular meeting held on February 25, 2013 (the “Meeting”), the Board of Trustees (the “Board” or “Trustees”) of LoCorr Investment Trust (the “Trust”), including a majority of the Trustees who are not interested persons of the Trust or interested persons to the investment management agreement (the “Independent Trustees”), discussed the review and renewal of the Investment Advisory Agreement (the “Management Agreement”) between LoCorr Fund Management, LLC (the “Adviser”) and the Trust, with respect to the LoCorr Managed Futures Strategy Fund (“LCMFS”) and the LoCorr Long/Short Commodities Strategy Fund (“LCLSCS”) (each a “Fund”, collectively, the “Funds”).
The Trustees reviewed a memorandum which had been provided to them prior to the Meeting from Thompson Hine LLP (“Legal Counsel”) entitled “Duties of Trustees with Respect to Renewal of Investment Advisory Contracts”. Legal Counsel emphasized that the Trustees must apply their business judgment to the question of whether the overall arrangements provided under the terms of the Management Agreement are reasonable business arrangements for the Funds.
The Board discussed the investment performance of the Funds and considered the performance of the Funds relative to their respective benchmarks. The Board noted that LCLSCS outperformed its peer group over the 1-year period and since inception, while trailing LCLSCS’ Morningstar category and benchmark index over both periods. The Board noted that LCMFS outperformed its Morningstar category over the 1-year period and since inception, while trailing its peer group slightly and its benchmark index over both periods. For both Funds, the Board noted that the Funds had a track record of less than 2 years to compare.
The Board discussed the nature, extent and quality of the services provided by the Adviser. The Board discussed the qualifications, background and experience of the Adviser’s management and investment professionals servicing the Funds.
As to the costs of the services provided, the Board discussed each Fund’s advisory fees and expense ratios as compared to their respective benchmarks. The Board noted that both Funds had advisory fees higher than their peer group and Morningstar category, but expenses for both Funds are contractually limited to benefit shareholders. As to the profits to be realized by the Adviser, the Board reviewed the Adviser’s estimates of its profitability from its relationship with each Fund, concluding in both cases that profitability was not excessive.
As to economies of scale, the Trustees noted that the Management Agreement did not contain breakpoints that reduce the advisory fee on assets above specified levels. The Adviser proposed instituting a breakpoint schedule for each Fund, where the advisory fee for assets up to $1 billion would be 1.50%, then 1.40% for assets between $1 billion and $1.5 billion, then 1.30% for assets between $1.5 billion and $2 billion, then 1.20% for assets between $2 billion and $2.5 billion, then 1.10% for assets between $2.5 billion and $3 billion, then 1.00% for assets exceeding $3 billion. The Board concluded that the proposed breakpoints would be an appropriate way for the Adviser to share economies of scale with shareholders, and would clearly benefit shareholders. The Board determined that the proposed breakpoints should be implemented, and that the Independent Trustees would continue discussions with the Adviser to determine if any further reductions are appropriate in the future.
Having received and reviewed information from the Adviser as the Board believed to be reasonably necessary, the Trustees, including the Independent Trustees, concluded that the advisory fee structure is fair and reasonable and that renewal of the Advisory Agreement was in the best interests of the Trust and each Fund’s shareholders, and unanimously approved the renewal of the Management Agreement between the Adviser and the Funds for an additional year.
Consideration and Approval of Sub-Advisory Agreements
In connection with the Meeting held on February 25, 2013, the Board discussed the sub-advisory agreement (“Sub-Advisory Agreement”) between the Adviser and Nuveen Asset Management, LLC (“Nuveen”) with respect to LCMFS and the sub-advisory agreement between the Adviser and Galliard Capital Management, Inc. (“Galliard”) with respect to LCLSCS, (each a “Sub-Advisory Agreement”, collectively, the “Sub-Advisory Agreements”).
Legal Counsel noted that the same factors that the Board considered with respect to the approval of the LCMFS and LCLSCS Management Agreement would apply to its consideration of each of the Sub-Advisory Agreements.
The Board reviewed the performance of LCMFS’s Sub-Adviser, Nuveen, and LCLSCS’s Sub-Adviser, Galliard (each the “Sub-Adviser”, collectively, the “Sub-Advisers”), compared to their respective benchmarks. The Board noted that Gaillard had less than one year of a track record to evaluate, but that both Sub-Advisers outperformed their benchmark over each reported timeframe. The Board also noted that it will continue to monitor the performance of both Sub-Advisers.
Approval of Advisory Agreements (Unaudited) (continued) | 57 |
Next the Board discussed the nature, extent and quality of the services provided by the Sub-Advisers. The Board reviewed the responses by Nuveen and Galliard to the sub-adviser questionnaires which included compliance procedures. The Board then discussed the qualifications of each Sub-Adviser’s management and investment professionals servicing the Funds, along with their background and experience. The Adviser discussed each Sub-Adviser’s experience in selecting investments for each Fund’s strategy. The Trustees concluded that they were satisfied with the nature, extent and quality of the services provided to the Trust under the Sub-Advisory Agreements.
As to the costs of the services provided and the profits realized by the Sub-Advisers, the Board reviewed each firm’s estimates of its profitability from their relationship with the Funds. The Board reviewed each Sub-Adviser response to the sub-adviser questionnaires for an analysis of revenues, expenses and profitability. Based on their review, the Trustees concluded that they were satisfied with each Sub-Adviser’s level of profitability, and believe those profits are not excessive. The Board noted that, based on estimated revenues and expenses, neither Galliard nor Nuveen had a profitable relationship with the Funds over the prior year.
The Board considered the fees paid by the Adviser to the Sub-Adviser and relied to a degree on the Adviser’s negotiation of the Sub-Advisory Agreements on an arm’s length basis, noting that the sub-advisory fees contain breakpoints. The Trustees concluded that the sub-advisory fees were reasonable in light of the quality of services the Funds received from the Sub-Advisers.
Having received and reviewed information from Nuveen and Galliard as the Board believed to be reasonably necessary, the Trustees, including the Independent Trustees, concluded that the sub-advisory fee structure is fair and reasonable and that renewal of the Sub-Advisory Agreements was in the best interests of the Trust and each Fund’s shareholders, and unanimously approved the renewal of the Sub-Advisory Agreements with respect to Nuveen and Galliard for an additional year.
LoCorr Long/Short Equity Fund
Approval of Advisory Agreement
In connection with a special meeting held on April 11, 2013 (the “Meeting”), the Board of Trustees (the “Board” or “Trustees”) of LoCorr Investment Trust (the “Trust”), including a majority of the Trustees who are not interested persons of the Trust or interested persons to the investment management agreement (the “Independent Trustees”), discussed the approval of an Investment Advisory Agreement (the “Management Agreement”) between LoCorr Fund Management, LLC (the “Adviser”) and the Trust, with respect to the LoCorr Long/Short Equity Fund (the “Fund”).
The Trustees reviewed a memorandum from Thompson Hine LLP (“Legal Counsel”) entitled “Duties of Trustees with Respect to Approval and Renewal of Investment Advisory Contracts,” which had been provided to them prior to the Meeting. The Board discussed with Legal Counsel that in fulfilling their responsibilities to the Fund and its shareholders, the Trustees must apply their business judgment to the question of whether the overall arrangements provided under the terms of the Management Agreement are reasonable business arrangements for the Fund.
Legal Counsel and the Board also discussed specific factors the Trustees should consider when approving an investment management contract, which include, but are not limited to: the investment performance of accounts managed by the investment adviser; the nature, extent and quality of the services to be provided by the Adviser to the Fund; the costs of the services to be provided by the Adviser and its affiliates from the relationship with the Fund; the extent to which economies of scale will be realized as the Fund grows and whether the fee levels reflect these economies of scale to the benefit of shareholders; and the profits to be realized by the Adviser in connection with the operation of the Fund and whether the amount of profit would be a fair entrepreneurial profit with respect to the advisory services provided to the Fund.
The Adviser provided responses to items requested by the Board in advance of the special Meeting. The request entailed a brief description of the Adviser, the nature of its clients and the services it provides, the amount of client assets managed by the Adviser, the recent history of the Adviser and the reason the Adviser elected to pursue managing the Fund.
The Board discussed the nature, extent and quality of services to be provided by the Adviser and the Adviser’s focus on compliance and operations. The Board then discussed the qualifications of the Adviser’s management and investment professionals who would service the Fund, along with their background and experience. The Board concluded that they were satisfied with the nature, extent and quality of the services to be provided to the Fund under the Management Agreement.
The Board reviewed the costs of the services to be provided and the profits to be realized by the Adviser and its affiliates from the relationship with the Fund. The Adviser discussed the proposed expense limitation agreement and explained that the Adviser has agreed to cap the Fund’s expenses, excluding certain expense items, for Class A, Class C and Class I. The Board discussed the proposed annual advisory fee and expense ratio of the Fund compared to the peer group funds. The Trustees concluded that the Fund’s management fee was reasonable in light of the quality of services the Fund expected to receive from the Adviser. The Board also concluded that they were satisfied with the Adviser’s expected level of profitability, and considered those profits to be reasonable.
The Board discussed the extent to which economies of scale will be realized as the Fund grows and whether the fee levels reflect these economies of scale to the benefit of shareholders. The Board concluded that economies of scale were difficult to estimate for a new fund, but that the issue would be revisited as the Fund grows.
58 | Approval of Advisory Agreements (Unaudited) (continued) |
The Board concluded that they were pleased with the services the Adviser provided to the existing funds in the Trust, and also concluded that the proposed advisory fee structure is fair and reasonable and that approval of the Advisory Agreement was in the best interests of the Trust and the Fund’s shareholders. Having received and reviewed information from the Adviser as the Board believed to be reasonably necessary, the Trustees, including the Independent Trustees, unanimously approved the Management Agreement.
Consideration and Approval of Sub-Advisory Agreement
In connection with the special Meeting held on April 11, 2013, the Board discussed the sub-advisory agreement (“Sub-Advisory Agreement”) between the Adviser and Millennium Asset Management, L.L.C. (“Millennium” or the “Sub-Adviser”) with respect to the Fund.
Legal Counsel noted that the same factors that the Board considered with respect to the approval of the Management Agreement would apply to its consideration of the Sub-Advisory Agreement.
The Sub-Adviser provided responses to a request for information that was provided to the Sub-Adviser on the Board’s behalf in advance of the special Meeting. This request entailed a brief description of the Sub-Adviser, the nature of its clients and the services it provides, the amount of client assets managed by the Sub-Adviser and the recent history of the Sub-Adviser. The Board discussed Millennium’s long track record in the industry.
The Sub-Adviser provided information on investment performance, which included one-year, five-year and since inception returns of the accounts managed by the Sub-Adviser with investment objectives and strategies comparable to the Fund.
The Board discussed the performance returns as compared to the benchmarks provided. The Board discussed the nature, extent and quality of services to be provided by Millennium. The Board discussed the experience of the Sub-Adviser’s management and investment professionals.
The Board reviewed the proposed Sub-Advisory fee. The Board discussed the expected modest profits and considered them to be reasonable.
The Board was satisfied with Millennium’s prior performance, proposed fees and expenses, projected profitability, and the nature, extent and quality of services to be delivered by Millennium.
The Board concluded that the proposed sub-advisory fee structure is fair and reasonable and that approval of the Sub-Advisory Agreement was in the best interests of the Trust and the Fund’s shareholders. Having received and reviewed information from Millennium as the Board believed to be reasonably necessary, the Trustees, including the Independent Trustees, unanimously approved the Sub-Advisory Agreement.
Notice of Privacy Policy & Practices | 59 |
Notice of Privacy Policy & Practices
(Unaudited)
Your privacy is important to us. The Funds are committed to maintaining the confidentiality, integrity, and security of your personal information. When you provide personal information, the Funds believe that you should be aware of policies to protect the confidentiality of that information. The Funds collect the following nonpublic personal information about you:
● Information we receive from you on or in applications or other forms, correspondence, or conversations, including, but not limited to, your name, address, phone number, social security number, assets, income, and date of birth; and
● Information about your transactions with us, our affiliates, or others, including, but not limited to, your account number and balance, payments history, parties to transactions, cost basis information, and other financial information.
The Funds do not disclose any nonpublic personal information about our current or former shareholders to affiliated or nonaffiliated third parties, except as permitted by law. For example, the Funds are permitted by law to disclose all of the information we collect, as described above, to our transfer agent to process your transactions. Furthermore, the Funds restrict access to your nonpublic personal information to those persons who require such information to provide products or services to you. The Funds maintain physical, electronic, and procedural safeguards that comply with applicable federal and state standards to guard your nonpublic personal information.
In the event that you hold shares of the Funds through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your nonpublic personal information would be shared with affiliated or non-affiliated third parties.
60 | Quarterly Portfolio Holdings/Proxy |
Quarterly Form N-Q portfolio schedule
(Unaudited)
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Additionally, you may obtain copies of Forms N-Q from the Funds upon request by calling 1-855-523-8637.
Proxy voting policies, procedures and record
(Unaudited)
You may obtain a description of the Funds’ (1) proxy voting policies, (2) proxy voting procedures and (3) information regarding how the Funds voted any proxies related to portfolio securities during the most recent 12-month period ended June 30 for which an SEC filing has been made, without charge, upon request by contacting the Funds directly at 1-855-523-8637, or on the EDGAR Database on the SEC’s website (http:// www.sec.gov).
| 61 |
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62 | |
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Contact Information | 63 |
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
Item 6. Investments.
(a) | Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | Not Applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
Item 11. Controls and Procedures.
(a) | The Registrant’s President and Treasurer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
Item 12. Exhibits.
(a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. |
Not applicable for semi-annual reports.
(2) A separate certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable to open-end investment companies.
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
Furnished herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) LoCorr Investment Trust
By (Signature and Title) /s/ Kevin Kinzie
Kevin Kinzie, President
Date 9/3/13
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) /s/ Kevin Kinzie
Kevin Kinzie, President
Date 9/3/13
By (Signature and Title) /s/ Jon Essen
Jon Essen, Treasurer
Date 9/3/13