SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
(Exact name of registrant as specified in charter)
(Address of principal executive offices) (Zip code)
(Name and address of agent for service)
Shareholder Letter | 3 |
Commodities
Similar to 2016, Commodity markets were generally difficult for many Commodity Trading Advisors (“CTAs”) during the first half of 2017 as commodities generally traded within a range and experienced multiple, punctuated reversals which tended to whipsaw the managers trading signals and resulted in unprofitable trading opportunities. The largest losses in Commodities were from Energy trading followed by Precious Metals, while positions in Base Metals were profitable. With oil prices moving lower during the first two months of the year, short Energy positions were hurt in March by a substantial rally as Brent Crude prices reversed and moved from approximately $51/barrel to just over $57/barrel by the second week of April before reversing course again. With gold and silver prices generally range-bound and prone to reversals during the period, Precious Metal positions fluctuated between long and short at inopportune times, leading to losses. Long Base Metal positions benefitted from rising prices early in the year.
4 | Shareholder Letter | |
Shareholder Letter | 5 | |
6 | Shareholder Letter |
Shareholder Letter | 7 | |
8 | Shareholder Letter |
Shareholder Letter | 9 |
10 | Shareholder Letter |
Shareholder Letter | 11 |
12 | Fund Performance |
Inception | Average Annual | ||||
Date | 6 Month | 1 Year | 5 Year | Since Inception | |
LoCorr Macro Strategies Fund - Class A (without maximum load) | 3/22/11 | -2.80% | -7.23% | 3.05% | 0.36% |
LoCorr Macro Strategies Fund - Class A (with maximum load) | 3/22/11 | -8.35% | -12.55% | 1.83% | -0.59% |
LoCorr Macro Strategies Fund - Class C | 3/24/11 | -4.10% | -8.79% | 2.28% | -0.39% |
LoCorr Macro Strategies Fund - Class I | 3/24/11 | -2.66% | -6.95% | 3.31% | 0.61% |
S&P 500 Total Return Index | 9.34% | 17.90% | 14.63% | 12.70%1 | |
Barclays CTA Index | -1.67% | -4.46% | 0.06% | -0.61%2 |
Inception | Average Annual | ||||
Date | 6 Month | 1 Year | 5 Year | Since Inception1 | |
LoCorr Long/Short Commodities Strategy Fund - Class A (without maximum load) | 1/1/12 | -3.05% | -9.93% | 2.66% | 1.36% |
LoCorr Long/Short Commodities Strategy Fund - Class A (with maximum load) | 1/1/12 | -8.63% | -15.11% | 1.44% | 0.28% |
LoCorr Long/Short Commodities Strategy Fund - Class C | 1/1/12 | -4.43% | -11.39% | 1.88% | 0.55% |
LoCorr Long/Short Commodities Strategy Fund - Class I | 1/1/12 | -2.92% | -9.58% | 2.90% | 1.60% |
S&P 500 Total Return Index | 9.34% | 17.90% | 14.63% | 15.09% | |
Morningstar Long/Short Commodity Index | -7.51% | -11.16% | -4.65% | -4.66% |
Fund Performance | 13 |
Inception | Average Annual | |||
Date | 6 Month | 1 Year | Since Inception1 | |
LoCorr Multi-Strategy Fund - Class A (without maximum load) | 4/6/15 | -1.89% | -3.69% | -7.30% |
LoCorr Multi-Strategy Fund - Class A (with maximum load) | 4/6/15 | -7.56% | -9.17% | -9.72% |
LoCorr Multi-Strategy Fund - Class C | 4/6/15 | -3.07% | -5.37% | -8.00% |
LoCorr Multi-Strategy Fund - Class I | 4/6/15 | -1.74% | -3.40% | -7.08% |
S&P 500 Total Return Index | 9.34% | 17.90% | 9.38% | |
Morningstar Multialternative Category | 2.31% | 3.11% | -0.75% |
Average Annual | ||||
Inception Date | 6 Month | 1 Year | Since Inception1 | |
LoCorr Market Trend Fund - Class A (without maximum load) | 7/1/14 | -3.38% | -15.10% | 3.06% |
LoCorr Market Trend Fund - Class A (with maximum load) | 7/1/14 | -8.94% | -19.97% | 1.05% |
LoCorr Market Trend Fund - Class C | 7/1/14 | -4.67% | -16.58% | 2.28% |
LoCorr Market Trend Fund - Class I | 7/1/14 | -3.18% | -14.85% | 3.35% |
S&P 500 Total Return Index | 9.34% | 17.90% | 9.61% | |
Barclays CTA Index | -1.67% | -4.46% | 0.79% |
14 | Fund Performance |
Average Annual | ||||
Inception Date | 6 Month | 1 Year | Since Inception1 | |
LoCorr Dynamic Equity Fund - Class A (without maximum load) | 5/10/13 | -0.58% | 17.78% | 4.58% |
LoCorr Dynamic Equity Fund - Class A (with maximum load) | 5/10/13 | -6.33% | 11.02% | 3.10% |
LoCorr Dynamic Equity Fund - Class C | 5/10/13 | -1.93% | 15.92% | 3.77% |
LoCorr Dynamic Equity Fund - Class I | 5/10/13 | -0.49% | 18.03% | 4.84% |
S&P 500 Total Return Index | 9.34% | 17.90% | 12.33% | |
Morningstar Long/Short Equity Fund Index | 4.31% | 8.36% | 3.39% |
Average Annual | ||||
Inception Date | 6 Month | 1 Year | Since Inception1 | |
LoCorr Spectrum Income Fund - Class A (without maximum load) | 1/1/14 | 2.69% | 5.19% | -1.19% |
LoCorr Spectrum Income Fund - Class A (with maximum load) | 1/1/14 | -3.22% | -0.91% | -2.85% |
LoCorr Spectrum Income Fund - Class C | 1/1/14 | 1.20% | 3.33% | -1.95% |
LoCorr Spectrum Income Fund - Class I | 1/1/14 | 2.85% | 5.40% | -0.94% |
S&P 500 Total Return Index | 9.34% | 17.90% | 10.35% | |
Morningstar Allocation - 70% to 85% Equity | 7.73% | 13.15% | 5.09% | |
Bloomberg Barclays U.S. Aggregate Bond Index | 2.27% | -0.31% | 3.26% |
LoCorr Macro Strategies Fund - Consolidated Schedule of Investments | 15 |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||
ASSET BACKED SECURITIES: 17.42% | ||||||||||
321 Henderson Receivables I LLC | ||||||||||
Series 2006-1A A1 (Acquired 03/30/2015, Cost, $1,427,033) (a)(c) | 03/15/2041 | 1.36% | $ | 1,447,616 | $ | 1,409,418 | ||||
Series 2006-4A A1 (Acquired 07/19/2016, Cost, $1,729,398) (a)(c) | 12/15/2041 | 1.36% | 1,788,791 | 1,744,416 | ||||||
Series 2004-A A1 (Acquired 02/08/2013, Cost, $230,004) (a)(c) | 09/15/2045 | 1.51% | 241,633 | 234,781 | ||||||
Ally Auto Receivables Trust, 2015-1 A3 | 09/16/2019 | 1.39% | 2,682,602 | 2,681,806 | ||||||
AmeriCredit Automobile Receivables, 2016-1 A2A (c) | 06/10/2019 | 1.52% | 1,806,320 | 1,806,432 | ||||||
Atlantic City Electric Transition Funding LLC, 2003-1 A3 | 10/20/2020 | 5.05% | 416,092 | 423,433 | ||||||
BA Credit Card Trust | ||||||||||
Series 2014-3A A (c) | 01/15/2020 | 1.45% | 2,040,000 | 2,040,678 | ||||||
Series 2015-1A A (c) | 06/15/2020 | 1.49% | 3,975,000 | 3,981,338 | ||||||
Cabela’s Credit Card Master Note Trust, 2013-2A A2 (Acquired 05/24/2016 through 08/12/2016, Cost, $3,883,520) (a)(c) | 08/16/2021 | 1.08% | 3,885,000 | 3,905,001 | ||||||
California Republic Auto Receivables Trust | ||||||||||
Series 2013-2 A2 | 03/15/2019 | 1.23% | 136,403 | 136,342 | ||||||
Series 2015-2 A2 | 03/15/2019 | 1.34% | 1,426,572 | 1,426,145 | ||||||
Series 2015-1 A3 | 04/15/2019 | 1.33% | 232,566 | 232,539 | ||||||
Series 2017-1 A2 | 11/15/2019 | 1.55% | 3,095,000 | 3,094,231 | ||||||
Capital Auto Receivables Asset Trust, 2015-2 A2 | 09/20/2018 | 1.39% | 410,988 | 410,982 | ||||||
Capital One Multi-Asset Execution Trust, 2014-3A (c) | 01/18/2022 | 1.54% | 3,060,000 | 3,073,108 | ||||||
CarMax Auto Owner Trust, 2017-1 | 02/18/2020 | 1.54% | 4,439,000 | 4,438,458 | ||||||
CenterPoint Energy Restoration Bond Co. LLC, 2009-1 A2 | 08/15/2019 | 3.46% | 1,184,731 | 1,194,352 | ||||||
Chase Issuance Trust | ||||||||||
Series 2013-A3 (c) | 04/15/2020 | 1.44% | 5,750,000 | 5,758,255 | ||||||
Series 2013-9A (c) | 11/16/2020 | 1.58% | 5,200,000 | 5,222,099 | ||||||
Series 2012-A4 | 08/16/2021 | 1.58% | 4,115,000 | 4,102,354 | ||||||
Chrysler Capital Auto Receivables Trust, 2015-B A3 (Acquired 02/10/2017 through 05/25/2017, Cost, $4,787,235) (a) | 03/16/2020 | 1.91% | 4,776,021 | 4,784,810 | ||||||
Citibank Credit Card Issuance Trust | ||||||||||
Series 2007-A8 | 09/20/2019 | 5.65% | 4,650,000 | 4,691,060 | ||||||
Series 2016-A2 | 11/20/2023 | 2.19% | 6,730,000 | 6,753,776 |
16 | LoCorr Macro Strategies Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||
ASSET BACKED SECURITIES (continued) | ||||||||||
Colony American Homes | ||||||||||
Series 2014-A1 (Acquired 04/02/2014 through 09/21/2016, Cost, $4,629,213) (a)(c) | 05/17/2031 | 2.36% | $ | 4,635,284 | $ | 4,660,644 | ||||
Series 2015-C1 (Acquired 05/27/2015, Cost, $1,940,000) (a)(c) | 07/17/2032 | 3.12% | 1,940,000 | 1,945,681 | ||||||
Series 2015-A1 (Acquired 01/06/2017, Cost, $3,905,272) (a)(c) | 07/19/2032 | 2.37% | 3,903,542 | 3,909,320 | ||||||
Colony Starwood Homes, 2016-A1 (Acquired 05/25/2017, Cost, $3,670,446) (a)(c) | 07/19/2033 | 2.71% | 3,619,779 | 3,670,233 | ||||||
Consumers 2014 Securitization Funding LLC, 2014-A A1 | 11/01/2020 | 1.33% | 1,087,504 | 1,078,701 | ||||||
Discover Card Execution Note Trust, 2013-A1 (c) | 08/17/2020 | 1.46% | 5,400,000 | 5,406,398 | ||||||
Entergy Arkansas Restoration Funding LLC, 2010-A A1 | 08/01/2021 | 2.30% | 3,998,695 | 4,017,465 | ||||||
Entergy Gulf States Reconstruction Funding 1 LLC, 2007-A A2 | 10/01/2018 | 5.79% | 118,883 | 119,344 | ||||||
Ford Credit Auto Owner Trust | ||||||||||
Series 2014-REV1 A (Acquired 05/01/2017, Cost, $5,468,726) (a) | 11/15/2025 | 2.26% | 5,420,000 | 5,469,736 | ||||||
Series 2016-REV1 A (Acquired 11/22/2016, Cost, $2,164,958) (a) | 08/15/2027 | 2.31% | 2,150,000 | 2,161,443 | ||||||
GM Financial Consumer Automobile, 2017-1A A2A (Acquired 04/03/2017 through 05/31/2017, Cost, $5,644,627) (a) | 03/16/2020 | 1.51% | 5,645,000 | 5,643,549 | ||||||
Honda Auto Receivables Owner Trust | ||||||||||
Series 2017-1 A3 | 07/22/2019 | 1.42% | 3,200,000 | 3,199,677 | ||||||
Series 2016-1 A3 | 12/18/2019 | 1.22% | 7,110,000 | 7,091,639 | ||||||
Huntington Auto Trust, 2015-1 A3 | 09/16/2019 | 1.24% | 3,230,780 | 3,228,478 | ||||||
Invitation Homes Trust | ||||||||||
Series 2014-SFR2 A (Acquired 08/04/2014 through 05/06/2015, Cost, $3,627,283) (a)(c) | 09/18/2031 | 2.31% | 3,627,283 | 3,634,092 | ||||||
Series 2015-SFR1 A (Acquired 03/23/2017, Cost, $3,629,612) (a)(c) | 03/18/2032 | 2.66% | 3,610,539 | 3,642,801 | ||||||
Series 2015-SFR3 A (Acquired 02/21/2017, Cost, $3,925,917) (a)(c) | 08/19/2032 | 2.51% | 3,906,009 | 3,923,821 | ||||||
Ocwen Master Advance Receivables Trust | ||||||||||
Series 2015-T3 AT3 (Acquired 11/06/2015, Cost, $1,549,987) (a) | 11/15/2047 | 3.21% | 1,550,000 | 1,546,345 | ||||||
Series 2016-T2 AT2 (Acquired 08/03/2016, Cost, $3,189,997) (a) | 08/16/2049 | 2.72% | 3,190,000 | 3,178,784 | ||||||
Ohio Phase-In-Recovery Funding LLC, 2013-1 A1 | 07/01/2018 | 0.96% | 416,877 | 416,870 | ||||||
OneMain Direct Auto Receivables Trust, 2016 A1 (Acquired 11/09/2016 through 03/27/2017, Cost, $1,255,156) (a) | 01/15/2021 | 2.04% | 1,252,896 | 1,254,295 | ||||||
Santander Drive Auto Receivables Trust, 2017-2 | 03/16/2020 | 1.60% | 4,750,000 | 4,747,815 | ||||||
SMB Private Education Loan Trust, 2017-A (Acquired 01/31/2017 through 03/20/2017, Cost, $3,644,408) (a)(c) | 06/17/2024 | 1.61% | 3,644,219 | 3,649,199 | ||||||
SoFi Professional Loan Program LLC, 2015-C A2 (Acquired 07/29/2015, Cost, $1,650,760)(a) | 08/25/2033 | 2.51% | 1,659,873 | 1,662,263 | ||||||
SPS Servicer Advance Receivables Trust, 2016-T1 A-T1 (Acquired 11/16/2016, Cost, $2,999,736) (a) | 11/16/2048 | 2.53% | 3,000,000 | 2,973,852 | ||||||
SWAY Residential Trust, 2014-1 A (Acquired 12/04/2014 through 02/02/2016, Cost, $74,887) (a)(c) | 01/20/2032 | 2.51% | 75,292 | 75,291 | ||||||
Synchrony Credit Card Master Note Trust | ||||||||||
Series 2014-1 A | 11/15/2020 | 1.61% | 2,935,000 | 2,936,672 | ||||||
Series 2015-3 A | 09/15/2021 | 1.74% | 4,000,000 | 4,002,748 | ||||||
Series 2017-1 | 06/15/2023 | 1.93% | 3,140,000 | 3,129,675 | ||||||
TCF Auto Receivables Owner Trust | ||||||||||
Series 2015-1A A3 (Acquired 09/19/2016, Cost, $997,777) (a) | 12/16/2019 | 1.49% | 997,133 | 996,602 | ||||||
Series 2016-1A A3 (Acquired 03/29/2017 through 06/05/2017, Cost, $2,163,522) (a) | 04/15/2021 | 1.71% | 2,172,000 | 2,164,986 | ||||||
Series 2016-PT1 A (Acquired 03/28/2017 through 05/03/2017, Cost, $3,608,411) (a) | 06/15/2022 | 1.93% | 3,610,369 | 3,607,010 | ||||||
United States Small Business Administration, 2008-10B 1 | 09/10/2018 | 5.73% | 18,716 | 19,192 | ||||||
Verizon Owner Trust, 2017-2A A (Acquired 06/13/2017, Cost, $4,299,341) (a) | 12/20/2021 | 1.92% | 4,300,000 | 4,299,341 | ||||||
Volkswagen Auto Loan Enhanced Trust, 2014-1 A3 | 10/22/2018 | 0.91% | 163,184 | 163,091 | ||||||
World Omni Auto Receivables Trust, 2017-A | 08/17/2020 | 1.50% | 5,000,000 | 4,997,349 | ||||||
TOTAL ASSET BACKED SECURITIES (Cost $172,201,614) | 172,170,216 | |||||||||
CORPORATE BONDS: 37.39% | ||||||||||
Finance and Insurance: 14.74% | ||||||||||
Aflac, Inc. | 03/16/2020 | 2.40% | 2,835,000 | 2,864,960 | ||||||
American Express Co. | 05/22/2018 | 1.55% | 2,500,000 | 2,499,338 | ||||||
American Express Credit Corp. | 10/30/2019 | 1.70% | 2,000,000 | 1,989,220 | ||||||
American International Group, Inc. | 08/15/2020 | 3.38% | 3,000,000 | 3,104,385 | ||||||
Bank of America Corp. | 05/01/2018 | 5.65% | 5,715,000 | 5,894,468 |
LoCorr Macro Strategies Fund - Consolidated Schedule of Investments (continued) | 17 |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||
CORPORATE BONDS (continued) | ||||||||||
Bank of America Corp. | 05/13/2021 | 5.00% | $ | 3,950,000 | $ | 4,309,956 | ||||
Bank of Montreal (b) | 07/18/2019 | 1.50% | 1,875,000 | 1,857,388 | ||||||
BB&T Corp. | 01/15/2020 | 2.45% | 3,410,000 | 3,448,093 | ||||||
Berkshire Hathaway Finance Corp. | 08/15/2018 | 2.00% | 1,330,000 | 1,336,403 | ||||||
Berkshire Hathaway Finance Corp. | 01/15/2021 | 4.25% | 1,500,000 | 1,614,822 | ||||||
BNP Paribas (b) | 08/20/2018 | 2.70% | 3,125,000 | 3,160,459 | ||||||
Capital One Financial Corp. | 04/24/2019 | 2.45% | 2,562,000 | 2,575,702 | ||||||
Capital One Financial Corp. | 05/12/2020 | 2.50% | 1,700,000 | 1,707,364 | ||||||
Caterpillar Financial Services Corp. | 03/05/2020 | 2.00% | 2,000,000 | 1,998,432 | ||||||
Charles Schwab Corp./The | 03/10/2018 | 1.50% | 2,050,000 | 2,050,570 | ||||||
Chubb INA Holdings, Inc. | 11/03/2020 | 2.30% | 2,500,000 | 2,514,255 | ||||||
Citigroup, Inc. | 07/30/2018 | 2.15% | 4,175,000 | 4,188,126 | ||||||
Citigroup, Inc. | 01/14/2022 | 4.50% | 1,195,000 | 1,284,993 | ||||||
Citizens Bank NA | 03/14/2019 | 2.50% | 2,725,000 | 2,744,972 | ||||||
Cooperatieve Rabobank UA (b) | 01/14/2019 | 2.25% | 2,000,000 | 2,012,780 | ||||||
Fifth Third Bancorp | 06/01/2018 | 4.50% | 1,300,000 | 1,330,953 | ||||||
Fifth Third Bancorp | 07/27/2020 | 2.88% | 1,965,000 | 2,005,833 | ||||||
Goldman Sachs Group, Inc./The | 04/25/2019 | 2.00% | 2,000,000 | 1,999,132 | ||||||
Goldman Sachs Group, Inc./The | 09/15/2020 | 2.75% | 4,135,000 | 4,184,818 | ||||||
Goldman Sachs Group, Inc./The | 02/25/2021 | 2.88% | 3,420,000 | 3,456,662 | ||||||
Hartford Financial Services Group, Inc./The | 03/30/2020 | 5.50% | 2,775,000 | 3,015,459 | ||||||
HSBC Holdings PLC (b) | 04/05/2021 | 5.10% | 2,390,000 | 2,598,415 | ||||||
HSBC USA, Inc. | 08/07/2020 | 2.75% | 2,040,000 | 2,073,350 | ||||||
ING Bank NV (Acquired 03/15/2016 through 10/11/2016, Cost, $2,508,210) (a)(b) | 03/22/2019 | 2.30% | 2,500,000 | 2,511,845 | ||||||
John Deere Capital Corp. | 06/22/2020 | 1.95% | 2,490,000 | 2,496,489 | ||||||
JPMorgan Chase & Co. | 03/22/2019 | 1.85% | 4,115,000 | 4,110,671 | ||||||
JPMorgan Chase & Co. | 01/23/2020 | 2.25% | 7,875,000 | 7,899,428 | ||||||
Keycorp | 12/13/2018 | 2.30% | 2,170,000 | 2,181,727 | ||||||
Lincoln National Corp. | 02/15/2020 | 6.25% | 1,155,000 | 1,266,917 | ||||||
Marsh & McLennan Cos, Inc. | 07/15/2021 | 4.80% | 2,000,000 | 2,174,334 | ||||||
Metropolitan Life Global Funding (Acquired 06/16/2016 through 08/10/2016, Cost, $2,020,218) (a) | 04/14/2020 | 2.00% | 2,000,000 | 1,994,530 | ||||||
Morgan Stanley | 07/24/2020 | 5.50% | 7,405,000 | 8,084,875 | ||||||
Nomura Holdings, Inc. (b) | 03/19/2019 | 2.75% | 1,560,000 | 1,575,611 | ||||||
PNC Bank NA | 10/18/2019 | 2.40% | 2,500,000 | 2,523,525 | ||||||
Pricoa Global Funding I (Acquired 09/14/2015, Cost, $1,849,186) (a) | 09/21/2018 | 1.90% | 1,850,000 | 1,853,077 | ||||||
Principal Life Global Funding II (Acquired 11/17/2015, Cost, $2,009,363) (a) | 10/15/2018 | 2.25% | 2,000,000 | 2,011,858 | ||||||
Prudential Financial, Inc. | 06/15/2019 | 7.38% | 1,400,000 | 1,543,171 | ||||||
Santander UK PLC (b) | 08/23/2018 | 3.05% | 1,505,000 | 1,523,856 | ||||||
Societe Generale SA (Acquired 04/04/2016, Cost, $1,498,875) (a)(b) | 04/08/2021 | 2.50% | 1,500,000 | 1,504,101 | ||||||
State Street Corp. | 08/18/2020 | 2.55% | 2,500,000 | 2,546,945 | ||||||
SunTrust Banks, Inc. | 03/03/2021 | 2.90% | 2,500,000 | 2,538,103 | ||||||
Teva Pharmaceutical Finance Netherlands III BV (b) | 07/19/2019 | 1.70% | 2,210,000 | 2,190,227 | ||||||
Travelers Co’s Inc./The | 11/01/2020 | 3.90% | 2,490,000 | 2,629,169 | ||||||
Trinity Acquisition PLC (b) | 09/15/2021 | 3.50% | 3,045,000 | 3,118,168 | ||||||
UBS AG (b) | 03/26/2020 | 2.35% | 2,000,000 | 2,011,872 | ||||||
UnitedHealth Group, Inc. | 10/15/2020 | 3.88% | 2,280,000 | 2,400,270 | ||||||
Wells Fargo & Co. | 04/22/2019 | 2.13% | 2,790,000 | 2,804,539 | ||||||
Wells Fargo & Co. | 07/22/2020 | 2.60% | 2,725,000 | 2,763,417 | ||||||
Westpac Banking Corp. (b) | 11/19/2019 | 4.88% | 3,345,000 | 3,562,070 | ||||||
145,642,103 | ||||||||||
Information: 4.83% | ||||||||||
21st Century Fox America, Inc. | 02/15/2021 | 4.50% | 2,500,000 | 2,678,997 | ||||||
America Movil SAB de CV (b) | 03/30/2020 | 5.00% | 3,075,000 | 3,303,196 | ||||||
AT&T, Inc. | 03/11/2019 | 2.30% | 5,790,000 | 5,824,340 | ||||||
CBS Corp. | 04/15/2020 | 5.75% | 1,645,000 | 1,799,426 |
18 | LoCorr Macro Strategies Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||
CORPORATE BONDS (continued) | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 07/23/2020 | 3.58% | $ | 3,500,000 | $ | 3,616,813 | ||||
Deutsche Telekom International Finance BV (b) | 07/08/2019 | 6.00% | 3,000,000 | 3,233,157 | ||||||
Discovery Communications LLC | 06/01/2020 | 5.05% | 2,150,000 | 2,300,113 | ||||||
Hewlett Packard Enterprise Co. | 10/05/2018 | 2.85% | 2,250,000 | 2,269,251 | ||||||
Microsoft Corp. | 02/06/2020 | 1.85% | 2,640,000 | 2,646,729 | ||||||
Oracle Corp. | 07/15/2020 | 3.88% | 2,750,000 | 2,906,173 | ||||||
Orange SA (b) | 11/03/2019 | 1.63% | 2,000,000 | 1,982,558 | ||||||
Rogers Communications, Inc. (b) | 08/15/2018 | 6.80% | 2,000,000 | 2,109,794 | ||||||
Verizon Communications, Inc. | 09/14/2018 | 3.65% | 4,365,000 | 4,461,737 | ||||||
Visa, Inc. | 12/14/2020 | 2.20% | 4,235,000 | 4,270,409 | ||||||
Vodafone Group PLC (b) | 03/16/2021 | 4.38% | 4,025,000 | 4,290,980 | ||||||
47,693,673 | ||||||||||
Manufacturing: 8.68% | ||||||||||
Abbott Laboratories | 11/30/2021 | 2.90% | 2,270,000 | 2,295,356 | ||||||
AbbVie, Inc. | 05/14/2020 | 2.50% | 1,845,000 | 1,866,389 | ||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (b) | 05/15/2019 | 3.75% | 3,500,000 | 3,594,959 | ||||||
Altria Group, Inc. | 01/14/2020 | 2.63% | 2,000,000 | 2,031,004 | ||||||
Anheuser-Busch InBev Finance, Inc. | 02/01/2021 | 2.65% | 3,875,000 | 3,926,956 | ||||||
Apple, Inc. | 05/06/2019 | 2.10% | 1,910,000 | 1,927,906 | ||||||
Apple, Inc. | 02/23/2021 | 2.25% | 3,175,000 | 3,196,044 | ||||||
Archer-Daniels-Midland Co. | 03/01/2021 | 4.48% | 2,000,000 | 2,162,048 | ||||||
Bunge Ltd. Finance Corp. | 11/24/2020 | 3.50% | 2,410,000 | 2,470,756 | ||||||
Celgene Corp. | 08/15/2018 | 2.13% | 2,870,000 | 2,881,087 | ||||||
Chevron Corp. | 03/03/2020 | 1.96% | 2,280,000 | 2,286,915 | ||||||
Corning, Inc. | 08/15/2020 | 4.25% | 2,000,000 | 2,108,134 | ||||||
Daimler Finance North America LLC (Acquired 09/19/2016, Cost, $2,289,566) (a) | 07/05/2019 | 1.50% | 2,300,000 | 2,278,099 | ||||||
Dr. Pepper Snapple Group, Inc. | 11/15/2021 | 2.53% | 3,670,000 | 3,668,202 | ||||||
Eastman Chemical Co. | 01/15/2020 | 2.70% | 2,000,000 | 2,026,356 | ||||||
General Electric Capital Corp. | 05/01/2018 | 5.63% | 3,085,000 | 3,190,146 | ||||||
General Electric Capital Corp. | 08/07/2019 | 6.00% | 3,565,000 | 3,874,456 | ||||||
Heineken NV (Acquired 06/27/2017, Cost, $3,131,090) (a)(b) | 04/01/2022 | 3.40% | 3,000,000 | 3,116,628 | ||||||
Ingersoll-Rand Luxembourg Finance SA (b) | 05/01/2020 | 2.63% | 2,600,000 | 2,625,717 | ||||||
Intel Corp. | 07/29/2020 | 2.45% | 3,500,000 | 3,559,108 | ||||||
Kraft Heinz Foods Co. | 07/02/2018 | 2.00% | 1,500,000 | 1,503,798 | ||||||
Kraft Heinz Foods Co. | 07/02/2020 | 2.80% | 2,135,000 | 2,166,935 | ||||||
L3 Technologies, Inc. | 02/15/2021 | 4.95% | 2,525,000 | 2,722,162 | ||||||
Merck & Co., Inc. | 05/18/2018 | 1.30% | 1,580,000 | 1,578,341 | ||||||
Newell Brands, Inc. | 03/29/2019 | 2.60% | 2,927,000 | 2,955,538 | ||||||
PepsiCo, Inc. | 10/14/2020 | 2.15% | 2,400,000 | 2,415,310 | ||||||
Philip Morris International, Inc. | 02/25/2019 | 1.38% | 2,250,000 | 2,235,263 | ||||||
QUALCOMM, Inc. | 05/20/2020 | 2.10% | 2,515,000 | 2,526,496 | ||||||
Reynolds American, Inc. | 06/12/2020 | 3.25% | 3,965,000 | 4,082,118 | ||||||
Rockwell Collins, Inc. | 07/15/2019 | 1.95% | 2,220,000 | 2,223,257 | ||||||
Siemens Financieringsmaatschappij NV (Acquired 09/06/2016 through 12/15/2016, Cost, $3,245,796) (a)(b) | 09/13/2019 | 1.30% | 3,270,000 | 3,229,671 | ||||||
Tyson Foods, Inc. | 08/15/2019 | 2.65% | 3,000,000 | 3,037,827 | ||||||
85,762,982 | ||||||||||
Mining, Quarrying, and Oil and Gas Extraction: 0.57% | ||||||||||
ConocoPhillips Co. | 03/15/2021 | 4.20% | 2,000,000 | 2,120,490 | ||||||
Occidental Petroleum Corp. | 02/15/2018 | 1.50% | 425,000 | 424,544 | ||||||
Total Capital International SA (b) | 01/10/2019 | 2.13% | 3,000,000 | 3,021,072 | ||||||
5,566,106 | ||||||||||
Professional, Scientific, and Technical Services: 0.85% | ||||||||||
Biogen, Inc. | 09/15/2020 | 2.90% | 2,250,000 | 2,295,103 | ||||||
eBay, Inc. | 08/01/2019 | 2.20% | 2,520,000 | 2,530,095 | ||||||
International Business Machines Corp. | 05/17/2019 | 1.80% | 3,590,000 | 3,598,401 | ||||||
8,423,599 |
LoCorr Macro Strategies Fund - Consolidated Schedule of Investments (continued) | 19 |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||
CORPORATE BONDS (continued) | ||||||||||
Real Estate and Rental and Leasing: 1.58% | ||||||||||
Air Lease Corp. | 06/01/2021 | 3.38% | $ | 3,150,000 | $ | 3,233,610 | ||||
Ford Motor Credit Company LLC | 11/04/2019 | 2.60% | 4,000,000 | 4,026,588 | ||||||
General Motors Financial Co., Inc. | 05/09/2019 | 2.40% | 2,170,000 | 2,175,805 | ||||||
National Rural Utilities Cooperative Finance Corp. | 02/01/2019 | 2.15% | 2,000,000 | 2,012,130 | ||||||
Toyota Motor Credit Corp. | 10/24/2018 | 2.00% | 2,030,000 | 2,041,021 | ||||||
Toyota Motor Credit Corp. | 09/15/2021 | 3.40% | 2,055,000 | 2,147,502 | ||||||
15,636,656 | ||||||||||
Retail Trade: 2.58% | ||||||||||
Amazon.com, Inc. | 12/05/2019 | 2.60% | 4,305,000 | 4,386,072 | ||||||
BP Capital Markets PLC (b) | 09/26/2018 | 2.24% | 1,000,000 | 1,005,705 | ||||||
BP Capital Markets PLC (b) | 01/15/2020 | 2.52% | 1,905,000 | 1,931,531 | ||||||
CVS Health Corp. | 12/05/2018 | 2.25% | 2,115,000 | 2,128,079 | ||||||
CVS Health Corp. | 07/20/2020 | 2.80% | 2,390,000 | 2,433,254 | ||||||
Home Depot, Inc./The | 06/15/2019 | 2.00% | 3,930,000 | 3,957,494 | ||||||
Hyundai Capital America (Acquired 12/02/2016, Cost, $2,539,096) (a) | 03/18/2021 | 3.00% | 2,535,000 | 2,549,242 | ||||||
Kroger Co./The | 09/30/2019 | 1.50% | 2,000,000 | 1,970,310 | ||||||
Lowe’s Co’s, Inc. | 04/15/2021 | 3.75% | 2,000,000 | 2,111,646 | ||||||
Walgreens Boots Alliance, Inc. | 11/18/2019 | 2.70% | 3,000,000 | 3,047,130 | ||||||
25,520,463 | ||||||||||
Transportation and Warehousing: 0.33% | ||||||||||
Carnival Corp. (b) | 10/15/2020 | 3.95% | 2,225,000 | 2,355,269 | ||||||
Spectra Energy Partners, LP | 09/25/2018 | 2.95% | 915,000 | 925,303 | ||||||
3,280,572 | ||||||||||
Utilities: 1.78% | ||||||||||
Dominion Resources, Inc. | 08/15/2019 | 1.60% | 2,305,000 | 2,285,476 | ||||||
Duke Energy Corp. | 09/15/2019 | 5.05% | 2,000,000 | 2,128,660 | ||||||
Exelon Generation Co., LLC | 10/01/2019 | 5.20% | 2,000,000 | 2,124,316 | ||||||
Exelon Generation Co., LLC | 01/15/2020 | 2.95% | 2,135,000 | 2,167,928 | ||||||
NextEra Energy Capital Holdings, Inc. | 03/01/2019 | 6.00% | 2,000,000 | 2,127,184 | ||||||
Northern States Power Co. | 08/15/2020 | 2.20% | 2,000,000 | 2,005,114 | ||||||
PG&E Corp. | 03/01/2019 | 2.40% | 2,260,000 | 2,271,090 | ||||||
Sempra Energy | 03/15/2020 | 2.40% | 2,475,000 | 2,486,113 | ||||||
17,595,881 | ||||||||||
Wholesale Trade: 1.45% | ||||||||||
Cardinal Health, Inc. | 11/15/2019 | 2.40% | 3,500,000 | 3,519,957 | ||||||
LyondellBasell Industries NV (b) | 04/15/2019 | 5.00% | 3,002,000 | 3,138,414 | ||||||
McKesson Corp. | 03/15/2019 | 2.28% | 2,120,000 | 2,132,160 | ||||||
Sherwin-Williams Co./The | 05/15/2020 | 2.25% | 2,255,000 | 2,260,045 | ||||||
Sysco Corp. | 10/01/2020 | 2.60% | 3,195,000 | 3,234,570 | ||||||
14,285,146 | ||||||||||
TOTAL CORPORATE BONDS (Cost $369,181,569) | 369,407,181 | |||||||||
MORTGAGE BACKED SECURITIES: 13.23% | ||||||||||
BXHTL Mortgage Trust, 2015-JWRZ A (Acquired 06/19/2015 through 11/15/2016, Cost, $4,571,492) (a)(c) | 05/15/2029 | 2.39% | 4,585,000 | 4,590,752 | ||||||
CD Mortgage Trust, 2007-CD5 A4 (c) | 11/15/2044 | 5.89% | 231,826 | 232,019 | ||||||
Citigroup Commercial Mortgage Trust, 2016-GC37 A1 | 04/12/2049 | 1.64% | 3,171,718 | 3,146,794 | ||||||
Cold Storage Trust, 2017-ICE3 (Acquired 04/20/2017, Cost, $3,775,000) (a)(c) | 04/15/2036 | 2.16% | 3,775,000 | 3,779,676 | ||||||
Commercial Mortgage Trust | ||||||||||
Series 2012-CR4 A2 (c) | 10/17/2045 | 1.80% | 2,369,366 | 2,369,645 | ||||||
Series 2007-GG11 A4 | 12/10/2049 | 5.74% | 512,645 | 512,257 | ||||||
CSMC Trust | ||||||||||
Series 2013-6 1A1 (Acquired 07/24/2013, Cost, $1,618,120) (a)(c) | 07/25/2028 | 2.50% | 1,658,016 | 1,632,433 | ||||||
Series 2015-2 A2 (Acquired 04/30/2015, Cost, $1,356,261) (a) | 02/25/2045 | 3.00% | 1,342,098 | 1,341,783 | ||||||
Series 2017-HL1 (Acquired 06/26/2017, Cost, $3,580,348) (a) | 06/25/2047 | 3.50% | 3,500,000 | 3,580,391 |
20 | | | LoCorr Macro Strategies Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||
MORTGAGE BACKED SECURITIES (continued) | ||||||||||
Fannie Mae Aces | ||||||||||
Series 2014-M13 ASQ2 | 11/25/2017 | 1.64% | $ | 412,774 | $ | 412,494 | ||||
Series 2015-M1 ASQ2 | 02/25/2018 | 1.63% | 447,580 | 447,380 | ||||||
Series 2015-M7 ASQ2 | 04/25/2018 | 1.55% | 2,324,605 | 2,322,119 | ||||||
Series 2013-M13 FA (c) | 05/25/2018 | 1.57% | 868,929 | 869,703 | ||||||
Series 2013-M14 FA (c) | 08/25/2018 | 1.57% | 2,349,002 | 2,353,222 | ||||||
Fannie Mae Connecticut Avenue Securities | ||||||||||
Series 2016-C03 2M1 (c) | 10/25/2028 | 3.42% | 1,873,315 | 1,900,643 | ||||||
Series 2017-C01 1M1 (c) | 07/25/2029 | 2.52% | 2,922,686 | 2,953,734 | ||||||
Series 2017-C02 2M1 (c) | 09/25/2029 | 2.37% | 2,650,977 | 2,674,654 | ||||||
Series 2017-C03 1M1 (c) | 10/25/2029 | 2.17% | 1,692,339 | 1,700,662 | ||||||
Fannie Mae Pool | 02/01/2021 | 3.50% | 33,345 | 34,716 | ||||||
Fannie Mae Pool | 08/01/2021 | 3.00% | 127,507 | 130,958 | ||||||
Fannie Mae Pool | 09/01/2021 | 3.00% | 157,077 | 161,329 | ||||||
Fannie Mae Pool | 11/01/2021 | 3.00% | 307,908 | 316,242 | ||||||
Fannie Mae Pool | 12/01/2025 | 3.50% | 293,005 | 305,052 | ||||||
Fannie Mae Pool | 09/01/2026 | 3.50% | 275,130 | 286,443 | ||||||
FDIC Guaranteed Notes Trust | ||||||||||
Series 2010-S4 A (Acquired 02/24/2012, Cost, $475,697) (a)(c) | 12/04/2020 | 1.71% | 475,406 | 475,728 | ||||||
Series 2010-S1 2A (Acquired 03/01/2012, Cost, $350,103) (a) | 04/25/2038 | 3.25% | 347,426 | 349,604 | ||||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||||
Series K-702 A2 | 02/25/2018 | 3.15% | 4,766,752 | 4,800,386 | ||||||
Series K-709 A1 | 10/25/2018 | 1.56% | 473,373 | 473,337 | ||||||
Series K-LH1 A (c) | 11/25/2022 | 1.76% | 3,245,000 | 3,257,201 | ||||||
Series 3855 HE | 02/15/2026 | 2.50% | 14,518 | 14,561 | ||||||
Series 4181 PF (c) | 11/15/2042 | 1.41% | 1,530,219 | 1,524,870 | ||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||||
Series 2013-DN2 M1 (c) | 11/27/2023 | 2.67% | 704,048 | 707,192 | ||||||
Series 2014-HQ2 M1 (c) | 09/25/2024 | 2.67% | 335,722 | 336,653 | ||||||
Series 2016-DNA2 M1 (c) | 10/25/2028 | 1.69% | 721,521 | 723,489 | ||||||
FREMF Mortgage Trust | ||||||||||
Series 2011-K702 B (Acquired 06/16/2016 through 01/20/2017, Cost, $5,767,798) (a)(c) | 04/25/2044 | 4.93% | 5,595,000 | 5,684,815 | ||||||
Series 2012-K708 B (Acquired 02/03/2015, Cost, $3,369,565) (a)(c) | 02/25/2045 | 3.88% | 3,250,000 | 3,323,819 | ||||||
Series 2013-K502 B (Acquired 05/06/2015, Cost, $2,907,766) (a)(c) | 03/25/2045 | 2.50% | 2,875,000 | 2,871,429 | ||||||
Series 2013-K712 B (Acquired 01/20/2017 through 02/08/2017, Cost, $3,987,320) (a)(c) | 05/25/2045 | 3.48% | 3,905,000 | 3,995,924 | ||||||
Series 2013-KF02 B (Acquired 11/01/2013 through 03/23/2017, Cost, $1,288,194) (a)(c) | 12/25/2045 | 4.00% | 1,276,481 | 1,297,432 | ||||||
Series 2011-K13 B (Acquired 05/25/2017, Cost, $4,887,830) (a)(c) | 01/25/2048 | 4.77% | 4,565,000 | 4,878,572 | ||||||
Series 2011-K10 B (Acquired 11/22/2016, Cost, $2,366,827) (a)(c) | 11/25/2049 | 4.79% | 2,220,000 | 2,352,334 | ||||||
GAHR Commercial Mortgage Trust, 2015-NRF AFL1 (Acquired 05/07/2015, | ||||||||||
Cost, $526,310) (a)(c) | 12/15/2034 | 2.29% | 525,344 | 526,123 | ||||||
GP Portfolio Trust, 2014-GPP A (Acquired 09/01/2016 through 05/24/2017, | ||||||||||
Cost, $5,528,731) (a)(c) | 02/16/2027 | 2.36% | 5,516,756 | 5,532,402 | ||||||
GS Mortgage Securities Trust | ||||||||||
Series 2014-GSFL A (Acquired 08/06/2014, Cost, $1,000) (a)(c) | 07/15/2031 | 2.16% | 1,000 | 999 | ||||||
Series 2010-C2 A1 (Acquired 04/11/2012, Cost, $157,359) (a) | 12/10/2043 | 3.85% | 150,753 | 154,935 | ||||||
JP Morgan Mortgage Trust | ||||||||||
Series 2016-1 A5 (Acquired 06/09/2016, Cost, $1,484,897) (a) | 05/25/2046 | 3.50% | 1,447,550 | 1,474,466 | ||||||
Series 2017-1 (Acquired 02/17/2017, Cost, $3,654,301) (a) | 01/25/2047 | 3.50% | 3,577,012 | 3,655,164 | ||||||
Series 2017-2 (Acquired 05/22/2017, Cost, $4,226,960) (a) | 05/25/2047 | 3.50% | 4,127,180 | 4,215,296 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||||
Series 2010-C2 A3 (Acquired 06/05/2017, Cost, $4,581,690) (a) | 11/15/2043 | 4.07% | 4,350,000 | 4,562,431 | ||||||
Series 2011-C3 A3 (Acquired 04/17/2015, Cost, $2,275,630) (a) | 02/16/2046 | 4.39% | 2,135,376 | 2,168,328 | ||||||
MASTR Asset Securitization Trust, 2004-1 4A1 | 02/25/2019 | 4.50% | 62,194 | 62,352 | ||||||
Morgan Stanley Capital I Trust, 2007-IQ16 4A | 12/12/2049 | 5.81% | 864,830 | 867,348 |
LoCorr Macro Strategies Fund - Consolidated Schedule of Investments (continued) | | | 21 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||
MORTGAGE BACKED SECURITIES (continued) | |||||||||||
NCUA Guaranteed Notes Trust | |||||||||||
Series 2011-R2 1A (c) | 02/06/2020 | 1.48% | $ | 2,169,497 | $ | 2,173,495 | |||||
Series 2011-R3 1A (c) | 04/09/2020 | 1.52% | 1,600,725 | 1,600,448 | |||||||
Series 2010-R1 1A (c) | 10/07/2020 | 1.53% | 168,148 | 168,375 | |||||||
New Residential Mortgage Loan Trust | |||||||||||
Series 2015-1A A3 (Acquired 06/23/2015 through 04/19/2016, Cost, $1,661,448) (a) | 05/28/2052 | 3.75% | 1,627,665 | 1,671,339 | |||||||
Series 2014-2A A3 (Acquired 02/18/2016, Cost, $1,568,396) (a)(c) | 05/25/2054 | 3.75% | 1,534,566 | 1,566,434 | |||||||
Series 2016-1A A1 (Acquired 03/29/2016 through 06/20/2017, Cost, $3,172,308) (a) | 03/25/2056 | 3.75% | 3,078,315 | 3,155,748 | |||||||
Series 2017-1A A1 (Acquired 03/06/2017, Cost, $3,752,124) (a) | 02/25/2057 | 4.00% | 3,647,606 | 3,792,181 | |||||||
Series 2017-2A A3 (Acquired 04/19/2017, Cost, $4,409,008) (a)(c) | 03/25/2057 | 4.00% | 4,242,045 | 4,416,881 | |||||||
Series 2017-3A A1 (Acquired 06/05/2017, Cost, $2,394,981) (a) | 04/25/2057 | 4.00% | 2,300,000 | 2,388,845 | |||||||
Opteum Mortgage Acceptance Corp., 2005-1 M3 (c) | 02/25/2035 | 2.07% | 1,062,697 | 1,061,633 | |||||||
Sequoia Mortgage Trust, 2015-3 A4 (Acquired 06/19/2015, Cost, $969,766) (a)(c) | 07/25/2045 | 3.50% | 959,863 | 974,711 | |||||||
VNDO Mortgage Trust, 2013-PENN (Acquired 06/05/2017, Cost, $4,413,947) (a) | 12/13/2029 | 3.81% | 4,185,000 | 4,383,736 | |||||||
Wells Fargo Commercial Mortgage Trust, 2015-LC22 A1 | 09/17/2058 | 1.64% | 4,647,875 | 4,635,932 | |||||||
WFRBS Commercial Mortgage Trust, 2012-C8 A2 | 08/17/2045 | 1.88% | 352,248 | 352,032 | |||||||
WIMC Capital Trust, 2012-A A1 (Acquired 06/21/2012, Cost, $82,601) (a) | 10/16/2050 | 4.55% | 82,602 | 82,654 | |||||||
TOTAL MORTGAGE BACKED SECURITIES (Cost $130,981,149) | 130,766,735 | ||||||||||
MUNICIPAL BONDS: 0.84% | |||||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority | 02/01/2021 | 3.22% | 483,208 | 486,890 | |||||||
Metropolitan Council, (Minneapolis - St. Paul Metropolitan Area), State of Minnesota | 09/01/2017 | 1.20% | 2,020,000 | 2,019,899 | |||||||
Metropolitan Government of Nashville & Davidson County TN | 07/01/2017 | 1.21% | 1,500,000 | 1,500,000 | |||||||
North Carolina Eastern Municipal Power Agency | 07/01/2018 | 2.00% | 1,385,000 | 1,390,360 | |||||||
St. Paul Housing & Redevelopment Authority | 07/01/2018 | 1.84% | 1,385,000 | 1,387,452 | |||||||
State of Ohio | 08/01/2017 | 3.33% | 1,500,000 | 1,502,235 | |||||||
TOTAL MUNICIPAL BONDS (Cost $8,288,902) | 8,286,836 | ||||||||||
U.S. GOVERNMENT AGENCY ISSUES: 9.58% | |||||||||||
Federal Farm Credit Banks | 09/27/2019 | 1.55% | 4,000,000 | 3,995,640 | |||||||
Federal Farm Credit Banks | 10/21/2019 | 1.44% | 8,500,000 | 8,482,413 | |||||||
Federal Farm Credit Banks | 04/13/2020 | 1.55% | 16,775,000 | 16,735,277 | |||||||
Federal Farm Credit Banks | 05/08/2020 | 1.55% | 17,800,000 | 17,749,768 | |||||||
Federal Home Loan Banks | 05/28/2019 | 1.38% | 2,985,000 | 2,981,806 | |||||||
Federal Home Loan Banks | 06/12/2020 | 1.75% | 10,000,000 | 10,033,970 | |||||||
Federal Home Loan Mortgage Corp. | 01/17/2020 | 1.50% | 2,085,000 | 2,083,249 | |||||||
Federal Home Loan Mortgage Corp. | 04/20/2020 | 1.38% | 8,500,000 | 8,449,723 | |||||||
Federal National Mortgage Association | 02/26/2019 | 1.00% | 10,000,000 | 9,933,250 | |||||||
Federal National Mortgage Association | 08/02/2019 | 0.88% | 5,925,000 | 5,853,770 | |||||||
Federal National Mortgage Association | 10/24/2019 | 1.00% | 6,900,000 | 6,823,555 | |||||||
Federal National Mortgage Association | 02/28/2020 | 1.50% | 1,500,00 | 1,496,068 | |||||||
TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $94,971,761) | 94,618,489 | ||||||||||
U.S. GOVERNMENT NOTES: 6.81% | |||||||||||
United States Treasury Note | 03/15/2018 | 1.00% | 1,500,000 | 1,497,480 | |||||||
United States Treasury Note | 05/31/2018 | 2.38% | 16,800,000 | 16,961,431 | |||||||
United States Treasury Note | 07/15/2018 | 0.88% | 15,000,000 | 14,934,375 | |||||||
United States Treasury Note | 12/15/2019 | 1.38% | 8,155,000 | 8,137,801 | |||||||
United States Treasury Note | 09/30/2020 | 1.38% | 2,340,000 | 2,322,633 | |||||||
United States Treasury Note | 04/30/2021 | 1.38% | 5,320,000 | 5,252,048 | |||||||
United States Treasury Note | 04/30/2022 | 1.88% | 7,000,000 | 6,998,635 | |||||||
United States Treasury Note | 05/31/2022 | 1.75% | 6,700,000 | 6,660,745 | |||||||
United States Treasury Note | 05/31/2022 | 1.88% | 4,500,000 | 4,499,824 | |||||||
TOTAL U.S. GOVERNMENT NOTES (Cost $67,477,808) | 67,264,972 |
22 | | | LoCorr Macro Strategies Fund - Consolidated Schedule of Investments (continued) |
Shares | Value | |||
SHORT TERM INVESTMENT: 1.95% | ||||
MONEY MARKET FUND: 1.95% | ||||
STIT-Government & Agency Portfolio, Institutional Class, 0.89% (d)(e) | 19,255,770 | 19,255,770 | ||
TOTAL MONEY MARKET FUND (Cost $19,255,770) | 19,255,770 | |||
TOTAL SHORT TERM INVESTMENT (Cost $19,255,770) | 19,255,770 | |||
TOTAL INVESTMENTS (Cost $862,358,573): 87.22% | 861,770,199 | |||
Other Assets in Excess of Liabilities: 12.78% (f) | 126,317,778 | |||
TOTAL NET ASSETS: 100.00% | $ | 988,087,977 |
(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, 2017, the value of these securities total $182,074,130 which represents 18.43% of total net assets. |
(b) | Foreign issued security. |
(c) | Variable rate security. The rate reported is the rate in effect as of June 30, 2017. |
(d) | The rate quoted is the annualized seven-day effective yield as of June 30, 2017. |
(e) | All or a portion of this security is held by LCMFS Fund Limited and pledged as collateral for derivative contracts. |
(f) | Includes assets pledged as collateral for derivative contracts. |
LoCorr Macro Strategies Fund - Consolidated Schedule of Open Forward Currency Contracts | | 23 |
Currency to be Received | Currency to be Delivered | |||||||||||||||||||||||
Notional Amount | Counter- party | Forward Settlement Date | Curr Abbr. | U.S. $ Value at June 30, 2017 | Curr Abbr. | U.S. $ Value on Origination Date | Unrealized Appreciation | Unrealized (Depreciation) | ||||||||||||||||
See key for Abbreviation | ||||||||||||||||||||||||
Purchase Contracts: | ||||||||||||||||||||||||
$ | 9,579,992 | DB | 07/19/2017 | AUD | $ | 9,681,770 | USD | $ | 9,579,992 | $ | 101,778 | $ | — | |||||||||||
90,448,044 | BAML | 09/22/2017 | AUD | 91,692,637 | USD | 90,448,044 | 1,244,593 | — | ||||||||||||||||
16,131,227 | DB | 07/19/2017 | BRL | 16,087,594 | USD | 16,131,227 | — | (43,633) | ||||||||||||||||
63,034,362 | DB | 07/19/2017 | CAD | 64,106,176 | USD | 63,034,362 | 1,071,814 | — | ||||||||||||||||
96,175,214 | BAML | 09/22/2017 | CAD | 97,530,937 | USD | 96,175,214 | 1,355,723 | — | ||||||||||||||||
35,208,171 | DB | 07/19/2017 | CHF | 35,565,721 | USD | 35,208,171 | 357,550 | — | ||||||||||||||||
59,411,777 | BAML | 09/22/2017 | CHF | 59,725,892 | USD | 59,411,777 | 314,115 | — | ||||||||||||||||
358,658 | DB | 07/19/2017 | CLP | 356,826 | USD | 358,658 | — | (1,832) | ||||||||||||||||
1,049,114 | DB | 07/19/2017 | COP | 1,030,893 | USD | 1,049,114 | — | (18,221) | ||||||||||||||||
23,077,452 | DB | 07/19/2017 | EUR | 23,450,126 | NOK | 23,077,452 | 372,674 | — | ||||||||||||||||
5,829,180 | DB | 07/19/2017 | EUR | 5,956,858 | PLN | 5,829,180 | 127,678 | — | ||||||||||||||||
27,140,275 | DB | 07/19/2017 | EUR | 27,623,356 | SEK | 27,140,275 | 483,081 | — | ||||||||||||||||
6,139,037 | DB | 07/19/2017 | EUR | 6,139,794 | TRY | 6,139,037 | 757 | — | ||||||||||||||||
45,540,169 | DB | 07/19/2017 | EUR | 46,271,409 | USD | 45,540,169 | 731,240 | — | ||||||||||||||||
100,388,809 | BAML | 09/22/2017 | EUR | 101,969,261 | USD | 100,388,809 | 1,580,452 | — | ||||||||||||||||
25,381,950 | DB | 07/19/2017 | GBP | 25,948,586 | USD | 25,381,950 | 566,636 | — | ||||||||||||||||
99,929,025 | BAML | 09/22/2017 | GBP | 100,403,258 | USD | 99,929,025 | 474,233 | — | ||||||||||||||||
1,315,990 | DB | 07/19/2017 | ILS | 1,316,786 | USD | 1,315,990 | 796 | — | ||||||||||||||||
6,418,838 | DB | 07/19/2017 | INR | 6,399,173 | USD | 6,418,838 | — | (19,665) | ||||||||||||||||
36,910,581 | DB | 07/19/2017 | JPY | 36,439,557 | USD | 36,910,581 | — | (471,024) | ||||||||||||||||
25,024,083 | BAML | 09/22/2017 | JPY | 24,404,601 | USD | 25,024,083 | — | (619,482) | ||||||||||||||||
5,644,902 | DB | 07/19/2017 | KRW | 5,572,532 | USD | 5,644,902 | — | (72,370) | ||||||||||||||||
16,632,438 | DB | 07/19/2017 | MXN | 16,610,688 | USD | 16,632,438 | — | (21,750) | ||||||||||||||||
24,701,204 | BAML | 09/22/2017 | MXN | 24,771,208 | USD | 24,701,204 | 70,004 | — | ||||||||||||||||
15,488,011 | DB | 07/19/2017 | NOK | 15,707,484 | EUR | 15,488,011 | 219,473 | — | ||||||||||||||||
5,314,629 | DB | 07/19/2017 | NOK | 5,409,137 | USD | 5,314,629 | 94,508 | — | ||||||||||||||||
23,327,347 | DB | 07/19/2017 | NZD | 23,551,156 | USD | 23,327,347 | 223,809 | — | ||||||||||||||||
45,217,547 | BAML | 09/22/2017 | NZD | 46,004,015 | USD | 45,217,547 | 786,468 | — | ||||||||||||||||
9,243,381 | DB | 07/19/2017 | PLN | 9,342,663 | EUR | 9,243,381 | 99,282 | — | ||||||||||||||||
593,520 | DB | 07/19/2017 | PLN | 593,630 | USD | 593,520 | 110 | — | ||||||||||||||||
5,771,259 | DB | 07/19/2017 | RUB | 5,616,101 | USD | 5,771,259 | — | (155,158) | ||||||||||||||||
6,492,057 | DB | 07/19/2017 | SEK | 6,713,477 | EUR | 6,492,057 | 221,420 | — | ||||||||||||||||
9,652,628 | DB | 07/19/2017 | SEK | 9,869,171 | USD | 9,652,628 | 216,543 | — | ||||||||||||||||
4,379,599 | DB | 07/19/2017 | SGD | 4,395,709 | USD | 4,379,599 | 16,110 | — | ||||||||||||||||
11,460,678 | DB | 07/19/2017 | TRY | 11,398,931 | EUR | 11,460,678 | — | (61,747) | ||||||||||||||||
8,984,599 | DB | 07/19/2017 | TRY | 9,022,416 | USD | 8,984,599 | 37,817 | — | ||||||||||||||||
7,979,934 | DB | 07/19/2017 | ZAR | 7,869,919 | USD | 7,979,934 | — | (110,015) | ||||||||||||||||
Total Purchase Contracts | 984,549,448 | 975,375,681 | 10,768,664 | (1,594,897) |
Sale Contracts: | ||||||||||||||||||||||||
$ | 11,877,854 | DB | 07/19/2017 | USD | $ | (12,048,425) | AUD | $ | (11,877,854) | $ | — | $ | (170,571) | |||||||||||
66,374,365 | BAML | 09/22/2017 | USD | (67,449,486) | AUD | (66,374,365) | — | (1,075,121) | ||||||||||||||||
6,363,770 | DB | 07/19/2017 | USD | (6,383,346) | BRL | (6,363,770) | — | (19,576) | ||||||||||||||||
72,148,625 | DB | 07/19/2017 | USD | (74,613,109) | CAD | (72,148,625) | — | (2,464,484) | ||||||||||||||||
80,102,432 | BAML | 09/22/2017 | USD | (83,315,445) | CAD | (80,102,432) | — | (3,213,013) | ||||||||||||||||
33,517,954 | DB | 07/19/2017 | USD | (33,780,126) | CHF | (33,517,954) | — | (262,172) | ||||||||||||||||
4,539,301 | BAML | 09/22/2017 | USD | (4,557,275) | CHF | (4,539,301) | — | (17,974) | ||||||||||||||||
231,055 | DB | 07/19/2017 | USD | (231,861) | CLP | (231,055) | — | (806) | ||||||||||||||||
2,377,628 | DB | 07/19/2017 | USD | (2,370,956) | COP | (2,377,628) | 6,672 | — | ||||||||||||||||
15,488,011 | DB | 07/19/2017 | NOK | (15,766,808) | EUR | (15,488,011) | — | (278,797) | ||||||||||||||||
9,243,381 | DB | 07/19/2017 | PLN | (9,409,777) | EUR | (9,243,381) | — | (166,396) | ||||||||||||||||
6,492,057 | DB | 07/19/2017 | SEK | (6,631,435) | EUR | (6,492,057) | — | (139,378) | ||||||||||||||||
11,460,678 | DB | 07/19/2017 | TRY | (11,536,410) | EUR | (11,460,678) | — | (75,732) | ||||||||||||||||
21,411,980 | DB | 07/19/2017 | USD | (21,860,868) | EUR | (21,411,980) | — | (448,888) | ||||||||||||||||
12,563,452 | BAML | 09/22/2017 | USD | (12,696,249) | EUR | (12,563,452) | — | (132,797) | ||||||||||||||||
29,077,116 | DB | 07/19/2017 | USD | (29,610,842) | GBP | (29,077,116) | — | (533,726) | ||||||||||||||||
68,495,444 | BAML | 09/22/2017 | USD | (69,947,320) | GBP | (68,495,444) | — | (1,451,876) |
24 | | LoCorr Macro Strategies Fund - Consolidated Schedule of Open Forward Currency Contracts (continued) |
Currency to be Received | Currency to be Delivered | |||||||||||||||||||||||
Notional | Counter- | Forward | Curr | U.S. $ Value at | Curr | U.S. $ Value on | Unrealized | Unrealized | ||||||||||||||||
Amount | party | Settlement Date | Abbr. | June 30, 2017 | Abbr. | Origination Date | Appreciation | (Depreciation) | ||||||||||||||||
See key for abbreviation | ||||||||||||||||||||||||
Sale Contracts (continued) | ||||||||||||||||||||||||
$ | 5,039,083 | DB | 07/19/2017 | USD | $ | (5,086,409) | ILS | $ | (5,039,083) | $ | — | $ | (47,326) | |||||||||||
654,324 | DB | 07/19/2017 | USD | (655,780) | INR | (654,324) | — | (1,456) | ||||||||||||||||
33,441,566 | DB | 07/19/2017 | USD | (32,853,442) | JPY | (33,441,566) | 588,124 | — | ||||||||||||||||
62,849,004 | BAML | 09/22/2017 | USD | (61,892,326) | JPY | (62,849,004) | 956,678 | — | ||||||||||||||||
15,388,312 | DB | 07/19/2017 | USD | (15,168,407) | KRW | (15,388,312) | 219,905 | — | ||||||||||||||||
5,438,124 | DB | 07/19/2017 | USD | (5,390,441) | MXN | (5,438,124) | 47,683 | — | ||||||||||||||||
1,901,272 | BAML | 09/22/2017 | USD | (1,889,921) | MXN | (1,901,272) | 11,351 | — | ||||||||||||||||
23,077,452 | DB | 07/19/2017 | EUR | (23,309,683) | NOK | (23,077,452) | — | (232,231) | ||||||||||||||||
8,966,428 | DB | 07/19/2017 | USD | (9,096,314) | NOK | (8,966,428) | — | (129,886) | ||||||||||||||||
31,902,775 | DB | 07/19/2017 | USD | (32,466,165) | NZD | (31,902,775) | — | (563,390) | ||||||||||||||||
14,964,189 | BAML | 09/22/2017 | USD | (15,209,559) | NZD | (14,964,189) | — | (245,370) | ||||||||||||||||
5,829,180 | DB | 07/19/2017 | EUR | (5,944,043) | PLN | (5,829,180) | — | (114,863) | ||||||||||||||||
7,634,593 | DB | 07/19/2017 | USD | (7,765,759) | PLN | (7,634,593) | — | (131,166) | ||||||||||||||||
2,685,009 | DB | 07/19/2017 | USD | (2,680,220) | RUB | (2,685,009) | 4,789 | — | ||||||||||||||||
27,140,275 | DB | 07/19/2017 | EUR | (27,991,050) | SEK | (27,140,275) | — | (850,775) | ||||||||||||||||
5,028,771 | DB | 07/19/2017 | USD | (5,220,382) | SEK | (5,028,771) | — | (191,611) | ||||||||||||||||
6,170,474 | DB | 07/19/2017 | USD | (6,212,118) | SGD | (6,170,474) | — | (41,644) | ||||||||||||||||
6,139,037 | DB | 07/19/2017 | EUR | (6,136,871) | TRY | (6,139,037) | 2,166 | — | ||||||||||||||||
169,635 | DB | 07/19/2017 | USD | (169,594) | TRY | (169,635) | 41 | — | ||||||||||||||||
361,088 | DB | 07/19/2017 | USD | (358,001) | ZAR | (361,088) | 3,087 | — | ||||||||||||||||
Total Sale Contracts | (727,706,223) | (716,545,694) | 1,840,496 | (13,001,025) | ||||||||||||||||||||
Total Forward Currency Contracts | $ | 256,843,225 | $ | 258,829,987 | $ | 12,609,160 | $ | (14,595,922) | ||||||||||||||||
Net Unrealized Depreciation | $ | (1,986,762) |
Counterparty: | |
BAML | Bank of America Merrill Lynch |
DB | Deutsche Bank |
Currency abbreviations: | COP | COLOMBIAN PESO | KRW | SOUTH KOREAN WON | SEK | SWEDISH KRONA | ||||||||||||||||||
AUD | AUSTRALIAN DOLLAR | EUR | EURO | MXN | MEXICAN PESO | SGD | SINGAPORE DOLLAR | |||||||||||||||||
BRL | BRAZILIAN REAL | GBP | BRITISH POUND | NOK | NORWEGIAN KRONE | TRY | TURKISH LIRA | |||||||||||||||||
CAD | CANADIAN DOLLAR | ILS | ISRAELI NEW SHEQEL | NZD | NEW ZEALAND DOLLAR | USD | U.S. DOLLAR | |||||||||||||||||
CHF | SWISS FRANC | INR | INDIAN RUPEE | PLN | POLISH ZLOTY | ZAR | SOUTH AFRICAN RAND | |||||||||||||||||
CLP | CHILEAN PESO | JPY | JAPANESE YEN | RUB | RUSSIAN RUBLE |
LoCorr Macro Strategies Fund - Consolidated Schedule of Open Futures Contracts | | 25 |
Number of Contracts | Settlement | Unrealized | Unrealized | |||||||||||||
Description | Notional Amount | Purchased (Sold) | Month-Year | Appreciation | (Depreciation) | |||||||||||
Purchase Contracts: | ||||||||||||||||
3 Mo Euro Euribor | $ | 182,908,833 | 640 | Dec-18 | $ | — | $ | (149,368 | ) | |||||||
90 Day Euro | 44,298,000 | 180 | Mar-18 | — | (34,749 | ) | ||||||||||
90 Day Euro | 19,673,000 | 80 | Jun-18 | — | (8,888 | ) | ||||||||||
90 Day Euro | 44,967,675 | 183 | Sep-18 | — | (22,254 | ) | ||||||||||
90 Day Euro | 551,393,000 | 2,246 | Dec-18 | — | (286,754 | ) | ||||||||||
90 Day Euro | 16,930,013 | 69 | Mar-19 | — | (12,332 | ) | ||||||||||
90 Day Euro | 14,957,963 | 61 | Jun-19 | — | (6,743 | ) | ||||||||||
90 Day Euro | 24,752,575 | 101 | Sep-19 | — | (17,987 | ) | ||||||||||
90 Day Sterling | 272,055,993 | 1,684 | Dec-18 | — | (708,977 | ) | ||||||||||
Aluminum (a)(b) | 24,761,550 | 516 | Sep-17 | — | (350,081 | ) | ||||||||||
Amsterdam Exchange Index | 13,421,203 | 116 | Jul-17 | — | (412,350 | ) | ||||||||||
Australian 10 Yr Bond | 112,860,246 | 1,136 | Sep-17 | — | (1,710,263 | ) | ||||||||||
Australian 3 Yr Bond | 76,891,333 | 896 | Sep-17 | — | (472,949 | ) | ||||||||||
Australian Dollar | 1,918,750 | 25 | Sep-17 | 22,705 | — | |||||||||||
British Pound | 8,886,906 | 109 | Sep-17 | 18,451 | — | |||||||||||
CAC 40 10 Euro Index | 29,452,863 | 504 | Jul-17 | — | (714,246 | ) | ||||||||||
Canadian 10 Yr Bond | 103,396,591 | 954 | Sep-17 | — | (3,197,849 | ) | ||||||||||
Canadian Dollar | 5,406,800 | 70 | Sep-17 | 27,763 | — | |||||||||||
Cocoa (a) | 174,600 | 9 | Sep-17 | 1,857 | — | |||||||||||
Copper (a)(b) | 36,978,056 | 249 | Sep-17 | 1,132,414 | — | |||||||||||
Copper (NYCOM) (a) | 6,845,275 | 101 | Sep-17 | 51,349 | — | |||||||||||
DAX Index | 47,138,909 | 134 | Sep-17 | — | (1,508,934 | ) | ||||||||||
Dow Jones Industrial Average Mini E-Cbot Index | 71,994,000 | 676 | Sep-17 | 318,167 | — | |||||||||||
Euro | 28,524,163 | 199 | Sep-17 | 45,643 | — | |||||||||||
Euro-Bobl | 104,994,173 | 698 | Sep-17 | — | (954,869 | ) | ||||||||||
Euro-BTP | 54,794,413 | 355 | Sep-17 | — | (184,840 | ) | ||||||||||
Euro-Bund | 41,413,163 | 224 | Sep-17 | — | (786,044 | ) | ||||||||||
Euro-Buxl 30 Yr Bond | 12,513,238 | 67 | Sep-17 | — | (417,088 | ) | ||||||||||
Euro-OAT | 87,337,187 | 515 | Sep-17 | — | (1,047,266 | ) | ||||||||||
Euro-Schatz | 88,658,313 | 694 | Sep-17 | — | (241,093 | ) | ||||||||||
Euro-Stoxx 50 Index | 63,640,082 | 1,624 | Sep-17 | — | (1,990,120 | ) | ||||||||||
FTSE 100 Index | 51,598,733 | 547 | Sep-17 | — | (1,204,270 | ) | ||||||||||
Gold (a) | 5,838,810 | 47 | Aug-17 | — | (190,377 | ) | ||||||||||
Hang Seng Index | 49,318,824 | 301 | Jul-17 | — | (170,496 | ) | ||||||||||
H-Shares Index | 7,116,632 | 109 | Jul-17 | — | (88,523 | ) | ||||||||||
IBEX 35 Index | 5,823,710 | 49 | Jul-17 | — | (131,015 | ) | ||||||||||
Lead (a)(b) | 1,318,906 | 23 | Sep-17 | 65,127 | — | |||||||||||
Live Cattle (a) | 2,232,960 | 48 | Aug-17 | — | (25,828 | ) | ||||||||||
Long Gilt | 152,100,991 | 930 | Sep-17 | — | (2,560,560 | ) | ||||||||||
MSCI Taiwan Index | 3,197,990 | 83 | Jul-17 | — | (43,927 | ) | ||||||||||
Nasdaq 100 E-Mini Index | 27,359,310 | 242 | Sep-17 | — | (516,981 | ) | ||||||||||
Nickel (a)(b) | 1,689,750 | 30 | Sep-17 | 22,471 | — | |||||||||||
Nikkei 225 Index (OSE) | 27,945,232 | 157 | Sep-17 | 7,958 | — | |||||||||||
Nikkei 225 Index (SGX) | 14,492,110 | 163 | Sep-17 | — | (13,465 | ) | ||||||||||
Russell 2000 Mini Index | 32,599,615 | 461 | Sep-17 | — | (42,471 | ) | ||||||||||
S&P/TSX 60 Index | 6,445,466 | 47 | Sep-17 | — | (50,326 | ) | ||||||||||
S&P500 E-Mini Index | 105,551,240 | 872 | Sep-17 | — | (511,496 | ) | ||||||||||
SPI 200 Index | 5,644,354 | 52 | Sep-17 | — | (50,276 | ) |
26 | | LoCorr Macro Strategies Fund - Consolidated Schedule of Open Futures Contracts (continued) |
Description | Notional Amount | Number of Contracts Purchased (Sold) | Settlement Month-Year | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||
Purchase Contracts (continued) | ||||||||||||||||
Swiss Franc | $ | 3,667,300 | 28 | Sep-17 | $ | — | $ | (2,016 | ) | |||||||
Tokyo Price Index | 33,526,650 | 234 | Sep-17 | 137,309 | — | |||||||||||
U.S. 10 Yr Note | 218,173,313 | 1,738 | Sep-17 | — | (907,542 | ) | ||||||||||
U.S. 2 Yr Note | 273,810,581 | 1,267 | Sep-17 | — | (217,476 | ) | ||||||||||
U.S. 5 Yr Note | 315,800,316 | 2,680 | Sep-17 | — | (761,455 | ) | ||||||||||
U.S. Long Bond | 157,837,063 | 1,027 | Sep-17 | — | (1,205,544 | ) | ||||||||||
U.S. Ultra Bond | 26,705,875 | 161 | Sep-17 | — | (251,995 | ) | ||||||||||
Wheat (a) | 184,100 | 7 | Sep-17 | 232 | — | |||||||||||
Zinc (a)(b) | 15,801,000 | 229 | Sep-17 | 561,509 | — | |||||||||||
Total Purchase Contracts | 2,412,955 | (24,182,083 | ) | |||||||||||||
Sales Contracts: | ||||||||||||||||
10 Yr Mini JGB | $ | 1,869,944 | (14) | Sep-17 | $ | 6,322 | $ | — | ||||||||
90 Day Euro | 4,419,000 | (18) | Dec-18 | 2,631 | — | |||||||||||
Aluminum (a)(b) | 5,902,463 | (123) | Sep-17 | — | (52,165 | ) | ||||||||||
Brent Crude (a) | 76,959,060 | (1,578) | Jul-17 | — | (2,518,520 | ) | ||||||||||
Brent Crude (a) | 3,530,880 | (72) | Aug-17 | — | (144,694 | ) | ||||||||||
Brent Crude (a) | 1,233,250 | (25) | Sep-17 | — | (32,243 | ) | ||||||||||
Brent Crude (a) | 545,490 | (11) | Oct-17 | — | (38,117 | ) | ||||||||||
CBOE Volatility Index | 1,528,300 | (124) | Jul-17 | — | (31,713 | ) | ||||||||||
Cocoa (a) | 5,541,626 | (279) | Sep-17 | 15,877 | — | |||||||||||
Coffee (a) | 7,494,863 | (159) | Sep-17 | 353,633 | — | |||||||||||
Copper (a)(b) | 27,028,138 | (182) | Sep-17 | — | (1,419,395 | ) | ||||||||||
Corn (a) | 14,602,000 | (745) | Dec-17 | — | (203,595 | ) | ||||||||||
Cotton No.2 (a) | 1,268,915 | (37) | Dec-17 | 5,843 | — | |||||||||||
DAX Index | 703,566 | (2) | Sep-17 | 6,594 | — | |||||||||||
Dollar | 20,897,201 | (219) | Sep-17 | 268,592 | — | |||||||||||
Euro-Bobl | 30,535,555 | (203) | Sep-17 | 65,640 | — | |||||||||||
Euro-Bund | 46,220,047 | (250) | Sep-17 | 193,269 | — | |||||||||||
Euro-Schatz | 215,130,548 | (1,684) | Sep-17 | 238,273 | — | |||||||||||
FTSE/JSE Top 40 Index | 3,352,166 | (96) | Sep-17 | — | (22,376 | ) | ||||||||||
Gasoline RBOB (a) | 28,545,355 | (449) | Jul-17 | — | (214,335 | ) | ||||||||||
Gasoline RBOB (a) | 2,902,637 | (46) | Aug-17 | — | (74,758 | ) | ||||||||||
Gasoline RBOB (a) | 650,496 | (11) | Sep-17 | — | (24,725 | ) | ||||||||||
Gold (a) | 11,429,160 | (92) | Aug-17 | 107,672 | — | |||||||||||
Hard Red Wheat (a) | 6,592,275 | (249) | Sep-17 | — | (915,105 | ) | ||||||||||
Heating Oil (a) | 43,665,430 | (701) | Jul-17 | — | (1,045,726 | ) | ||||||||||
Heating Oil (a) | 3,130,470 | (50) | Aug-17 | — | (107,551 | ) | ||||||||||
Heating Oil (a) | 503,664 | (8) | Sep-17 | — | (16,160 | ) | ||||||||||
Japanese 10 Yr Bond | 4,003,823 | (3) | Sep-17 | 16,085 | — | |||||||||||
Japanese Yen | 3,564,000 | (32) | Sep-17 | 26,235 | — | |||||||||||
KOSPI 200 Index | 4,854,237 | (71) | Sep-17 | — | (11,588 | ) | ||||||||||
Lead (a)(b) | 1,318,906 | (23) | Sep-17 | — | (95,754 | ) | ||||||||||
Lean Hogs (a) | 804,000 | (24) | Aug-17 | — | (24,919 | ) | ||||||||||
Long Gilt | 11,284,912 | (69) | Sep-17 | 35,081 | — | |||||||||||
Low Sulphur Gasoil (a) | 11,554,000 | (265) | Aug-17 | — | (123,477 | ) | ||||||||||
Low Sulphur Gasoil (a) | 1,704,300 | (39) | Sep-17 | 11,049 | — | |||||||||||
Low Sulphur Gasoil (a) | 702,800 | (16) | Oct-17 | — | (1,621 | ) | ||||||||||
Natural Gas (a) | 15,933,750 | (525) | Jul-17 | 12,181 | — | |||||||||||
Natural Gas (a) | 2,818,830 | (93) | Aug-17 | — | (62,825 | ) | ||||||||||
Natural Gas (a) | 1,590,160 | (52) | Sep-17 | — | (31,428 | ) | ||||||||||
Natural Gas (a) | 342,980 | (11) | Oct-17 | — | (8,531 | ) |
LoCorr Macro Strategies Fund - Consolidated Schedule of Open Futures Contracts (continued) | | 27 |
Description | Notional Amount | Number of Contracts Purchased (Sold) | Settlement Month-Year | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||
Sales Contracts (continued) | ||||||||||||||||
Nickel (a)(b) | $ | 1,915,050 | (34) | Sep-17 | $ | — | $ | (79,674 | ) | |||||||
Platinum (a) | 185,280 | (4) | Oct-17 | — | (1,083 | ) | ||||||||||
SGX Nifty 50 Index | 1,085,109 | (57) | Jul-17 | 14,438 | — | |||||||||||
Silver (a) | 16,793,270 | (202) | Sep-17 | — | (23,477 | ) | ||||||||||
Soybean (a) | 31,077,113 | (651) | Nov-17 | — | (955,858 | ) | ||||||||||
Soybean Meal (a) | 4,916,960 | (158) | Dec-17 | — | (86,504 | ) | ||||||||||
Soybean Oil (a) | 6,921,384 | (346) | Dec-17 | — | (287,530 | ) | ||||||||||
Sugar (a) | 18,003,821 | (1,164) | Sep-17 | 323,250 | — | |||||||||||
Wheat (a) | 6,185,750 | (227) | Dec-17 | — | (894,712 | ) | ||||||||||
Wti Crude (a) | 106,490,520 | (2,313) | Jul-17 | — | (1,977,101 | ) | ||||||||||
Wti Crude (a) | 3,518,040 | (76) | Aug-17 | 14,577 | — | |||||||||||
Wti Crude (a) | 1,069,730 | (23) | Sep-17 | 10,317 | — | |||||||||||
Wti Crude (a) | 561,240 | (12) | Oct-17 | 4,587 | — | |||||||||||
Zinc (a)(b) | 9,798,000 | (142) | Sep-17 | — | (734,522 | ) | ||||||||||
Total Sale Contracts | 1,732,146 | (12,261,782 | ) | |||||||||||||
Total Futures Contracts | $ | 4,145,101 | $ | (36,443,865 | ) | |||||||||||
Net Unrealized Depreciation | $ | (32,298,764 | ) |
(a) | Contract held by LCMFS Fund Limited. |
(b) | London Metal Exchange (“LME”) futures contracts settle on their respective maturity date. The unrealized appreciation on these contracts is a receivable for unsettled open futures contracts and the unrealized depreciation is a payable for unsettled open futures contracts on the Fund’s consolidated statement of assets and liabilities. See Notes 2 & 3. |
28 | LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||
ASSET BACKED SECURITIES: 16.54% | |||||||||||
321 Henderson Receivables I LLC, 2006-4A A1 (Acquired 07/19/2016, Cost, $347,139) (a)(c) | 12/15/2041 | 1.36% | $ | 359,060 | $ | 350,153 | |||||
AEP Texas Central Transition Funding II LLC, 2006-2 A4 | 01/01/2020 | 5.17% | 606,199 | 611,789 | |||||||
American Express Credit Account Master Trust | |||||||||||
Series 2013-2 A (c) | 05/17/2021 | 1.58% | 995,000 | 999,054 | |||||||
Series 2017-1 A | 09/15/2022 | 1.93% | 365,000 | 365,811 | |||||||
California Republic Auto Receivables Trust | |||||||||||
Series 2013-2 A2 | 03/15/2019 | 1.23% | 34,759 | 34,743 | |||||||
Series 2016-2 A2 | 03/15/2019 | 1.34% | 222,902 | 222,835 | |||||||
Series 2015-1 A3 | 04/15/2019 | 1.33% | 74,421 | 74,412 | |||||||
Series 2015-4 A3 (Acquired 09/02/2016, Cost, $257,740) (a) | 01/15/2020 | 2.04% | 256,667 | 257,164 | |||||||
Capital One Multi-Asset Execution Trust | |||||||||||
Series 2015-1A | 01/15/2021 | 1.39% | 850,000 | 849,623 | |||||||
Series 2015-5A | 05/17/2021 | 1.60% | 565,000 | 565,320 | |||||||
CenterPoint Energy Restoration Bond Co. LLC, 2009-1 A2 | 08/15/2019 | 3.46% | 94,380 | 95,147 | |||||||
CenterPoint Energy Transition Bond Co. II LLC, 2005-A A4 | 08/01/2019 | 5.17% | 18,392 | 18,449 | |||||||
Chase Issuance Trust, 2013-A3 (c) | 04/15/2020 | 1.44% | 545,000 | 545,782 | |||||||
Chrysler Capital Auto Receivables Trust, 2015-B A3 | |||||||||||
(Acquired 02/10/2017 through 03/01/2017, Cost, $657,899) (a) | 03/16/2020 | 1.91% | 656,279 | 657,487 | |||||||
Citibank Credit Card Issuance Trust, 2013-A7 (c) | 09/10/2020 | 1.55% | 905,000 | 908,386 | |||||||
Colony American Homes | |||||||||||
Series 2014-1A A (Acquired 04/02/2014 through 05/09/2016, Cost, $641,032) (a)(c) | 05/17/2031 | 2.36% | 643,789 | 647,312 | |||||||
Series 2015-1A C (Acquired 05/27/2015 through 04/19/2016, Cost, $457,498) (a)(c) | 07/17/2032 | 3.12% | 470,000 | 471,376 | |||||||
Countrywide Asset-Backed Certificates, 2004-AB1 (c) | 11/25/2034 | 2.19% | 626,170 | 623,399 | |||||||
Discover Card Execution Note Trust, 2012-A6 | 01/18/2022 | 1.67% | 900,000 | 898,803 | |||||||
Entergy Arkansas Restoration Funding LLC, 2010-A A1 | 08/01/2021 | 2.30% | 258,403 | 259,616 |
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) | 29 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Ford Credit Auto Owner Trust | |||||||||||
Series 2014-REV1 A (Acquired 05/01/2017, Cost, $585,214) (a) | 11/15/2025 | 2.26% | $ | 580,000 | $ | 585,322 | |||||
Series 2016-REV1 A (Acquired 11/22/2016, Cost, $372,574) (a) | 08/15/2027 | 2.31% | 370,000 | 371,969 | |||||||
GM Financial Consumer Automobile, 2017-1A A2A (Acquired 04/03/2017, Cost, $354,980) (a) | 03/16/2020 | 1.51% | 355,000 | 354,909 | |||||||
Green Tree Agency Advance Funding Trust, 2016-T1 (Acquired 09/28/2016, Cost, $499,999) (a) | 10/15/2048 | 2.38% | 500,000 | 497,930 | |||||||
Huntington Auto Trust, 2015-1 A3 | 09/16/2019 | 1.24% | 123,595 | 123,507 | |||||||
Hyundai Auto Receivables Trust, 2013-C A4 | 03/15/2019 | 1.55% | 107,202 | 107,215 | |||||||
Invitation Homes Trust | |||||||||||
Series 2014-SFR2 A (Acquired 03/03/2016, Cost, $580,326) (a)(c) | 09/18/2031 | 2.31% | 596,593 | 597,712 | |||||||
Series 2015-SFR3 A (Acquired 02/21/2017, Cost, $475,723) (a)(c) | 08/19/2032 | 2.51% | 473,311 | 475,469 | |||||||
Ocwen Master Advance Receivables Trust | |||||||||||
Series 2015-T3 AT3 (Acquired 11/06/2015 through 01/05/2017, Cost, $221,999) (a) | 11/15/2047 | 3.21% | 222,000 | 221,477 | |||||||
Series 2016-T2 AT2 (Acquired 08/03/2016, Cost, $624,999) (a) | 08/16/2049 | 2.72% | 625,000 | 622,803 | |||||||
Ohio Phase-In-Recovery Funding LLC, 2013-1 A1 | 07/01/2018 | 0.96% | 63,984 | 63,982 | |||||||
OneMain Direct Auto Receivables Trust, 2016 A1 (Acquired 11/09/2016 through 03/27/2017, Cost, $225,423) (a) | 01/15/2021 | 2.04% | 225,017 | 225,268 | |||||||
Small Business Administration Participation Certificates, 2012-20K 1 | 11/01/2032 | 2.09% | 16,514 | 16,232 | |||||||
SMB Private Education Loan Trust, 2017-A (Acquired 01/31/2017, Cost, $360,417) (a)(c) | 06/17/2024 | 1.61% | 360,417 | 360,910 | |||||||
SoFi Professional Loan Program LLC, 2015-C A2 (Acquired 07/29/2015 through 02/14/2017, Cost, $303,705) (a) | 08/25/2033 | 2.51% | 304,764 | 305,202 | |||||||
SPS Servicer Advance Receivables Trust, 2016-T1 A-T1 (Acquired 11/16/2016, Cost, $499,956) (a) | 11/16/2048 | 2.53% | 500,000 | 495,642 | |||||||
SWAY Residential Trust, 2014-1 A (Acquired 02/02/2016 through 04/04/2016, Cost, $15,112) (a)(c) | 01/20/2032 | 2.51% | 15,366 | 15,366 | |||||||
Synchrony Credit Card Master Note Trust, 2017-1 | 06/15/2023 | 1.93% | 285,000 | 284,063 | |||||||
TCF Auto Receivables Owner Trust | |||||||||||
Series 2016-1A A3 (Acquired 09/14/2016, Cost, $599,901) (a) | 04/15/2021 | 1.71% | 600,000 | 598,062 | |||||||
Series 2016-PT1 A (Acquired 02/01/2017, Cost, $572,971) (a) | 06/15/2022 | 1.93% | 574,745 | 574,209 | |||||||
Verizon Owner Trust, 2017-2A A (Acquired 06/13/2017, Cost, $404,938) (a) | 12/20/2021 | 1.92% | 405,000 | 404,937 | |||||||
Volkswagen Auto Loan Enhanced Trust, 2014-1 A3 | 10/22/2018 | 0.91% | 51,622 | 51,592 | |||||||
World Omni Auto Receivables Trust, 2014-A A3 | 04/15/2019 | 0.94% | 27,350 | 27,333 | |||||||
TOTAL ASSET BACKED SECURITIES (Cost $16,803,541) | 16,837,772 | ||||||||||
CORPORATE BONDS: 34.74% | |||||||||||
Administrative and Support and Waste Management and Remediation Services: 0.01% | |||||||||||
Safina Ltd. (b) | 01/15/2022 | 1.55% | 12,788 | 12,625 | |||||||
Finance and Insurance: 13.97% | |||||||||||
Aflac, Inc. | 03/16/2020 | 2.40% | 340,000 | 343,593 | |||||||
American Express Co. | 05/22/2018 | 1.55% | 405,000 | 404,893 | |||||||
American International Group, Inc. | 08/15/2020 | 3.38% | 330,000 | 341,482 | |||||||
Bank of America Corp. | 05/01/2018 | 5.65% | 1,075,000 | 1,108,758 | |||||||
Bank of Montreal (b) | 07/18/2019 | 1.50% | 255,000 | 252,605 | |||||||
BB&T Corp. | 01/15/2020 | 2.45% | 435,000 | 439,859 | |||||||
Berkshire Hathaway Finance Corp. | 08/15/2018 | 2.00% | 175,000 | 175,842 | |||||||
Berkshire Hathaway Finance Corp. | 01/15/2021 | 4.25% | 250,000 | 269,137 | |||||||
BNP Paribas (b) | 08/20/2018 | 2.70% | 285,000 | 288,234 | |||||||
Capital One Financial Corp. | 04/24/2019 | 2.45% | 125,000 | 125,669 | |||||||
Capital One Financial Corp. | 05/12/2020 | 2.50% | 90,000 | 90,390 | |||||||
Charles Schwab Corp./The | 03/10/2018 | 1.50% | 290,000 | 290,081 | |||||||
Chubb INA Holdings, Inc. | 11/03/2020 | 2.30% | 350,000 | 351,996 | |||||||
Citigroup, Inc. | 07/30/2018 | 2.15% | 585,000 | 586,839 | |||||||
Citizens Bank NA | 03/14/2019 | 2.50% | 315,000 | 317,309 | |||||||
Cooperatieve Rabobank UA (b) | 01/14/2019 | 2.25% | 250,000 | 251,598 | |||||||
Dragon 2012 LLC | 03/12/2024 | 1.97% | 15,091 | 14,936 |
30 | LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||
CORPORATE BONDS (continued) | |||||||||||
Fifth Third Bancorp | 07/27/2020 | 2.88% | $ | 350,000 | $ | 357,273 | |||||
Goldman Sachs Group, Inc./The | 09/15/2020 | 2.75% | 250,000 | 253,012 | |||||||
Goldman Sachs Group, Inc./The | 02/25/2021 | 2.88% | 535,000 | 540,735 | |||||||
Hartford Financial Services Group, Inc./The | 03/30/2020 | 5.50% | 250,000 | 271,663 | |||||||
HSBC Holdings PLC (b) | 04/05/2021 | 5.10% | 215,000 | 233,749 | |||||||
ING Bank NV (Acquired 03/15/2016, Cost, $399,884) (a)(b) | 03/22/2019 | 2.30% | 400,000 | 401,895 | |||||||
John Deere Capital Corp. | 06/22/2020 | 1.95% | 230,000 | 230,599 | |||||||
JPMorgan Chase & Co. | 03/22/2019 | 1.85% | 130,000 | 129,863 | |||||||
JPMorgan Chase & Co. | 01/23/2020 | 2.25% | 685,000 | 687,125 | |||||||
Keycorp | 12/13/2018 | 2.30% | 250,000 | 251,351 | |||||||
Lincoln National Corp. | 02/15/2020 | 6.25% | 180,000 | 197,442 | |||||||
Metropolitan Life Global Funding (Acquired 06/16/2016, Cost, $352,553) (a) | 04/14/2020 | 2.00% | 350,000 | 349,043 | |||||||
Morgan Stanley | 07/24/2020 | 5.50% | 845,000 | 922,582 | |||||||
MSN 41079 and 41084 Ltd. (b) | 07/13/2024 | 1.72% | 15,761 | 15,431 | |||||||
Nomura Holdings, Inc. (b) | 03/19/2019 | 2.75% | 90,000 | 90,901 | |||||||
Phoenix 2012 LLC | 07/03/2024 | 1.61% | 15,879 | 15,516 | |||||||
PNC Bank NA | 10/18/2019 | 2.40% | 305,000 | 307,870 | |||||||
Pricoa Global Funding I (Acquired 09/14/2015, Cost, $149,934) (a) | 09/21/2018 | 1.90% | 150,000 | 150,249 | |||||||
Principal Life Global Funding II (Acquired 11/17/2015 through 02/25/2016, Cost, $336,978) (a) | 10/15/2018 | 2.25% | 335,000 | 336,986 | |||||||
Prudential Financial, Inc. | 06/15/2019 | 7.38% | 215,000 | 236,987 | |||||||
Santander UK PLC (b) | 08/23/2018 | 3.05% | 245,000 | 248,070 | |||||||
Societe Generale SA (Acquired 04/04/2016, Cost, $299,775) (a)(b) | 04/08/2021 | 2.50% | 300,000 | 300,820 | |||||||
State Street Corp. | 08/18/2020 | 2.55% | 305,000 | 310,727 | |||||||
SunTrust Banks, Inc. | 03/03/2021 | 2.90% | 265,000 | 269,039 | |||||||
Tagua Leasing LLC | 11/16/2024 | 1.58% | 16,216 | 15,771 | |||||||
Teva Pharmaceutical Finance Netherlands III BV (b) | 07/19/2019 | 1.70% | 310,000 | 307,226 | |||||||
Trinity Acquisition PLC (b) | 09/15/2021 | 3.50% | 335,000 | 343,050 | |||||||
UnitedHealth Group, Inc. | 10/15/2020 | 3.88% | 195,000 | 205,286 | |||||||
Wells Fargo & Co. | 04/22/2019 | 2.13% | 375,000 | 376,954 | |||||||
Wells Fargo & Co. | 07/22/2020 | 2.60% | 210,000 | 212,961 | |||||||
14,223,397 | |||||||||||
Information: 4.89% | |||||||||||
21st Century Fox America, Inc. | 02/15/2021 | 4.50% | 300,000 | 321,480 | |||||||
America Movil SAB de CV (b) | 03/30/2020 | 5.00% | 320,000 | 343,747 | |||||||
AT&T, Inc. | 03/11/2019 | 2.30% | 700,000 | 704,152 | |||||||
CBS Corp. | 04/15/2020 | 5.75% | 250,000 | 273,469 | |||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 07/23/2020 | 3.58% | 400,000 | 413,350 | |||||||
Deutsche Telekom International Finance BV (b) | 07/08/2019 | 6.00% | 225,000 | 242,487 | |||||||
Discovery Communications LLC | 06/01/2020 | 5.05% | 240,000 | 256,757 | |||||||
Hewlett Packard Enterprise Co. | 10/05/2018 | 2.85% | 297,000 | 299,541 | |||||||
Oracle Corp. | 01/15/2019 | 2.38% | 165,000 | 166,899 | |||||||
Orange SA (b) | 11/03/2019 | 1.63% | 390,000 | 386,599 | |||||||
Rogers Communications, Inc. (b) | 08/15/2018 | 6.80% | 295,000 | 311,195 | |||||||
Verizon Communications, Inc. | 09/14/2018 | 3.65% | 320,000 | 327,092 | |||||||
Visa, Inc. | 12/14/2020 | 2.20% | 460,000 | 463,846 | |||||||
Vodafone Group PLC (b) | 03/16/2021 | 4.38% | 435,000 | 463,746 | |||||||
4,974,360 | |||||||||||
Manufacturing: 7.85% | |||||||||||
Abbott Laboratories | 11/30/2021 | 2.90% | 345,000 | 348,854 | |||||||
AbbVie, Inc. | 05/14/2020 | 2.50% | 240,000 | 242,782 | |||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (b) | 05/15/2019 | 3.75% | 450,000 | 462,209 | |||||||
Altria Group, Inc. | 01/14/2020 | 2.63% | 295,000 | 299,573 | |||||||
Anheuser-Busch InBev Finance, Inc. | 02/01/2021 | 2.65% | 300,000 | 304,022 | |||||||
Apple, Inc. | 05/06/2019 | 2.10% | 250,000 | 252,344 | |||||||
Archer-Daniels-Midland Co. | 03/01/2021 | 4.48% | 270,000 | 291,876 |
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) | 31 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||
CORPORATE BONDS (continued) | |||||||||||
Bunge Ltd. Finance Corp. | 11/24/2020 | 3.50% | $ | 295,000 | $ | 302,437 | |||||
Celgene Corp. | 08/15/2018 | 2.13% | 305,000 | 306,178 | |||||||
Chevron Corp. | 03/03/2020 | 1.96% | 195,000 | 195,591 | |||||||
Daimler Finance North America LLC (Acquired 12/14/2016, Cost, $187,697) (a) | 07/05/2019 | 1.50% | 190,000 | 188,191 | |||||||
Dr. Pepper Snapple Group, Inc. | 11/15/2021 | 2.53% | 330,000 | 329,838 | |||||||
Eastman Chemical Co. | 01/15/2020 | 2.70% | 250,000 | 253,295 | |||||||
General Electric Capital Corp. | 05/01/2018 | 5.63% | 165,000 | 170,624 | |||||||
General Electric Capital Corp. | 08/07/2019 | 6.00% | 410,000 | 445,590 | |||||||
Heineken NV (Acquired 06/27/2017, Cost, $292,235) (a)(b) | 04/01/2022 | 3.40% | 280,000 | 290,885 | |||||||
Ingersoll-Rand Luxembourg Finance SA (b) | 05/01/2020 | 2.63% | 340,000 | 343,363 | |||||||
Kraft Heinz Foods Co. | 07/02/2018 | 2.00% | 215,000 | 215,544 | |||||||
L3 Technologies, Inc. | 02/15/2021 | 4.95% | 230,000 | 247,959 | |||||||
Merck & Co., Inc. | 05/18/2018 | 1.30% | 210,000 | 209,780 | |||||||
Newell Brands, Inc. | 03/29/2019 | 2.60% | 315,000 | 318,071 | |||||||
PepsiCo, Inc. | 10/14/2020 | 2.15% | 450,000 | 452,871 | |||||||
Philip Morris International, Inc. | 02/25/2019 | 1.38% | 240,000 | 238,428 | |||||||
QUALCOMM, Inc. | 05/20/2020 | 2.10% | 260,000 | 261,188 | |||||||
Reynolds American, Inc. | 06/12/2020 | 3.25% | 335,000 | 344,895 | |||||||
Rockwell Collins, Inc. | 07/15/2019 | 1.95% | 245,000 | 245,359 | |||||||
Siemens Financieringsmaatschappij NV (Acquired 09/14/2016, Cost, $249,135) (a)(b) | 09/13/2019 | 1.30% | 250,000 | 246,917 | |||||||
Tyson Foods, Inc. | 08/15/2019 | 2.65% | 185,000 | 187,333 | |||||||
7,995,997 | |||||||||||
Mining, Quarrying, and Oil and Gas Extraction: 0.61% | |||||||||||
ConocoPhillips Co. | 03/15/2021 | 4.20% | 310,000 | 328,676 | |||||||
Total Capital International SA (b) | 01/10/2019 | 2.13% | 290,000 | 292,037 | |||||||
620,713 | |||||||||||
Professional, Scientific, and Technical Services: 0.77% | |||||||||||
Biogen, Inc. | 09/15/2020 | 2.90% | 300,000 | 306,014 | |||||||
eBay, Inc. | 08/01/2019 | 2.20% | 230,000 | 230,921 | |||||||
International Business Machines Corp. | 05/17/2019 | 1.80% | 250,000 | 250,585 | |||||||
787,520 | |||||||||||
Real Estate and Rental and Leasing: 1.55% | |||||||||||
Air Lease Corp. | 06/01/2021 | 3.38% | 350,000 | 359,290 | |||||||
Ford Motor Credit Company LLC | 11/04/2019 | 2.60% | 255,000 | 256,695 | |||||||
General Motors Financial Co., Inc. | 05/09/2019 | 2.40% | 310,000 | 310,829 | |||||||
Helios Leasing I LLC | 05/29/2024 | 2.02% | 15,305 | 15,164 | |||||||
Helios Leasing I LLC | 07/24/2024 | 1.73% | 15,778 | 15,460 | |||||||
Helios Leasing I LLC | 09/28/2024 | 1.56% | 15,690 | 15,229 | |||||||
National Rural Utilities Cooperative Finance Corp. | 02/01/2019 | 2.15% | 350,000 | 352,123 | |||||||
Toyota Motor Credit Corp. | 10/24/2018 | 2.00% | 250,000 | 251,357 | |||||||
1,576,147 | |||||||||||
Retail Trade: 1.61% | |||||||||||
BP Capital Markets PLC (b) | 09/26/2018 | 2.24% | 250,000 | 251,426 | |||||||
CVS Health Corp. | 12/05/2018 | 2.25% | 260,000 | 261,608 | |||||||
Home Depot, Inc./The | 06/15/2019 | 2.00% | 305,000 | 307,134 | |||||||
Hyundai Capital America (Acquired 12/02/2016, Cost, $310,501) (a) | 03/18/2021 | 3.00% | 310,000 | 311,742 | |||||||
Kroger Co./The | 09/30/2019 | 1.50% | 245,000 | 241,363 | |||||||
Walgreens Boots Alliance, Inc. | 11/18/2019 | 2.70% | 260,000 | 264,085 | |||||||
1,637,358 | |||||||||||
Transportation and Warehousing: 0.37% | |||||||||||
Carnival Corp. (b) | 10/15/2020 | 3.95% | 350,000 | 370,492 | |||||||
Utilities: 2.02% | |||||||||||
Dominion Resources, Inc. | 08/15/2019 | 1.60% | 360,000 | 356,951 | |||||||
Duke Energy Corp. | 09/15/2019 | 5.05% | 220,000 | 234,153 | |||||||
Exelon Generation Co., LLC | 10/01/2019 | 5.20% | 265,000 | 281,472 |
32 | LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||
CORPORATE BONDS (continued) | |||||||||||
NextEra Energy Capital Holdings, Inc. | 03/01/2019 | 6.00% | $ | 230,000 | $ | 244,626 | |||||
Northern States Power Co. | 08/15/2020 | 2.20% | 345,000 | 345,882 | |||||||
PG&E Corp. | 03/01/2019 | 2.40% | 285,000 | 286,399 | |||||||
Sempra Energy | 03/15/2020 | 2.40% | 305,000 | 306,369 | |||||||
2,055,852 | |||||||||||
Wholesale Trade: 1.09% | |||||||||||
Cardinal Health, Inc. | 11/15/2019 | 2.40% | 255,000 | 256,454 | |||||||
LyondellBasell Industries NV (b) | 04/15/2019 | 5.00% | 146,000 | 152,634 | |||||||
McKesson Corp. | 03/15/2019 | 2.28% | 245,000 | 246,405 | |||||||
Sherwin-Williams Co./The | 05/15/2020 | 2.25% | 230,000 | 230,515 | |||||||
Sysco Corp. | 10/01/2020 | 2.60% | 225,000 | 227,787 | |||||||
1,113,795 | |||||||||||
TOTAL CORPORATE BONDS (Cost $35,386,356) | 35,368,256 | ||||||||||
FOREIGN GOVERNMENT BOND: 0.01% | |||||||||||
Petroleos Mexicanos (b) | 12/20/2022 | 2.00% | 13,750 | 13,663 | |||||||
TOTAL FOREIGN GOVERNMENT BOND (Cost $13,750) | 13,663 | ||||||||||
MORTGAGE BACKED SECURITIES: 11.39% | |||||||||||
Agate Bay Mortgage Trust, 2016-3 A5 (Acquired 08/08/2016, Cost, $490,462) (a)(c) | 08/25/2046 | 3.50% | 479,144 | 489,224 | |||||||
BXHTL Mortgage Trust, 2015-JWRZ A (Acquired 03/10/2016, Cost, $734,063) (a)(c) | 05/15/2029 | 2.39% | 750,000 | 750,941 | |||||||
Citigroup Commercial Mortgage Trust, 2016-GC37 A1 | 04/12/2049 | 1.64% | 588,316 | 583,693 | |||||||
Citigroup Mortgage Loan Trust, Inc., 2004-HE1 A (Acquired 12/20/2016, Cost, $264,500) (a)(c) | 09/25/2033 | 1.55% | 269,898 | 269,300 | |||||||
Commercial Mortgage Trust | |||||||||||
Series 2012-CR4 A2 (c) | 10/17/2045 | 1.80% | 189,549 | 189,572 | |||||||
Series 2007-GG11 A4 | 12/10/2049 | 5.74% | 67,900 | 67,849 | |||||||
CSMC Trust, 2015-2 A2 (Acquired 04/30/2015, Cost, $62,431) (a)(c) | 02/25/2045 | 3.00% | 61,779 | 61,765 | |||||||
Fannie Mae Aces | |||||||||||
Series 2014-M13 ASQ2 | 11/25/2017 | 1.64% | 76,440 | 76,388 | |||||||
Series 2012-M9 ASQ2 | 12/25/2017 | 1.51% | 111,809 | 111,728 | |||||||
Series 2015-M1 ASQ2 | 02/25/2018 | 1.63% | 228,485 | 228,383 | |||||||
Series 2013-M7 ASQ2 | 03/25/2018 | 1.23% | 16,999 | 16,920 | |||||||
Series 2014-M8 FA (c) | 05/25/2018 | 1.29% | 62,527 | 62,525 | |||||||
Series 2014-M10 ASQ2 (c) | 09/25/2019 | 2.17% | 270,000 | 272,198 | |||||||
Series 2010-M3 A3 (c) | 03/25/2020 | 4.33% | 297,550 | 314,042 | |||||||
Fannie Mae Connecticut Avenue Securities | |||||||||||
Series 2015-C03 2M1 (c) | 07/25/2025 | 2.72% | 30,811 | 30,846 | |||||||
Series 2017-C02 2M1 (c) | 09/25/2029 | 2.37% | 319,099 | 321,949 | |||||||
FHLMC Multifamily Structured Pass Through Certificates | |||||||||||
Series K-701 A2 (c) | 11/25/2017 | 3.88% | 44,011 | 44,136 | |||||||
Series K-705 A2 (c) | 09/25/2018 | 2.30% | 285,000 | 287,137 | |||||||
Series K-708 A2 | 01/25/2019 | 2.13% | 29,467 | 29,650 | |||||||
Series K-709 A2 | 03/25/2019 | 2.09% | 25,000 | 25,161 | |||||||
Series K-710 A2 | 05/25/2019 | 1.88% | 50,000 | 50,177 | |||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | |||||||||||
Series 2013-DN2 M1 (c) | 11/27/2023 | 2.67% | 46,937 | 47,146 | |||||||
Series 2016-DNA2 M1 (c) | 10/25/2028 | 1.69% | 180,380 | 180,872 | |||||||
FREMF Mortgage Trust | |||||||||||
Series 2011-K704 B (Acquired 03/01/2016, Cost, $412,402) (a)(c) | 10/25/2030 | 4.69% | 400,000 | 409,390 | |||||||
Series 2011-K702 B (Acquired 06/16/2016 through 01/20/2017, Cost, $740,150) (a)(c) | 04/25/2044 | 4.93% | 715,000 | 726,478 | |||||||
Series 2012-K708 B (Acquired 04/21/2015, Cost, $156,059) (a)(c) | 02/25/2045 | 3.88% | 150,000 | 153,407 | |||||||
Series 2013-K502 B (Acquired 05/06/2015, Cost, $126,424) (a)(c) | 03/25/2045 | 2.50% | 125,000 | 124,845 | |||||||
Series 2013-K712 B (Acquired 01/20/2017, Cost, $408,073) (a)(c) | 05/25/2045 | 3.48% | 400,000 | 409,314 | |||||||
Series 2013-KF02 B (Acquired 04/06/2015, Cost, $46,929) (a)(c) | 12/25/2045 | 4.00% | 45,874 | 46,626 | |||||||
Series 2011-K13 B (Acquired 05/25/2017, Cost, $246,265) (a)(c) | 01/25/2048 | 4.77% | 230,000 | 245,799 | |||||||
Series 2011-K10 B (Acquired 11/22/2016, Cost, $411,529) (a)(c) | 11/25/2049 | 4.79% | 386,000 | 409,010 |
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) | 33 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||
MORTGAGE BACKED SECURITIES(continued) | |||||||||||
GAHR Commercial Mortgage Trust, 2015-NRF AFL1 (Acquired 05/07/2015 through 08/04/2016, Cost, $68,001) (a)(c) | 12/15/2034 | 2.29% | $ | 67,727 | $ | 67,828 | |||||
GP Portfolio Trust, 2014-GPP A (Acquired 04/29/2016, Cost, $220,639) (a)(c) | 02/16/2027 | 2.36% | 221,957 | 222,586 | |||||||
GS Mortgage Securities Trust, 2014-GSFL A (Acquired 08/06/2014, Cost, $50) (a)(c) | 07/15/2031 | 2.16% | 50 | 50 | |||||||
JP Morgan Mortgage Trust, 2016-1 A5 (Acquired 06/09/2016, Cost, $296,979) (a)(c) | 05/25/2046 | 3.50% | 289,510 | 294,893 | |||||||
JPMBB Commercial Mortgage Securities Trust, 2013-C12 A2 | 07/17/2045 | 2.42% | 160,994 | 161,878 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | |||||||||||
Series 2010-C2 A2 (Acquired 01/26/2016, Cost, $200,911) (a) | 11/18/2043 | 3.62% | 195,693 | 196,934 | |||||||
Series 2012-C8 ASB | 10/17/2045 | 2.38% | 50,000 | 50,356 | |||||||
Series 2011-C3 A3 (Acquired 08/26/2015 through 03/03/2016, Cost, $669,212) (a) | 02/16/2046 | 4.39% | 640,613 | 650,498 | |||||||
MASTR Asset Securitization Trust, 2004-1 4A1 | 02/25/2019 | 4.50% | 42,405 | 42,513 | |||||||
New Residential Mortgage Loan Trust | |||||||||||
Series 2015-1A A3 (Acquired 03/09/2016 through 04/19/2016, Cost, $341,033) (a)(c) | 05/28/2052 | 3.75% | 334,276 | 343,245 | |||||||
Series 2014-2A A3 (Acquired 02/18/2016, Cost, $226,550) (a)(c) | 05/25/2054 | 3.75% | 221,636 | 226,239 | |||||||
Series 2016-1A A1 (Acquired 03/29/2016 through 06/20/2017, Cost, $507,141) (a)(c) | 03/25/2056 | 3.75% | 492,674 | 505,067 | |||||||
Series 2017-1A A1 (Acquired 03/06/2017, Cost, $450,065) (a)(c) | 02/25/2057 | 4.00% | 437,528 | 454,870 | |||||||
Opteum Mortgage Acceptance Corp., 2005-1 M3 (c) | 02/25/2035 | 2.07% | 151,814 | 151,662 | |||||||
RBSSP Resecuritization Trust, 2009-7 (Acquired 12/14/2016, Cost, $328,919) (a)(c) | 06/26/2037 | 1.40% | 340,408 | 329,011 | |||||||
Sequoia Mortgage Trust, 2015-3 A4 (Acquired 06/19/2015, Cost, $106,685) (a)(c) | 07/25/2045 | 3.50% | 105,585 | 107,218 | |||||||
VNDO Mortgage Trust, 2013-PENN (Acquired 06/21/2017, Cost, $131,458) (a) | 12/13/2029 | 3.81% | 125,000 | 130,936 | |||||||
Vornado DP LLC Trust, 2010-VN0 A1 (Acquired 03/01/2016, Cost, $376,391) (a) | 09/14/2028 | 2.97% | 369,574 | 375,844 | |||||||
Wells Fargo Commercial Mortgage Trust | |||||||||||
Series 2015-C26 A1 | 02/18/2048 | 1.45% | 66,465 | 66,198 | |||||||
Series 2015-LC22 A1 | 09/17/2058 | 1.64% | 169,014 | 168,579 | |||||||
WFRBS Commercial Mortgage Trust, 2012-C8 A2 | 08/17/2045 | 1.88% | 14,845 | 14,836 | |||||||
TOTAL MORTGAGE BACKED SECURITIES (Cost $11,610,131) | 11,597,712 | ||||||||||
MUNICIPAL BONDS: 0.34% | |||||||||||
City of Lubbock, TX | 02/15/2018 | 4.44% | 25,000 | 25,445 | |||||||
County of Forsyth, NC | 04/01/2020 | 3.55% | 30,000 | 31,314 | |||||||
Maricopa County School District No. 28 Kyrene Elementary | 07/01/2019 | 5.38% | 15,000 | 16,096 | |||||||
North Carolina Eastern Municipal Power Agency | 07/01/2018 | 2.00% | 60,000 | 60,232 | |||||||
Rosemount-Apple Valley-Eagan Independent School District No. 196 | 02/01/2019 | 5.00% | 25,000 | 26,367 | |||||||
St. Paul Housing & Redevelopment Authority | 07/01/2018 | 1.84% | 60,000 | 60,106 | |||||||
State of Mississippi | 11/01/2017 | 1.35% | 30,000 | 30,016 | |||||||
State of Ohio | 04/01/2018 | 3.66% | 45,000 | 45,750 | |||||||
State of Texas | 10/01/2017 | 2.50% | 25,000 | 25,060 | |||||||
University of Texas System | 08/15/2018 | 3.81% | 25,000 | 25,633 | |||||||
TOTAL MUNICIPAL BONDS (Cost $344,702) | 346,019 | ||||||||||
U.S. GOVERNMENT AGENCY ISSUES: 14.67% | |||||||||||
Federal Farm Credit Banks | 10/21/2019 | 1.44% | 1,000,000 | 997,931 | |||||||
Federal Farm Credit Banks | 05/08/2020 | 1.55% | 1,000,000 | 997,178 | |||||||
Federal Home Loan Banks | 03/18/2019 | 1.38% | 1,335,000 | 1,334,415 | |||||||
Federal Home Loan Banks | 08/05/2019 | 0.88% | 1,500,000 | 1,481,666 | |||||||
Federal Home Loan Banks | 06/12/2020 | 1.75% | 1,000,000 | 1,003,397 | |||||||
Federal Home Loan Mortgage Corp. | 07/19/2019 | 0.88% | 2,515,000 | 2,485,029 | |||||||
Federal Home Loan Mortgage Corp. | 04/20/2020 | 1.38% | 915,000 | 909,588 | |||||||
Federal National Mortgage Association | 08/02/2019 | 0.88% | 1,170,000 | 1,155,934 | |||||||
Federal National Mortgage Association | 08/28/2019 | 1.00% | 2,140,000 | 2,119,092 | |||||||
Federal National Mortgage Association | 10/24/2019 | 1.00% | 1,165,000 | 1,152,093 | |||||||
Federal National Mortgage Association | 02/28/2020 | 1.50% | 1,220,000 | 1,216,802 | |||||||
Ginnie Mae II Pool (c) | 07/20/2060 | 5.31% | 16,747 | 17,403 | |||||||
Ginnie Mae II Pool (c) | 07/20/2062 | 4.56% | 21,786 | 22,559 | |||||||
Ginnie Mae II Pool (c) | 08/20/2062 | 4.10% | 43,380 | 44,797 | |||||||
TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $15,026,890) | 14,937,884 |
34 | LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||
U.S. GOVERNMENT NOTES: 4.08% | |||||||||||
United States Treasury Note | 03/15/2018 | 1.00% | $ | 1,380,000 | $ | 1,377,682 | |||||
United States Treasury Note | 01/31/2020 | 1.25% | 1,000,000 | 993,867 | |||||||
United States Treasury Note | 04/30/2022 | 1.75% | 745,000 | 740,722 | |||||||
United States Treasury Note | 04/30/2022 | 1.88% | 420,000 | 419,918 | |||||||
United States Treasury Note | 05/31/2022 | 1.88% | 625,000 | 624,976 | |||||||
TOTAL U.S. GOVERNMENT NOTES (Cost $4,170,934) | 4,157,165 |
SHORT TERM INVESTMENT: 3.72% | |||||||||||
MONEY MARKET FUND: 3.72% | Shares | ||||||||||
STIT-Government & Agency Portfolio, 0.89% (d)(e) | 3,782,080 | 3,782,080 | |||||||||
TOTAL MONEY MARKET FUND (Cost $3,782,080) | 3,782,080 | ||||||||||
TOTAL SHORT TERM INVESTMENT (Cost $3,782,080) | 3,782,080 | ||||||||||
TOTAL INVESTMENTS (Cost $87,138,384): 85.49% | 87,040,551 | ||||||||||
Other Assets in Excess of Liabilities: 14.51% (f) | 14,775,751 | ||||||||||
TOTAL NET ASSETS: 100.00% | $ | 101,816,302 |
(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, 2017, the value of these securities total $19,668,725 which represents 19.32% of total net assets. |
(b) | Foreign issued security. |
(c) | Variable rate security. The rate reported is the rate in effect as of June 30, 2017. |
(d) | The rate quoted is the annualized seven-day effective yield as of June 30, 2017. |
(e) | All or a portion of this security is held by LCLSCS Fund Limited and pledged as collateral for swap contracts. |
(f) | Includes assets pledged as collateral for swap contracts. |
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Swap Contracts | 35 |
Unrealized | ||||||||||
Appreciation | ||||||||||
Termination Date | Reference Index | Notional | (Depreciation)* | Counterparty | ||||||
12/20/2017 | LoCorr Commodities Index^ | $ | 100,100,000 | $ | (21,655,240 | ) | Deutsche Bank AG |
^ | Comprised of a proprietary basket of Commodity Trading Advisor’s (“CTA”) Programs investing in various futures, forwards, and currency derivative contracts and other similar investments. See Notes 2 & 3. |
* | Unrealized depreciation is a payable on the Fund’s consolidated statement of assets and liabilities. |
36 | | | LoCorr Multi-Strategy Fund - Consolidated Schedule of Investments |
Shares | Value | ||||||
BUSINESS DEVELOPMENT COMPANIES: 3.86% | |||||||
Apollo Investment Corp. | 68,290 | $ | 436,373 | ||||
Ares Capital Corp. | 39,013 | 639,033 | |||||
Hercules Capital, Inc. | 33,807 | 447,605 | |||||
TOTAL BUSINESS DEVELOPMENT COMPANIES (Cost $1,491,248) | 1,523,011 | ||||||
CLOSED-END INVESTMENT COMPANIES: 7.74% | |||||||
AllianceBernstein Global High Income Fund, Inc. | 34,630 | 448,112 | |||||
AllianzGI Convertible & Income Fund II | 76,831 | 477,889 | |||||
Invesco Dynamic Credit Opportunities Fund | 50,690 | 608,787 | |||||
Nuveen Credit Strategies Income Fund | 50,617 | 435,812 | |||||
PIMCO Dynamic Credit and Mortgage Income Fund | 19,980 | 445,954 | |||||
Western Asset Global High Income Fund, Inc. | 63,368 | 637,482 | |||||
TOTAL CLOSED-END INVESTMENT COMPANIES (Cost $2,917,792) | 3,054,036 | ||||||
COMMON STOCKS: 30.47% | |||||||
Finance and Insurance: 7.80% | |||||||
Artisan Partners Asset Management, Inc. | 13,816 | 424,151 | |||||
Credit Acceptance Corp. (a) | 10,310 | 2,651,114 | |||||
3,075,265 | |||||||
Information: 6.89% | |||||||
CenturyLink, Inc. | 8,418 | 201,022 | |||||
Gogo, Inc. (a) | 155,886 | 1,797,366 | |||||
Nexstar Broadcasting Group, Inc. | 9,877 | 590,645 | |||||
Sinclair Broadcast Group, Inc. | 3,955 | 130,119 | |||||
2,719,152 |
LoCorr Multi-Strategy Fund - Consolidated Schedule of Investments (continued) | | | 37 |
Shares | Value | ||||||
COMMON STOCKS (continued) | |||||||
Manufacturing: 4.04% | |||||||
Lear Corp. | 3,390 | $ | 481,651 | ||||
Tenneco, Inc. | 19,195 | 1,110,047 | |||||
1,591,698 | |||||||
Mining, Quarrying, and Oil and Gas Extraction: 2.35% | |||||||
EnLink Midstream LLC | 23,287 | 409,851 | |||||
Pattern Energy Group, Inc. | 21,751 | 518,544 | |||||
928,395 | |||||||
Professional, Scientific, and Technical Services: 0.54% | |||||||
National CineMedia, Inc. | 28,514 | 211,574 | |||||
Real Estate and Rental and Leasing: 1.78% | |||||||
AerCap Holdings NV (a)(b) | 15,141 | 702,997 | |||||
Retail Trade: 3.06% | |||||||
Signet Jewelers Ltd. (b) | 19,094 | 1,207,504 | |||||
Transportation and Warehousing: 3.46% | |||||||
Euronav NV (b) | 19,574 | 154,635 | |||||
GasLog Partners LP (b) | 12,980 | 293,997 | |||||
Golar LNG Partners LP (b) | 18,793 | 377,175 | |||||
Hoegh LNG Partners LP (b) | 10,303 | 197,302 | |||||
Targa Resources Corp. | 7,566 | 341,983 | |||||
1,365,092 | |||||||
Utilities: 0.55% | |||||||
NRG Yield, Inc. | 12,316 | 216,762 | |||||
TOTAL COMMON STOCKS (Cost $10,809,787) | 12,018,439 | ||||||
CONVERTIBLE PREFERRED STOCKS: 2.52% | |||||||
Information: 0.19% | |||||||
Frontier Communications Corp., 11.125% | 2,502 | 73,659 | |||||
Utilities: 2.33% | |||||||
Kinder Morgan, Inc., 9.750% | 20,979 | 920,559 | |||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $1,077,768) | 994,218 | ||||||
MASTER LIMITED PARTNERSHIPS: 14.80% | Units | ||||||
Finance and Insurance: 1.00% | |||||||
AllianceBernstein Holding LP | 16,710 | 395,191 | |||||
Manufacturing: 1.54% | |||||||
Alon USA Partners, LP | 19,502 | 204,381 | |||||
MPLX LP | 12,026 | 401,668 | |||||
606,049 | |||||||
Mining, Quarrying, and Oil and Gas Extraction: 2.16% | |||||||
Enterprise Products Partners LP | 15,933 | 431,466 | |||||
SunCoke Energy Partners LP | 23,951 | 420,340 | |||||
851,806 | |||||||
Other Services (except Public Administration): 1.51% | |||||||
StoneMor Partners LP | 62,744 | 592,931 | |||||
Real Estate and Rental and Leasing: 2.20% | |||||||
Fortress Transportation & Infrastructure Investors LLC | 30,106 | 479,890 | |||||
Icahn Enterprises LP | 7,530 | 389,000 | |||||
868,890 | |||||||
Retail Trade: 3.19% | |||||||
Crestwood Equity Partners LP | 28,087 | 660,044 | |||||
Global Partners LP | 33,198 | 599,224 | |||||
1,259,268 |
38 | | | LoCorr Multi-Strategy Fund - Consolidated Schedule of Investments (continued) |
Units | Value | ||||||
MASTER LIMITED PARTNERSHIPS (continued) | |||||||
Transportation and Warehousing: 2.71% | |||||||
Energy Transfer Partners LP | 31,837 | $ | 649,146 | ||||
Summit Midstream Partners LP | 18,493 | 418,866 | |||||
1,068,012 | |||||||
Wholesale Trade: 0.49% | |||||||
Martin Midstream Partners LP | 11,090 | 194,630 | |||||
TOTAL MASTER LIMITED PARTNERSHIPS (Cost $5,823,051) | 5,836,777 | ||||||
PREFERRED STOCKS: 1.03% | Shares | ||||||
Real Estate and Rental and Leasing: 1.03% | |||||||
Digital Realty Trust, Inc. - REIT, 7.375% | 14,838 | 407,006 | |||||
TOTAL PREFERRED STOCKS (Cost $396,630) | 407,006 | ||||||
PUBLICLY TRADED PARTNERSHIPS: 4.94% | Units | ||||||
Apollo Global Management LLC | 8,110 | 214,509 | |||||
Ares Management LP | 18,395 | 331,110 | |||||
Blackstone Group LP/The | 19,857 | 662,231 | |||||
Carlyle Group LP/The | 25,073 | 495,192 | |||||
Oaktree Capital Group LLC | 5,277 | 245,908 | |||||
TOTAL PUBLICLY TRADED PARTNERSHIPS (Cost $1,633,008) | 1,948,950 | ||||||
Shares | |||||||
REAL ESTATE INVESTMENT TRUSTS: 9.58% | |||||||
Administrative and Support and Waste Management and Remediation Services: 1.00% | |||||||
Ladder Capital Corp. | 29,424 | 394,576 | |||||
Finance and Insurance: 3.88% | |||||||
AGNC Investment Corp. | 9,876 | 210,260 | |||||
Apollo Commercial Real Estate Finance, Inc. | 23,478 | 435,517 | |||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 11,324 | 258,980 | |||||
Starwood Property Trust, Inc. | 27,883 | 624,300 | |||||
1,529,057 | |||||||
Real Estate and Rental and Leasing: 4.18% | |||||||
Annaly Capital Management, Inc. | 17,350 | 209,068 | |||||
Hospitality Properties Trust | 20,021 | 583,612 | |||||
LaSalle Hotel Properties | 6,861 | 204,458 | |||||
Two Harbors Investment Corp. | 23,045 | 228,376 | |||||
Uniti Group, Inc. | 16,865 | 423,986 | |||||
1,649,500 | |||||||
Transportation and Warehousing: 0.52% | |||||||
Iron Mountain, Inc. | 6,015 | 206,675 | |||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $3,591,128) | 3,779,808 | ||||||
SHORT TERM INVESTMENT: 8.78% | |||||||
MONEY MARKET FUND: 8.78% | |||||||
STIT-Government & Agency Portfolio, Institutional Class, 0.89% (c)(d) | 3,463,402 | 3,463,402 | |||||
TOTAL MONEY MARKET FUND (Cost $3,463,402) | 3,463,402 | ||||||
TOTAL SHORT TERM INVESTMENT (Cost $3,463,402) | 3,463,402 | ||||||
TOTAL INVESTMENTS (Cost $31,203,814): 83.72% | 33,025,647 | ||||||
Other Assets in Excess of Liabilities: 16.28% (e) | 6,423,216 | ||||||
TOTAL NET ASSETS: 100.00% | $ | 39,448,863 |
LoCorr Multi-Strategy Fund - Consolidated Schedule of Securities Sold Short | | | 39 |
Shares | Value | ||||||
COMMON STOCKS: (3.09)% | |||||||
Manufacturing: (1.68)% | |||||||
Owens Corning | (9,925 | ) | $ | (664,181) | |||
Other Services (except Public Administration): (0.74)% | |||||||
Regis Corp. (a) | (28,436 | ) | (292,038) | ||||
Retail Trade: (0.67)% | |||||||
Tiffany & Co. | (2,812 | ) | (263,962) | ||||
TOTAL COMMON STOCKS (Proceeds $1,194,647) | (1,220,181) | ||||||
TOTAL SECURITIES SOLD SHORT (Proceeds $1,194,647) | $ | (1,220,181) |
40 | | | LoCorr Multi-Strategy Fund - Consolidated Schedule of Swap Contracts |
Termination Date | Reference Index | Notional | Unrealized Appreciation (Depreciation)* | Counterparty |
04/14/2020 | LoCorr Multi-Strategy Index^ | $41,101,783 | $(4,272,107) | Deutsche Bank AG |
^ | Comprised of a proprietary basket of Commodity Trading Advisor’s (“CTA”) Programs investing in various futures, forwards, and currency derivative contracts and other similar investments. See Notes 2 & 3. |
* | Unrealized depreciation is a payable on the Fund’s consolidated statement of assets and liabilities. |
LoCorr Market Trend Fund - Consolidated Schedule of Investments | 41 |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||
ASSET BACKED SECURITIES: 20.34% | ||||||||
AEP Texas Central Transition Funding II LLC, 2006-2 A4 | 01/01/2020 | 5.17% | $ | 2,006,761 | $ | 2,025,265 | ||
AEP Texas Central Transition Funding III LLC, 2012-1 A1 | 12/01/2018 | 0.88% | 394,759 | 393,870 | ||||
Ally Auto Receivables Trust, 2014-2 A3 | 04/15/2019 | 1.25% | 2,341,280 | 2,340,610 | ||||
American Express Credit Account Master Trust | ||||||||
Series 2014-4 A | 06/15/2020 | 1.43% | 7,500,000 | 7,501,477 | ||||
Series 2017-1 A | 09/15/2022 | 1.93% | 5,840,000 | 5,852,978 | ||||
AmeriCredit Automobile Receivables Trust, 2016-3 A2A | 11/08/2019 | 1.37% | 4,426,768 | 4,424,521 | ||||
BA Credit Card Trust, 2014-3A A (c) | 01/15/2020 | 1.45% | 7,990,000 | 7,992,656 | ||||
California Republic Auto Receivables Trust | ||||||||
Series 2013-2 A2 | 03/15/2019 | 1.23% | 634,983 | 634,700 | ||||
Series 2015-1 A3 | 04/15/2019 | 1.33% | 89,305 | 89,295 | ||||
Series 2015-4 A3 (Acquired 02/16/2017, Cost, $5,147,372) (a) | 01/15/2020 | 2.04% | 5,133,331 | 5,143,273 | ||||
Capital Auto Receivables Asset Trust, 2016-1 A2A | 11/20/2018 | 1.50% | 1,470,098 | 1,470,122 | ||||
Capital One Multi-Asset Execution Trust | ||||||||
Series 2015-A6 (c) | 06/15/2020 | 1.53% | 5,575,000 | 5,577,067 | ||||
Series 2015-5A | 05/17/2021 | 1.60% | 4,455,000 | 4,457,525 | ||||
CarMax Auto Owner Trust, 2015-3 A3 | 05/15/2020 | 1.63% | 5,854,000 | 5,856,121 | ||||
CenterPoint Energy Restoration Bond Co. LLC, 2009-1 A2 | 08/15/2019 | 3.46% | 2,090,782 | 2,107,762 | ||||
CenterPoint Energy Transition Bond Co. II LLC, 2005-A A4 | 08/01/2019 | 5.17% | 127,431 | 127,826 | ||||
Chase Issuance Trust | ||||||||
Series 2015-A5 | 04/15/2020 | 1.36% | 6,250,000 | 6,244,624 | ||||
Series 2013-9A (c) | 11/16/2020 | 1.58% | 2,768,841 | 2,780,608 | ||||
Chrysler Capital Auto Receivables Trust, 2016-B A2 (Acquired 10/26/2016 through 02/23/2017, Cost, $7,030,854) (a) | 01/15/2020 | 1.36% | 7,033,104 | 7,024,670 | ||||
Citibank Credit Card Issuance Trust | ||||||||
Series 2008-A1 | 02/07/2020 | 5.35% | 4,270,000 | 4,366,243 | ||||
Series 2017-A2 | 01/19/2021 | 1.74% | 5,085,000 | 5,091,489 |
42 | LoCorr Market Trend Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||
ASSET BACKED SECURITIES (continued) | ||||||||
Discover Card Execution Note Trust | ||||||||
Series 2007-A1 | 03/16/2020 | 5.65% | $ | 8,000,000 | $ | 8,070,918 | ||
Series 2012-A6 | 01/18/2022 | 1.67% | 4,500,000 | 4,494,015 | ||||
Entergy Gulf States Reconstruction Funding 1 LLC, 2007-A A2 | 10/01/2018 | 5.79% | 863,963 | 867,315 | ||||
Entergy Texas Restoration Funding LLC, 2009-A A2 | 08/01/2019 | 3.65% | 376,482 | 379,834 | ||||
Ford Credit Auto Owner Trust, 2016-A A2A | 12/15/2018 | 1.12% | 1,257,920 | 1,257,405 | ||||
GM Financial Automobile Leasing Trust, 2016-1 A3 | 06/20/2019 | 1.64% | 5,000,000 | 5,001,717 | ||||
GM Financial Consumer Automobile, 2017-1A A2A (Acquired 05/31/2017, Cost, $3,999,688) (a) | 03/16/2020 | 1.51% | 4,000,000 | 3,998,972 | ||||
Honda Auto Receivables Owner Trust | ||||||||
Series 2017-1 A3 | 07/22/2019 | 1.42% | 5,445,000 | 5,444,451 | ||||
Series 2016-1 A3 | 12/18/2019 | 1.22% | 6,000,000 | 5,984,506 | ||||
Huntington Auto Trust, 2015-1 A3 | 09/16/2019 | 1.24% | 4,513,699 | 4,510,482 | ||||
Hyundai Auto Receivables Trust, 2014-B A3 | 12/17/2018 | 0.90% | 577,318 | 577,101 | ||||
Nissan Auto Receivables Owner Trust, 2015-C | 05/15/2020 | 1.37% | 5,510,000 | 5,500,403 | ||||
Ohio Phase-In-Recovery Funding LLC, 2013-1 A1 | 07/01/2018 | 0.96% | 1,514,933 | 1,514,907 | ||||
Santander Drive Auto Receivables Trust, 2016-2 A2A | 07/15/2019 | 1.38% | 1,046,711 | 1,046,533 | ||||
Susquehanna Auto Receivables Trust, 2014-1 (Acquired 05/22/2017, Cost, $5,505,970) (a) | 08/15/2019 | 1.43% | 5,505,587 | 5,504,851 | ||||
Synchrony Credit Card Master Note Trust | ||||||||
Series 2014-1 A | 11/15/2020 | 1.61% | 9,300,000 | 9,305,296 | ||||
Series 2017-1 | 06/15/2023 | 1.93% | 2,225,000 | 2,217,684 | ||||
TCF Auto Receivables Owner Trust, 2016-1A A3 (Acquired 09/14/2016, Cost, $6,998,850) (a) | 04/15/2021 | 1.71% | 7,000,000 | 6,977,396 | ||||
Verizon Owner Trust, 2017-2A A (Acquired 06/13/2017, Cost, $3,144,518) (a) | 12/20/2021 | 1.92% | 3,145,000 | 3,144,518 | ||||
Volkswagen Auto Loan Enhanced Trust, 2014-1 A3 | 10/22/2018 | 0.91% | 262,127 | 261,978 | ||||
TOTAL ASSET BACKED SECURITIES (Cost $157,686,683) | 157,562,984 | |||||||
CORPORATE BOND: 0.21% | ||||||||
Manufacturing: 0.21% | ||||||||
Johnson & Johnson | 07/15/2018 | 5.15% | 1,595,000 | 1,654,353 | ||||
TOTAL CORPORATE BOND (Cost $1,659,347) | 1,654,353 | |||||||
FOREIGN GOVERNMENT BONDS: 1.87% | ||||||||
European Investment Bank (b) | 03/15/2018 | 1.00% | 6,000,000 | 5,985,330 | ||||
European Investment Bank (b) | 05/15/2018 | 1.25% | 1,000,000 | 999,019 | ||||
European Investment Bank (b) | 08/15/2018 | 1.13% | 2,500,000 | 2,491,410 | ||||
International Bank for Reconstruction & Development (b) | 11/15/2017 | 1.00% | 5,000,000 | 4,997,980 | ||||
TOTAL FOREIGN GOVERNMENT BONDS (Cost $14,477,320) | 14,473,739 | |||||||
MORTGAGE BACKED SECURITIES: 7.68% | ||||||||
Fannie Mae Aces | ||||||||
Series 2012-M13 ASQ2 | 08/25/2017 | 1.25% | 127,572 | 127,446 | ||||
Series 2014-M13 ASQ2 | 11/25/2017 | 1.64% | 1,344,574 | 1,343,662 | ||||
Series 2014-M6 FA (c) | 12/25/2017 | 1.28% | 215,992 | 215,910 | ||||
Series 2015-M1 ASQ2 | 02/25/2018 | 1.63% | 3,653,258 | 3,651,621 | ||||
Series 2015-M7 ASQ2 | 04/25/2018 | 1.55% | 3,463,661 | 3,459,957 | ||||
Series 2014-M8 FA (c) | 05/25/2018 | 1.29% | 731,560 | 731,542 | ||||
Series 2013-M13 FA (c) | 05/25/2018 | 1.57% | 2,122,521 | 2,124,412 | ||||
Series 2013-M14 FA (c) | 08/25/2018 | 1.57% | 1,229,823 | 1,232,032 | ||||
Series 2009-M2 A3 | 01/25/2019 | 4.00% | 2,032,591 | 2,092,631 | ||||
Series 2014-M10 ASQ2 (c) | 09/25/2019 | 2.17% | 4,880,000 | 4,919,728 | ||||
Series 2010-M1 A2 | 09/25/2019 | 4.45% | 3,179,119 | 3,325,993 | ||||
Series 2010-M3 A3 (c) | 03/25/2020 | 4.33% | 3,050,317 | 3,219,378 | ||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||
Series K-701 A2 (c) | 11/25/2017 | 3.88% | 4,401,137 | 4,413,613 | ||||
Series K-703 A2 | 05/25/2018 | 2.70% | 3,912,966 | 3,943,608 | ||||
Series K-705 A2 (c) | 09/25/2018 | 2.30% | 4,000,000 | 4,029,986 | ||||
Series K-708 A2 | 01/25/2019 | 2.13% | 1,375,118 | 1,383,675 |
LoCorr Market Trend Fund - Consolidated Schedule of Investments (continued) | 43 |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||
MORTGAGE BACKED SECURITIES (continued) | ||||||||
FHLMC Multifamily Structured Pass Through Certificates (continued) | ||||||||
Series K006 A1 | 07/25/2019 | 3.40% | $ | 1,235,215 | $ | 1,259,910 | ||
Series K-504 A1 | 10/25/2019 | 1.68% | 5,347,922 | 5,348,352 | ||||
FREMF Multifamily Aggregation Risk Transfer Trust, 2017-KT01 A (c) | 02/25/2020 | 1.35% | 5,890,000 | 5,905,492 | ||||
NCUA Guaranteed Notes Trust, 2010-R1 1A (c) | 10/07/2020 | 1.53% | 6,725,906 | 6,734,991 | ||||
TOTAL MORTGAGE BACKED SECURITIES (Cost $59,200,562) | 59,463,939 | |||||||
U.S. GOVERNMENT AGENCY ISSUES: 44.42% | ||||||||
Federal Farm Credit Banks | 09/14/2018 | 0.88% | 22,000,000 | 21,878,120 | ||||
Federal Farm Credit Banks | 09/27/2019 | 1.55% | 13,000,000 | 12,985,830 | ||||
Federal Farm Credit Banks | 10/21/2019 | 1.44% | 13,200,000 | 13,172,689 | ||||
Federal Farm Credit Banks | 05/08/2020 | 1.55% | 18,590,000 | 18,537,539 | ||||
Federal Home Loan Banks | 03/18/2019 | 1.38% | 6,500,000 | 6,497,153 | ||||
Federal Home Loan Banks | 05/28/2019 | 1.38% | 9,535,000 | 9,524,798 | ||||
Federal Home Loan Banks | 06/14/2019 | 1.63% | 20,000,000 | 20,067,980 | ||||
Federal Home Loan Banks | 08/05/2019 | 0.88% | 5,055,000 | 4,993,213 | ||||
Federal Home Loan Banks | 06/12/2020 | 1.75% | 13,150,000 | 13,194,671 | ||||
Federal Home Loan Mortgage Corp. | 10/12/2018 | 0.88% | 17,210,000 | 17,105,088 | ||||
Federal Home Loan Mortgage Corp. | 04/15/2019 | 1.13% | 22,000,000 | 21,901,154 | ||||
Federal Home Loan Mortgage Corp. | 07/19/2019 | 0.88% | 25,440,000 | 25,136,832 | ||||
Federal Home Loan Mortgage Corp. | 01/17/2020 | 1.50% | 26,185,000 | 26,163,005 | ||||
Federal Home Loan Mortgage Corp. | 04/20/2020 | 1.38% | 6,800,000 | 6,759,778 | ||||
Federal National Mortgage Association | 02/26/2019 | 1.00% | 42,000,000 | 41,719,650 | ||||
Federal National Mortgage Association | 08/02/2019 | 0.88% | 21,000,000 | 20,747,538 | ||||
Federal National Mortgage Association | 08/28/2019 | 1.00% | 21,610,000 | 21,398,870 | ||||
Federal National Mortgage Association | 10/24/2019 | 1.00% | 22,545,000 | 22,295,224 | ||||
Federal National Mortgage Association | 11/26/2019 | 1.75% | 8,495,000 | 8,542,088 | ||||
Federal National Mortgage Association | 02/28/2020 | 1.50% | 11,560,000 | 11,529,701 | ||||
TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $345,861,409) | 344,150,921 | |||||||
U.S. GOVERNMENT NOTES: 6.47% | ||||||||
United States Treasury Note | 02/15/2019 | 0.75% | 10,500,000 | 10,398,696 | ||||
United States Treasury Note | 08/15/2019 | 0.75% | 5,000,000 | 4,932,030 | ||||
United States Treasury Note | 01/31/2020 | 1.25% | 10,000,000 | 9,938,670 | ||||
United States Treasury Note | 05/15/2020 | 1.50% | 6,000,000 | 5,993,202 | ||||
United States Treasury Note | 06/30/2020 | 1.63% | 6,000,000 | 6,010,548 | ||||
United States Treasury Note | 08/31/2020 | 1.38% | 12,950,000 | 12,858,949 | ||||
TOTAL U.S. GOVERNMENT NOTES (Cost $50,243,269) | 50,132,095 | |||||||
SHORT TERM INVESTMENT: 4.15% | ||||||||
MONEY MARKET FUND: 4.15% | Shares | |||||||
STIT-Government & Agency Portfolio, 0.89% (d)(e) | 32,142,971 | 32,142,971 | ||||||
TOTAL MONEY MARKET FUND (Cost $32,142,971) | 32,142,971 | |||||||
TOTAL SHORT TERM INVESTMENT (Cost $32,142,971) | 32,142,971 | |||||||
TOTAL INVESTMENTS (Cost $661,271,560): 85.14% | 659,581,002 | |||||||
Other Assets in Excess of Liabilities: 14.86% (f) | 115,125,481 | |||||||
TOTAL NET ASSETS: 100.00% | $ | 774,706,483 |
(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, 2017, the value of these securities total $31,793,680 which represents 4.10% of total net assets. |
(b) | Foreign issued security. |
(c) | Variable rate security. The rate reported is the rate in effect as of June 30, 2017. |
(d) | The rate quoted is the annualized seven-day effective yield as of June 30, 2017. |
(e) | All or a portion of this security is held by LCMT Fund Limited and pledged as collateral for derivative contracts. |
(f) | Includes assets pledged as collateral for derivative contracts. |
44 | LoCorr Market Trend Fund - Consolidated Schedule of Open Forward Currency Contracts |
Currency to be Received | Currency to be Delivered | ||||||||||||||||||||
Notional Amount | Forward Settlement Date | Curr Abbr. | U.S. $ Value at June 30, 2017 | Curr Abbr. | U.S. $ Value on Origination Date | Unrealized Appreciation | Unrealized (Depreciation) | ||||||||||||||
Purchase Contracts: | |||||||||||||||||||||
$ | 213,395,826 | 09/22/2017 | AUD | $ | 216,334,183 | USD | $ | 213,395,826 | $ | 2,938,357 | $ | — | |||||||||
226,841,950 | 09/22/2017 | CAD | 230,062,406 | USD | 226,841,950 | 3,220,456 | — | ||||||||||||||
139,518,279 | 09/22/2017 | CHF | 140,251,038 | USD | 139,518,279 | 732,759 | — | ||||||||||||||
233,997,216 | 09/22/2017 | EUR | 237,669,746 | USD | 233,997,216 | 3,672,530 | — | ||||||||||||||
235,289,221 | 09/22/2017 | GBP | 236,399,821 | USD | 235,289,221 | 1,110,600 | — | ||||||||||||||
59,188,101 | 09/22/2017 | JPY | 57,727,553 | USD | 59,188,101 | — | (1,460,548) | ||||||||||||||
58,001,038 | 09/22/2017 | MXN | 58,169,434 | USD | 58,001,038 | 168,396 | — | ||||||||||||||
105,864,826 | 09/22/2017 | NZD | 107,709,260 | USD | 105,864,826 | 1,844,434 | — | ||||||||||||||
Total Purchase Contracts | 1,284,323,441 | 1,272,096,457 | 13,687,532 | (1,460,548) | |||||||||||||||||
Sale Contracts: | |||||||||||||||||||||
$ | 156,703,437 | 09/22/2017 | USD | $ | (159,238,862) | AUD | $ | (156,703,437) | $ | — | $ | (2,535,425) | |||||||||
189,005,825 | 09/22/2017 | USD | (196,583,031) | CAD | (189,005,825) | — | (7,577,206) | ||||||||||||||
10,284,893 | 09/22/2017 | USD | (10,324,651) | CHF | (10,284,893) | — | (39,758) | ||||||||||||||
27,160,968 | 09/22/2017 | USD | (27,424,403) | EUR | (27,160,968) | — | (263,435) | ||||||||||||||
161,254,164 | 09/22/2017 | USD | (164,673,881) | GBP | (161,254,164) | — | (3,419,717) | ||||||||||||||
148,267,537 | 09/22/2017 | USD | (146,014,071) | JPY | (148,267,537) | 2,253,466 | — | ||||||||||||||
4,302,295 | 09/22/2017 | USD | (4,282,223) | MXN | (4,302,295) | 20,072 | — | ||||||||||||||
34,616,169 | 09/22/2017 | USD | (35,186,556) | NZD | (34,616,169) | — | (570,387) | ||||||||||||||
Total Sale Contracts | (743,727,678) | (731,595,288) | 2,273,538 | (14,405,928) | |||||||||||||||||
Total Forward Currency Contracts | $ | 540,595,763 | $ | 540,501,169 | $ | 15,961,070 | $ | (15,866,476) | |||||||||||||
Net Unrealized Appreciation | $ | 94,594 |
AUD | AUSTRALIAN DOLLAR |
CAD | CANADIAN DOLLAR |
CHF | SWISS FRANC |
EUR | EURO |
GBP | BRITISH POUND |
JPY | JAPANESE YEN |
MXN | MEXICAN PESO |
NZD | NEW ZEALAND DOLLAR |
USD | U.S. DOLLAR |
LoCorr Market Trend Fund - Consolidated Schedule of Open Futures Contracts | 45 |
Number of Contracts | Settlement | Unrealized | Unrealized | ||||||||||||||||
Description | Notional Amount | Purchased (Sold) | Month-Year | Appreciation | (Depreciation) | ||||||||||||||
Purchase Contracts: | |||||||||||||||||||
3 Mo Euro Euribor | $ | 430,693,144 | 1,507 | Dec-18 | $ | — | $ | (350,985 | ) | ||||||||||
90 Day Euro | 1,298,449,500 | 5,289 | Dec-18 | — | (670,990 | ) | |||||||||||||
90 Day Sterling | 640,559,389 | 3,965 | Dec-18 | — | (1,750,916 | ) | |||||||||||||
Aluminum (a)(b) | 48,035,488 | 1,001 | Sep-17 | — | (937,359 | ) | |||||||||||||
Australian 10 Yr Bond | 131,537,821 | 1,324 | Sep-17 | — | (2,073,835 | ) | |||||||||||||
CAC 40 10 Euro Index | 34,770,741 | 595 | Jul-17 | — | (881,340 | ) | |||||||||||||
Canadian 10 Yr Bond | 214,813,464 | 1,982 | Sep-17 | — | (6,836,023 | ) | |||||||||||||
Copper (a)(b) | 52,719,719 | 355 | Sep-17 | 1,347,650 | — | ||||||||||||||
DAX Index | 64,024,488 | 182 | Sep-17 | — | (2,247,247 | ) | |||||||||||||
Dow Jones Industrial Average Mini E-Cbot Index | 111,505,500 | 1,047 | Sep-17 | 809,756 | — | ||||||||||||||
Euro-Bobl | 42,870,114 | 285 | Sep-17 | — | (436,107 | ) | |||||||||||||
Euro-Stoxx 50 Index | 87,936,177 | 2,244 | Sep-17 | — | (2,945,198 | ) | |||||||||||||
FTSE 100 Index | 103,197,465 | 1,094 | Sep-17 | — | (2,640,817 | ) | |||||||||||||
Gold (a) | 13,789,530 | 111 | Aug-17 | — | (450,177 | ) | |||||||||||||
Hang Seng Index | 59,805,218 | 365 | Jul-17 | — | (161,066 | ) | |||||||||||||
Long Gilt | 216,539,477 | 1,324 | Sep-17 | — | (3,287,454 | ) | |||||||||||||
Nasdaq 100 E-Mini Index | 25,098,210 | 222 | Sep-17 | — | (1,033,337 | ) | |||||||||||||
Nikkei 225 Index | 64,968,215 | 365 | Sep-17 | 15,676 | — | ||||||||||||||
Russell 2000 Mini Index | 52,682,675 | 745 | Sep-17 | — | (18,155 | ) | |||||||||||||
S&P500 E-Mini Index | 121,892,315 | 1,007 | Sep-17 | — | (521,722 | ) | |||||||||||||
Tokyo Price Index | 61,322,249 | 428 | Sep-17 | 395,967 | — | ||||||||||||||
U.S. 10 Yr Note | 295,626,094 | 2,355 | Sep-17 | — | (689,630 | ) | |||||||||||||
U.S. 2 Yr Note | 399,370,127 | 1,848 | Sep-17 | — | (323,149 | ) | |||||||||||||
U.S. 5 Yr Note | 424,209,377 | 3,600 | Sep-17 | — | (601,762 | ) | |||||||||||||
U.S. Long Bond | 145,081,000 | 944 | Sep-17 | — | (468,002 | ) | |||||||||||||
Zinc (a)(b) | 23,460,000 | 340 | Sep-17 | 718,894 | — | ||||||||||||||
Total Purchase Contracts | 3,287,943 | (29,325,271 | ) | ||||||||||||||||
Sales Contracts: | |||||||||||||||||||
10 Yr Mini JGB | $ | 1,736,377 | (13) | Sep-17 | $ | 3,913 | $ | — | |||||||||||
Aluminum (a)(b) | 3,503,088 | (73) | Sep-17 | — | (31,920 | ) | |||||||||||||
Brent Crude (a) | 30,188,630 | (619) | Jul-17 | — | (1,011,394 | ) | |||||||||||||
Cocoa (a) | 13,069,499 | (658) | Sep-17 | 35,011 | — | ||||||||||||||
Coffee (a) | 13,104,225 | (278) | Sep-17 | 786,338 | — | ||||||||||||||
Copper (a)(b) | 33,859,425 | (228) | Sep-17 | — | (1,784,658 | ) | |||||||||||||
Corn (a) | 11,034,800 | (563) | Dec-17 | — | (58,297 | ) | |||||||||||||
Cotton No.2 (a) | 548,720 | (16) | Dec-17 | — | (5,141 | ) | |||||||||||||
Dollar | 49,141,820 | (515) | Sep-17 | 632,012 | — | ||||||||||||||
Euro-Bund | 51,396,692 | (278) | Sep-17 | 178,317 | — | ||||||||||||||
Euro-Schatz | 506,527,686 | (3,965) | Sep-17 | 560,713 | — | ||||||||||||||
Gasoline RBOB (a) | 46,410,042 | (730) | Jul-17 | 455,380 | — | ||||||||||||||
Hard Red Wheat (a) | 13,449,300 | (508) | Sep-17 | — | (1,972,505 | ) | |||||||||||||
Heating Oil (a) | 48,897,807 | (785) | Jul-17 | — | (586,089 | ) | |||||||||||||
Japanese 10 Yr Bond | 12,011,469 | (9) | Sep-17 | 48,611 | — | ||||||||||||||
Low Sulphur Gasoil (a) | 14,867,600 | (341) | Aug-17 | — | (259,924 | ) | |||||||||||||
Natural Gas (a) | 21,184,300 | (698) | Jul-17 | 127,681 | — | ||||||||||||||
Silver (a) | 34,916,700 | (420) | Sep-17 | — | (82,568 | ) | |||||||||||||
Soybean (a) | 31,411,275 | (658) | Nov-17 | — | (911,447 | ) | |||||||||||||
Soybean Meal (a) | 10,362,960 | (333) | Dec-17 | — | (151,499 | ) | |||||||||||||
Soybean Oil (a) | 9,521,904 | (476) | Dec-17 | — | (492,774 | ) | |||||||||||||
Sugar (a) | 10,177,418 | (658) | Sep-17 | 1,038,157 | — | ||||||||||||||
Wheat (a) | 13,625,000 | (500) | Dec-17 | — | (2,022,410 | ) | |||||||||||||
Wti Crude (a) | 44,889,000 | (975) | Jul-17 | 1,600,576 | — | ||||||||||||||
Zinc (a)(b) | 13,593,000 | (197) | Sep-17 | — | (1,037,567 | ) | |||||||||||||
Total Sale Contracts | 5,466,709 | (10,408,193 | ) | ||||||||||||||||
Total Futures Contracts | $ | 8,754,652 | $ | (39,733,464 | ) | ||||||||||||||
Net Unrealized Depreciation | $ | (30,978,812 | ) |
(a) | Contract held by LCMT Fund Limited. |
(b) | London Metal Exchange (“LME”) futures contracts settle on their respective maturity date. The unrealized appreciation on these contracts is a receivable for unsettled open futures contracts and the unrealized depreciation is a payable for unsettled open futures contracts on the Fund’s consolidated statement of assets and liabilities. See Notes 2 & 3. |
46 | LoCorr Dynamic Equity Fund - Schedule of Investments |
Shares | Value | |||||||
COMMON STOCKS: 61.28% | ||||||||
Accommodation and Food Services: 0.48% | ||||||||
Extended Stay America, Inc. | 20,119 | $ | 389,504 | |||||
Administrative and Support and Waste Management and Remediation Services: 2.39% | ||||||||
Casella Waste Systems, Inc. (a) | 50,162 | 823,158 | ||||||
Cision Ltd. (a) | 28,030 | 288,429 | ||||||
TripAdvisor, Inc. (a) | 21,132 | 807,242 | ||||||
1,918,829 | ||||||||
Construction: 0.43% | ||||||||
Lennar Corp. | 7,742 | 348,158 | ||||||
Energy: 1.03% | ||||||||
Petrofac Ltd. (b) | 143,745 | 827,519 | ||||||
Finance and Insurance: 8.72% | ||||||||
Aspen Insurance Holdings Ltd. (b) | 15,842 | 789,724 | ||||||
Credit Acceptance Corp. (a) | 23,452 | 6,030,447 | ||||||
Drive Shack, Inc. | 60,725 | 191,284 | ||||||
7,011,455 | ||||||||
Information: 19.38% | ||||||||
Cincinnati Bell, Inc. (a) | 31,235 | 610,640 | ||||||
Gogo, Inc. (a) | 682,164 | 7,865,351 | ||||||
Houghton Mifflin Harcourt Co. (a) | 80,232 | 986,854 | ||||||
Internap Corp. (a) | 9,456 | 34,704 | ||||||
Lumos Networks Corp. (a) | 10,218 | 182,596 | ||||||
Madison Square Garden Co./The (a) | 4,120 | 811,228 | ||||||
Match Group, Inc. (a) | 85,238 | 1,481,436 | ||||||
Nexstar Broadcasting Group, Inc. | 33,372 | 1,995,646 | ||||||
NII Holdings, Inc. (a) | 132,820 | 106,787 | ||||||
Sinclair Broadcast Group, Inc. | 10,323 | 339,627 | ||||||
Twilio, Inc. (a) | 25,838 | 752,144 | ||||||
Zayo Group Holdings, Inc. (a) | 13,064 | 403,678 | ||||||
15,570,691 |
LoCorr Dynamic Equity Fund - Schedule of Investments (continued) | 47 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Manufacturing: 14.52% | ||||||||
AK Steel Holding Corp. (a) | 155,493 | $ | 1,021,589 | |||||
Callaway Golf Co. | 78,541 | 1,003,754 | ||||||
Commercial Metals Co. | 20,747 | 403,114 | ||||||
Harmonic, Inc. (a) | 18,012 | 94,563 | ||||||
Immersion Corp. (a) | 16,150 | 146,642 | ||||||
Lear Corp. | 15,252 | 2,167,004 | ||||||
Manitowoc Co., Inc./The (a) | 65,641 | 394,502 | ||||||
Nintendo Co. Ltd. - ADR (a)(b) | 29,227 | 1,222,273 | ||||||
Olympic Steel, Inc. | 11,297 | 220,066 | ||||||
QuickLogic Corp. (a) | 55,581 | 81,148 | ||||||
Steel Dynamics, Inc. | 11,793 | 422,307 | ||||||
Tenneco, Inc. | 67,772 | 3,919,255 | ||||||
United States Steel Corp. | 18,374 | 406,800 | ||||||
Zynga, Inc. (a) | 45,730 | 166,457 | ||||||
11,669,474 | ||||||||
Professional, Scientific, and Technical Services: 0.96% | ||||||||
Instructure, Inc. (a) | ||||||||
26,159 | 771,691 | |||||||
Real Estate and Rental and Leasing: 3.91% | ||||||||
AerCap Holdings NV (a)(b) | ||||||||
67,608 | 3,139,039 | |||||||
Retail Trade: 8.23% | ||||||||
Etsy, Inc. (a) | 51,412 | 771,180 | ||||||
MobileIron, Inc. (a) | 69,747 | 421,969 | ||||||
Signet Jewelers Ltd. (b) | 83,333 | 5,269,979 | ||||||
Straight Path Communications, Inc. (a) | 838 | 150,547 | ||||||
6,613,675 | ||||||||
Transportation and Warehousing: 1.23% | ||||||||
JetBlue Airways Corp. (a) | 43,398 | 990,776 | ||||||
TOTAL COMMON STOCKS (Cost $44,675,055) | 49,250,811 | |||||||
REAL ESTATE INVESTMENT TRUSTS: 1.02% | ||||||||
Gaming and Leisure Properties, Inc. | 11,549 | 435,051 | ||||||
STORE Capital Corp. | 17,006 | 381,785 | ||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $753,514) | 816,836 |
SHORT TERM INVESTMENTS: 33.05% | |||||||||||||
U.S. TREASURY BILL: 7.44% | Maturity Date | Coupon | Principal Amount | ||||||||||
United States Treasury Bill (c) | 11/09/17 | 1.03 | %(d) | $ 6,000,000 | 5,977,416 | ||||||||
TOTAL U.S. TREASURY BILL (Cost $5,983,625) | 5,977,416 |
MONEY MARKET FUND: 25.61% | Shares | |||||||
STIT-Government & Agency Portfolio, 0.89% (e) | 20,577,791 | 20,577,791 | ||||||
TOTAL MONEY MARKET FUND (Cost $20,577,791) | 20,577,791 | |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $26,561,416) | 26,555,207 | |||||||
TOTAL INVESTMENTS (Cost $71,989,985): 95.35% | 76,622,854 | |||||||
Other Assets in Excess of Liabilities: 4.65% (f) | 3,738,313 | |||||||
TOTAL NET ASSETS: 100.00% | $ | 80,361,167 |
48 | LoCorr Dynamic Equity Fund - Schedule of Securities Sold Short |
Shares | Value | |||||||
COMMON STOCKS: (21.23)% | ||||||||
Accommodation and Food Services: (0.67)% | ||||||||
Restaurant Brands International, Inc. (b) | (8,559 | ) | $ | (535,280 | ) | |||
Construction: (0.52)% | ||||||||
Lennar Corp. | (7,742 | ) | (412,803 | ) | ||||
Consumer Discretionary: (1.82)% | ||||||||
adidas AG (b) | (3,139 | ) | (601,420 | ) | ||||
Bayerische Motoren Werke (b) | (4,621 | ) | (428,987 | ) | ||||
Daimler (b) | (5,955 | ) | (431,012 | ) | ||||
(1,461,419 | ) | |||||||
Finance and Insurance: (1.25)% | ||||||||
Allstate Corp./The | (2,487 | ) | (219,950 | ) | ||||
Evercore Partners, Inc. | (8,204 | ) | (578,382 | ) | ||||
Progressive Corp./The | (4,627 | ) | (204,004 | ) | ||||
(1,002,336 | ) | |||||||
Information: (1.82)% | ||||||||
Bankrate, Inc.(a) | (17,917 | ) | (230,233 | ) | ||||
Boingo Wireless, Inc. (a) | (4,400 | ) | (65,824 | ) | ||||
Cornerstone OnDemand, Inc. (a) | (13,353 | ) | (477,370 | ) | ||||
Qualys, Inc. (a) | (7,147 | ) | (291,598 | ) | ||||
Vonage Holdings Corp. (a) | (61,000 | ) | (398,940 | ) | ||||
(1,463,965 | ) | |||||||
Management of Companies and Enterprises: (0.25)% | ||||||||
Echostar Corp. (a) | (3,343 | ) | (202,920 | ) | ||||
Manufacturing: (8.05)% | ||||||||
Acushnet Holdings Corp. | (3,302 | ) | (65,512 | ) | ||||
Allison Transmission Holdings, Inc. | (13,163 | ) | (493,744 | ) | ||||
Canada Goose Holdings, Inc. (a)(b) | (28,434 | ) | (561,572 | ) | ||||
Cummins, Inc. | (1,898 | ) | (307,894 | ) | ||||
Dr Pepper Snapple Group, Inc. | (6,424 | ) | (585,291 | ) | ||||
MKS Instruments, Inc. | (2,829 | ) | (190,392 | ) | ||||
NETGEAR, Inc. (a) | (13,375 | ) | (576,463 | ) | ||||
Owens Corning | (33,229 | ) | (2,223,684 | ) | ||||
PACCAR, Inc. | (4,723 | ) | (311,907 | ) | ||||
Snyder’s-Lance, Inc. | (10,511 | ) | (363,891 | ) | ||||
TreeHouse Foods, Inc. (a) | (4,853 | ) | (396,442 | ) | ||||
Ultra Clean Holdings, Inc. (a) | (10,155 | ) | (190,406 | ) | ||||
Universal Electronics, Inc. (a) | (2,970 | ) | (198,545 | ) | ||||
(6,465,743 | ) | |||||||
Mining, Quarrying, and Oil and Gas Extraction: (0.70)% | ||||||||
Schlumberger Ltd. (b) | (8,585 | ) | (565,236 | ) | ||||
Other Services (except Public Administration): (1.22)% | ||||||||
Regis Corp. (a) | (95,486 | ) | (980,641 | ) | ||||
Professional, Scientific, and Technical Services: (1.19)% | ||||||||
FactSet Research Systems, Inc. | (3,645 | ) | (605,726 | ) | ||||
MoneyGram International, Inc. (a) | (11,550 | ) | (199,238 | ) | ||||
Okta, Inc. (a) | (6,707 | ) | (152,920 | ) | ||||
(957,884 | ) | |||||||
Software: (0.28)% | ||||||||
Constellation Software, Inc. (b) | (433 | ) | (226,520 | ) | ||||
LoCorr Dynamic Equity Fund - Schedule of Securities Sold Short (continued) | 49 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Real Estate and Rental and Leasing: (0.76)% | ||||||||
AMERCO | (1,676 | ) | $ | (613,517 | ) | |||
Retail Trade: (2.08)% | ||||||||
GrubHub, Inc. (a) | (11,516 | ) | (502,097 | ) | ||||
Tiffany & Co. | (12,477 | ) | (1,171,215 | ) | ||||
(1,673,312 | ) | |||||||
Wholesale Trade: (0.62)% | ||||||||
Patterson Cos., Inc. | (10,595 | ) | (497,435 | ) | ||||
TOTAL COMMON STOCKS (Proceeds $17,054,307) | (17,059,011 | ) | ||||||
EXCHANGE TRADED FUNDS: (2.52)% | ||||||||
iShares iBoxx $ High Yield Corporate Bond | (4,533 | ) | (400,672 | ) | ||||
iShares Russell 2000 | (2,794 | ) | (393,730 | ) | ||||
iShares US Telecommunications | (13,718 | ) | (442,543 | ) | ||||
Powershares QQQ Trust Series 1 | (2,857 | ) | (393,237 | ) | ||||
SPDR S&P500 Trust | (1,635 | ) | (395,343 | ) | ||||
TOTAL EXCHANGE TRADED FUNDS (Proceeds $2,034,826) | (2,025,525 | ) | ||||||
TOTAL SECURITIES SOLD SHORT (Proceeds $19,089,133): (23.75)% | $ | (19,084,536 | ) |
50 | LoCorr Spectrum Income Fund - Schedule of Investments |
Shares | Value | |||||||
BUSINESS DEVELOPMENT COMPANIES: 6.77% | ||||||||
Apollo Investment Corp. | 341,831 | $ | 2,184,300 | |||||
Ares Capital Corp. | 194,944 | 3,193,183 | ||||||
Hercules Capital, Inc. | 168,910 | 2,236,368 | ||||||
TOTAL BUSINESS DEVELOPMENT COMPANIES (Cost $7,526,081) | 7,613,851 | |||||||
CLOSED-END INVESTMENT COMPANIES: 13.60% | ||||||||
AllianceBernstein Global High Income Fund, Inc. | 172,699 | 2,234,725 | ||||||
AllianzGI Convertible & Income Fund II | 384,292 | 2,390,296 | ||||||
Invesco Dynamic Credit Opportunities Fund | 253,555 | 3,045,195 | ||||||
Nuveen Credit Strategies Income Fund | 253,233 | 2,180,336 | ||||||
PIMCO Dynamic Credit and Mortgage Income Fund | 100,056 | 2,233,250 | ||||||
Western Asset Global High Income Fund, Inc. | 319,326 | 3,212,420 | ||||||
TOTAL CLOSED-END INVESTMENT COMPANIES (Cost $14,523,051) | 15,296,222 | |||||||
COMMON STOCKS: 14.88% | ||||||||
Finance and Insurance: 1.89% | ||||||||
Artisan Partners Asset Management, Inc. | 69,138 | 2,122,537 | ||||||
Information: 0.89% | ||||||||
CenturyLink, Inc. | 42,063 | 1,004,464 | ||||||
Mining, Quarrying, and Oil and Gas Extraction: 4.12% | ||||||||
EnLink Midstream LLC | 115,924 | 2,040,262 | ||||||
Pattern Energy Group, Inc. | 108,900 | 2,596,176 | ||||||
4,636,438 | ||||||||
Professional, Scientific, and Technical Services: 0.94% | ||||||||
National CineMedia, Inc. | 142,568 | 1,057,855 |
LoCorr Spectrum Income Fund - Schedule of Investments (continued) | 51 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Transportation and Warehousing: 6.08% | ||||||||
Euronav NV (a) | 93,585 | $ | 739,321 | |||||
GasLog Partners LP (a) | 65,166 | 1,476,010 | ||||||
Golar LNG Partners LP (a) | 94,466 | 1,895,933 | ||||||
Hoegh LNG Partners LP (a) | 52,338 | 1,002,273 | ||||||
Targa Resources Corp. | 37,863 | 1,711,408 | ||||||
6,824,945 | ||||||||
Utilities: 0.96% | ||||||||
NRG Yield, Inc. | 61,644 | 1,084,934 | ||||||
TOTAL COMMON STOCKS (Cost $17,076,819) | 16,731,173 | |||||||
CONVERTIBLE PREFERRED STOCKS: 4.42% | ||||||||
Information: 0.33% | ||||||||
Frontier Communications Corp., 11.125% | 12,528 | 368,824 | ||||||
Utilities: 4.09% | ||||||||
Kinder Morgan, Inc., 9.750% | 104,870 | 4,601,696 | ||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $5,369,354) | 4,970,520 | |||||||
MASTER LIMITED PARTNERSHIPS: 25.68% | Units | |||||||
Finance and Insurance: 1.68% | ||||||||
AllianceBernstein Holding LP | 79,878 | 1,889,115 | ||||||
Manufacturing: 2.69% | ||||||||
Alon USA Partners, LP | 97,510 | 1,021,905 | ||||||
MPLX LP | 60,093 | 2,007,106 | ||||||
3,029,011 | ||||||||
Mining, Quarrying, and Oil and Gas Extraction: 3.79% | ||||||||
Enterprise Products Partners LP | 79,638 | 2,156,597 | ||||||
SunCoke Energy Partners LP | 120,281 | 2,110,931 | ||||||
4,267,528 | ||||||||
Other Services (except Public Administration): 2.52% | ||||||||
StoneMor Partners LP | 300,096 | 2,835,907 | ||||||
Real Estate and Rental and Leasing: 3.87% | ||||||||
Fortress Transportation & Infrastructure Investors LLC | 150,529 | 2,399,432 | ||||||
Icahn Enterprises LP | 37,712 | 1,948,202 | ||||||
4,347,634 | ||||||||
Retail Trade: 5.52% | ||||||||
Crestwood Equity Partners LP | 135,991 | 3,195,788 | ||||||
Global Partners LP | 165,991 | 2,996,138 | ||||||
6,191,926 | ||||||||
Transportation and Warehousing: 4.74% | ||||||||
Energy Transfer Partners LP | 159,184 | 3,245,762 | ||||||
Summit Midstream Partners LP | 92,251 | 2,089,485 | ||||||
5,335,247 | ||||||||
Wholesale Trade: 0.87% | ||||||||
Martin Midstream Partners LP | 55,565 | 975,166 | ||||||
TOTAL MASTER LIMITED PARTNERSHIPS (Cost $28,566,831) | 28,871,534 | |||||||
PREFERRED STOCK: 1.83% | Shares | |||||||
Real Estate and Rental and Leasing: 1.83% | ||||||||
Digital Realty Trust, Inc. - REIT, 7.375% | 74,980 | 2,056,701 | ||||||
TOTAL PREFERRED STOCK (Cost $1,999,559) | 2,056,701 |
52 | LoCorr Spectrum Income Fund - Schedule of Investments (continued) |
Units | Value | |||||||
PUBLICLY TRADED PARTNERSHIPS: 8.67% | ||||||||
Apollo Global Management LLC | 40,569 | $ | 1,073,050 | |||||
Ares Management LP | 91,975 | 1,655,550 | ||||||
Blackstone Group LP/The | 99,316 | 3,312,189 | ||||||
Carlyle Group LP/The | 125,691 | 2,482,397 | ||||||
Oaktree Capital Group LLC | 26,383 | 1,229,448 | ||||||
TOTAL PUBLICLY TRADED PARTNERSHIPS (Cost $8,082,692) | 9,752,634 | |||||||
Shares | ||||||||
REAL ESTATE INVESTMENT TRUSTS: 16.83% | ||||||||
Administrative and Support and Waste Management and Remediation Services: 1.77% | ||||||||
Ladder Capital Corp. | 148,379 | 1,989,762 | ||||||
Finance and Insurance: 6.80% | ||||||||
AGNC Investment Corp. | 49,387 | 1,051,449 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 117,327 | 2,176,416 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 56,682 | 1,296,317 | ||||||
Starwood Property Trust, Inc. | 139,384 | 3,120,808 | ||||||
7,644,990 | ||||||||
Real Estate and Rental and Leasing: 7.34% | ||||||||
Annaly Capital Management, Inc. | 86,760 | 1,045,458 | ||||||
Hospitality Properties Trust | 100,141 | 2,919,110 | ||||||
LaSalle Hotel Properties | 34,313 | 1,022,528 | ||||||
Two Harbors Investment Corp. | 116,276 | 1,152,295 | ||||||
Uniti Group, Inc. | 84,376 | 2,121,213 | ||||||
8,260,604 | ||||||||
Transportation and Warehousing: 0.92% | ||||||||
Iron Mountain, Inc. | 30,077 | 1,033,446 | ||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $18,394,971) | 18,928,802 | |||||||
SHORT TERM INVESTMENT: 8.64% | ||||||||
MONEY MARKET FUND: 8.64% | ||||||||
STIT-Government & Agency Portfolio, Institutional Class, 0.89% (b) | 9,719,966 | 9,719,966 | ||||||
TOTAL MONEY MARKET FUND (Cost $9,719,966) | 9,719,966 | |||||||
TOTAL SHORT TERM INVESTMENT (Cost $9,719,966) | 9,719,966 | |||||||
TOTAL INVESTMENTS (Cost $111,259,324): 101.32% | 113,941,403 | |||||||
Liabilities in Excess of Other Assets: (1.32)% | (1,485,546 | ) | ||||||
TOTAL NET ASSETS: 100.00% | $ | 112,455,857 |
(a) | Foreign issued security. |
(b) | The rate quoted is the annualized seven-day effective yield as of June 30, 2017. |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund - Consolidated Statements of Assets & Liabilities | | 53 |
LoCorr | ||||||||||||||||
Long/Short | LoCorr | LoCorr | ||||||||||||||
LoCorr Macro | Commodities | Multi-Strategy | Market Trend | |||||||||||||
Strategies Fund | Strategy Fund | Fund | Fund | |||||||||||||
Assets | ||||||||||||||||
Investments, at value (Cost $862,358,573, $87,138,384, $31,203,814 | ||||||||||||||||
and $661,271,560, respectively) | $ | 861,770,199 | $ | 87,040,551 | $ | 33,025,647 | $ | 659,581,002 | ||||||||
Cash (Note 2) | 17,330,000 | — | — | 29,130,000 | ||||||||||||
Receivable for Fund shares sold | 4,472,170 | 412,652 | 138,059 | 3,047,657 | ||||||||||||
Receivable for securities sold | 26,920,432 | 471,628 | — | 8,535,819 | ||||||||||||
Dividends and interest receivable | 4,172,557 | 423,582 | 100,952 | 1,822,147 | ||||||||||||
Receivable for unsettled open futures contracts | 1,781,521 | — | — | 2,066,544 | ||||||||||||
Deposits with broker for derivative instruments (Note 2) | 99,606,247 | 23,609,819 | 11,413,357 | 96,511,940 | ||||||||||||
Deposits with broker for securities sold short (Note 2) | — | — | 1,798,711 | — | ||||||||||||
Unrealized appreciation on forward currency contracts (Note 2) | 12,609,160 | — | — | 15,961,070 | ||||||||||||
Advance receipt on swap contracts | — | 12,036,526 | — | — | ||||||||||||
Prepaid expenses and other assets | 190,496 | 43,677 | 28,154 | 94,290 | ||||||||||||
Total Assets | 1,028,852,782 | 124,038,435 | 46,504,880 | 816,750,469 | ||||||||||||
Liabilities | ||||||||||||||||
Securities sold short, at value (Proceeds, $0, $0, $1,194,647 and $0, respectively) | $ | — | $ | — | $ | 1,220,181 | $ | — | ||||||||
Payable for Fund shares redeemed | 4,966,084 | 255,585 | 10,543 | 3,653,463 | ||||||||||||
Payable for securities purchased | 8,632 | — | 343,565 | — | ||||||||||||
Payable for unsettled open futures contracts | 2,731,591 | — | — | 3,791,504 | ||||||||||||
Payable for variation margin on futures contracts | 16,674,446 | — | — | 16,739,299 | ||||||||||||
Accrued management fees (Note 5) | 1,465,961 | 115,594 | 42,625 | 1,022,320 | ||||||||||||
Accrued Trustees' fees | 15,382 | 2,567 | 738 | 26,722 | ||||||||||||
Accrued Rule 12b-1 fees | — | 89,347 | 19,104 | 181,719 | ||||||||||||
Unrealized depreciation on swap contracts (Note 1) | — | 21,655,240 | 4,272,107 | — | ||||||||||||
Unrealized depreciation on forward currency contracts (Note 2) | 14,595,922 | — | — | 15,866,476 | ||||||||||||
Advance payment on swap contracts | — | — | 1,085,749 | — | ||||||||||||
Accrued expenses and other liabilities | 306,787 | 103,800 | 61,405 | 762,483 | ||||||||||||
Total Liabilities | 40,764,805 | 22,222,133 | 7,056,017 | 42,043,986 | ||||||||||||
Net Assets | $ | 988,087,977 | $ | 101,816,302 | $ | 39,448,863 | $ | 774,706,483 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in capital | $ | 1,001,402,295 | $ | 124,658,983 | $ | 43,245,119 | $ | 836,687,178 | ||||||||
Accumulated net investment loss | (3,883,819 | ) | (187,882 | ) | (676,681 | ) | (4,910,225 | ) | ||||||||
Accumulated net realized gain (loss) | 25,618,716 | (901,726 | ) | (643,767 | ) | (24,495,694 | ) | |||||||||
Net unrealized appreciation (depreciation) of: | ||||||||||||||||
Investments | (588,374 | ) | (97,833 | ) | 1,821,833 | (1,690,558 | ) | |||||||||
Securities sold short | — | — | (25,534 | ) | — | |||||||||||
Swap contracts | — | (21,655,240 | ) | (4,272,107 | ) | — | ||||||||||
Forward currency contracts | (1,986,762 | ) | — | — | 94,594 | |||||||||||
Futures contracts | (32,298,764 | ) | — | — | (30,978,812 | ) | ||||||||||
Foreign currency translation | (175,315 | ) | — | — | — | |||||||||||
NET ASSETS | $ | 988,087,977 | $ | 101,816,302 | $ | 39,448,863 | $ | 774,706,483 | ||||||||
Class A Shares | ||||||||||||||||
Net assets | $ | 103,042,831 | $ | 27,929,540 | $ | 18,447,294 | $ | 76,633,134 | ||||||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 11,874,973 | 3,140,338 | 2,346,995 | 7,436,422 | ||||||||||||
Net asset value, redemption, and minimum offering price per share (a) | $8.68 | $8.89 | $7.86 | $10.31 | ||||||||||||
Maximum offering price per share | ||||||||||||||||
($8.68/0.9425), ($8.89/0.9425), ($7.86/0.9425), ($10.31/0.9425) (b) | $9.21 | $9.43 | $8.34 | $10.94 | ||||||||||||
Class C Shares | ||||||||||||||||
Net assets | $ | 103,667,788 | $ | 5,745,780 | $ | 3,045,266 | $ | 56,598,552 | ||||||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 12,397,645 | 664,218 | 386,702 | 5,573,156 | ||||||||||||
Net asset value, redemption, and offering price per share (a) | $8.36 | $8.65 | $7.87 | $10.16 | ||||||||||||
Class I Shares | ||||||||||||||||
Net assets | $ | 781,377,358 | $ | 68,140,982 | $ | 17,956,303 | $ | 641,474,797 | ||||||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 88,877,233 | 7,596,710 | 2,288,385 | 61,992,092 | ||||||||||||
Net asset value, redemption, and offering price per share | $8.79 | $8.97 | $7.85 | $10.35 |
(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) | On investments of $25,000 or more, the offering price is reduced. |
54 | LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund - Statements of Assets & Liabilities |
LoCorr | LoCorr | |||||||
Dynamic Equity | Spectrum | |||||||
Fund | Income Fund | |||||||
Assets | ||||||||
Investments, at value (Cost $71,989,985 and $111,259,324, respectively) | $ | 76,622,854 | $ | 113,941,403 | ||||
Cash (Note 2) | 2,100,000 | — | ||||||
Receivable for Fund shares sold | 162,376 | 467,974 | ||||||
Receivable for securities sold | 8,044,917 | — | ||||||
Dividend and interest receivable | 22,379 | 500,755 | ||||||
Deposits with broker for securities sold short (Note 2) | 22,146,996 | — | ||||||
Prepaid expenses and other assets | 49,788 | 30,297 | ||||||
Total Assets | 109,149,310 | 114,940,429 | ||||||
Liabilities | ||||||||
Securities sold short, at value (proceeds $19,089,133 and $0, respectively) | $ | 19,084,536 | $ | — | ||||
Payable for Fund shares redeemed | 387,546 | 240,843 | ||||||
Payable for securities purchased | 9,058,756 | 1,719,725 | ||||||
Accrued management fees (Note 5) | 162,604 | 118,694 | ||||||
Accrued Trustees' fees | 1,758 | 1,835 | ||||||
Accrued Rule 12b-1 fees | 26,645 | 83,512 | ||||||
Accrued expenses and other liabilities | 66,298 | 319,963 | ||||||
Total Liabilities | 28,788,143 | 2,484,572 | ||||||
Net Assets | $ | 80,361,167 | $ | 112,455,857 | ||||
Net Assets Consist of: | ||||||||
Paid-in capital | $ | 72,533,611 | $ | 138,915,344 | ||||
Accumulated net investment loss | (1,104,390 | ) | (3,973,726 | ) | ||||
Accumulated undistributed net realized gain (loss) | 4,295,854 | (25,167,840 | ) | |||||
Net unrealized appreciation (depreciation) of: | ||||||||
Investments | 4,632,869 | 2,682,079 | ||||||
Securities sold short | 4,597 | — | ||||||
Foreign currency translation | (1,374 | ) | — | |||||
NET ASSETS | $ | 80,361,167 | $ | 112,455,857 | ||||
Class A Shares | ||||||||
Net assets | $ | 18,056,840 | $ | 34,849,286 | ||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 1,506,828 | 4,576,014 | ||||||
Net asset value, redemption, and minimum offering price per share (a) | $11.98 | $7.62 | (b) | |||||
Maximum offering price per share ($11.98/0.9425), ($7.62/0.9425) (c) | $12.71 | $8.08 | ||||||
Class C Shares | ||||||||
Net assets | $ | 11,751,137 | $ | 25,662,351 | ||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 1,012,209 | 3,357,881 | ||||||
Net asset value, redemption, and offering price per share (a) | $11.61 | $7.64 | (b) | |||||
Class I Shares | ||||||||
Net assets | $ | 50,553,190 | $ | 51,944,220 | ||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 4,174,718 | 6,825,405 | ||||||
Net asset value, redemption, and offering price per share | $12.11 | $7.61 | (b) |
(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 60 days of purchase may be assessed a redemption fee of 2.00%. |
(c) | On investments of $25,000 or more, the offering price is reduced. |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund - Consolidated Statements of Operations | | 55 |
LoCorr Macro Strategies Fund | LoCorr Long/Short Commodities Strategy Fund | LoCorr Multi-Strategy Fund | LoCorr Market Trend Fund | ||||||||||
Investment Income | |||||||||||||
Dividend and interest income (a) | $ | 6,832,415 | $ | 959,250 | $ | 594,404 | $ | 4,273,878 | |||||
Distributions received from master limited partnership (“MLP”) interests | — | — | 409,371 | — | |||||||||
Less: return of capital on distributions from MLP interests (Note 2) | — | — | (409,371) | — | |||||||||
Total Investment Income | 6,832,415 | 959,250 | 594,404 | 4,273,878 | |||||||||
Expenses | |||||||||||||
Management fees (Note 5) | 8,759,693 | 841,516 | 340,084 | 6,736,744 | |||||||||
Fund administration fees | 144,044 | 34,045 | 21,949 | 183,975 | |||||||||
Fund accounting fees | 178,994 | 52,986 | 21,937 | 189,192 | |||||||||
Trustees’ fees | 32,258 | 4,717 | 1,483 | 45,169 | |||||||||
Transfer agent fees and expenses | 734,795 | 135,405 | 42,819 | 889,474 | |||||||||
Custodian fees | 32,956 | 5,853 | 3,361 | 25,421 | |||||||||
Registration expenses | 77,139 | 41,162 | 22,066 | 62,316 | |||||||||
Rule 12b-1 fees - Class A (Note 5) | 220,730 | 38,748 | 23,084 | 132,349 | |||||||||
Rule 12b-1 fees - Class C (Note 5) | 552,305 | 30,958 | 17,053 | 362,096 | |||||||||
Legal and audit fees | 27,998 | 16,309 | 18,044 | 33,283 | |||||||||
Printing and mailing expenses | 49,976 | 11,128 | 7,087 | 83,517 | |||||||||
Other expenses | 5,626 | 2,267 | 1,694 | 10,170 | |||||||||
Total expenses before dividend expense | 10,816,514 | 1,215,094 | 520,661 | 8,753,706 | |||||||||
Dividend expense on securities sold short (Note 2) | — | — | 3,391 | — | |||||||||
Total expenses before reimbursement | 10,816,514 | 1,215,094 | 524,052 | 8,753,706 | |||||||||
Reimbursement from Adviser (Note 5) | (100,280 | ) | (51,417 | ) | (84,082 | ) | — | ||||||
Net Expenses | 10,716,234 | 1,163,677 | 439,970 | 8,753,706 | |||||||||
Net Investment Income (Loss) | (3,883,819 | ) | (204,427 | ) | 154,434 | (4,479,828 | ) | ||||||
Realized and Unrealized Gain (Loss) on Investments, Securities Sold Short, Swap Contracts, Forward Currency Contracts, Futures Contracts and Foreign Currency Translation: | |||||||||||||
Net realized gain (loss) on: | |||||||||||||
Investments | (1,661,194 | ) | (199,027 | ) | 497,308 | (1,060,432 | ) | ||||||
Securities sold short | — | — | — | — | |||||||||
Swap contracts | — | (390,927 | ) | (520,886 | ) | — | |||||||
Forward currency contracts | (18,996,692 | ) | — | — | (39,137,223 | ) | |||||||
Futures contracts | 36,039,367 | — | — | 60,313,278 | |||||||||
Foreign currency translation | 167,351 | — | — | (78,265 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||
Investments | 4,178,579 | 402,427 | (281,994 | ) | 1,112,484 | ||||||||
Securities sold short | — | — | (34,319 | ) | — | ||||||||
Swap contracts | — | (2,664,290 | ) | (567,752 | ) | — | |||||||
Forward currency contracts | (4,843,392 | ) | — | — | (3,755,285 | ) | |||||||
Futures contracts | (37,703,694 | ) | — | — | (40,506,568 | ) | |||||||
Foreign currency translation | (158,925 | ) | — | — | — | ||||||||
Net realized and unrealized loss | (22,978,600 | ) | (2,851,817 | ) | (907,643 | ) | (23,112,011 | ) | |||||
Net Decrease in Net Assets From Operations | $ | (26,862,419 | ) | $ | (3,056,244 | ) | $ | (753,209 | ) | $ | (27,591,839 | ) |
56 | LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund - Statements of Operations |
LoCorr Dynamic Equity Fund | LoCorr Spectrum Income Fund | ||||||
Investment Income | |||||||
Dividend and interest income (a) | $ | 324,761 | $ | 2,770,807 | |||
Distributions received from master limited partnership (“MLP”) interests | — | 1,963,661 | |||||
Less: return of capital on distributions from MLP interests (Note 2) | — | (1,963,661 | ) | ||||
Total Investment Income | 324,761 | 2,770,807 | |||||
Expenses | |||||||
Management fees (Note 5) | 1,049,737 | 716,339 | |||||
Fund administration fees | 25,308 | 29,861 | |||||
Fund accounting fees | 25,364 | 31,562 | |||||
Trustees’ fees | 3,185 | 3,813 | |||||
Transfer agent fees and expenses | 81,428 | 88,326 | |||||
Custodian fees | 16,138 | 4,963 | |||||
Registration expenses | 25,183 | 26,684 | |||||
Rule 12b-1 fees - Class A (Note 5) | 28,867 | 42,687 | |||||
Rule 12b-1 fees - Class C (Note 5) | 59,003 | 129,204 | |||||
Legal and audit fees | 9,430 | 16,623 | |||||
Printing and mailing expenses | 3,118 | 21,741 | |||||
Other expenses | 1,779 | 2,925 | |||||
Total expense before dividend and interest expense | 1,328,540 | 1,114,728 | |||||
Dividend expense on securities sold short (Note 2) | 95,140 | — | |||||
Interest expense | 3,595 | — | |||||
Total expenses before recovery | 1,427,275 | 1,114,728 | |||||
Recovery to Adviser (Note 5) | 1,876 | 39,116 | |||||
Net Expenses | 1,429,151 | 1,153,844 | |||||
Net Investment Income (Loss) | (1,104,390 | ) | 1,616,963 | ||||
Realized and Unrealized Gain (Loss) on Investments, Securities Sold Short and Foreign Currency Translation: | |||||||
Net realized gain (loss) on: | |||||||
Investments | 4,349,485 | (2,189,089 | ) | ||||
Securities sold short | (769,609 | ) | — | ||||
Foreign currency translation | 12 | — | |||||
Net change in unrealized appreciation (depreciation) on: | |||||||
Investments | (2,619,292 | ) | 3,347,222 | ||||
Securities sold short | (465,418 | ) | — | ||||
Foreign currency translation | (1,374 | ) | — | ||||
Net realized and unrealized gain | 493,804 | 1,158,133 | |||||
Net Increase (Decrease) in Net Assets From Operations | $ | (610,586 | ) | $ | 2,775,096 |
LoCorr Macro Strategies Fund - Consolidated Statements of Changes in Net Assets | 57 |
Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | ||||||
Operations | |||||||
Net investment loss | $ | (3,883,819 | ) | $ | (6,632,771 | ) | |
Net realized gain on investments, swap contracts, forward currency contracts, futures contracts and foreign currency translation | 15,548,832 | 16,256,745 | |||||
Net change in unrealized appreciation (depreciation) of investments, swap contracts, forward currency contracts, futures contracts and foreign currency translation | (38,527,432 | ) | 19,033,766 | ||||
Increase (Decrease) in Net Assets From Operations | (26,862,419 | ) | 28,657,740 | ||||
Distributions to Shareholders From | |||||||
Net investment income: | |||||||
Class I | — | (24,016 | ) | ||||
Net realized gain: | |||||||
Class A | — | (5,711,451 | ) | ||||
Class C | — | (2,291,477 | ) | ||||
Class I | — | (8,002,729 | ) | ||||
Total Distributions to Shareholders | — | (16,029,673 | ) | ||||
Capital Transactions (Note 6) | |||||||
Proceeds from shares sold | 554,755,047 | 538,774,369 | |||||
Reinvestment of distributions | — | 14,146,054 | |||||
Cost of shares redeemed | (422,476,650 | ) | (203,375,297 | ) | |||
Redemption fees | 11,727 | 22,168 | |||||
Increase in Net Assets From Capital Transactions | 132,290,124 | 349,567,294 | |||||
Total Increase in Net Assets | 105,427,705 | 362,195,361 | |||||
Net Assets | |||||||
Beginning of period | 882,660,272 | 520,464,911 | |||||
End of period (including accumulated net investment loss of $3,883,819 and $0, respectively) | $ | 988,087,977 | $ | 882,660,272 |
58 | LoCorr Long/Short Commodities Strategy Fund - Consolidated Statements of Changes in Net Assets |
Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | ||||||
Operations | |||||||
Net investment loss | $ | (204,427 | ) | $ | (1,147,060 | ) | |
Net realized gain (loss) on investments and swap contracts | (589,954 | ) | 8,624,839 | ||||
Net change in unrealized depreciation of investments and swap contracts | (2,261,863 | ) | (16,234,076 | ) | |||
Decrease in Net Assets From Operations | (3,056,244 | ) | (8,756,297 | ) | |||
Distributions to Shareholders From | |||||||
Net investment income: | |||||||
Class A | — | (1,090,668 | ) | ||||
Class C | — | (185,406 | ) | ||||
Class I | — | (2,898,594 | ) | ||||
Total Distributions to Shareholders | — | (4,174,668 | ) | ||||
Capital Transactions (Note 6) | |||||||
Proceeds from shares sold | 24,157,017 | 184,501,674 | |||||
Reinvestment of distributions | — | 3,318,366 | |||||
Cost of shares redeemed | (42,731,974 | ) | (111,389,429 | ) | |||
Redemption fees | 108 | 26,941 | |||||
Increase (Decrease) in Net Assets From Capital Transactions | (18,574,849 | ) | 76,457,552 | ||||
Total Increase (Decrease) in Net Assets | (21,631,093 | ) | 63,526,587 | ||||
Net Assets | |||||||
Beginning of period | 123,447,395 | 59,920,808 | |||||
End of period (including accumulated net investment income (loss) of $(187,882) and $16,545, respectively) | $ | 101,816,302 | $ | 123,447,395 |
LoCorr Multi-Strategy Fund - Consolidated Statements of Changes in Net Asset | 59 |
Six Months Ended | ||||||||
June 30, 2017 | Year Ended | |||||||
(Unaudited) | December 31, 2016 | |||||||
Operations | ||||||||
Net investment income | $ | 154,434 | $ | 324,370 | ||||
Net realized loss on investments, securities sold short and swap contracts | (23,578 | ) | (139,905 | ) | ||||
Net change in unrealized appreciation (depreciation) of investments, securities sold short and swap contracts | (884,065 | ) | 363,071 | |||||
Increase (Decrease) in Net Assets From Operations | (753,209 | ) | 547,536 | |||||
Distributions to Shareholders From | ||||||||
Net investment income: | ||||||||
Class A | (319,957 | ) | (154,251 | ) | ||||
Class C | (41,850 | ) | (33,115 | ) | ||||
Class I | (319,368 | ) | (199,550 | ) | ||||
Return of capital: | ||||||||
Class A | — | (341,141 | ) | |||||
Class C | — | (73,235 | ) | |||||
Class I | — | (441,323 | ) | |||||
Total Distributions to Shareholders | (681,175 | ) | (1,242,615 | ) | ||||
Capital Transactions (Note 6) | ||||||||
Proceeds from shares sold | 7,304,203 | 21,301,189 | ||||||
Reinvestment of distributions | 586,829 | 1,018,144 | ||||||
Cost of shares redeemed | (6,341,017 | ) | (16,445,492 | ) | ||||
Redemption fees | 2 | 238 | ||||||
Increase in Net Assets From Capital Transactions | 1,550,017 | 5,874,079 | ||||||
Total Increase in Net Assets | 115,633 | 5,179,000 | ||||||
Net Assets | ||||||||
Beginning of period | 39,333,230 | 34,154,230 | ||||||
End of period (including accumulated net investment loss of $676,681 and $149,940, respectively) | $ | 39,448,863 | $ | 39,333,230 |
60 | LoCorr Market Trend Fund - Consolidated Statements of Changes in Net Assets |
Six Months Ended | ||||||||
June 30, 2017 | Year Ended | |||||||
(Unaudited) | December 31, 2016 | |||||||
Operations | ||||||||
Net investment loss | $ | (4,479,828 | ) | $ | (14,352,202 | ) | ||
Net realized gain (loss) on investments, forward currency contracts, futures contracts and foreign currency translation | 20,037,358 | (147,332,298 | ) | |||||
Net change in unrealized appreciation (depreciation) of investments, forward currency contracts, futures contracts and foreign currency translation | (43,149,369 | ) | 7,238,768 | |||||
Decrease in Net Assets From Operations | (27,591,839 | ) | (154,445,732 | ) | ||||
Distributions to Shareholders From | ||||||||
Net investment income: | ||||||||
Class A | — | (2,324,469 | ) | |||||
Class C | — | (1,348,021 | ) | |||||
Class I | — | (16,192,350 | ) | |||||
Total Distributions to Shareholders | — | (19,864,840 | ) | |||||
Capital Transactions (Note 6) | ||||||||
Proceeds from shares sold | 192,518,899 | 1,129,819,283 | ||||||
Reinvestment of distributions | — | 18,880,713 | ||||||
Cost of shares redeemed | (410,671,389 | ) | (854,994,134 | ) | ||||
Redemption fees | 5,881 | 31,875 | ||||||
Increase (Decrease) in Net Assets From Capital Transactions | (218,146,609 | ) | 293,737,737 | |||||
Total Increase (Decrease) in Net Assets | (245,738,448 | ) | 119,427,165 | |||||
Net Assets | ||||||||
Beginning of period | 1,020,444,931 | 901,017,766 | ||||||
End of period (including accumulated net investment loss of $4,910,225 and $430,397, respectively) | $ | 774,706,483 | $ | 1,020,444,931 |
LoCorr Dynamic Equity Fund - Statements of Changes in Net Assets | 61 |
Six Months Ended | ||||||||
June 30, 2017 | Year Ended | |||||||
(Unaudited) | December 31, 2016 | |||||||
Operations | ||||||||
Net investment loss | $ | (1,104,390 | ) | $ | (1,250,712 | ) | ||
Net realized gain on investments, securities sold short and foreign currency translation | 3,579,888 | 4,557,685 | ||||||
Net change in unrealized appreciation (depreciation) of investments, securities sold short and foreign currency translation | (3,086,084 | ) | 6,734,680 | |||||
Increase (Decrease) in Net Assets From Operations | (610,586 | ) | 10,041,653 | |||||
Capital Transactions (Note 6) | ||||||||
Proceeds from shares sold | 39,451,640 | 59,597,625 | ||||||
Cost of shares redeemed | (42,758,927 | ) | (15,637,868 | ) | ||||
Redemption fees | 2,283 | 2,152 | ||||||
Increase (Decrease) in Net Assets From Capital Transactions | (3,305,004 | ) | 43,961,909 | |||||
Total Increase (Decrease) in Net Assets | (3,915,590 | ) | 54,003,562 | |||||
Net Assets | ||||||||
Beginning of period | 84,276,757 | 30,273,195 | ||||||
End of period (including accumulated net investment loss of $1,104,390 and $0, respectively) | $ | 80,361,167 | $ | 84,276,757 |
62 | LoCorr Spectrum Income Fund - Statements of Changes in Net Assets |
Six Months Ended | ||||||||
June 30, 2017 | Year Ended | |||||||
(Unaudited) | December 31, 2016 | |||||||
Operations | ||||||||
Net investment income | $ | 1,616,963 | $ | 3,408,203 | ||||
Net realized loss on investments and foreign currency translation | (2,189,089 | ) | (4,887,348 | ) | ||||
Net change in unrealized appreciation of investments | 3,347,222 | 6,426,460 | ||||||
Increase in Net Assets From Operations | 2,775,096 | 4,947,315 | ||||||
Distributions to Shareholders from | ||||||||
Net investment income: | ||||||||
Class A | (1,279,731 | ) | (1,640,399 | ) | ||||
Class C | (834,062 | ) | (1,132,883 | ) | ||||
Class I | (1,968,556 | ) | (1,733,891 | ) | ||||
Return of capital: | ||||||||
Class A | — | (869,438 | ) | |||||
Class C | — | (600,446 | ) | |||||
Class I | — | (918,989 | ) | |||||
Total Distributions to Shareholders | (4,082,349 | ) | (6,896,046 | ) | ||||
Capital Transactions (Note 6) | ||||||||
Proceeds from shares sold | 22,465,977 | 51,290,652 | ||||||
Reinvestment of distributions | 2,725,823 | 5,104,992 | ||||||
Cost of shares redeemed | (17,212,776 | ) | (41,752,967 | ) | ||||
Redemption fees | 15,684 | 8,855 | ||||||
Increase in Net Assets From Capital Transactions | 7,994,708 | 14,651,532 | ||||||
Total Increase in Net Assets | 6,687,455 | 12,702,801 | ||||||
Net Assets | ||||||||
Beginning of period | 105,768,402 | 93,065,601 | ||||||
End of period (including accumulated net investment loss of $3,973,726 and $1,508,340, respectively) | $ | 112,455,857 | $ | 105,768,402 |
LoCorr Macro Strategies Fund - Consolidated Financial Highlights - Class A | 63 |
Six Months Ended June 30, 2017 (a) | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2016 | 2015 | 2014 | 2013 | 2012(b) | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.91 | $ | 8.54 | $ | 8.51 | $ | 8.28 | $ | 8.77 | $ | 9.33 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(c) | (0.04) | (0.09) | (0.08) | (0.08) | (0.07) | (0.24) | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.19) | 0.64 | 0.36 | 1.36 | (0.41) | (0.32) | ||||||||||||||||||
Total from Investment Operations | (0.23) | 0.55 | 0.28 | 1.28 | (0.48) | (0.56) | ||||||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | — | — | (0.25) | (1.04) | — | — | ||||||||||||||||||
Net realized gains | — | (0.18) | — | (0.01) | (0.01) | (0.00) | (d) | |||||||||||||||||
Total Distributions | — | (0.18) | (0.25) | (1.05) | (0.01) | (0.00) | ||||||||||||||||||
Redemption Fees(d) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
Net Asset Value, End of Period | $ | 8.68 | $ | 8.91 | $ | 8.54 | $ | 8.51 | $ | 8.28 | $ | 8.77 | ||||||||||||
Total Investment Return(e) | (2.58) | % | 6.39 | % | 3.27 | % | 15.42 | % | (5.53) | % | (5.98) | % | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 103,043 | $ | 297,844 | $ | 229,427 | $ | 206,931 | $ | 195,046 | $ | 182,457 | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursement or recovery | 2.33 | % | 2.34 | %(f)(g) | 2.06 | %(f)(g) | 2.11 | %(f) | 2.08 | %(f) | 3.95 | %(f)(h) | ||||||||||||
After expense reimbursement or recovery | 2.31 | % | 2.34 | %(f)(g) | 2.06 | %(f)(g) | 2.11 | %(f) | 2.08 | %(f) | 4.00 | %(f)(h) | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense reimbursement or recovery | (0.91) | % | (0.96) | %(f) | (0.90) | %(f) | (0.94) | %(f) | (0.87) | %(f) | (2.60) | %(f)(i) | ||||||||||||
After expense reimbursement or recovery | (0.89) | % | (0.96) | %(f) | (0.90) | %(f) | (0.94) | %(f) | (0.87) | %(f) | (2.65) | %(f)(i) | ||||||||||||
Portfolio turnover rate(j) | 45 | % | 62 | % | 53 | % | 57 | % | 46 | % | 46 | % |
64 | LoCorr Macro Strategies Fund - Consolidated Financial Highlights - Class C |
Six Months Ended June 30, 2017 (a) | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2016 | 2015 | 2014 | 2013 | 2012(b) | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.62 | $ | 8.32 | $ | 8.30 | $ | 8.12 | $ | 8.65 | $ | 9.28 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(c) | (0.07) | (0.15) | (0.14) | (0.15) | (0.14) | (0.30) | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.19) | 0.63 | 0.35 | 1.33 | (0.38) | (0.33) | ||||||||||||||||||
Total from Investment Operations | (0.26) | 0.48 | 0.21 | 1.18 | (0.52) | (0.63) | ||||||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | — | — | (0.19) | (0.99) | — | — | ||||||||||||||||||
Net realized gains | — | (0.18) | — | (0.01) | (0.01) | (0.00) | (d) | |||||||||||||||||
Total Distributions | — | (0.18) | (0.19) | (1.00) | (0.01) | (0.00) | ||||||||||||||||||
Redemption Fees(d) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
Net Asset Value, End of Period | $ | 8.36 | $ | 8.62 | $ | 8.32 | $ | 8.30 | $ | 8.12 | $ | 8.65 | ||||||||||||
Total Investment Return(e) | (3.02) | % | 5.72 | % | 2.51 | % | 14.39 | % | (6.07) | % | (6.77) | % | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 103,668 | $ | 113,814 | $ | 98,729 | $ | 93,924 | $ | 73,691 | $ | 76,979 | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursement or recovery | 3.08 | % | 3.09 | %(f)(g) | 2.81 | %(f)(g) | 2.86 | %(f) | 2.83 | %(f) | 4.70 | %(f)(h) | ||||||||||||
After expense reimbursement or recovery | 3.06 | % | 3.09 | %(f)(g) | 2.81 | %(f)(g) | 2.86 | %(f) | 2.83 | %(f) | 4.75 | %(f)(h) | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense reimbursement or recovery | (1.66) | % | (1.71) | %(f) | (1.65) | %(f) | (1.69) | %(f) | (1.62) | %(f) | (3.35) | %(f)(i) | ||||||||||||
After expense reimbursement or recovery | (1.64) | % | (1.71) | %(f) | (1.65) | %(f) | (1.69) | %(f) | (1.62) | %(f) | (3.40) | %(f)(i) | ||||||||||||
Portfolio turnover rate(j) | 45 | % | 62 | % | 53 | % | 57 | % | 46 | % | 46 | % |
LoCorr Macro Strategies Fund - Consolidated Financial Highlights - Class I | 65 |
Six Months Ended June 30, 2017 (a) | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2016 | 2015 | 2014 | 2013 | 2012(b) | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.01 | $ | 8.62 | $ | 8.57 | $ | 8.34 | $ | 8.81 | $ | 9.35 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(c) | (0.03) | (0.07) | (0.06) | (0.06) | (0.05) | (0.22) | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.19) | 0.64 | 0.38 | 1.36 | (0.41) | (0.32) | ||||||||||||||||||
Total from Investment Operations | (0.22) | 0.57 | 0.32 | 1.30 | (0.46) | (0.54) | ||||||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | — | (0.00) | (d) | (0.27) | (1.06) | — | — | |||||||||||||||||
Net realized gains | — | (0.18) | — | (0.01) | (0.01) | (0.00) | (d) | |||||||||||||||||
Total Distributions | — | (0.18) | (0.27) | (1.07) | (0.01) | (0.00) | ||||||||||||||||||
Redemption Fees(d) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
Net Asset Value, End of Period | $ | 8.79 | $ | 9.01 | $ | 8.62 | $ | 8.57 | $ | 8.34 | $ | 8.81 | ||||||||||||
Total Investment Return | (2.44) | % | 6.57 | % | 3.72 | % | 15.56 | % | (5.28) | % | (5.75) | % | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 781,377 | $ | 471,002 | $ | 192,309 | $ | 190,052 | $ | 102,279 | $ | 138,096 | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursement or recovery | 2.08 | % | 2.09 | %(e)(f) | 1.81 | %(e)(f) | 1.86 | %(e) | 1.83 | %(e) | 3.70 | %(e)(g) | ||||||||||||
After expense reimbursement or recovery | 2.06 | % | 2.09 | %(e)(f) | 1.81 | %(e)(f) | 1.86 | %(e) | 1.83 | %(e) | 3.75 | %(e)(g) | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense reimbursement or recovery | (0.66) | % | (0.71) | %(e) | (0.65) | %(e) | (0.69) | %(e) | (0.62) | %(e) | (2.35) | %(e)(h) | ||||||||||||
After expense reimbursement or recovery | (0.64) | % | (0.71) | %(e) | (0.65) | %(e) | (0.69) | %(e) | (0.62) | %(e) | (2.40) | %(e)(h) | ||||||||||||
Portfolio turnover rate(i) | 45 | % | 62 | % | 53 | % | 57 | % | 46 | % | 46 | % |
66 | LoCorr Long/Short Commodities Strategy Fund - Consolidated Financial Highlights - Class A |
Six Months Ended June 30, 2017 (a) | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.17 | $ | 9.72 | $ | 8.54 | $ | 7.67 | $ | 8.37 | $ | 10.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(b) | (0.02) | (0.10) | (0.13) | (0.14) | (0.12) | (0.17) | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.26) | (0.18) | 2.02 | 1.85 | (0.58) | (1.46) | ||||||||||||||||||
Total from Investment Operations | (0.28) | (0.28) | 1.89 | 1.71 | (0.70) | (1.63) | ||||||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | — | (0.27) | (0.71) | (0.84) | — | — | ||||||||||||||||||
Total Distributions | — | (0.27) | (0.71) | (0.84) | — | — | ||||||||||||||||||
Redemption Fees(c) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
Net Asset Value, End of Period | $ | 8.89 | $ | 9.17 | $ | 9.72 | $ | 8.54 | $ | 7.67 | $ | 8.37 | ||||||||||||
Total Investment Return(d) | (3.05) | % | (2.98) | % | 22.34 | % | 22.07 | % | (8.36) | % | (16.30) | % | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 27,929 | $ | 34,860 | $ | 24,425 | $ | 43,345 | $ | 3,653 | $ | 3,213 | ||||||||||||
Ratios/Supplemental Data:(e) | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursement or recovery | 2.29 | % | 2.22 | %(f) | 2.59 | %(f) | 3.01 | %(f) | 4.18 | % | 6.12 | % | ||||||||||||
After expense reimbursement or recovery | 2.20 | % | 2.20 | %(f) | 2.20 | %(f) | 2.20 | %(f) | 2.20 | % | 2.20 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense reimbursement or recovery | (0.58) | % | (0.99) | % | (1.79) | % | (2.39) | % | (3.46) | % | (5.82) | % | ||||||||||||
After expense reimbursement or recovery | (0.49) | % | (0.97) | % | (1.40) | % | (1.58) | % | (1.48) | % | (1.90) | % | ||||||||||||
Portfolio turnover rate(g) | 37 | % | 105 | % | 164 | % | 55 | % | 59 | % | 60 | % |
LoCorr Long/Short Commodities Strategy Fund - Consolidated Financial Highlights - Class C | 67 |
Six Months Ended | ||||||||||||||||||||||||
June 30, 2017 (a) | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.95 | $ | 9.51 | $ | 8.36 | $ | 7.54 | $ | 8.29 | $ | 10.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(b) | (0.06) | (0.17) | (0.19) | (0.20) | (0.17) | (0.24) | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.24) | (0.18) | 1.96 | 1.80 | (0.58) | (1.47) | ||||||||||||||||||
Total from Investment Operations | (0.30) | (0.35) | 1.77 | 1.60 | (0.75) | (1.71) | ||||||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | — | (0.21) | (0.62) | (0.78) | — | — | ||||||||||||||||||
Total Distributions | — | (0.21) | (0.62) | (0.78) | — | — | ||||||||||||||||||
Redemption Fees | 0.00 | (c) | 0.00 | (c) | — | — | — | 0.00 | (c) | |||||||||||||||
Net Asset Value, End of Period | $ | 8.65 | $ | 8.95 | $ | 9.51 | $ | 8.36 | $ | 7.54 | $ | 8.29 | ||||||||||||
Total Investment Return(d) | (3.35) | % | (3.72) | % | 21.39 | % | 21.01 | % | (9.05) | % | (17.10) | % | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 5,746 | $ | 7,383 | $ | 4,330 | $ | 2,983 | $ | 1,653 | $ | 1,605 | ||||||||||||
Ratios/Supplemental Data:(e) | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursement or recovery | 3.04 | % | 2.97 | %(f) | 3.34 | %(f) | 3.76 | %(f) | 4.93 | % | 6.87 | % | ||||||||||||
After expense reimbursement or recovery | 2.95 | % | 2.95 | %(f) | 2.95 | %(f) | 2.95 | %(f) | 2.95 | % | 2.95 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense reimbursement or recovery | (1.33) | % | (1.74) | % | (2.54) | % | (3.14) | % | (4.21) | % | (6.57) | % | ||||||||||||
After expense reimbursement or recovery | (1.24) | % | (1.72) | % | (2.15) | % | (2.33) | % | (2.23) | % | (2.65) | % | ||||||||||||
Portfolio turnover rate(g) | 37 | % | 105 | % | 164 | % | 55 | % | 59 | % | 60 | % |
(a) | All ratios have been annualized except total investment return and portfolio turnover. |
(b) | Net investment income (loss) per share is based on average shares outstanding. |
(c) | Amount represents less than $0.005 per share. |
(d) | Total investment return excludes the effect of applicable sales charges. |
(e) | Ratios do not include the income and expenses of the CTAs included in the swap. |
(f) | Includes interest expense on line of credit of 0.00%, 0.00% and 0.00% for the years ended December 31, 2016, 2015 and 2014, respectively. |
(g) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments. |
68 | LoCorr Long/Short Commodities Strategy Fund - Consolidated Financial Highlights - Class I |
Six Months Ended | ||||||||||||||||||||||||
June 30, 2017 (a) | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.24 | $ | 9.79 | $ | 8.59 | $ | 7.70 | $ | 8.38 | $ | 10.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(b) | (0.01) | (0.07) | (0.11) | (0.12) | (0.10) | (0.15) | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.26) | (0.18) | 2.03 | 1.86 | (0.58) | (1.47) | ||||||||||||||||||
Total from Investment Operations | (0.27) | (0.25) | 1.92 | 1.74 | (0.68) | (1.62) | ||||||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | — | (0.30) | (0.72) | (0.85) | — | — | ||||||||||||||||||
Total Distributions | — | (0.30) | (0.72) | (0.85) | — | — | ||||||||||||||||||
Redemption Fees | — | 0.00 | (c) | 0.00 | (c) | 0.00 | (c) | 0.00 | (c) | 0.00 | (c) | |||||||||||||
Net Asset Value, End of Period | $ | 8.97 | $ | 9.24 | $ | 9.79 | $ | 8.59 | $ | 7.70 | $ | 8.38 | ||||||||||||
Total Investment Return | (2.92) | % | (2.67) | % | 22.61 | % | 22.36 | % | (8.11) | % | (16.20) | % | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 68,141 | $ | 81,204 | $ | 31,166 | $ | 12,825 | $ | 5,502 | $ | 6,373 | ||||||||||||
Ratios/Supplemental Data:(d) | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursement or recovery | 2.04 | % | 1.97 | %(e) | 2.34 | %(e) | 2.76 | %(e) | 3.93 | % | 5.87 | % | ||||||||||||
After expense reimbursement or recovery | 1.95 | % | 1.95 | %(e) | 1.95 | %(e) | 1.95 | %(e) | 1.95 | % | 1.95 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense reimbursement or recovery | (0.33) | % | (0.74) | % | (1.54) | % | (2.14) | % | (3.21) | % | (5.57) | % | ||||||||||||
After expense reimbursement or recovery | (0.24) | % | (0.72) | % | (1.15) | % | (1.33) | % | (1.23) | % | (1.65) | % | ||||||||||||
Portfolio turnover rate(f) | 37 | % | 105 | % | 164 | % | 55 | % | 59 | % | 60 | % |
(a) | All ratios have been annualized except total investment return and portfolio turnover. |
(b) | Net investment income (loss) per share is based on average shares outstanding. |
(c) | Amount represents less than $0.005 per share. |
(d) | Ratios do not include the income and expenses of the CTAs included in the swap. |
(e) | Includes interest expense on line of credit of 0.00%, 0.00% and 0.00% for the years ended December 31, 2016, 2015 and 2014, respectively. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments. |
LoCorr Multi-Strategy Fund - Consolidated Financial Highlights - Class A | 69 |
Six Months Ended June 30, 2017 (a) (Unaudited) | Year Ended December 31, 2016 | Period from April 6, 2015 (commencement of operations) through December 31, 2015 (a) | ||||||||||||
Per Share | ||||||||||||||
Net asset value, beginning of period | $ | 8.15 | $ | 8.31 | $ | 10.00 | ||||||||
Income (loss) from investment operations: | ||||||||||||||
Net investment income (loss)(b) | 0.03 | 0.06 | 0.07 | |||||||||||
Net realized and unrealized gain (loss) | (0.18) | 0.06 | (c) | (1.58) | ||||||||||
Total from Investment Operations | (0.15) | 0.12 | (1.51) | |||||||||||
Distributions to shareholders from: | ||||||||||||||
Net investment income | (0.14) | (0.09) | (0.09) | |||||||||||
Return of capital | — | (0.19) | (0.09) | |||||||||||
Total Distributions | (0.14) | (0.28) | (0.18) | |||||||||||
Redemption Fees | — | 0.00 | (d) | 0.00 | (d) | |||||||||
Net Asset Value, End of Period | $ | 7.86 | $ | 8.15 | $ | 8.31 | ||||||||
Total Investment Return(e) | (1.89) | % | 1.41 | % | (15.14) | % | ||||||||
Net Assets, End of Period, in Thousands | $ | 18,447 | $ | 17,149 | $ | 12,102 | ||||||||
Ratios/Supplemental Data:(f)(g) | ||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||
Before expense reimbursement or recovery | 2.74 | % | 2.84 | % | 3.44 | % | ||||||||
After expense reimbursement or recovery | 2.31 | % | 2.34 | % | 2.30 | % | ||||||||
Ratio of expenses to average net assets (excluding dividend and interest expense): | ||||||||||||||
Before expense reimbursement or recovery | 2.72 | % | 2.79 | % | 3.43 | % | ||||||||
After expense reimbursement or recovery | 2.29 | % | 2.29 | % | 2.29 | % | ||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||
Before expense reimbursement or recovery | 0.32 | % | 0.36 | % | (0.04) | % | ||||||||
After expense reimbursement or recovery | 0.75 | % | 0.86 | % | 1.10 | % | ||||||||
Portfolio turnover rate(h) | 44 | % | 95 | % | 38 | % |
(a) | All ratios have been annualized except total investment return and portfolio turnover. |
(b) | Net investment income (loss) per share is based on average shares outstanding. |
(c) | Realized and unrealized gains and losses in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund’s consolidated statement of operations due to share transactions for the period. |
(d) | Amount represents less than $0.005 per share. |
(e) | Total investment return excludes the effect of applicable sales charges. |
(f) | Ratios do not include the income and expenses of the CTAs included in the swap. |
(g) | Ratios do not include investment companies in which the Fund invests. |
(h) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes securities sold short and swap transactions. |
70 | LoCorr Multi-Strategy Fund - Consolidated Financial Highlights - Class C |
Six Months Ended June 30, 2017 (a) (Unaudited) | Year Ended December 31, 2016 | Period from April 6, 2015 (commencement of operations) through December 31, 2015 (a) | ||||||||||||
Per Share | ||||||||||||||
Net asset value, beginning of period | $ | 8.15 | $ | 8.31 | $ | 10.00 | ||||||||
Income (loss) from investment operations: | ||||||||||||||
Net investment income (loss)(b) | 0.00 | (d) | 0.01 | 0.02 | ||||||||||
Net realized and unrealized gain (loss) | (0.18) | 0.03 | (c) | (1.58) | ||||||||||
Total from Investment Operations | (0.18) | 0.04 | (1.56) | |||||||||||
Distributions to shareholders from: | ||||||||||||||
Net investment income | (0.10) | (0.06) | (0.06) | |||||||||||
Return of capital | — | (0.14) | (0.07) | |||||||||||
Total Distributions | (0.10) | (0.20) | (0.13) | |||||||||||
Redemption Fees | — | 0.00 | (d) | 0.00 | (d) | |||||||||
Net Asset Value, End of Period | $ | 7.87 | $ | 8.15 | $ | 8.31 | ||||||||
Total Investment Return(e) | (2.23) | % | 0.49 | % | (15.62) | % | ||||||||
Net Assets, End of Period, in Thousands | $ | 3,045 | $ | 3,899 | $ | 5,490 | ||||||||
Ratios/Supplemental Data:(f)(g) | ||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||
Before expense reimbursement or recovery | 3.49 | % | 3.59 | % | 4.19 | % | ||||||||
After expense reimbursement or recovery | 3.06 | % | 3.09 | % | 3.05 | % | ||||||||
Ratio of expenses to average net assets (excluding dividend and interest expense): | ||||||||||||||
Before expense reimbursement or recovery | 3.47 | % | 3.54 | % | 4.18 | % | ||||||||
After expense reimbursement or recovery | 3.04 | % | 3.04 | % | 3.04 | % | ||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||
Before expense reimbursement or recovery | (0.43) | % | (0.39) | % | (0.79) | % | ||||||||
After expense reimbursement or recovery | 0.00 | % | 0.11 | % | 0.35 | % | ||||||||
Portfolio turnover rate(h) | 44 | % | 95 | % | 38 | % |
(a) | All ratios have been annualized except total investment return and portfolio turnover. |
(b) | Net investment income (loss) per share is based on average shares outstanding. |
(c) | Realized and unrealized gains and losses in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund’s consolidated statement of operations due to share transactions for the period. |
(d) | Amount represents less than $0.005 per share. |
(e) | Total investment return excludes the effect of applicable sales charges. |
(f) | Ratios do not include the income and expenses of the CTAs included in the swap. |
(g) | Ratios do not include investment companies in which the Fund invests. |
(h) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes securities sold short and swap transactions. |
LoCorr Multi-Strategy Fund - Consolidated Financial Highlights - Class I | 71 |
Six Months Ended June 30, 2017 (a) (Unaudited) | Year Ended December 31, 2016 | Period from April 6, 2015 (commencement of operations) through December 31, 2015 (a) | ||||||||||||
Per Share | ||||||||||||||
Net asset value, beginning of period | $ | 8.14 | $ | 8.31 | $ | 10.00 | ||||||||
Income (loss) from investment operations: | ||||||||||||||
Net investment income (loss)(b) | 0.04 | 0.10 | 0.09 | |||||||||||
Net realized and unrealized gain (loss) | (0.18 | ) | 0.03 | (c) | (1.58 | ) | ||||||||
Total from Investment Operations | (0.14 | ) | 0.13 | (1.49 | ) | |||||||||
Distributions to shareholders from: | ||||||||||||||
Net investment income | (0.15 | ) | (0.09 | ) | (0.10 | ) | ||||||||
Return of capital | — | (0.21 | ) | (0.10 | ) | |||||||||
Total Distributions | (0.15 | ) | (0.30 | ) | (0.20 | ) | ||||||||
Redemption Fees(d) | 0.00 | 0.00 | 0.00 | |||||||||||
Net Asset Value, End of Period | $ | 7.85 | $ | 8.14 | $ | 8.31 | ||||||||
Total Investment Return | (1.74 | )% | 1.60 | % | (14.98 | )% | ||||||||
Net Assets, End of Period, in Thousands | $ | 17,957 | $ | 18,285 | $ | 16,562 | ||||||||
Ratios/Supplemental Data:(e)(f) | ||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||
Before expense reimbursement or recovery | 2.49 | % | 2.59 | % | 3.19 | % | ||||||||
After expense reimbursement or recovery | 2.06 | % | 2.09 | % | 2.05 | % | ||||||||
Ratio of expenses to average net assets (excluding dividend and interest expense): | ||||||||||||||
Before expense reimbursement or recovery | 2.47 | % | 2.54 | % | 3.18 | % | ||||||||
After expense reimbursement or recovery | 2.04 | % | 2.04 | % | 2.04 | % | ||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||
Before expense reimbursement or recovery | 0.57 | % | 0.61 | % | 0.21 | % | ||||||||
After expense reimbursement or recovery | 1.00 | % | 1.11 | % | 1.35 | % | ||||||||
Portfolio turnover rate(g) | 44 | % | 95 | % | 38 | % |
(a) | All ratios have been annualized except total investment return and portfolio turnover. |
(b) | Net investment income (loss) per share is based on average shares outstanding. |
(c) | Realized and unrealized gains and losses in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund’s consolidated statement of operations due to share transactions for the period. |
(d) | Amount represents less than $0.005 per share. |
(e) | Ratios do not include the income and expenses of the CTAs included in the swap. |
(f) | Ratios do not include investment companies in which the Fund invests. |
(g) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only excludes securities sold short and swap transactions. |
72 | LoCorr Market Trend Fund - Consolidated Financial Highlights - Class A |
LoCorr Market Trend Fund - Class A
Consolidated Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Period from July 1, 2014 | ||||||||||||||||||||||||
Six Months Ended | (commencement of operations) | |||||||||||||||||||||||
June 30, 2017 (a) | Year Ended December 31, | through | ||||||||||||||||||||||
(Unaudited) | 2016 | 2015 | December 31, 2014 (a) | |||||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.65 | $ | 12.00 | $ | 11.44 | $ | 10.00 | ||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(b) | (0.06 | ) | (0.15 | ) | (0.19 | ) | (0.12 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | (0.28 | ) | (1.01 | ) | 0.84 | (c) | 1.99 | |||||||||||||||||
Total from Investment Operations | (0.34 | ) | (1.16 | ) | 0.65 | 1.87 | ||||||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | — | (0.19 | ) | (0.07 | ) | (0.25 | ) | |||||||||||||||||
Net realized gains | — | — | (0.02 | ) | (0.18 | ) | ||||||||||||||||||
Total Distributions | — | (0.19 | ) | (0.09 | ) | (0.43 | ) | |||||||||||||||||
Redemption Fees(d) | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||
Net Asset Value, End of Period | $ | 10.31 | $ | 10.65 | $ | 12.00 | $ | 11.44 | ||||||||||||||||
Total Investment Return(e) | (3.19 | )% | (9.71 | )% | 5.68 | % | 18.74 | % | ||||||||||||||||
Net Assets, End of Period, in Thousands | $ | 76,633 | $ | 133,146 | $ | 110,324 | $ | 13,337 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursement or recovery | 2.09 | % | 2.02 | %(f) | 2.03 | % | 3.64 | % | ||||||||||||||||
After expense reimbursement or recovery | 2.09 | % | 2.02 | %(f) | 2.06 | % | 2.20 | % | ||||||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense reimbursement or recovery | (1.14 | )% | (1.24 | )% | (1.49 | )% | (3.48 | )% | ||||||||||||||||
After expense reimbursement or recovery | (1.14 | )% | (1.24 | )% | (1.52 | )% | (2.04 | )% | ||||||||||||||||
Portfolio turnover rate(g) | 46 | % | 83 | % | 27 | % | 6 | % |
(a) | All ratios have been annualized except total investment return and portfolio turnover. |
(b) | Net investment income (loss) per share is based on average shares outstanding. |
(c) | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund’s consolidated statement of operations due to share transactions for the period. |
(d) | Amount represents less than $0.005 per share. |
(e) | Total investment return excludes the effect of applicable sales charges. |
(f) | Includes 0.00% of interest expense for the year ended December 31, 2016. |
(g) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments. |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Market Trend Fund - Consolidated Financial Highlights - Class C | 73 |
LoCorr Market Trend Fund - Class C
Consolidated Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Period from July 1, 2014 | ||||||||||||||||||||||||
Six Months Ended | (commencement of operations) | |||||||||||||||||||||||
June 30, 2017 (a) | Year Ended December 31, | through | ||||||||||||||||||||||
(Unaudited) | 2016 | 2015 | December 31, 2014 (a) | |||||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.53 | $ | 11.92 | $ | 11.41 | $ | 10.00 | ||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(b) | (0.10) | (0.23) | (0.28) | (0.16) | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.27) | (1.01) | 0.84) | (c) | 1.99 | |||||||||||||||||||
Total from Investment Operations | (0.37) | (1.24) | 0.56 | 1.83 | ||||||||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | — | (0.15) | (0.03) | (0.24) | ||||||||||||||||||||
Net realized gains | — | — | (0.02) | (0.18) | ||||||||||||||||||||
Total Distributions | — | (0.15) | (0.05) | (0.42) | ||||||||||||||||||||
Redemption Fees(d) | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||
Net Asset Value, End of Period | $ | 10.16 | $ | 10.53 | $ | 11.92 | $ | 11.41 | ||||||||||||||||
Total Investment Return(e) | (3.51) | % | (10.45) | % | 4.90 | % | 18.29 | % | ||||||||||||||||
Net Assets, End of Period, in Thousands | $ | 56,598 | $ | 89,454 | $ | 94,707 | $ | 6,949 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursement or recovery | 2.84 | % | 2.77 | %(f) | 2.78 | % | 4.39 | % | ||||||||||||||||
After expense reimbursement or recovery | 2.84 | % | 2.77 | %(f) | 2.81 | % | 2.95 | % | ||||||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense reimbursement or recovery | (1.89) | % | (1.99) | % | (2.24) | % | (4.23) | % | ||||||||||||||||
After expense reimbursement or recovery | (1.89) | % | (1.99) | % | (2.27) | % | (2.79) | % | ||||||||||||||||
Portfolio turnover rate(g) | 46 | % | 83 | % | 27 | % | 6 | % |
(a) | All ratios have been annualized except total investment return and portfolio turnover. |
(b) | Net investment income (loss) per share is based on average shares outstanding. |
(c) | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund’s consolidated statement of operations due to share transactions for the period. |
(d) | Amount represents less than $0.005 per share. |
(e) | Total investment return excludes the effect of applicable sales charges. |
(f) | Includes 0.00% of interest expense for the year ended December 31, 2016. |
(g) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments. |
The accompanying notes are an integral part of these consolidated financial statements.
74 | LoCorr Market Trend Fund - Consolidated Financial Highlights - Class I |
LoCorr Market Trend Fund - Class I
Consolidated Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Period from July 1, 2014 | |||||||||||||||||||||||
Six Months Ended | (commencement of operations) | ||||||||||||||||||||||
June 30, 2017 (a) | Year Ended December 31, | through | |||||||||||||||||||||
(Unaudited) | 2016 | 2015 | December 31, 2014 (a) | ||||||||||||||||||||
Per Share | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.68 | $ | 12.02 | $ | 11.45 | $ | 10.00 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||
Net investment income (loss)(b) | (0.05) | (0.12) | (0.16) | (0.10) | |||||||||||||||||||
Net realized and unrealized gain (loss) | (0.28) | (1.02) | 0.84 | (c) | 1.99 | ||||||||||||||||||
Total from Investment Operations | (0.33) | (1.14) | 0.68 | 1.89 | |||||||||||||||||||
Distributions to shareholders from: | |||||||||||||||||||||||
Net investment income | — | (0.20) | (0.09 | ) | (0.26) | ||||||||||||||||||
Net realized gains | — | — | (0.02 | ) | (0.18) | ||||||||||||||||||
Total Distributions | — | (0.20) | (0.11 | ) | (0.44) | ||||||||||||||||||
Redemption Fees(d) | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||||
Net Asset Value, End of Period | $ | 10.35 | $ | 10.68 | $ | 12.02 | $ | 11.45 | |||||||||||||||
Total Investment Return | (3.09) | % | (9.49) | % | 5.96 | % | 18.88 | % | |||||||||||||||
Net Assets, End of Period, in Thousands | $ | 641,475 | $ | 797,845 | $ | 695,987 | $ | 40,192 | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||
Ratio of expenses to average net assets: | |||||||||||||||||||||||
Before expense reimbursement or recovery | 1.84 | % | 1.77 | %(e) | 1.78 | % | 3.39 | % | |||||||||||||||
After expense reimbursement or recovery | 1.84 | % | 1.77 | %(e) | 1.81 | % | 1.95 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets: | |||||||||||||||||||||||
Before expense reimbursement or recovery | (0.89) | % | (0.99) | % | (1.24) | % | (3.23) | % | |||||||||||||||
After expense reimbursement or recovery | (0.89) | % | (0.99) | % | (1.27) | % | (1.79) | % | |||||||||||||||
Portfolio turnover rate(f) | 46 | % | 83 | % | 27 | % | 6 | % |
(a) | All ratios have been annualized except total investment return and portfolio turnover. |
(b) | Net investment income (loss) per share is based on average shares outstanding. |
(c) | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund’s consolidated statement of operations due to share transactions for the period. |
(d) | Amount represents less than $0.005 per share. |
(e) | Includes 0.00% of interest expense for the year ended December 31, 2016. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments. |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Dynamic Equity Fund - Financial Highlights - Class A | 75 |
LoCorr Dynamic Equity Fund - Class A
Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Period from May 10, | |||||||||||||||||||||||||
Six Months Ended | 2013 (commencement of | ||||||||||||||||||||||||
June 30, 2017 (a) | Year Ended December 31, | operations) through | |||||||||||||||||||||||
(Unaudited) | 2016 | 2015 | 2014 | December 31, 2013 (a) | |||||||||||||||||||||
Per Share | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.06 | $ | 9.64 | $ | 9.80 | $ | 11.48 | $ | 10.00 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)(b) | (0.15) | (0.32) | (0.27) | (0.22) | (0.13) | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.07 | 2.74 | 0.11 | (1.42) | 1.61 | ||||||||||||||||||||
Total from Investment Operations | (0.08) | 2.42 | (0.16) | (1.64) | 1.48 | ||||||||||||||||||||
Distributions to shareholders from: | |||||||||||||||||||||||||
Net realized gains | — | — | — | (0.04) | — | ||||||||||||||||||||
Total Distributions | — | — | — | (0.04) | — | ||||||||||||||||||||
Redemption Fees(c) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||
Net Asset Value, End of Period | $ | 11.98 | $ | 12.06 | $ | 9.64 | $ | 9.80 | $ | 11.48 | |||||||||||||||
Total Investment Return(d) | (0.66) | % | 25.10 | % | (1.53) | % | (14.37) | % | 14.80 | % | |||||||||||||||
Net Assets, End of Period, in Thousands | $ | 18,057 | $ | 28,243 | $ | 12,446 | $ | 17,174 | $ | 21,256 | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Ratio of expenses to average net assets: | |||||||||||||||||||||||||
Before expense reimbursement or recovery | 3.38 | % | 3.74 | % | 3.72 | % | 3.55 | % | 5.05 | % | |||||||||||||||
After expense reimbursement or recovery | 3.38 | % | 3.49 | % | 3.35 | % | 3.30 | % | 3.26 | % | |||||||||||||||
Ratio of expenses to average net assets (excluding dividend and interest expense): | |||||||||||||||||||||||||
Before expense reimbursement or recovery | 3.15 | % | 3.40 | % | 3.52 | % | 3.40 | % | 4.94 | % | |||||||||||||||
After expense reimbursement or recovery | 3.15 | % | 3.15 | % | 3.15 | % | 3.15 | % | 3.15 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets: | |||||||||||||||||||||||||
Before expense reimbursement or recovery | (2.62) | % | (3.23) | % | (3.06) | % | (2.41) | % | (3.64) | % | |||||||||||||||
After expense reimbursement or recovery | (2.62) | % | (2.98) | % | (2.69) | % | (2.16) | % | (1.85) | % | |||||||||||||||
Portfolio turnover rate(e) | 216 | % | 343 | % | 269 | % | 256 | % | 66 | % |
(a) | All ratios have been annualized except total investment return and portfolio turnover. |
(b) | Net investment income (loss) per share is based on average shares outstanding. |
(c) | Amount represents less than $0.005 per share. |
(d) | Total investment return excludes the effect of applicable sales charges. |
(e) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes securities sold short. |
The accompanying notes are an integral part of these financial statements.
76 | LoCorr Dynamic Equity Fund - Financial Highlights - Class C |
LoCorr Dynamic Equity Fund - Class C
Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Period from May 10, | |||||||||||||||||||||||||
Six Months Ended | 2013 (commencement of | ||||||||||||||||||||||||
June 30, 2017 (a) | Year Ended December 31, | operations) through | |||||||||||||||||||||||
(Unaudited) | 2016 | 2015 | 2014 | December 31, 2013 (a) | |||||||||||||||||||||
Per Share | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.73 | $ | 9.45 | $ | 9.67 | $ | 11.42 | $ | 10.00 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)(b) | (0.19) | (0.38) | (0.33) | (0.29) | (0.18) | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.07 | 2.66 | 0.11 | (1.42) | 1.60 | ||||||||||||||||||||
Total from Investment Operations | (0.12) | 2.28 | (0.22 | ) | (1.71) | 1.42 | |||||||||||||||||||
Distributions to shareholders from: | |||||||||||||||||||||||||
Net realized gains | — | — | — | (0.04) | — | ||||||||||||||||||||
Total Distributions | — | — | — | (0.04) | — | ||||||||||||||||||||
Redemption Fees | 0.00 | (c) | 0.00 | (c) | 0.00 | (c) | 0.00 | (c) | — | ||||||||||||||||
Net Asset Value, End of Period | $ | 11.61 | $ | 11.73 | $ | 9.45 | $ | 9.67 | $ | 11.42 | |||||||||||||||
Total Investment Return(d) | (1.02) | % | 24.13 | % | (2.28) | % | (14.98) | % | 14.20 | % | |||||||||||||||
Net Assets, End of Period, in Thousands | $ | 11,751 | $ | 11,218 | $ | 7,837 | $ | 12,158 | $ | 8,443 | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Ratio of expenses to average net assets: | |||||||||||||||||||||||||
Before expense reimbursement or recovery | 4.13 | % | 4.49 | % | 4.47 | % | 4.30 | % | 5.80 | % | |||||||||||||||
After expense reimbursement or recovery | 4.13 | % | 4.24 | % | 4.10 | % | 4.05 | % | 4.01 | % | |||||||||||||||
Ratio of expenses to average net assets (excluding dividend and interest expense): | |||||||||||||||||||||||||
Before expense reimbursement or recovery | 3.90 | % | 4.15 | % | 4.27 | % | 4.15 | % | 5.69 | % | |||||||||||||||
After expense reimbursement or recovery | 3.90 | % | 3.90 | % | 3.90 | % | 3.90 | % | 3.90 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets: | |||||||||||||||||||||||||
Before expense reimbursement or recovery | (3.37) | % | (3.98) | % | (3.81) | % | (3.16) | % | (4.39) | % | |||||||||||||||
After expense reimbursement or recovery | (3.37) | % | (3.73) | % | (3.44) | % | (2.91) | % | (2.60) | % | |||||||||||||||
Portfolio turnover rate(e) | 216 | % | 343 | % | 269 | % | 256 | % | 66 | % |
(a) | All ratios have been annualized except total investment return and portfolio turnover. |
(b) | Net investment income (loss) per share is based on average shares outstanding. |
(c) | Amount represents less than $0.005 per share. |
(d) | Total investment return excludes the effect of applicable sales charges. |
(e) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes securities sold short. |
The accompanying notes are an integral part of these financial statements.
LoCorr Dynamic Equity Fund - Financial Highlights - Class I | 77 |
Period from May 10, | ||||||||||||||||||||
Six Months Ended | 2013 (commencement of | |||||||||||||||||||
June 30, 2017 (a) | Year Ended December 31, | operations) through | ||||||||||||||||||
(Unaudited) | 2016 | 2015 | 2014 | December 31, 2013(a)(a) | ||||||||||||||||
Per Share | ||||||||||||||||||||
Net asset value, beginning of period | $ | 12.17 | $ | 9.71 | $ | 9.84 | $ | 11.50 | $ | 10.00 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(b) | (0.14) | (0.30) | (0.24) | (0.20) | (0.11) | |||||||||||||||
Net realized and unrealized gain (loss) | 0.08 | 2.76 | 0.11 | (1.42) | 1.61 | |||||||||||||||
Total from Investment Operations | (0.06) | 2.46 | (0.13) | (1.62) | 1.50 | |||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net realized gains | — | — | — | (0.04) | — | |||||||||||||||
Total Distributions | — | — | — | (0.04) | — | |||||||||||||||
Redemption Fees(c) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||
Net Asset Value, End of Period | $ | 12.11 | $ | 12.17 | $ | 9.71 | $ | 9.84 | $ | 11.50 | ||||||||||
Total Investment Return | (0.49) | % | 25.33 | % | (1.22) | % | (14.18) | % | 15.00 | % | ||||||||||
Net Assets, End of Period, in Thousands | $ | 50,553 | $ | 44,816 | $ | 9,990 | $ | 12,304 | $ | 12,361 | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense reimbursement or recovery | 3.13 | % | 3.49 | % | 3.47 | % | 3.30 | % | 4.80 | % | ||||||||||
After expense reimbursement or recovery | 3.13 | % | 3.24 | % | 3.10 | % | 3.05 | % | 3.01 | % | ||||||||||
Ratio of expenses to average net assets (excluding dividend and interest expense): | ||||||||||||||||||||
Before expense reimbursement or recovery | 2.90 | % | 3.15 | % | 3.27 | % | 3.15 | % | 4.69 | % | ||||||||||
After expense reimbursement or recovery | 2.90 | % | 2.90 | % | 2.90 | % | 2.90 | % | 2.90 | % | ||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||
Before expense reimbursement or recovery | (2.37) | % | (2.98) | % | (2.81) | % | (2.16) | % | (3.39) | % | ||||||||||
After expense reimbursement or recovery | (2.37) | % | (2.73) | % | (2.44) | % | (1.91) | % | (1.60) | % | ||||||||||
Portfolio turnover rate(d) | 216 | % | 343 | % | 269 | % | 256 | % | 66 | % |
(a) | All ratios have been annualized except total investment return and portfolio turnover. |
(b) | Net investment income (loss) per share is based on average shares outstanding. |
(c) | Amount represents less than $0.005 per share. |
(d) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes securities sold short. |
78 | LoCorr Spectrum Income Fund - Financial Highlights - Class A |
Six Months Ended | ||||||||||||||||
June 30, 2017(a) | Year Ended December 31, | |||||||||||||||
(Unaudited) | 2016 | 2015 | 2014 | |||||||||||||
Per Share | ||||||||||||||||
Net asset value, beginning of period | $ | 7.70 | $ | 7.78 | $ | 8.97 | $ | 10.00 | ||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)(b) | 0.12 | 0.29 | 0.38 | 0.41 | ||||||||||||
Net realized and unrealized gain (loss) | 0.09 | 0.20 | (1.00) | (0.91) | ||||||||||||
Total from Investment Operations | 0.21 | 0.49 | (0.62) | (0.50) | ||||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | (0.29) | (0.37) | (0.39) | (0.36) | ||||||||||||
Return of capital | — | (0.20) | (0.18) | (0.17) | ||||||||||||
Total Distributions | (0.29) | (0.57) | (0.57) | (0.53) | ||||||||||||
Redemption Fees(c) | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Net Asset Value, End of Period | $ | 7.62 | $ | 7.70 | $ | 7.78 | $ | 8.97 | ||||||||
Total Investment Return(d) | 2.69 | % | 6.64 | % | (7.36) | % | (5.45) | % | ||||||||
Net Assets, End of Period, in Thousands | $ | 34,849 | $ | 33,032 | $ | 36,957 | $ | 37,425 | ||||||||
Ratios/Supplemental Data:(e) | ||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||
Before expense reimbursement or recovery | 1.96 | % | 2.02 | % | 1.99 | %(f) | 2.28 | %(f) | ||||||||
After expense reimbursement or recovery | 2.03 | % | 2.05 | % | 2.05 | %(f) | 2.05 | %(f) | ||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||
Before expense reimbursement or recovery | 3.07 | % | 3.81 | % | 4.41 | % | 3.88 | % | ||||||||
After expense reimbursement or recovery | 3.00 | % | 3.78 | % | 4.35 | % | 4.11 | % | ||||||||
Portfolio turnover rate(g) | 38 | % | 92 | % | 54 | % | 43 | % |
(a) | All ratios have been annualized except total investment return and portfolio turnover. |
(b) | Net investment income (loss) per share is based on average shares outstanding. |
(c) | Amount represents less than $0.005 per share. |
(d) | Total investment return excludes the effect of applicable sales charges. |
(e) | Ratios do not include the expenses of the investment companies in which the Fund invests. |
(f) | Includes interest expense on line of credit of 0.00% and 0.00% for the years ended December 31, 2015 and 2014, respectively. |
(g) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
LoCorr Spectrum Income Fund - Financial Highlights - Class C | 79 |
Six Months Ended | ||||||||||||||||
June 30, 2017(a) | Year Ended December 31, | |||||||||||||||
(Unaudited) | 2016 | 2015 | 2014 | |||||||||||||
Per Share | ||||||||||||||||
Net asset value, beginning of period | $ | 7.72 | $ | 7.78 | $ | 8.96 | $ | 10.00 | ||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)(b) | 0.09 | 0.23 | 0.32 | 0.33 | ||||||||||||
Net realized and unrealized gain (loss) | 0.08 | 0.21 | (1.00) | (0.91) | ||||||||||||
Total from Investment Operations | 0.17 | 0.44 | (0.68) | (0.58) | ||||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | (0.25) | (0.33) | (0.34) | (0.31) | ||||||||||||
Return of capital | — | (0.17) | (0.16) | (0.15) | ||||||||||||
Total Distributions | (0.25) | (0.50) | (0.50) | (0.46) | ||||||||||||
Redemption Fees(c) | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Net Asset Value, End of Period | $ | 7.64 | $ | 7.72 | $ | 7.78 | $ | 8.96 | ||||||||
Total Investment Return(d) | 2.19 | % | 5.88 | % | (8.05) | % | (6.19) | % | ||||||||
Net Assets, End of Period, in Thousands | $ | 25,663 | $ | 25,898 | $ | 27,817 | $ | 25,210 | ||||||||
Ratios/Supplemental Data:(e) | ||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||
Before expense reimbursement or recovery | 2.71 | % | 2.77 | % | 2.74 | %(f) | 3.03 | %(f) | ||||||||
After expense reimbursement or recovery | 2.78 | % | 2.80 | % | 2.80 | %(f) | 2.80 | %(f) | ||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||
Before expense reimbursement or recovery | 2.32 | % | 3.06 | % | 3.66 | % | 3.13 | % | ||||||||
After expense reimbursement or recovery | 2.25 | % | 3.03 | % | 3.60 | % | 3.36 | % | ||||||||
Portfolio turnover rate(g) | 38 | % | 92 | % | 54 | % | 43 | % |
(a) | All ratios have been annualized except total investment return and portfolio turnover. |
(b) | Net investment income (loss) per share is based on average shares outstanding. |
(c) | Amount represents less than $0.005 per share. |
(d) | Total investment return excludes the effect of applicable sales charges. |
(e) | Ratios do not include the expenses of the investment companies in which the Fund invests. |
(f) | Includes interest expense on line of credit of 0.00% and 0.00% for the years ended December 31, 2015 and 2014, respectively. |
(g) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
80 | LoCorr Spectrum Income Fund - Financial Highlights - Class I |
Six Months Ended | ||||||||||||||||
June 30, 2017(a) | Year Ended December 31, | |||||||||||||||
(Unaudited) | 2016 | 2015 | 2014 | |||||||||||||
Per Share | ||||||||||||||||
Net asset value, beginning of period | $ | 7.69 | $ | 7.78 | $ | 8.97 | $ | 10.00 | ||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)(b) | 0.13 | 0.31 | 0.41 | 0.43 | ||||||||||||
Net realized and unrealized gain (loss) | 0.09 | 0.20 | (1.00) | (0.91) | ||||||||||||
Total from Investment Operations | 0.22 | 0.51 | (0.59) | (0.48) | ||||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | (0.30) | (0.39) | (0.41) | (0.38) | ||||||||||||
Return of capital | — | (0.21) | (0.19) | (0.17) | ||||||||||||
Total Distributions | (0.30) | (0.60) | (0.60) | (0.55) | ||||||||||||
Redemption Fees(c) | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Net Asset Value, End of Period | $ | 7.61 | $ | 7.69 | $ | 7.78 | $ | 8.97 | ||||||||
Total Investment Return | 2.85 | % | 6.85 | % | (7.10) | % | (5.23) | % | ||||||||
Net Assets, End of Period, in Thousands | $ | 51,944 | $ | 46,838 | $ | 28,292 | $ | 31,428 | ||||||||
Ratios/Supplemental Data:(d) | ||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||
Before expense reimbursement or recovery | 1.71 | % | 1.77 | % | 1.74 | %(e) | 2.03 | %(e) | ||||||||
After expense reimbursement or recovery | 1.78 | % | 1.80 | % | 1.80 | %(e) | 1.80 | %(e) | ||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||
Before expense reimbursement or recovery | 3.32 | % | 4.06 | % | 4.66 | % | 4.13 | % | ||||||||
After expense reimbursement or recovery | 3.25 | % | 4.03 | % | 4.60 | % | 4.36 | % | ||||||||
Portfolio turnover rate(f) | 38 | % | 92 | % | 54 | % | 43 | % |
(a) | All ratios have been annualized except total investment return and portfolio turnover. |
(b) | Net investment income (loss) per share is based on average shares outstanding. |
(c) | Amount represents less than $0.005 per share. |
(d) | Ratios do not include the expenses of the investment companies in which the Fund invests. |
(e) | Includes interest expense on line of credit of 0.00% and 0.00% for the years ended December 31, 2015 and 2014, respectively. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements | | 81 | |
82 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
Commencement of Operations | |||||
Class A | Class C | Class I | |||
LoCorr Macro Strategies Fund | March 22, 2011 | March 24, 2011 | March 24, 2011 | ||
LoCorr Long/Short Commodities Strategy Fund | January 1, 2012 | January 1, 2012 | January 1, 2012 | ||
LoCorr Dynamic Equity Fund | May 10, 2013 | May 10, 2013 | May 10, 2013 | ||
LoCorr Spectrum Income Fund | January 1, 2014 | January 1, 2014 | January 1, 2014 | ||
LoCorr Market Trend Fund | July 1, 2014 | July 1, 2014 | July 1, 2014 | ||
LoCorr Multi-Strategy Fund | April 6, 2015 | April 6, 2015 | April 6, 2015 |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements | | 83 | |
84 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
● | securities for which market quotations are not readily available at the valuation time on a particular business day (including without limitation securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source); |
● | securities for which market quotations are not readily available at the valuation time on a particular business day (including without limitation securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source); |
● | securities determined to be illiquid in accordance with the Trust’s Liquidity Procedures; and |
● | securities with respect to which an event that will affect the value thereof has occurred subsequent to the determination by the Adviser/relevant Sub-Adviser of the closing prices reported on the principal exchange on which the securities are traded, but prior to the relevant Fund’s calculation of its NAV. |
● | For any open-end mutual funds that do not provide timely NAV information, the Adviser/relevant Sub-Adviser shall evaluate those ‘similar’ funds and determine which are most appropriate based on funds having similar benchmarks or similar objectives. The Adviser/relevant Sub-Adviser shall then calculate the NAV percentage move of those ‘similar’ funds for the day to create an aggregate average percentage move, which it shall use to calculate the price movement for the day of the Fund at issue. For closed-end funds, the aforementioned practice shall be utilized, in addition to monitoring secondary market activity during the day. |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements | | 85 |
● | a multiple of earnings; |
● | a discount from market of a similar freely traded security (including a derivative security or a basket of securities traded on other markets, exchanges or among dealers); or |
● | yield to maturity with respect to debt issues, or a combination of these and other methods. |
● | the fundamental analytical data relating to the investment; |
● | the nature and duration of restrictions (if any) on disposition of the securities; |
● | evaluation of the forces that influence the market in which these securities are purchased or sold; |
● | changes in interest rates; |
● | government (domestic or foreign) actions or pronouncements; and |
● | other news events. |
● | type of security; |
● | financial statements of the issuer; |
● | cost at date of purchase; |
● | size of holding; |
● | discount from market value of unrestricted securities of the same class at time of purchase; |
● | special reports prepared by analysts; |
● | information as to any transactions or offers with respect to the security; |
● | existence of merger proposals or tender offers affecting the securities; |
● | price and extent of public trading in similar securities of the issuer or comparable companies; and |
● | other relevant matters. |
86 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 172,170,216 | $ | — | $ | 172,170,216 | ||||||||
Corporate Bonds | — | 369,407,181 | — | 369,407,181 | ||||||||||||
Mortgage Backed Securities | — | 130,766,735 | — | 130,766,735 | ||||||||||||
Municipal Bonds | — | 8,286,836 | — | 8,286,836 | ||||||||||||
U.S. Government Agency Issues | — | 94,618,489 | — | 94,618,489 | ||||||||||||
U.S. Government Notes | — | 67,264,972 | — | 67,264,972 | ||||||||||||
Short Term Investment | 19,255,770 | — | — | 19,255,770 | ||||||||||||
Total Investments | $ | 19,255,770 | $ | 842,514,429 | $ | — | $ | 861,770,199 | ||||||||
Other Financial Instruments* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Long | $ | — | $ | 9,173,767 | $ | — | $ | 9,173,767 | ||||||||
Short | — | (11,160,529) | — | (11,160,529) | ||||||||||||
Total Forward Currency Contracts | — | (1,986,762) | — | (1,986,762) | ||||||||||||
Futures Contracts | ||||||||||||||||
Long | (21,769,128) | — | — | (21,769,128) | ||||||||||||
Short | (10,529,636) | — | — | (10,529,636) | ||||||||||||
Total Futures Contracts | (32,298,764) | — | — | (32,298,764) | ||||||||||||
Total Other Financial Instruments | $ | (32,298,764) | $ | (1,986,762) | $ | — | $ | (34,285,526) |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 16,837,772 | $ | — | $ | 16,837,772 | ||||||||
Corporate Bonds | — | 35,368,256 | — | 35,368,256 | ||||||||||||
Foreign Government Bond | — | 13,663 | — | 13,663 | ||||||||||||
Mortgage Backed Securities | — | 11,597,712 | — | 11,597,712 | ||||||||||||
Municipal Bonds | — | 346,019 | — | 346,019 | ||||||||||||
U.S. Government Agency Issues | — | 14,937,884 | — | 14,937,884 | ||||||||||||
U.S. Government Notes | — | 4,157,165 | — | 4,157,165 | ||||||||||||
Short Term Investment | 3,782,080 | — | — | 3,782,080 | ||||||||||||
Total Investments | $ | 3,782,080 | $ | 83,258,471 | $ | — | $ | 87,040,551 | ||||||||
Swap Contracts* | ||||||||||||||||
Long Total Return Swap Contracts | $ | — | $ | (21,655,240) | $ | — | $ | (21,655,240) | ||||||||
Total Swap Contracts | $ | — | $ | (21,655,240) | $ | — | $ | (21,655,240) |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements | | 87 |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Business Development Companies | $ | 1,523,011 | $ | — | $ | — | $ | 1,523,011 | ||||||||
Closed-End Investment Companies | 3,054,036 | — | — | 3,054,036 | ||||||||||||
Common Stocks | 12,018,439 | — | — | 12,018,439 | ||||||||||||
Convertible Preferred Stocks | 994,218 | — | — | 994,218 | ||||||||||||
Master Limited Partnerships | 5,836,777 | — | — | 5,836,777 | ||||||||||||
Preferred Stock | 407,006 | — | — | 407,006 | ||||||||||||
Publicly Traded Partnerships | 1,948,950 | — | — | 1,948,950 | ||||||||||||
Real Estate Investment Trusts | 3,779,808 | — | — | 3,779,808 | ||||||||||||
Short Term Investment | 3,463,402 | — | — | 3,463,402 | ||||||||||||
Total Investments | $ | 33,025,647 | $ | — | $ | — | $ | 33,025,647 | ||||||||
Securities Sold Short | ||||||||||||||||
Common Stocks | $ | (1,220,181) | $ | — | $ | — | $ | (1,220,181) | ||||||||
Total Securities Sold Short | $ | (1,220,181) | $ | — | $ | — | $ | (1,220,181) | ||||||||
Swap Contracts* | ||||||||||||||||
Long Total Return Swap Contracts | $ | — | $ | (4,272,107) | $ | — | $ | (4,272,107) | ||||||||
Total Swap Contracts | $ | — | $ | (4,272,107) | $ | — | $ | (4,272,107) |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 157,562,984 | $ | — | $ | 157,562,984 | ||||||||
Corporate Bond | — | 1,654,353 | — | 1,654,353 | ||||||||||||
Foreign Government Bonds | — | 14,473,739 | — | 14,473,739 | ||||||||||||
Mortgage Backed Securities | — | 59,463,939 | — | 59,463,939 | ||||||||||||
U.S. Government Agency Issues | — | 344,150,921 | — | 344,150,921 | ||||||||||||
U.S. Government Notes | — | 50,132,095 | — | 50,132,095 | ||||||||||||
Short Term Investment | 32,142,971 | — | — | 32,142,971 | ||||||||||||
Total Investments | $ | 32,142,971 | $ | 627,438,031 | $ | — | $ | 659,581,002 | ||||||||
Other Financial Instruments* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Long | $ | — | $ | 12,226,984 | $ | — | $ | 12,226,984 | ||||||||
Short | — | (12,132,390) | — | (12,132,390) | ||||||||||||
Total Forward Currency Contracts | — | 94,594 | — | 94,594 | ||||||||||||
Futures Contracts | ||||||||||||||||
Long | (26,037,328) | — | — | (26,037,328) | ||||||||||||
Short | (4,941,484) | — | — | (4,941,484) | ||||||||||||
Total Futures Contracts | (30,978,812) | — | — | (30,978,812) | ||||||||||||
Total Other Financial Instruments | $ | (30,978,812) | $ | 94,594 | $ | — | $ | (30,884,218) |
88 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Common Stocks | $ | 49,250,811 | $ | — | $ | — | $ | 49,250,811 | ||||||||
Real Estate Investment Trusts | 816,836 | — | — | 816,836 | ||||||||||||
Short Term Investments | 20,577,791 | 5,977,416 | — | 26,555,207 | ||||||||||||
Total Investments | $ | 70,645,438 | $ | 5,977,416 | $ | — | $ | 76,622,854 | ||||||||
Securities Sold Short | ||||||||||||||||
Common Stocks | $ | (17,059,011) | $ | — | $ | — | $ | (17,059,011) | ||||||||
Exchange Traded Funds | (2,025,525) | — | — | (2,025,525) | ||||||||||||
Total Securities Sold Short | $ | (19,084,536) | $ | — | $ | — | $ | (19,084,536) |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Business Development Companies | $ | 7,613,851 | $ | — | $ | — | $ | 7,613,851 | ||||||||
Closed-End Investment Companies | 15,296,222 | — | — | 15,296,222 | ||||||||||||
Common Stocks | 16,731,173 | — | — | 16,731,173 | ||||||||||||
Convertible Preferred Stocks | 4,970,520 | — | — | 4,970,520 | ||||||||||||
Master Limited Partnerships | 28,871,534 | — | — | 28,871,534 | ||||||||||||
Preferred Stock | 2,056,701 | — | — | 2,056,701 | ||||||||||||
Publicly Traded Partnerships | 9,752,634 | — | — | 9,752,634 | ||||||||||||
Real Estate Investment Trusts | 18,928,802 | — | — | 18,928,802 | ||||||||||||
Short Term Investment | 9,719,966 | — | — | 9,719,966 | ||||||||||||
Total Investments | $ | 113,941,403 | $ | — | $ | — | $ | 113,941,403 |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements | | 89 |
90 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
Six Months Ended June 30, 2017 | ||||||||||||
Fund | Ordinary Income | Long-Term Capital Gains | Return of Capital | |||||||||
LoCorr Multi-Strategy Fund | $ | 681,175 | $ | — | $ | — | ||||||
LoCorr Spectrum Income Fund | 4,082,349 | — | — |
Year Ended December 31, 2016 | ||||||||||||
Fund | Ordinary Income | Long-Term Capital Gains | Return of Capital | |||||||||
LoCorr Macro Strategies Fund | $ | 3,094,731 | $ | 12,934,942 | $ | — | ||||||
LoCorr Long/Short Commodities Strategy Fund | 4,174,668 | — | — | |||||||||
LoCorr Multi-Strategy Fund | 386,916 | — | 855,699 | |||||||||
LoCorr Market Trend Fund | 19,864,840 | — | — | |||||||||
LoCorr Spectrum Income Fund | 4,507,173 | — | 2,388,873 |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements | | 91 |
92 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements | | 93 |
94 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
LoCorr Macro Strategies Fund - June 30, 2017 | ||||||||||||||||||||||||
Assets: | Gross Amounts not offset in the Consolidated Statement of Assets & Liabilities | |||||||||||||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Consolidated Statement of Assets & Liabilities | Net Amounts Presented in the Consolidated Statement of Assets & Liabilities | Financial Instruments | Collateral Pledged (Received) | Net Amount | ||||||||||||||||||
Forward currency contracts | $ | 12,609,160 | $ | — | $ | 12,609,160 | $ | — | $ | — | $ | 12,609,160 | ||||||||||||
Futures contracts | 1,781,521 | — | 1,781,521 | — | — | 1,781,521 | ||||||||||||||||||
Total | $ | 14,390,681 | $ | — | $ | 14,390,681 | $ | — | $ | — | $ | 14,390,681 | ||||||||||||
Liabilities: | Gross Amounts not offset in the Consolidated Statement of Assets & Liabilities | |||||||||||||||||||||||
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Consolidated Statement of Assets & Liabilities | Net Amounts Presented in the Consolidated Statement of Assets & Liabilities | Financial Instruments | Collateral Received (Pledged) | Net Amount | ||||||||||||||||||
Forward currency contracts | $ | 14,595,922 | $ | — | $ | 14,595,922 | $ | — | $ | (14,595,922 | ) | $ | — | |||||||||||
Futures contracts | 19,406,037 | — | 19,406,037 | — | (19,406,037 | ) | — | |||||||||||||||||
Total | $ | 34,001,959 | $ | — | $ | 34,001,959 | $ | — | $ | (34,001,959 | ) | $ | — | |||||||||||
LoCorr Long/Short Commodities Strategy Fund - June 30, 2017 | ||||||||||||||||||||||||
Liabilities: | Gross Amounts not offset in the Consolidated Statement of Assets & Liabilities | |||||||||||||||||||||||
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Consolidated Statement of Assets & Liabilities | Net Amounts Presented in the Consolidated Statement of Assets & Liabilities | Financial Instruments | Collateral Received (Pledged) | Net Amount | ||||||||||||||||||
Swap Contracts | $ | 21,655,240 | $ | — | $ | 21,655,240 | $ | — | $ | (21,655,240 | ) | $ | — | |||||||||||
Total | $ | 21,655,240 | $ | — | $ | 21,655,240 | $ | — | $ | (21,655,240 | ) | $ | — | |||||||||||
LoCorr Multi-Strategy Fund - June 30, 2017 | ||||||||||||||||||||||||
Liabilities: | Gross Amounts not offset in the Consolidated Statement of Assets & Liabilities | |||||||||||||||||||||||
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Consolidated Statement of Assets & Liabilities | Net Amounts Presented in the Consolidated Statement of Assets & Liabilities | Financial Instruments | Collateral Received (Pledged) | Net Amount | ||||||||||||||||||
Swap Contracts* | $ | 5,357,856 | $ | — | $ | 5,357,856 | $ | — | $ | (5,357,856 | ) | $ | — | |||||||||||
Total | $ | 5,357,856 | $ | — | $ | 5,357,856 | $ | — | $ | (5,357,856 | ) | $ | — |
*Includes advance payment on swap contracts. |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements | | 95 |
LoCorr Market Trend Fund - June 30, 2017 | ||||||||||||||||||||||||
Assets: | Gross Amounts not offset in the Consolidated Statement of Assets & Liabilities | |||||||||||||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Consolidated Statement of Assets & Liabilities | Net Amounts Presented in the Consolidated Statement of Assets & Liabilities | Financial Instruments | Collateral Pledged (Received) | Net Amount | ||||||||||||||||||
Forward currency contracts | $ | 15,961,070 | $ | — | $ | 15,961,070 | $ | — | $ | — | $ | 15,961,070 | ||||||||||||
Futures contracts | 2,066,544 | — | 2,066,544 | — | — | 2,066,544 | ||||||||||||||||||
Total | $ | 18,027,614 | $ | — | $ | 18,027,614 | $ | — | $ | — | $ | 18,027,614 | ||||||||||||
Liabilities: | Gross Amounts not offset in the Consolidated Statement of Assets & Liabilities | |||||||||||||||||||||||
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Consolidated Statement of Assets & Liabilities | Net Amounts Presented in the Consolidated Statement of Assets & Liabilities | Financial Instruments | Collateral Received (Pledged) | Net Amount | ||||||||||||||||||
Forward currency contracts | $ | 15,866,476 | $ | — | $ | 15,866,476 | $ | — | $ | (15,866,476 | ) | $ | — | |||||||||||
Futures contracts | 20,530,803 | — | 20,530,803 | — | (20,530,803 | ) | — | |||||||||||||||||
Total | $ | 36,397,279 | $ | — | $ | 36,397,279 | $ | — | $ | (36,397,279 | ) | $ | — |
Net Unrealized | ||||||||||||
Gain (Loss) on | ||||||||||||
Fair Value | Open | |||||||||||
Derivatives Not Accounted for as Hedging Instruments | Assets | Liabilities | Positions | |||||||||
LoCorr Macro Strategies Fund | ||||||||||||
Forward Currency Contracts(a) | ||||||||||||
Long | $ | 10,768,664 | $ | 1,594,897 | $ | 9,173,767 | ||||||
Short | 1,840,496 | 13,001,025 | (11,160,529) | |||||||||
Total Forward Currency Contracts | 12,609,160 | 14,595,922 | (1,986,762) | |||||||||
Futures Contracts(b) | ||||||||||||
Long Contracts | ||||||||||||
Commodity | 1,834,959 | 566,286 | 1,268,673 | |||||||||
Equity | 463,434 | 7,448,896 | (6,985,462) | |||||||||
Foreign exchange | 114,562 | 2,016 | 112,546 | |||||||||
Interest rate | — | 16,164,885 | (16,164,885) | |||||||||
Total Long Contracts | 2,412,955 | 24,182,083 | (21,769,128) | |||||||||
Short Contracts | ||||||||||||
Commodity | 858,986 | 12,196,105 | (11,337,119) | |||||||||
Equity | 21,032 | 65,677 | (44,645) | |||||||||
Foreign exchange | 294,827 | — | 294,827 | |||||||||
Interest rate | 557,301 | — | 557,301 | |||||||||
Total Short Contracts | 1,732,146 | 12,261,782 | (10,529,636) | |||||||||
Total Futures Contracts | 4,145,101 | 36,443,865 | (32,298,764) | |||||||||
Total Forward Currency Contracts and Futures Contracts | $ | 16,754,261 | $ | 51,039,787 | $ | (34,285,526) |
96 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
Net Unrealized | ||||||||||||
Gain (Loss) on | ||||||||||||
Fair Value | Open | |||||||||||
Derivatives Not Accounted for as Hedging Instruments | Assets | Liabilities | Positions | |||||||||
LoCorr Long/Short Commodities Strategy Fund | ||||||||||||
Long Total Return Swap Contracts | ||||||||||||
LoCorr Commodities Index | $ | — | $ | 21,655,240 | $ | (21,655,240) | ||||||
LoCorr Multi-Strategy Fund | ||||||||||||
Long Total Return Swap Contracts | ||||||||||||
LoCorr Multi-Strategy Index | $ | — | $ | 4,272,107 | $ | (4,272,107) | ||||||
LoCorr Market Trend Fund | ||||||||||||
Forward Currency Contracts(a) | ||||||||||||
Long | $ | 13,687,532 | $ | 1,460,548 | $ | 12,226,984 | ||||||
Short | 2,273,538 | 14,405,928 | (12,132,390) | |||||||||
Total Forward Currency Contracts | 15,961,070 | 15,866,476 | 94,594 | |||||||||
Futures Contracts(b) | ||||||||||||
Long Contracts | ||||||||||||
Commodity | 2,066,544 | 1,387,536 | 679,008 | |||||||||
Equity | 1,221,399 | 10,448,882 | (9,227,483) | |||||||||
Interest rate | — | 17,488,853 | (17,488,853) | |||||||||
Total Long Contracts | 3,287,943 | 29,325,271 | (26,037,328) | |||||||||
Short Contracts | ||||||||||||
Commodity | 4,043,143 | 10,408,193 | (6,365,050) | |||||||||
Foreign exchange | 632,012 | — | 632,012 | |||||||||
Interest rate | 791,554 | — | 791,554 | |||||||||
Total Short Contracts | 5,466,709 | 10,408,193 | (4,941,484) | |||||||||
Total Futures Contracts | 8,754,652 | 39,733,464 | (30,978,812) | |||||||||
Total Forward Currency Contracts and Futures Contracts | $ | 24,715,722 | $ | 55,599,940 | $ | (30,884,218) |
Gain (Loss) from Trading | ||||||||
Net Change | ||||||||
Fund and Type of Derivative Instrument | Net Realized | in Unrealized | ||||||
LoCorr Macro Strategies Fund | ||||||||
Forward Currency Contracts | $ | (18,996,692) | $ | (4,843,392) | ||||
Futures Contracts | ||||||||
Commodity | (30,299,496) | (9,491,119) | ||||||
Equity | 70,217,364 | (8,587,978) | ||||||
Foreign exchange | 1,742,692 | 319,748 | ||||||
Interest rate | (5,621,193) | (19,944,345) | ||||||
Total Futures Contracts | 36,039,367 | (37,703,694) | ||||||
Total Forward Currency Contracts and Futures Contracts | $ | 17,042,675 | $ | (42,547,086) | ||||
LoCorr Long/Short Commodities Strategy Fund | ||||||||
Swap Contracts | $ | (390,927) | $ | (2,664,290) |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements | | 97 | |
Gain (Loss) from Trading | ||||||||
Net Change | ||||||||
Fund and Type of Derivative Instrument | Net Realized | in Unrealized | ||||||
LoCorr Multi-Strategy Fund | ||||||||
Swap Contracts | $ | (520,886) | $ | (567,752) | ||||
LoCorr Market Trend Fund | ||||||||
Forward Currency Contracts | $ | (39,137,223) | $ | (3,755,285) | ||||
Futures Contracts | ||||||||
Commodity | (25,317,267) | (4,607,511) | ||||||
Equity | 91,622,249 | (12,338,591) | ||||||
Foreign exchange | (585,206) | 256,124 | ||||||
Interest rate | (5,406,498) | (23,816,590) | ||||||
Total Futures Contracts | 60,313,278 | (40,506,568) | ||||||
Total Forward Currency Contracts and Futures Contracts | $ | 21,176,055 | $ | (44,261,853) |
Average Notional Amount | ||||||||
Long Contracts | Short Contracts | |||||||
LoCorr Macro Strategies Fund | ||||||||
Forward Currency Contracts | $ | 763,935,570 | $ | 801,152,953 | ||||
Futures Contracts | 3,046,971,469 | 1,282,284,423 | ||||||
LoCorr Long/Short Commodities Strategy Fund | ||||||||
Swap Contracts | $ | 109,885,714 | $ | — | ||||
LoCorr Multi-Strategy Fund | ||||||||
Swap Contracts | $ | 41,479,233 | $ | — | ||||
LoCorr Market Trend Fund | ||||||||
Forward Currency Contracts | $ | 1,284,281,777 | $ | 1,290,936,877 | ||||
Futures Contracts | 3,904,603,097 | 3,180,750,974 |
U.S. Government Obligations | All Other | |||||||||||||||
Purchases | Sales | Purchases | Sales | |||||||||||||
LoCorr Macro Strategies Fund | $ | 42,313,730 | $ | 71,803,913 | $ | 414,369,149 | $ | 287,565,521 | ||||||||
LoCorr Long/Short Commodities Strategy Fund | 6,047,085 | 5,845,904 | 26,999,150 | 44,729,285 | ||||||||||||
LoCorr Multi-Strategy Fund | — | — | 13,268,445 | 12,832,828 | ||||||||||||
LoCorr Market Trend Fund | 64,655,312 | 84,488,670 | 261,196,144 | 457,113,448 | ||||||||||||
LoCorr Dynamic Equity Fund | — | — | 108,978,805 | 110,067,327 | ||||||||||||
LoCorr Spectrum Income Fund | — | — | 46,342,168 | 39,009,048 |
98 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
Annual Advisory Fee as a Percentage | |
Fund | of the Average Daily Net Assets of the Fund |
LoCorr Macro Strategies Fund | 1.75%* |
LoCorr Multi-Strategy Fund | 1.75% |
LoCorr Market Trend Fund | 1.50% |
LoCorr Dynamic Equity Fund | 2.45% |
LoCorr Spectrum Income Fund | 1.30% |
Net Assets for the LoCorr Long/Short | Incremental** |
Commodities Strategy Fund | Advisory Fee |
$0.0 - $0.5 billion | 1.50% |
$0.5 - $1.0 billion | 1.40% |
$1.0 - $1.5 billion | 1.30% |
$1.5 - $2.0 billion | 1.20% |
$2.0 - $2.5 billion | 1.10% |
Over $2.5 billion | 1.00% |
Accrued | ||||||||
Management Fees | Management Fees | |||||||
For the Six Months Ended | as of | |||||||
Fund | June 30, 2017 | June 30, 2017 | ||||||
LoCorr Macro Strategies Fund* | $ | 8,759,693 | $ | 1,465,961 | ||||
LoCorr Long/Short Commodities Strategy Fund | 841,516 | 115,594 | ||||||
LoCorr Multi-Strategy Fund | 340,084 | 42,625 | ||||||
LoCorr Market Trend Fund | 6,736,744 | 1,022,320 | ||||||
LoCorr Dynamic Equity Fund | 1,049,737 | 162,604 | ||||||
LoCorr Spectrum Income Fund | 716,339 | 118,694 |
LoCorr Macro Strategies Fund: | LoCorr Market Trend Fund: |
Graham Capital Management, L.P. | Graham Capital Management, L.P. |
Millburn Ridgefield Corporation | Nuveen Asset Management, LLC |
Nuveen Asset Management, LLC | |
Revolution Capital Management LLC | LoCorr Dynamic Equity Fund: |
Billings Capital Management LLC | |
LoCorr Long/Short Commodities Strategy Fund: | Kettle Hill Capital Management, LLC |
Nuveen Asset Management, LLC | |
LoCorr Spectrum Income Fund: | |
LoCorr Multi-Strategy Fund: | Trust & Fiduciary Income Partners, LLC |
Billings Capital Management LLC | |
Trust & Fiduciary Income Partners, LLC |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements | | 99 |
Expense Limit as a Percentage of the | ||
Fund | Average Daily Net Assets of the Fund | Effective Period Through |
LoCorr Macro Strategies Fund | 1.99%* | April 30, 2018 |
LoCorr Long/Short Commodities Strategy Fund | 1.95% | April 30, 2018 |
LoCorr Multi-Strategy Fund | 2.04% | April 30, 2018 |
LoCorr Market Trend Fund | 1.95% | April 30, 2018 |
LoCorr Dynamic Equity Fund | 2.90% | April 30, 2018 |
LoCorr Spectrum Income Fund | 1.80% | April 30, 2018 |
LoCorr Macro Strategies Fund | ||||||||||||||||||||||||||||||||
Subject to | ||||||||||||||||||||||||||||||||
Fees (Waived) or Expenses (Borne) | Recovery to Adviser | Remaining | Recovery on or | |||||||||||||||||||||||||||||
by Adviser Subject to Recovery | Six Months | Year Ended | Available | Before Fiscal | ||||||||||||||||||||||||||||
Management | Other | Ended June | December 31, | Subject to | Year Ending | |||||||||||||||||||||||||||
Period | Fees | Expenses | Total | 30, 2017 | 2016 | 2015 | Recovery | December 31, | ||||||||||||||||||||||||
Six Months Ended June 30, 2017 | $ | (100,280 | ) | $ | — | $ | (100,280 | ) | $ | — | $ | — | $ | — | $ | (100,280 | ) | 2020 | ||||||||||||||
Total | $ | (100,280 | ) | $ | — | $ | (100,280 | ) | $ | — | $ | — | $ | — | $ | (100,280 | ) |
LoCorr Long/Short Commodities Strategy Fund | ||||||||||||||||||||||||||||||||
Subject to | ||||||||||||||||||||||||||||||||
Fees (Waived) or Expenses (Borne) | Recovery to Adviser | Remaining | Recovery on or | |||||||||||||||||||||||||||||
by Adviser Subject to Recovery | Six Months | Year Ended | Available | Before Fiscal | ||||||||||||||||||||||||||||
Management | Other | Ended June | December 31, | Subject to | Year Ending | |||||||||||||||||||||||||||
Period | Fees | Expenses | Total | 30, 2017 | 2016 | 2015 | Recovery | December 31, | ||||||||||||||||||||||||
Six Months Ended June 30, 2017 | $ | (51,417 | ) | $ | — | $ | (51,417 | ) | $ | — | $ | — | $ | — | $ | (51,417 | ) | 2020 | ||||||||||||||
Year Ended December 31, 2016 | (21,779 | ) | — | (21,779 | ) | — | — | — | (21,779 | ) | 2019 | |||||||||||||||||||||
Year Ended December 31, 2015 | (154,527 | ) | — | (154,527 | ) | — | — | — | (154,527 | ) | 2018 | |||||||||||||||||||||
Year Ended December 31, 2014 | (226,735 | ) | — | (226,735 | ) | — | — | — | (226,735 | ) | 2017 | |||||||||||||||||||||
Total | $ | (454,458 | ) | $ | — | $ | (454,458 | ) | $ | — | $ | — | $ | — | $ | (454,458 | ) |
LoCorr Multi-Strategy Fund | ||||||||||||||||||||||||||||||||
Subject to | ||||||||||||||||||||||||||||||||
Fees (Waived) or Expenses (Borne) | Recovery to Adviser | Remaining | Recovery on or | |||||||||||||||||||||||||||||
by Adviser Subject to Recovery | Six Months | Year Ended | Available | Before Fiscal | ||||||||||||||||||||||||||||
Management | Other | Ended June | December 31, | Subject to | Year Ending | |||||||||||||||||||||||||||
Period | Fees | Expenses | Total | 30, 2017 | 2016 | 2015 | Recovery | December 31, | ||||||||||||||||||||||||
Six Months Ended June 30, 2017 | $ | (84,082 | ) | $ | — | $ | (84,082 | ) | $ | — | $ | — | $ | — | $ | (84,082 | ) | 2020 | ||||||||||||||
Year Ended December 31, 2016 | (181,466 | ) | — | (181,466 | ) | — | — | — | (181,466 | ) | 2019 | |||||||||||||||||||||
Period Ended December 31, 2015* | (195,479 | ) | — | (195,479 | ) | — | — | — | (195,479 | ) | 2018 | |||||||||||||||||||||
Total | $ | (461,027 | ) | $ | — | $ | (461,027 | ) | $ | — | $ | — | $ | — | $ | (461,027 | ) |
LoCorr Dynamic Equity Fund | ||||||||||||||||||||||||||||||||
Subject to | ||||||||||||||||||||||||||||||||
Fees (Waived) or Expenses (Borne) | Recovery to Adviser | Remaining | Recovery on or | |||||||||||||||||||||||||||||
by Adviser Subject to Recovery | Six Months | Year Ended | Available | Before Fiscal | ||||||||||||||||||||||||||||
Management | Other | Ended June | December 31, | Subject to | Year Ending | |||||||||||||||||||||||||||
Period | Fees | Expenses | Total | 30, 2017 | 2016 | 2015 | Recovery | December 31, | ||||||||||||||||||||||||
Six Months Ended June 30, 2017 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | 2020 | |||||||||||||||||
Year Ended December 31, 2016 | (102,813 | ) | — | (102,813 | ) | — | — | — | (102,813 | ) | 2019 | |||||||||||||||||||||
Year Ended December 31, 2015 | (132,040 | ) | — | (132,040 | ) | — | — | — | (132,040 | ) | 2018 | |||||||||||||||||||||
Year Ended December 31, 2014 | (122,831 | ) | — | (122,831 | ) | 1,876 | — | — | (120,955 | ) | 2017 | |||||||||||||||||||||
Total | $ | (357,684 | ) | $ | — | $ | (357,684 | ) | $ | 1,876 | $ | — | $ | — | $ | (355,808 | ) |
100 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
LoCorr Spectrum Income Fund | ||||||||||||||||||||||||||||||||
Subject to | ||||||||||||||||||||||||||||||||
Fees (Waived) or Expenses (Borne) | Recovery to Adviser | Remaining | Recovery on or | |||||||||||||||||||||||||||||
by Adviser Subject to Recovery | Six Months | Year Ended | Available | Before Fiscal | ||||||||||||||||||||||||||||
Management | Other | Ended June | December 31, | Subject to | Year Ending | |||||||||||||||||||||||||||
Period | Fees | Expenses | Total | 30, 2017 | 2016 | 2015 | Recovery | December 31, | ||||||||||||||||||||||||
Six Months Ended June 30, 2017 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | 2020 | |||||||||||||||||
Year Ended December 31, 2016 | — | — | — | — | — | — | — | 2019 | ||||||||||||||||||||||||
Year Ended December 31, 2015 | — | — | — | — | — | — | — | 2018 | ||||||||||||||||||||||||
Year Ended December 31, 2014 | (132,869) | — | (132,869) | 39,116 | 26,753 | 67,000 | — | 2017 | ||||||||||||||||||||||||
Total | $ | (132,869) | $ | — | $ | (132,869) | $ | 39,116 | $ | 26,753 | $ | 67,000 | $ | — |
LoCorr Macro Strategies Fund – Class A | ||||||||||||||||
For the Six Months Ended June 30, 2017 | For the Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 3,963,460 | $ | 35,643,075 | 16,961,784 | $ | 155,903,603 | ||||||||||
Dividends Reinvested | — | — | 551,098 | 4,910,284 | ||||||||||||
Shares Redeemed | (25,500,705) | (231,224,921) | (10,956,643) | (99,832,561) | ||||||||||||
Redemption Fees | — | 382 | — | 2,040 | ||||||||||||
(21,537,245) | $ | (195,581,464) | 6,556,239 | $ | 60,983,366 | |||||||||||
Beginning Shares | 33,412,218 | 26,855,979 | ||||||||||||||
Ending Shares | 11,874,973 | 33,412,218 | ||||||||||||||
LoCorr Macro Strategies Fund – Class C | ||||||||||||||||
For the Six Months Ended June 30, 2017 | For the Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 1,392,453 | $ | 12,074,789 | 3,540,006 | $ | 31,741,634 | ||||||||||
Dividends Reinvested | — | — | 256,145 | 2,207,972 | ||||||||||||
Shares Redeemed | (2,205,742) | (19,139,514) | (2,445,483) | (21,620,670) | ||||||||||||
Redemption Fees | — | 680 | — | 289 | ||||||||||||
(813,289) | $ | (7,064,045) | 1,350,668 | $ | 12,329,225 | |||||||||||
Beginning Shares | 13,210,934 | 11,860,266 | ||||||||||||||
Ending Shares | 12,397,645 | 13,210,934 | ||||||||||||||
LoCorr Macro Strategies Fund – Class I | ||||||||||||||||
For the Six Months Ended June 30, 2017 | For the Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 55,502,595 | $ | 507,037,183 | 38,061,171 | $ | 351,129,132 | ||||||||||
Dividends Reinvested | — | — | 779,989 | 7,027,798 | ||||||||||||
Shares Redeemed | (18,880,783) | (172,112,215) | (8,907,973) | (81,922,066) | ||||||||||||
Redemption Fees | — | 10,665 | — | 19,839 | ||||||||||||
36,621,812 | $ | 334,935,633 | 29,933,187 | $ | 276,254,703 | |||||||||||
Beginning Shares | 52,255,421 | 22,322,234 | ||||||||||||||
Ending Shares | 88,877,233 | 52,255,421 | ||||||||||||||
LoCorr Macro Strategies Fund | ||||||||||||||||
Total Net Increase | $ | 132,290,124 | $ | 349,567,294 |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements | | 101 |
LoCorr Long/Short Commodities Strategy Fund — Class A | ||||||||||||||||
For the Six Months Ended June 30, 2017 | For the Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 456,800 | $ | 4,205,480 | 5,519,830 | $ | 56,215,085 | ||||||||||
Dividends Reinvested | — | — | 90,271 | 850,348 | ||||||||||||
Shares Redeemed | (1,117,206) | (10,296,190) | (4,322,845) | (43,063,779) | ||||||||||||
Redemption Fees | — | 74 | — | 5,787 | ||||||||||||
(660,406) | $ | (6,090,636) | 1,287,256 | $ | 14,007,441 | |||||||||||
Beginning Shares | 3,800,744 | 2,513,488 | ||||||||||||||
Ending Shares | 3,140,338 | 3,800,744 | ||||||||||||||
LoCorr Long/Short Commodities Strategy Fund — Class C | ||||||||||||||||
For the Six Months Ended June 30, 2017 | For the Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 154,050 | $ | 1,346,316 | 600,272 | $ | 5,936,288 | ||||||||||
Dividends Reinvested | — | — | 19,301 | 177,569 | ||||||||||||
Shares Redeemed | (314,285) | (2,817,149) | (250,419) | (2,413,789) | ||||||||||||
Redemption Fees | — | 34 | — | 383 | ||||||||||||
(160,235) | $ | (1,470,799) | 369,154 | $ | 3,700,451 | |||||||||||
Beginning Shares | 824,453 | 455,299 | ||||||||||||||
Ending Shares | 664,218 | 824,453 | ||||||||||||||
LoCorr Long/Short Commodities Strategy Fund – Class I | ||||||||||||||||
For the Six Months Ended June 30, 2017 | For the Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 2,004,092 | $ | 18,605,221 | 11,982,802 | $ | 122,350,301 | ||||||||||
Dividends Reinvested | — | — | 241,354 | 2,290,449 | ||||||||||||
Shares Redeemed | (3,196,956) | (29,618,635) | (6,618,317) | (65,911,861) | ||||||||||||
Redemption Fees | — | — | — | 20,771 | ||||||||||||
(1,192,864) | $ | (11,013,414) | 5,605,839 | $ | 58,749,660 | |||||||||||
Beginning Shares | 8,789,574 | 3,183,735 | ||||||||||||||
Ending Shares | 7,596,710 | 8,789,574 | ||||||||||||||
LoCorr Long/Short Commodities Strategy Fund | ||||||||||||||||
Total Net Increase (Decrease) | $ | (18,574,849) | $ | 76,457,552 | ||||||||||||
LoCorr Multi-Strategy Fund – Class A | ||||||||||||||||
For the Six Months Ended June 30, 2017 | For the Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 456,643 | $ | 3,719,367 | 1,331,325 | $ | 10,927,197 | ||||||||||
Dividends Reinvested | 32,937 | 264,191 | 48,692 | 399,332 | ||||||||||||
Shares Redeemed | (247,750) | (1,991,711) | (730,590) | (6,017,250) | ||||||||||||
Redemption Fees | — | — | — | 177 | ||||||||||||
241,830 | $ | 1,991,847 | 649,427 | $ | 5,309,456 | |||||||||||
Beginning Shares | 2,105,165 | 1,455,738 | ||||||||||||||
Ending Shares | 2,346,995 | 2,105,165 | ||||||||||||||
LoCorr Multi-Strategy Fund – Class C | ||||||||||||||||
For the Six Months Ended June 30, 2017 | For the Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 44,839 | $ | 363,001 | 187,751 | $ | 1,553,343 | ||||||||||
Dividends Reinvested | 4,965 | 39,916 | 12,332 | 100,963 | ||||||||||||
Shares Redeemed | (141,292) | (1,145,564) | (382,843) | (3,106,550) | ||||||||||||
Redemption Fees | — | — | — | 4 | ||||||||||||
(91,488) | $ | (742,647) | (182,760) | $ | (1,452,240) | |||||||||||
Beginning Shares | 478,190 | 660,950 | ||||||||||||||
Ending Shares | 386,702 | 478,190 | ||||||||||||||
LoCorr Multi-Strategy Fund – Class I | ||||||||||||||||
For the Six Months Ended June 30, 2017 | For the Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 397,891 | $ | 3,221,835 | 1,079,642 | $ | 8,820,649 | ||||||||||
Dividends Reinvested | 35,288 | 282,722 | 63,201 | 517,849 | ||||||||||||
Shares Redeemed | (392,458) | (3,203,742) | (889,163) | (7,321,692) | ||||||||||||
Redemption Fees | — | 2 | — | 57 | ||||||||||||
40,721 | $ | 300,817 | 253,680 | $ | 2,016,863 | |||||||||||
Beginning Shares | 2,247,664 | 1,993,984 | ||||||||||||||
Ending Shares | 2,288,385 | 2,247,664 | ||||||||||||||
LoCorr Multi-Strategy Fund | ||||||||||||||||
Total Net Increase | $ | 1,550,017 | $ | 5,874,079 |
102 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
LoCorr Market Trend Fund – Class A | ||||||||||||||||
For the Six Months Ended June 30, 2017 | For the Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 1,046,499 | $ | 11,179,440 | 11,027,256 | $ | 134,082,733 | ||||||||||
Dividends Reinvested | — | — | 196,345 | 2,120,523 | ||||||||||||
Shares Redeemed | (6,115,189) | (64,686,824) | (7,913,099) | (91,798,608) | ||||||||||||
Redemption Fees | — | 784 | — | 7,807 | ||||||||||||
(5,068,690) | $ | (53,506,600) | 3,310,502 | $ | 44,412,455 | |||||||||||
Beginning Shares | 12,505,112 | 9,194,610 | ||||||||||||||
Ending Shares | 7,436,422 | 12,505,112 | ||||||||||||||
LoCorr Market Trend Fund – Class C | ||||||||||||||||
For the Six Months Ended June 30, 2017 | For the Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 219,862 | $ | 2,315,028 | 4,790,065 | $ | 57,543,161 | ||||||||||
Dividends Reinvested | — | — | 123,161 | 1,316,592 | ||||||||||||
Shares Redeemed | (3,140,151) | (32,848,573) | (4,366,738) | (49,694,049) | ||||||||||||
Redemption Fees | — | 6 | — | 1,131 | ||||||||||||
(2,920,289) | $ | (30,533,539) | 546,488 | $ | 9,166,835 | |||||||||||
Beginning Shares | 8,493,445 | 7,946,957 | ||||||||||||||
Ending Shares | 5,573,156 | 8,493,445 | ||||||||||||||
LoCorr Market Trend Fund – Class I | ||||||||||||||||
For the Six Months Ended June 30, 2017 | For the Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 16,741,390 | $ | 179,024,431 | 77,618,009 | $ | 938,193,389 | ||||||||||
Dividends Reinvested | — | — | 1,426,002 | 15,443,598 | ||||||||||||
Shares Redeemed | (29,466,451) | (313,135,992) | (62,230,774) | (713,501,477) | ||||||||||||
Redemption Fees | — | 5,091 | — | 22,937 | ||||||||||||
(12,725,061) | $ | (134,106,470) | 16,813,237 | $ | 240,158,447 | |||||||||||
Beginning Shares | 74,717,153 | 57,903,916 | ||||||||||||||
Ending Shares | 61,992,092 | 74,717,153 | ||||||||||||||
LoCorr Market Trend Fund | ||||||||||||||||
Total Net Increase (Decrease) | $ | (218,146,609) | $ | 293,737,737 | ||||||||||||
LoCorr Dynamic Equity Fund - Class A | ||||||||||||||||
For the Six Months Ended June 30, 2017 | For the Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 835,336 | $ | 9,959,598 | 1,619,380 | $ | 18,187,352 | ||||||||||
Shares Redeemed | (1,670,516) | (19,930,961) | (568,057) | (6,110,231) | ||||||||||||
Redemption Fees | — | 1,548 | — | 398 | ||||||||||||
(835,180) | $ | (9,969,815) | 1,051,323 | $ | 12,077,519 | |||||||||||
Beginning Shares | 2,342,008 | 1,290,685 | ||||||||||||||
Ending Shares | 1,506,828 | 2,342,008 | ||||||||||||||
LoCorr Dynamic Equity Fund – Class C | ||||||||||||||||
For the Six Months Ended June 30, 2017 | For the Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 293,216 | $ | 3,381,186 | 442,691 | $ | 4,787,011 | ||||||||||
Shares Redeemed | (237,676) | (2,727,948) | (315,415) | (3,114,307) | ||||||||||||
Redemption Fees | — | 121 | — | 33 | ||||||||||||
55,540 | $ | 653,359 | 127,276 | $ | 1,672,737 | |||||||||||
Beginning Shares | 956,669 | 829,393 | ||||||||||||||
Ending Shares | 1,012,209 | 956,669 | ||||||||||||||
LoCorr Dynamic Equity Fund – Class I | ||||||||||||||||
For the Six Months Ended June 30, 2017 | For the Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 2,169,901 | $ | 26,110,856 | 3,239,660 | $ | 36,623,262 | ||||||||||
Shares Redeemed | (1,677,330) | (20,100,018) | (586,786) | (6,413,330) | ||||||||||||
Redemption Fees | — | 614 | — | 1,721 | ||||||||||||
492,571 | $ | 6,011,452 | 2,652,874 | $ | 30,211,653 | |||||||||||
Beginning Shares | 3,682,147 | 1,029,273 | ||||||||||||||
Ending Shares | 4,174,718 | 3,682,147 | ||||||||||||||
LoCorr Dynamic Equity Fund | ||||||||||||||||
Total Net Increase (Decrease) | $ | (3,305,004) | $ | 43,961,909 |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements | | 103 |
LoCorr Spectrum Income Fund – Class A | ||||||||||||||||
For the Six Months Ended June 30, 2017 | For the Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 801,139 | $ | 6,216,263 | 1,632,393 | $ | 12,699,250 | ||||||||||
Dividends Reinvested | 106,007 | 821,873 | 235,964 | 1,810,640 | ||||||||||||
Shares Redeemed | (622,551) | (4,837,178) | (2,326,814) | (17,742,010) | ||||||||||||
Redemption Fees | — | 606 | — | 2,666 | ||||||||||||
284,595 | $ | 2,201,564 | (458,457) | $ | (3,229,454) | |||||||||||
Beginning Shares | 4,291,419 | 4,749,876 | ||||||||||||||
Ending Shares | 4,576,014 | 4,291,419 | ||||||||||||||
LoCorr Spectrum Income Fund – Class C | ||||||||||||||||
For the Six Months Ended June 30, 2017 | For the Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 414,741 | $ | 3,241,136 | 740,640 | $ | 5,722,907 | ||||||||||
Dividends Reinvested | 89,742 | 698,018 | 189,715 | 1,459,221 | ||||||||||||
Shares Redeemed | (503,234) | (3,926,339) | (1,148,184) | (8,758,530) | ||||||||||||
Redemption Fees | — | 263 | – | 384 | ||||||||||||
1,249 | $ | 13,078 | (217,829) | $ | (1,576,018) | |||||||||||
Beginning Shares | 3,356,632 | 3,574,461 | ||||||||||||||
Ending Shares | 3,357,881 | 3,356,632 | ||||||||||||||
LoCorr Spectrum Income Fund – Class I | ||||||||||||||||
For the Six Months Ended June 30, 2017 | For the Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 1,668,437 | $ | 13,008,578 | 4,225,921 | $ | 32,868,495 | ||||||||||
Dividends Reinvested | 155,671 | 1,205,932 | 238,899 | 1,835,131 | ||||||||||||
Shares Redeemed | (1,087,210) | (8,449,259) | (2,012,132) | (15,252,427) | ||||||||||||
Redemption Fees | — | 14,815 | – | 5,805 | ||||||||||||
736,898 | $ | 5,780,066 | 2,452,688 | $ | 19,457,004 | |||||||||||
Beginning Shares | 6,088,507 | 3,635,819 | ||||||||||||||
Ending Shares | 6,825,405 | 6,088,507 | ||||||||||||||
LoCorr Spectrum Income Fund | ||||||||||||||||
Total Net Increase | $ | 7,994,708 | $ | 14,651,532 |
LoCorr | LoCorr Long/Short | LoCorr | ||||||||||
Macro Strategies | Commodities Strategy | Multi Strategy | ||||||||||
Fund | Fund | Fund | ||||||||||
Tax cost of investments | $ | 792,214,600 | $ | 106,286,260 | $ | 32,225,286 | ||||||
Gross unrealized appreciation | 10,067,249 | 232,856 | 3,633,468 | |||||||||
Gross unrealized depreciation | (14,834,202) | (738,665 | ) | (1,447,748 | ) | |||||||
Net unrealized appreciation (depreciation) | (4,766,953) | (505,809 | ) | 2,185,720 | ||||||||
Undistributed ordinary income | 6,860,245 | 16,544 | — | |||||||||
Undistributed long-term capital gains | 12,048,528 | — | — | |||||||||
Total distributable earnings | $ | 18,908,773 | $ | 16,544 | $ | — | ||||||
Other accumulated losses | $ | (593,719) | $ | (19,297,172 | ) | $ | (4,547,592 | ) | ||||
Total accumulated earnings (losses) | $ | 13,548,101 | $ | (19,786,437 | ) | $ | (2,361,872 | ) | ||||
LoCorr Market | LoCorr Dynamic | LoCorr Spectrum | ||||||||||
Trend Fund | Equity Fund | Income Fund | ||||||||||
Tax cost of investments | $ | 862,859,636 | $ | 74,238,974 | $ | 105,887,430 | ||||||
Gross unrealized appreciation | 17,902,555 | 8,517,417 | 6,011,112 | |||||||||
Gross unrealized depreciation | (20,705,597) | (1,791,087 | ) | (6,663,343 | ) | |||||||
Net unrealized appreciation (depreciation) | (2,803,042) | 6,726,330 | (652,231 | ) | ||||||||
Undistributed ordinary income | — | — | — | |||||||||
Undistributed long-term capital gains | — | 1,592,481 | — | |||||||||
Total distributable earnings | $ | — | $ | 1,592,481 | $ | — | ||||||
Other accumulated earnings (losses) | $ | (31,585,814) | $ | 119,331 | $ | (24,500,003 | ) | |||||
Total accumulated earnings (losses) | $ | (34,388,856) | $ | 8,438,142 | $ | (25,152,234 | ) |
104 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
Post October | Late Year | |||||||
Loss Deferral | Loss Deferral | |||||||
LoCorr Multi-Strategy Fund | $ | — | $ | 3,716 | ||||
LoCorr Market Trend Fund | — | 411,429 | ||||||
LoCorr Spectrum Income Fund | — | 130,394 |
Capital Loss Carryover | Year of | ||||||||
Short-Term | Long-Term | Expiration | |||||||
LoCorr Long/Short Commodities Strategy Fund | $ | 221,117 | $ | 85,106 | Indefinitely | ||||
LoCorr Multi-Strategy Fund | 839,325 | — | Indefinitely | ||||||
LoCorr Market Trend Fund | 1,566,125 | 28,510,761 | Indefinitely | ||||||
LoCorr Spectrum Income Fund | 6,775,222 | 17,593,814 | Indefinitely |
Dividend Declaration | Shareholder of | Distribution Amount per Share Class | |||||||||
Date (a) | Record Date | Class A | Class C | Class I | |||||||
July 31, 2017 | July 28, 2017 | $0.02292 | $0.01667 | $0.02500 |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund, and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements | | 105 |
Dividend Declaration | Shareholder of | Distribution Amount per Share Class | ||||||
Date (a) | Record Date | Class A | Class C | Class I | ||||
July 31, 2017 | July 28, 2017 | $0.04790 | $0.04170 | $0.05000 |
106 | | LoCorr Investment Trust - Expense Example (Unaudited) |
LoCorr Investment Trust - Expense Example (Unaudited) (continued) | | 107 |
Actual | Hypothetical (5% gross annual return) | |||||||
Class | Fund’s Annualized Expense Ratio 1, 2 | Beginning Account Value January 01, 2017 | Ending Account Value June 30, 2017 | Expenses Paid During Period1, 2, 3 | Ending Account Value June 30, 2017 | Expenses Paid During Period1, 2, 3 | ||
LoCorr Macro Strategies Fund | ||||||||
A | 2.31% | $1,000.00 | $972.00 | $11.29 | $1,013.34 | $11.53 | ||
C | 3.06% | $1,000.00 | $968.70 | $14.94 | $1,009.62 | $15.25 | ||
I | 2.06% | $1,000.00 | $973.40 | $10.08 | $1,014.58 | $10.29 | ||
LoCorr Long/Short Commodities Strategy Fund | ||||||||
A | 2.20% | $1,000.00 | $969.50 | $10.74 | $1,013.88 | $10.99 | ||
C | 2.95% | $1,000.00 | $965.40 | $14.38 | $1,010.17 | $14.70 | ||
I | 1.95% | $1,000.00 | $970.80 | $9.53 | $1,015.12 | $9.74 | ||
LoCorr Multi-Strategy Fund | ||||||||
A | 2.31% | $1,000.00 | $981.10 | $11.35 | $1,013.34 | $11.53 | ||
C | 3.06% | $1,000.00 | $979.00 | $15.01 | $1,009.62 | $15.25 | ||
I | 2.06% | $1,000.00 | $982.60 | $10.13 | $1,014.58 | $10.29 | ||
LoCorr Market Trend Fund | ||||||||
A | 2.09% | $1,000.00 | $966.20 | $10.19 | $1,014.43 | $10.44 | ||
C | 2.84% | $1,000.00 | $963.00 | $13.82 | $1,010.71 | $14.16 | ||
I | 1.84% | $1,000.00 | $968.20 | $8.98 | $1,015.67 | $9.20 | ||
LoCorr Dynamic Equity Fund | ||||||||
A | 3.38% | $1,000.00 | $994.20 | $16.71 | $1,008.03 | $16.83 | ||
C | 4.13% | $1,000.00 | $990.60 | $20.38 | $1,004.31 | $20.52 | ||
I | 3.13% | $1,000.00 | $995.10 | $15.48 | $1,009.27 | $15.59 | ||
LoCorr Spectrum Income Fund | ||||||||
A | 2.03% | $1,000.00 | $1,026.90 | $10.20 | $1,014.73 | $10.14 | ||
C | 2.78% | $1,000.00 | $1,021.90 | $13.94 | $1,011.01 | $13.86 | ||
I | 1.78% | $1,000.00 | $1,028.50 | $8.95 | $1,015.97 | $8.90 |
1 | Includes dividend and/or interest expense of 0.00%, 0.00%, 0.02%, 0.00%, 0.23% and 0.00% for the LoCorr Macro Strategies Fund, the LoCorr Long/Short Commodities Strategy Fund, the LoCorr Multi-Strategy Fund, the LoCorr Market Trend Fund, the LoCorr Dynamic Equity Fund and the LoCorr Spectrum Income Fund, respectively. |
2 | Includes expenses of the wholly-owned and controlled Cayman Islands subsidiaries for the LoCorr Macro Strategies Fund, the LoCorr Long/Short Commodities Strategy Fund, the LoCorr Multi-Strategy Fund and the LoCorr Market Trend Fund. |
3 | Expenses Paid During Period are equal to the net annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
108 | Approval of Advisory Agreements (Unaudited) |
Approval of Advisory Agreements (Unaudited) (continued) | 109 |
110 | Approval of Advisory Agreements (Unaudited) (continued) |
Approval of Advisory Agreements (Unaudited) (continued) | 111 |
112 | | Notice of Privacy Policy & Practices/Quarterly Portfolio Holdings/Proxy (Unaudited) |
· | 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. |
Independent Trustees/Interested Trustees and Officers | 113 |
Independent Trustees | ||||
Name, Address and Year of Birth | Position/Term of Office1 | Principal Occupation During the Past 5 Years | Number of Portfolios in Fund Complex2 Overseen by Trustee | Other Directorships held by Trustee During the Past 5 Years |
Gary Jarrett Year of Birth: 1954 | Trustee/May 2016 to present | Chief Executive Officer, Black River Asset Management LLC, investment subsidiary of Cargill, Inc., June 2002 to August 2015. | 6 | None |
James W. Morton Year of Birth: 1939 | Trustee/January 2011 to present | Chairman of the Board, Fidelity Bank (community bank), 2008 to 2015, President 1978 to 2008. | 6 | None |
Mark Thompson Year of Birth: 1959 | Trustee/December 2011 to present | Chairman and Chief Manager,Riverbridge Partners, LLC(investment management), 1987 to present. | 6 | None |
Ronald A. Tschetter Year of Birth: 1941 | Trustee/January 2011 to present | Mr. Tschetter is presently retired from his principal occupation; Director of the U.S. Peace Corps, September 2006 to January 2009. | 6 | None |
Interested Trustees and Officers | ||||
Name, Address and Year of Birth | Position/Term of Office1 | Principal Occupation During the Past 5 Years | Number of Portfolios in Fund Complex2 Overseen by Trustee | Other Directorships held by Trustee During the Past 5 Years |
Jon C. Essen3 Year of Birth: 1963 | Treasurer, Secretary, Chief Compliance Officer/January 2011 to present; Trustee/November, 2010 to present | Chief Financial Officer and Chief Compliance Officer of LoCorr Fund Management, LLC, (2010-present), Chief Operating Officer (2010-2016); Senior Vice President, Chief Financial Officer, and Registered Representative of LoCorr Distributors, LLC (broker/dealer), April 2008 to present, and Chief Operating Officer, April 2008 to January 2016. | 6 | None |
Kevin M. Kinzie4 Year of Birth: 1956 | President, Trustee/ January 2011 to present | Chief Executive Officer of LoCorr Fund Management, LLC, November 2010 to present; President and Chief Executive Officer of LoCorr Distributors, LLC (broker/dealer), March 2002 to present. | 6 | None |
(a) | Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | Not Applicable. |
(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. |
(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. |
(b) | Certifications pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002. |