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 |
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 |
Rate of Return | ||||||||
For the period ended December 31, 2016 (Unaudited) | ||||||||
Inception Date | 6 Month | 1 Year | 5 Year | Average Annual Since Inception | ||||
LoCorr Managed Futures Strategy Fund - Class A (without maximum load) | 3/22/2011 | -4.56% | 6.51% | 2.43% | 0.88% | |||
LoCorr Managed Futures Strategy Fund - Class A (with maximum load) | 3/22/2011 | -10.03% | 0.39% | 1.22% | -0.15% | |||
LoCorr Managed Futures Strategy Fund - Class C | 3/24/2011 | -5.85% | 4.72% | 1.66% | 0.13% | |||
LoCorr Managed Futures Strategy Fund - Class I | 3/24/2011 | -4.41% | 6.68% | 2.68% | 1.13% | |||
S&P 500 Total Return Index | 7.82% | 11.96% | 14.66% | 12.11% | ||||
Barclays CTA Index | -2.64% | -0.95% | 0.35% | -0.33% | ||||
$100,000 investment in the LoCorr Managed Futures Strategy Fund - Class I | ||||||||
For the period ended December 31, 2016 (Unaudited) |
1 | Since inception return as of March 24, 2011. |
Inception Date | 6 Month | 1 Year | 5 Year | Average Annual Since Inception1 | ||||
LoCorr Long/Short Commodities Strategy Fund - Class A (without maximum load) | 1/1/2012 | -7.09% | -2.98% | 2.13% | 2.13% | |||
LoCorr Long/Short Commodities Strategy Fund - Class A (with maximum load) | 1/1/2012 | -12.44% | -8.53% | 0.93% | 0.93% | |||
LoCorr Long/Short Commodities Strategy Fund - Class C | 1/1/2012 | -8.22% | -4.55% | 1.32% | 1.32% | |||
LoCorr Long/Short Commodities Strategy Fund - Class I | 1/1/2012 | -6.86% | -2.67% | 2.37% | 2.37% | |||
S&P 500 Total Return Index | 7.82% | 11.96% | 14.66% | 14.66% | ||||
Morningstar Long/Short Commodity Index | -3.94% | -7.88% | -3.61% | -3.61% | ||||
1 | Since inception returns as of January 1, 2012. |
Fund Performance | 13 |
Inception Date | 6 Month | 1 Year | Average Annual Since Inception1 | |
LoCorr Multi-Strategy Fund - Class A (without maximum load) | 4/6/15 | -1.83% | 1.41% | -8.28% |
LoCorr Multi-Strategy Fund - Class A (with maximum load) | 4/6/15 | -7.42% | -4.45% | -11.35% |
LoCorr Multi-Strategy Fund - Class C | 4/6/15 | -3.35% | -0.49% | -9.06% |
LoCorr Multi-Strategy Fund - Class I | 4/6/15 | -1.68% | 1.60% | -8.08% |
S&P 500 Total Return Index | 7.82% | 11.96% | 6.59% | |
Morningstar Multialternative Category | 0.76% | 0.77% | -2.34% |
1 | Since inception return as of April 6, 2015. |
Inception Date | 6 Month | 1 Year | Average Annual Since Inception1 | |
LoCorr Market Trend Fund - Class A (without maximum load) | 7/1/14 | -12.13% | -9.71% | 5.11% |
LoCorr Market Trend Fund - Class A (with maximum load) | 7/1/14 | -17.17% | -14.89% | 2.65% |
LoCorr Market Trend Fund - Class C | 7/1/14 | -13.37% | -11.33% | 4.30% |
LoCorr Market Trend Fund - Class I | 7/1/14 | -12.05% | -9.49% | 5.37% |
S&P 500 Total Return Index | 7.82% | 11.96% | 7.73% | |
Barclays CTA Index | -2.64% | -0.95% | 1.72% |
1 | Since inception return as of July 1, 2014. |
14 | Fund Performance |
Inception Date | 6 Month | 1 Year | Average Annual Since Inception1 | |
LoCorr Long/Short Equity Fund - Class A (without maximum load) | 5/10/13 | 18.47% | 25.10% | 5.39% |
LoCorr Long/Short Equity Fund - Class A (with maximum load) | 5/10/13 | 11.67% | 17.89% | 3.69% |
LoCorr Long/Short Equity Fund - Class C | 5/10/13 | 17.03% | 23.02% | 4.57% |
LoCorr Long/Short Equity Fund - Class I | 5/10/13 | 18.62% | 25.33% | 5.65% |
S&P 500 Total Return Index | 7.82% | 11.96% | 11.36% | |
Russell 2000 Total Return Index | 18.68% | 21.31% | 11.04% |
1 | Since inception returns as of May 10, 2013. |
Inception Date | 6 Month | 1 Year | Average Annual Since Inception1 | |
LoCorr Spectrum Income Fund - Class A (without maximum load) | 1/1/14 | 2.44% | 6.64% | -2.25% |
LoCorr Spectrum Income Fund - Class A (with maximum load) | 1/1/14 | -3.50% | 0.56% | -4.16% |
LoCorr Spectrum Income Fund - Class C | 1/1/14 | 1.09% | 4.89% | -2.98% |
LoCorr Spectrum Income Fund - Class I | 1/1/14 | 2.47% | 6.85% | -2.02% |
S&P 500 Total Return Index | 7.82% | 11.96% | 8.87% | |
Morningstar Allocation - 70% to 85% Equity | 5.03% | 7.79% | 3.45% | |
Bloomberg Barclays Aggregate Bond Index | -2.53% | 2.65% | 3.03% |
1 | Since inception returns as of January 1, 2014. |
LoCorr Managed Futures Strategy Fund - Consolidated Schedule of Investments | 15 |
LoCorr Managed Futures Strategy Fund
Composition of Consolidated Investment Portfolio1
December 31, 2016 (Unaudited)
1 | As a percentage of total investments. |
Consolidated Schedule of Investments
December 31, 2016
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||
ASSET BACKED SECURITIES: 14.73% | ||||||||||||
321 Henderson Receivables I LLC | ||||||||||||
Series 2006-1A A1 (Acquired 03/30/2015, Cost, $1,719,009) (a)(c) | 03/15/2041 | 0.74 | % | $ | 1,743,804 | $ | 1,697,247 | |||||
Series 2006-4A A1 (Acquired 07/19/2016, Cost, $2,036,854) (a)(c) | 12/15/2041 | 0.74 | % | 2,106,807 | 2,075,463 | |||||||
Series 2004-A A1 (Acquired 02/08/2013, Cost, $263,483) (a)(c) | 09/15/2045 | 1.05 | % | 276,804 | 272,748 | |||||||
American Homes 4 Rent, 2014-SFR1 A (Acquired 05/13/2014 through 10/08/2014, Cost, $3,473,557) (a)(c) | 06/17/2031 | 1.74 | % | 3,479,119 | 3,466,780 | |||||||
AmeriCredit Automobile Receivables, 2016-1 A2A (c) | 06/10/2019 | 1.52 | % | 2,319,879 | 2,322,424 | |||||||
Atlantic City Electric Transition Funding LLC, 2003-1 A3 | 10/20/2020 | 5.05 | % | 544,226 | 559,946 | |||||||
BA Credit Card Trust | ||||||||||||
Series 2014-3A A (c) | 01/15/2020 | 0.99 | % | 2,040,000 | 2,041,416 | |||||||
Series 2015-1A A (c) | 06/15/2020 | 1.03 | % | 3,475,000 | 3,479,667 | |||||||
Barclays Dryrock Issuance Trust, 2014-2 A (c) | 03/16/2020 | 1.04 | % | 3,000,000 | 3,000,519 | |||||||
Cabela’s Credit Card Master Note Trust | ||||||||||||
Series 2012-1A A1 (Acquired 05/08/2012 through 05/06/2015, Cost, $3,591,965) (a) | 02/18/2020 | 1.63 | % | 3,590,000 | 3,592,364 | |||||||
Series 2013-2A A2 (Acquired 05/24/2016 through 08/12/2016, Cost, $3,883,577) (a)(c) | 08/16/2021 | 1.08 | % | 3,885,000 | 3,901,377 | |||||||
California Republic Auto Receivables Trust | ||||||||||||
Series 2013-2 A2 | 03/15/2019 | 1.23 | % | 377,255 | 377,327 | |||||||
Series 2015-2 A2 | 03/15/2019 | 1.34 | % | 3,200,000 | 3,200,384 | |||||||
Series 2015-1 A3 | 04/15/2019 | 1.33 | % | 1,346,490 | 1,347,253 | |||||||
Capital Auto Receivables Asset Trust, 2015-2 A2 | 09/20/2018 | 1.39 | % | 2,000,000 | 2,001,192 | |||||||
Capital One Multi-Asset Execution Trust | ||||||||||||
Series 2014-3A (c) | 01/18/2022 | 1.08 | % | 1,260,000 | 1,260,511 | |||||||
Series 2016-1A (c) | 02/15/2022 | 1.15 | % | 5,310,000 | 5,331,570 | |||||||
CenterPoint Energy Restoration Bond Co. LLC, 2009-1 A2 | 08/15/2019 | 3.46 | % | 1,822,934 | 1,847,597 | |||||||
CenterPoint Energy Transition Bond Co. IV LLC, 2012-1 A1 | 04/15/2018 | 0.90 | % | 340,400 | 340,275 | |||||||
Chase Issuance Trust | ||||||||||||
Series 2013-A3 (c) | 04/15/2020 | 0.98 | % | 2,234,000 | 2,237,550 | |||||||
Series 2013-9A (c) | 11/16/2020 | 1.12 | % | 5,200,000 | 5,215,532 | |||||||
Series 2012-A4 | 08/16/2021 | 1.58 | % | 4,115,000 | 4,088,120 | |||||||
Citibank Credit Card Issuance Trust, 2007-A8 | 09/20/2019 | 5.65 | % | 4,650,000 | 4,794,275 | |||||||
Colony American Homes | ||||||||||||
Series 2014-A1 (Acquired 04/02/2014 through 09/21/2016, Cost, $4,839,840) (a)(c) | 05/17/2031 | 2.14 | % | 4,845,719 | 4,841,435 | |||||||
Series 2015-C1 (Acquired 05/27/2015, Cost, $1,940,000) (a)(c) | 07/17/2032 | 2.69 | % | 1,940,000 | 1,936,770 | |||||||
Consumers 2014 Securitization Funding LLC, 2014-A A1 | 11/01/2020 | 1.33 | % | 1,308,314 | 1,298,693 |
The accompanying notes are an integral part of these consolidated financial statements.
16 | LoCorr Managed Futures Strategy 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 | % | $ | 4,036,000 | $ | 4,158,088 | |||||
Series 2013-A1 (c) | 08/17/2020 | 1.00 | % | 5,400,000 | 5,404,422 | |||||||
Series 2014-1 (c) | 07/15/2021 | 1.13 | % | 3,500,000 | 3,513,056 | |||||||
Entergy Arkansas Restoration Funding LLC, 2010-A A1 | 08/01/2021 | 2.30 | % | 1,257,673 | 1,266,239 | |||||||
Entergy Gulf States Reconstruction Funding 1 LLC, 2007-A A2 | 10/01/2018 | 5.79 | % | 290,918 | 296,374 | |||||||
Fifth Third Auto Trust, 2013-A B | 04/15/2019 | 1.21 | % | 1,500,000 | 1,499,959 | |||||||
Ford Credit Auto Owner Trust, 2016-REV1 A (Acquired 11/22/2016, Cost, $2,166,710) (a) | 08/15/2027 | 2.31 | % | 2,150,000 | 2,145,826 | |||||||
Huntington Auto Trust, 2015-1 A3 | 09/16/2019 | 1.24 | % | 5,390,700 | 5,387,558 | |||||||
Invitation Homes Trust | ||||||||||||
Series 2013-SFR1 A (Acquired 11/05/2013 through 10/24/2014, Cost, $3,996,821) (a)(c) | 12/17/2030 | 1.89 | % | 3,996,821 | 3,996,875 | |||||||
Series 2014-SFR2 A (Acquired 08/04/2014 through 05/06/2015, Cost, $3,703,384) (a)(c) | 09/18/2031 | 1.84 | % | 3,703,384 | 3,698,628 | |||||||
John Deere Owner Trust, 2015-A A3 | 06/17/2019 | 1.32 | % | 1,500,000 | 1,500,380 | |||||||
Nissan Auto Receivables Owner Trust, 2016-A A3 | 10/15/2020 | 1.34 | % | 3,000,000 | 2,990,990 | |||||||
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 | 1,549,675 | |||||||
Series 2016-T2 AT2 (Acquired 08/03/2016, Cost, $3,189,997) (a) | 08/16/2049 | 2.72 | % | 3,190,000 | 3,181,028 | |||||||
Ohio Phase-In-Recovery Funding LLC, 2013-1 A1 | 07/01/2018 | 0.96 | % | 993,199 | 992,680 | |||||||
OneMain Direct Auto Receivables Trust, 2016 A1 (Acquired 11/09/2016, Cost, $1,731,839) (a) | 01/15/2021 | 2.04 | % | 1,727,707 | 1,730,624 | |||||||
RAMP Series Trust, 2004-RZ3 MII2 (c) | 09/25/2034 | 2.41 | % | 328,677 | 322,778 | |||||||
SoFi Professional Loan Program LLC, 2015-C A2 (Acquired 07/29/2015, Cost, $1,977,240) (a) | 08/25/2033 | 2.51 | % | 1,988,155 | 1,986,021 | |||||||
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 | 2,992,242 | |||||||
SWAY Residential Trust, 2014-1 A (Acquired 12/04/2014 through 02/02/2016, Cost, $3,575,833) (a)(c) | 01/20/2032 | 2.04 | % | 3,595,158 | 3,597,490 | |||||||
Synchrony Credit Card Master Note Trust | ||||||||||||
Series 2014-1 A | 11/15/2020 | 1.61 | % | 2,935,000 | 2,940,509 | |||||||
Series 2015-3 A | 09/15/2021 | 1.74 | % | 2,000,000 | 2,001,063 | |||||||
TCF Auto Receivables Owner Trust, 2015-1A A3 (Acquired 09/19/2016, Cost, $2,108,334) (a) | 12/16/2019 | 1.49 | % | 2,106,216 | 2,107,013 | |||||||
United States Small Business Administration, 2008-10B 1 | 09/10/2018 | 5.73 | % | 18,716 | 19,313 | |||||||
Verizon Owner Trust, 2016-1A A (Acquired 07/12/2016 through 10/07/2016, Cost, $3,070,525) (a) | 01/20/2021 | 1.42 | % | 3,070,000 | 3,048,634 | |||||||
Volkswagen Auto Loan Enhanced Trust, 2014-1 A3 | 10/22/2018 | 0.91 | % | 1,200,080 | 1,198,512 | |||||||
TOTAL ASSET BACKED SECURITIES (Cost $130,127,752) | 130,054,412 | |||||||||||
CORPORATE BONDS: 34.01% | ||||||||||||
Finance and Insurance: 14.85% | ||||||||||||
Aetna, Inc. | 06/07/2019 | 1.90 | % | 1,500,000 | 1,496,560 | |||||||
Aflac, Inc. | 03/16/2020 | 2.40 | % | 2,835,000 | 2,844,948 | |||||||
American Express Co. | 05/22/2018 | 1.55 | % | 2,500,000 | 2,495,142 | |||||||
American International Group, Inc. | 08/15/2020 | 3.38 | % | 3,000,000 | 3,086,400 | |||||||
Anthem, Inc. | 01/15/2018 | 1.88 | % | 1,250,000 | 1,250,550 | |||||||
Bank of America Corp. | 05/01/2018 | 5.65 | % | 5,715,000 | 5,987,960 | |||||||
Bank of America Corp. | 05/13/2021 | 5.00 | % | 1,640,000 | 1,786,022 | |||||||
Bank of Montreal (b) | 07/18/2019 | 1.50 | % | 1,875,000 | 1,850,441 | |||||||
BB&T Corp. | 01/12/2018 | 1.45 | % | 1,105,000 | 1,103,178 | |||||||
BB&T Corp. | 01/15/2020 | 2.45 | % | 1,500,000 | 1,511,755 | |||||||
Berkshire Hathaway Finance Corp. | 08/15/2018 | 2.00 | % | 1,330,000 | 1,339,472 | |||||||
Berkshire Hathaway Finance Corp. | 01/15/2021 | 4.25 | % | 1,500,000 | 1,616,607 | |||||||
BNP Paribas (b) | 08/20/2018 | 2.70 | % | 3,125,000 | 3,165,666 | |||||||
Capital One Financial Corp. | 04/24/2019 | 2.45 | % | 2,810,000 | 2,827,793 | |||||||
Charles Schwab Corp./The | 03/10/2018 | 1.50 | % | 2,050,000 | 2,050,484 | |||||||
Chubb INA Holdings, Inc. | 11/03/2020 | 2.30 | % | 2,500,000 | 2,499,428 | |||||||
Citigroup, Inc. | 07/30/2018 | 2.15 | % | 4,175,000 | 4,188,811 | |||||||
Citizens Bank NA | 03/14/2019 | 2.50 | % | 2,725,000 | 2,745,993 | |||||||
Cooperatieve Rabobank UA (b) | 01/14/2019 | 2.25 | % | 2,000,000 | 2,010,708 | |||||||
Daimler Finance North America LLC (Acquired 09/19/2016, Cost, $2,287,024) (a) | 07/05/2019 | 1.50 | % | 2,300,000 | 2,262,912 | |||||||
Fifth Third Bancorp | 06/01/2018 | 4.50 | % | 1,300,000 | 1,341,009 | |||||||
Ford Motor Credit Company LLC | 11/04/2019 | 2.60 | % | 2,000,000 | 1,997,030 | |||||||
General Motors Financial Co., Inc. | 05/09/2019 | 2.40 | % | 2,170,000 | 2,164,252 | |||||||
Goldman Sachs Group, Inc./The | 04/01/2018 | 6.15 | % | 4,135,000 | 4,349,669 | |||||||
Goldman Sachs Group, Inc./The | 02/25/2021 | 2.88 | % | 3,420,000 | 3,435,814 | |||||||
Hartford Financial Services Group, Inc./The | 03/30/2020 | 5.50 | % | 2,775,000 | 3,030,097 | |||||||
HSBC Holdings PLC (b) | 04/05/2021 | 5.10 | % | 1,390,000 | 1,502,181 | |||||||
ING Bank NV (Acquired 03/15/2016 through 10/11/2016, Cost, $2,510,641) (a)(b) | 03/22/2019 | 2.30 | % | 2,500,000 | 2,506,530 | |||||||
JPMorgan Chase & Co. | 03/22/2019 | 1.85 | % | 4,115,000 | 4,102,013 | |||||||
JPMorgan Chase & Co. | 01/23/2020 | 2.25 | % | 3,845,000 | 3,835,949 | |||||||
Keycorp | 12/13/2018 | 2.30 | % | 2,170,000 | 2,182,931 | |||||||
Lincoln National Corp. | 02/15/2020 | 6.25 | % | 1,155,000 | 1,275,602 | |||||||
Marsh & McLennan Cos, Inc. | 07/15/2021 | 4.80 | % | 2,000,000 | 2,173,972 |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Managed Futures Strategy Fund - Consolidated Schedule of Investments (continued) | 17 |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||
CORPORATE BONDS (continued) | ||||||||||||
Metropolitan Life Global Funding I (Acquired 06/16/2016 through 08/10/2016, Cost, $2,023,724) (a) | 04/14/2020 | 2.00 | % | $ | 2,000,000 | $ | 1,977,484 | |||||
Morgan Stanley | 07/24/2020 | 5.50 | % | 6,135,000 | 6,719,107 | |||||||
National Rural Utilities Cooperative Finance Corp. | 02/01/2019 | 2.15 | % | 2,000,000 | 2,015,292 | |||||||
NextEra Energy Capital Holdings, Inc. | 03/01/2019 | 6.00 | % | 2,000,000 | 2,162,792 | |||||||
Nomura Holdings, Inc. (b) | 03/19/2019 | 2.75 | % | 1,560,000 | 1,574,764 | |||||||
PNC Bank NA | 10/18/2019 | 2.40 | % | 2,500,000 | 2,523,020 | |||||||
Pricoa Global Funding I (Acquired 09/14/2015, Cost, $1,849,186) (a) | 09/21/2018 | 1.90 | % | 1,850,000 | 1,855,254 | |||||||
Principal Life Global Funding II (Acquired 11/17/2015, Cost, $2,012,907) (a) | 10/15/2018 | 2.25 | % | 2,000,000 | 2,019,880 | |||||||
Prudential Financial, Inc. | 06/15/2019 | 7.38 | % | 1,400,000 | 1,575,990 | |||||||
Realty Income Corp. | 01/31/2018 | 2.00 | % | 1,750,000 | 1,754,939 | |||||||
Santander UK PLC (b) | 08/23/2018 | 3.05 | % | 1,505,000 | 1,528,759 | |||||||
Societe Generale SA (Acquired 04/04/2016, Cost, $1,498,875) (a)(b) | 04/08/2021 | 2.50 | % | 1,500,000 | 1,485,969 | |||||||
State Street Corp. | 08/18/2020 | 2.55 | % | 2,500,000 | 2,525,220 | |||||||
SunTrust Banks, Inc. | 11/01/2018 | 2.35 | % | 1,570,000 | 1,583,912 | |||||||
Teva Pharmaceutical Finance Netherlands III BV (b) | 07/19/2019 | 1.70 | % | 2,210,000 | 2,171,387 | |||||||
Toyota Motor Credit Corp. | 10/24/2018 | 2.00 | % | 2,030,000 | 2,042,026 | |||||||
Trinity Acquisition PLC (b) | 09/15/2021 | 3.50 | % | 1,665,000 | 1,681,249 | |||||||
UBS AG (b) | 03/26/2018 | 1.80 | % | 1,000,000 | 1,000,691 | |||||||
UnitedHealth Group, Inc. | 10/15/2020 | 3.88 | % | 1,500,000 | 1,579,625 | |||||||
Voya Financial, Inc. | 02/15/2018 | 2.90 | % | 2,125,000 | 2,151,320 | |||||||
Wells Fargo & Co. | 01/16/2018 | 1.50 | % | 2,725,000 | 2,721,735 | |||||||
Wells Fargo & Co. | 04/22/2019 | 2.13 | % | 2,790,000 | 2,799,028 | |||||||
Westpac Banking Corp. (b) | 11/19/2019 | 4.88 | % | 1,500,000 | 1,609,619 | |||||||
131,076,941 | ||||||||||||
Information: 4.59% | ||||||||||||
21st Century Fox America, Inc. | 02/15/2021 | 4.50 | % | 2,500,000 | 2,672,850 | |||||||
America Movil SAB de CV (b) | 03/30/2020 | 5.00 | % | 2,000,000 | 2,138,712 | |||||||
AT&T, Inc. | 03/11/2019 | 2.30 | % | 5,790,000 | 5,812,199 | |||||||
CBS Corp. | 04/15/2020 | 5.75 | % | 1,645,000 | 1,815,820 | |||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 07/23/2020 | 3.58 | % | 2,000,000 | 2,040,470 | |||||||
Comcast Corp. | 02/15/2018 | 5.88 | % | 1,500,000 | 1,572,756 | |||||||
Deutsche Telekom International Finance BV (b) | 07/08/2019 | 6.00 | % | 2,000,000 | 2,187,578 | |||||||
Discovery Communications LLC | 08/15/2019 | 5.63 | % | 1,250,000 | 1,350,424 | |||||||
Hewlett Packard Enterprise Co. | 10/05/2018 | 2.85 | % | 2,250,000 | 2,272,725 | |||||||
NBCUniversal Media LLC | 04/01/2021 | 4.38 | % | 2,380,000 | 2,571,159 | |||||||
Oracle Corp. | 04/15/2018 | 5.75 | % | 1,500,000 | 1,584,684 | |||||||
Orange SA (b) | 11/03/2019 | 1.63 | % | 2,000,000 | 1,968,198 | |||||||
Rogers Communications, Inc. (b) | 08/15/2018 | 6.80 | % | 2,000,000 | 2,156,494 | |||||||
Verizon Communications, Inc. | 09/14/2018 | 3.65 | % | 4,365,000 | 4,509,119 | |||||||
Visa, Inc. | 12/14/2020 | 2.20 | % | 4,235,000 | 4,248,167 | |||||||
Vodafone Group PLC (b) | 02/19/2018 | 1.50 | % | 1,575,000 | 1,569,151 | |||||||
40,470,506 | ||||||||||||
Manufacturing: 8.76% | ||||||||||||
Abbott Laboratories | 11/30/2021 | 2.90 | % | 2,270,000 | 2,263,530 | |||||||
AbbVie, Inc. | 05/14/2020 | 2.50 | % | 1,845,000 | 1,845,481 | |||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (b) | 05/15/2019 | 3.75 | % | 2,000,000 | 2,037,500 | |||||||
Altria Group, Inc. | 01/14/2020 | 2.63 | % | 2,000,000 | 2,022,792 | |||||||
Anheuser-Busch InBev Finance, Inc. | 01/17/2018 | 1.25 | % | 2,500,000 | 2,497,760 | |||||||
Anheuser-Busch InBev Finance, Inc. | 02/01/2021 | 2.65 | % | 1,000,000 | 1,005,745 | |||||||
Apple, Inc. | 05/06/2019 | 2.10 | % | 1,910,000 | 1,928,120 | |||||||
Applied Materials, Inc. | 06/15/2021 | 4.30 | % | 2,500,000 | 2,687,832 | |||||||
Archer-Daniels-Midland Co. | 03/01/2021 | 4.48 | % | 2,000,000 | 2,166,770 | |||||||
Becton, Dickinson & Co. | 12/15/2017 | 1.80 | % | 1,650,000 | 1,653,752 | |||||||
Bunge Ltd. Finance Corp. | 11/24/2020 | 3.50 | % | 2,410,000 | 2,452,958 | |||||||
Celgene Corp. | 08/15/2018 | 2.13 | % | 2,870,000 | 2,881,526 | |||||||
Chevron Corp. | 03/03/2020 | 1.96 | % | 2,280,000 | 2,272,414 | |||||||
Corning, Inc. | 08/15/2020 | 4.25 | % | 2,000,000 | 2,112,298 | |||||||
Dow Chemical Co./The | 05/15/2018 | 5.70 | % | 2,500,000 | 2,626,785 | |||||||
Dr. Pepper Snapple Group, Inc. | 11/15/2021 | 2.53 | % | 2,170,000 | 2,157,360 | |||||||
Eastman Chemical Co. | 01/15/2020 | 2.70 | % | 2,000,000 | 2,011,700 | |||||||
Ecolab, Inc. | 12/08/2017 | 1.45 | % | 1,500,000 | 1,498,519 | |||||||
General Electric Capital Corp. | 05/01/2018 | 5.63 | % | 3,085,000 | 3,255,894 | |||||||
General Electric Capital Corp. | 08/07/2019 | 6.00 | % | 3,565,000 | 3,938,844 | |||||||
General Mills, Inc. | 10/21/2019 | 2.20 | % | 1,500,000 | 1,507,301 | |||||||
Ingersoll-Rand Luxembourg Finance SA (b) | 05/01/2020 | 2.63 | % | 2,600,000 | 2,605,759 | |||||||
Intel Corp. | 12/15/2017 | 1.35 | % | 1,000,000 | 1,001,503 | |||||||
Intel Corp. | 07/29/2020 | 2.45 | % | 1,500,000 | 1,521,149 |
The accompanying notes are an integral part of these consolidated financial statements.
18 | LoCorr Managed Futures Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||
CORPORATE BONDS (continued) | ||||||||||||
Kraft Heinz Foods Co. | 07/02/2018 | 2.00 | % | $ | 1,500,000 | $ | 1,500,338 | |||||
Merck & Co., Inc. | 05/18/2018 | 1.30 | % | 1,580,000 | 1,578,360 | |||||||
Newell Brands, Inc. | 03/29/2019 | 2.60 | % | 1,580,000 | 1,597,337 | |||||||
PepsiCo, Inc. | 10/14/2020 | 2.15 | % | 2,400,000 | 2,404,253 | |||||||
Philip Morris International, Inc. | 02/25/2019 | 1.38 | % | 2,250,000 | 2,226,101 | |||||||
Qualcomm, Inc. | 05/18/2018 | 1.40 | % | 2,050,000 | 2,049,721 | |||||||
Reynolds American, Inc. | 06/12/2020 | 3.25 | % | 2,345,000 | 2,402,837 | |||||||
Sherwin-Williams Co./The | 12/15/2017 | 1.35 | % | 1,640,000 | 1,637,155 | |||||||
Siemens Financieringsmaatschappij NV (Acquired 09/06/2016 through 12/15/2016, Cost, $3,241,032) (a)(b) | 09/13/2019 | 1.30 | % | 3,270,000 | 3,208,249 | |||||||
Statoil ASA (b) | 11/08/2018 | 1.95 | % | 2,250,000 | 2,257,274 | |||||||
Suncor Energy, Inc. (b) | 06/01/2018 | 6.10 | % | 2,355,000 | 2,493,321 | |||||||
Tyson Foods, Inc. | 08/15/2019 | 2.65 | % | 2,000,000 | 2,019,064 | |||||||
77,327,302 | ||||||||||||
Mining, Quarrying, and Oil and Gas Extraction: 0.63% | ||||||||||||
ConocoPhillips Co. | 03/15/2021 | 4.20 | % | 2,000,000 | 2,124,442 | |||||||
Occidental Petroleum Corp. | 02/15/2018 | 1.50 | % | 425,000 | 425,386 | |||||||
Total Capital International SA (b) | 01/10/2019 | 2.13 | % | 3,000,000 | 3,023,853 | |||||||
5,573,681 | ||||||||||||
Professional, Scientific, and Technical Services: 0.74% | ||||||||||||
Biogen, Inc. | 09/15/2020 | 2.90 | % | 2,250,000 | 2,278,697 | |||||||
eBay, Inc. | 03/09/2018 | 2.50 | % | 2,520,000 | 2,542,123 | |||||||
International Business Machines Corp. | 05/17/2019 | 1.80 | % | 1,750,000 | 1,750,747 | |||||||
6,571,567 | ||||||||||||
Real Estate and Rental and Leasing: 0.19% | ||||||||||||
Air Lease Corp. | 06/01/2021 | 3.38 | % | 1,650,000 | 1,672,861 | |||||||
1,672,861 | ||||||||||||
Retail Trade: 1.61% | ||||||||||||
Amazon.com, Inc. | 12/05/2019 | 2.60 | % | 2,000,000 | 2,039,402 | |||||||
BP Capital Markets (b) | 09/26/2018 | 2.24 | % | 1,000,000 | 1,007,481 | |||||||
CVS Health Corp. | 12/05/2018 | 2.25 | % | 2,115,000 | 2,133,538 | |||||||
Home Depot, Inc./The | 06/15/2019 | 2.00 | % | 1,500,000 | 1,513,061 | |||||||
Hyundai Capital America (Acquired 12/02/2016, Cost, $2,539,559) (a) | 03/18/2021 | 3.00 | % | 2,535,000 | 2,532,300 | |||||||
Kroger Co./The | 09/30/2019 | 1.50 | % | 2,000,000 | 1,969,608 | |||||||
Walgreens Boots Alliance, Inc. | 11/18/2019 | 2.70 | % | 3,000,000 | 3,039,795 | |||||||
14,235,185 | ||||||||||||
Transportation and Warehousing: 0.37% | ||||||||||||
Carnival Corp. (b) | 10/15/2020 | 3.95 | % | 2,225,000 | 2,346,436 | |||||||
Spectra Energy Partners, LP | 09/25/2018 | 2.95 | % | 915,000 | 929,441 | |||||||
3,275,877 | ||||||||||||
Utilities: 1.31% | ||||||||||||
Dominion Resources, Inc. | 08/15/2019 | 1.60 | % | 1,305,000 | 1,285,104 | |||||||
Duke Energy Corp. | 09/15/2019 | 5.05 | % | 2,000,000 | 2,156,072 | |||||||
Exelon Generation Co., LLC | 10/01/2019 | 5.20 | % | 2,000,000 | 2,143,522 | |||||||
Northern States Power Co. | 08/15/2020 | 2.20 | % | 2,000,000 | 2,003,074 | |||||||
Sempra Energy | 03/15/2020 | 2.40 | % | 2,475,000 | 2,471,347 | |||||||
Southern Power Co. | 06/01/2018 | 1.50 | % | 1,500,000 | 1,493,187 | |||||||
11,552,306 | ||||||||||||
Wholesale Trade: 0.96% | ||||||||||||
Cardinal Health, Inc. | 11/15/2019 | 2.40 | % | 1,500,000 | 1,510,934 | |||||||
LyondellBasell Industries NV (b) | 04/15/2019 | 5.00 | % | 2,930,000 | 3,095,990 | |||||||
McKesson Corp. | 03/15/2019 | 2.28 | % | 2,120,000 | 2,127,939 | |||||||
Sysco Corp. | 10/01/2020 | 2.60 | % | 1,695,000 | 1,709,638 | |||||||
8,444,501 | ||||||||||||
TOTAL CORPORATE BONDS (Cost $301,651,530) | 300,200,727 | |||||||||||
FOREIGN GOVERNMENT BONDS: 0.67% | ||||||||||||
European Investment Bank (b) | 03/15/2018 | 1.00 | % | 3,500,000 | 3,486,549 | |||||||
European Investment Bank (b) | 08/15/2018 | 1.13 | % | 2,400,000 | 2,389,546 | |||||||
TOTAL FOREIGN GOVERNMENT BONDS (Cost $5,868,114) | 5,876,095 | |||||||||||
MORTGAGE BACKED SECURITIES: 13.46% | ||||||||||||
American Tower Trust I, 2013-1-2 1A (Acquired 03/06/2013, Cost, $1,830,000)(a) | 03/15/2043 | 1.55 | % | 1,830,000 | 1,828,502 | |||||||
BXHTL Mortgage Trust, 2015-JWRZ A (Acquired 06/19/2015 through 11/15/2016, Cost, $4,571,846)(a)(c) | 05/15/2029 | 1.93 | % | 4,585,000 | 4,597,948 | |||||||
CD Mortgage Trust, 2007-CD5 A4 (c) | 11/15/2044 | 5.89 | % | 2,355,780 | 2,394,239 | |||||||
Citigroup Commercial Mortgage Trust, 2016-GC37 A1 | 04/12/2049 | 1.64 | % | 3,448,487 | 3,426,350 | |||||||
COMM Mortgage Trust, 2007-C9 A4 (c) | 12/10/2049 | 5.81 | % | 2,895,567 | 2,918,976 |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Managed Futures Strategy Fund - Consolidated Schedule of Investments (continued) | 19 |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||
MORTGAGE BACKED SECURITIES (continued) | ||||||||||||
Commercial Mortgage Trust | ||||||||||||
Series 2012-CR4 A2 (c) | 10/17/2045 | 1.80 | % | $ | 2,500,000 | $ | 2,507,363 | |||||
Series 2007-GG11 A4 | 12/10/2049 | 5.74 | % | 5,925,532 | 6,010,308 | |||||||
CSMC Trust | ||||||||||||
Series 2013-6 1A1 (Acquired 07/24/2013, Cost, $1,747,378) (a)(c) | 07/25/2028 | 2.50 | % | 1,790,461 | 1,756,331 | |||||||
Series 2015-2 A2 (Acquired 04/30/2015, Cost, $1,566,212) (a) | 02/25/2045 | 3.00 | % | 1,546,926 | 1,544,261 | |||||||
Fannie Mae Aces | ||||||||||||
Series 2014-M13 ASQ2 | 11/25/2017 | 1.64 | % | 1,653,089 | 1,655,043 | |||||||
Series 2015-M1 ASQ2 | 02/25/2018 | 1.63 | % | 647,293 | 648,831 | |||||||
Series 2015-M7 ASQ2 | 04/25/2018 | 1.55 | % | 2,500,000 | 2,501,434 | |||||||
Series 2013-M13 FA (c) | 05/25/2018 | 1.11 | % | 1,024,218 | 1,024,245 | |||||||
Series 2013-M14 FA (c) | 08/25/2018 | 1.11 | % | 2,481,731 | 2,485,064 | |||||||
Fannie Mae Connecticut Avenue Securities | ||||||||||||
Series 2014-C02 1M1 (c) | 05/28/2024 | 1.53 | % | 1,682,523 | 1,686,188 | |||||||
Series 2014-C03 1M1 (c) | 07/25/2024 | 1.78 | % | 1,152,501 | 1,155,534 | |||||||
Series 2016-C03 2M1 (c) | 10/25/2028 | 2.79 | % | 2,376,945 | 2,401,505 | |||||||
Fannie Mae Pool | 02/01/2021 | 3.50 | % | 42,269 | 44,036 | |||||||
Fannie Mae Pool | 08/01/2021 | 3.00 | % | 158,731 | 163,029 | |||||||
Fannie Mae Pool | 09/01/2021 | 3.00 | % | 193,104 | 198,360 | |||||||
Fannie Mae Pool | 11/01/2021 | 3.00 | % | 378,008 | 388,621 | |||||||
Fannie Mae Pool | 12/01/2025 | 3.50 | % | 332,333 | 346,765 | |||||||
Fannie Mae Pool | 09/01/2026 | 3.50 | % | 309,337 | 322,698 | |||||||
FDIC Guaranteed Notes Trust | ||||||||||||
Series 2010-S4 A (Acquired 02/24/2012, Cost, $521,804) (a)(c) | 12/04/2020 | 1.34 | % | 521,320 | 521,816 | |||||||
Series 2010-S1 2A (Acquired 03/01/2012, Cost, $417,820) (a) | 04/25/2038 | 3.25 | % | 414,217 | 417,069 | |||||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||||||
Series K-702 A2 | 02/25/2018 | 3.15 | % | 4,822,554 | 4,894,254 | |||||||
Series K-709 A1 | 10/25/2018 | 1.56 | % | 657,640 | 658,187 | |||||||
Series K-P02 A2 (c) | 04/25/2021 | 2.36 | % | 4,400,000 | 4,420,691 | |||||||
Series 3855 HE | 02/15/2026 | 2.50 | % | 18,405 | 18,553 | |||||||
Series 4181 PF (c) | 11/15/2042 | 0.95 | % | 1,715,671 | 1,700,857 | |||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||||||
Series 2013-DN2 M1 (c) | 11/27/2023 | 2.04 | % | 1,207,746 | 1,210,513 | |||||||
Series 2014-HQ2 M1 (c) | 09/25/2024 | 2.03 | % | 764,283 | 767,061 | |||||||
Series 2016-DNA2 M1 (c) | 10/25/2028 | 1.69 | % | 1,418,947 | 1,420,670 | |||||||
FREMF Mortgage Trust | ||||||||||||
Series 2011-K702 B (Acquired 06/16/2016 through 12/07/2016, Cost, $3,170,319)(a)(c) | 04/25/2044 | 4.77 | % | 3,060,000 | 3,150,373 | |||||||
Series 2012-K708 B (Acquired 02/03/2015, Cost, $3,375,672) (a)(c) | 02/25/2045 | 3.75 | % | 3,250,000 | 3,333,345 | |||||||
Series 2013-K502 B (Acquired 05/06/2015, Cost, $2,909,568) (a)(c) | 03/25/2045 | 2.61 | % | 2,875,000 | 2,880,175 | |||||||
Series 2013-KF02 B (Acquired 11/01/2013, Cost, $299,175) (a)(c) | 12/25/2045 | 3.53 | % | 299,175 | 300,127 | |||||||
Series 2011-K10 (Acquired 11/22/2016, Cost, $2,373,304) (a)(c) | 11/25/2049 | 4.63 | % | 2,220,000 | 2,353,121 | |||||||
GAHR Commercial Mortgage Trust, 2015-NRF AFL1 (Acquired 05/07/2015, Cost, $2,849,852) (a)(c) | 12/15/2034 | 2.00 | % | 2,843,698 | 2,848,112 | |||||||
GP Portfolio Trust, 2014-GPP A (Acquired 09/01/2016 through 12/27/2016, Cost, $3,336,897) (a)(c) | 02/16/2027 | 1.65 | % | 3,330,088 | 3,337,326 | |||||||
GS Mortgage Securities Trust | ||||||||||||
Series 2014-GSFL A (Acquired 08/06/2014, Cost, $681,677) (a)(c) | 07/15/2031 | 1.70 | % | 681,677 | 681,496 | |||||||
Series 2010-C2 A1 (Acquired 04/11/2012, Cost, $179,248) (a) | 12/10/2043 | 3.85 | % | 171,353 | 177,311 | |||||||
Series 2011-GC5 A2 | 08/10/2044 | 3.00 | % | 67,504 | 67,471 | |||||||
Series 2007-GG10 A4 (c) | 08/10/2045 | 5.79 | % | 5,060,404 | 5,091,914 | |||||||
JP Morgan Mortgage Trust, 2016-1 A5 (Acquired 06/09/2016, Cost, $1,684,730) (a) | 05/25/2046 | 3.50 | % | 1,640,286 | 1,666,813 | |||||||
JPMBB Commercial Mortgage Securities Trust, 2014-C25 A1 | 11/18/2047 | 1.52 | % | 3,609,478 | 3,598,666 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||||||
Series 2011-C3 A3 (Acquired 04/17/2015, Cost, $2,457,284) (a) | 02/16/2046 | 4.39 | % | 2,299,149 | 2,367,493 | |||||||
Series 2007-CB20 A4 (c) | 02/12/2051 | 5.79 | % | 2,148,868 | 2,181,827 | |||||||
MASTR Asset Securitization Trust, 2004-1 4A1 | 02/25/2019 | 4.50 | % | 109,370 | 109,808 | |||||||
Morgan Stanley Capital I Trust 2007-IQ16, 2007-IQ16 4A | 12/12/2049 | 5.81 | % | 2,080,742 | 2,111,357 | |||||||
Morgan Stanley Re-REMIC Trust, 2010-R1 3A (Acquired 05/05/2016, Cost, $589,384) (a)(c) | 07/26/2035 | 3.18 | % | 587,540 | 584,317 | |||||||
NCUA Guaranteed Notes Trust | ||||||||||||
Series 2011-R1 1A (c) | 01/08/2020 | 1.10 | % | 856,267 | 857,974 | |||||||
Series 2011-R2 1A (c) | 02/06/2020 | 1.05 | % | 2,447,095 | 2,447,118 | |||||||
Series 2011-R3 1A (c) | 04/09/2020 | 1.06 | % | 1,866,162 | 1,867,351 | |||||||
Series 2010-R1 1A (c) | 10/07/2020 | 1.10 | % | 197,563 | 197,790 | |||||||
New Residential Mortgage Loan Trust | ||||||||||||
Series 2015-1A A3 (Acquired 06/23/2015 through 04/19/2016, Cost, $1,966,950) (a) | 05/28/2052 | 3.75 | % | 1,922,330 | 1,978,211 | |||||||
Series 2014-2A A3 (Acquired 02/18/2016, Cost, $1,864,144) (a)(c) | 05/25/2054 | 3.75 | % | 1,818,687 | 1,865,368 | |||||||
Series 2016-1A A1 (Acquired 03/29/2016, Cost, $1,911,914) (a) | 03/25/2056 | 3.75 | % | 1,858,872 | 1,885,909 | |||||||
Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates, 2005-1 M3 (c) | 02/25/2035 | 1.61 | % | 1,400,000 | 1,396,544 | |||||||
SBA Tower Trust, 2012-1 A (Acquired 06/12/2014 through 09/03/2014, Cost, $1,604,097)(a) | 12/15/2042 | 2.93 | % | 1,562,000 | 1,563,619 |
The accompanying notes are an integral part of these consolidated financial statements.
20 | LoCorr Managed Futures Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||
MORTGAGE BACKED SECURITIES (continued) | ||||||||||||
Sequoia Mortgage Trust, 2015-3 A4 (Acquired 06/19/2015, Cost, $1,084,170) (a)(c) | 07/25/2045 | 3.50 | % | $ | 1,071,914 | $ | 1,089,919 | |||||
UBS-Citigroup Commercial Mortgage Trust, 2011-C1 A2 | 01/12/2045 | 2.80 | % | 2,116 | 2,111 | |||||||
Wells Fargo Commercial Mortgage Trust, 2015-LC22 A1 | 09/17/2058 | 1.64 | % | 5,196,902 | 5,182,717 | |||||||
WFRBS Commercial Mortgage Trust, 2012-C8 A2 | 08/17/2045 | 1.88 | % | 3,429,385 | 3,435,068 | |||||||
WIMC Capital Trust, 2012-A A1 (Acquired 06/21/2012, Cost, $169,848) (a) | 10/16/2050 | 4.55 | % | 169,849 | 170,276 | |||||||
TOTAL MORTGAGE BACKED SECURITIES (Cost $119,772,564) | 118,816,329 | |||||||||||
MUNICIPAL BONDS: 0.96% | ||||||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority | 02/01/2021 | 3.22 | % | 636,520 | 645,877 | |||||||
Metropolitan Council, (Minneapolis - St. Paul Metropolitan Area), State of Minnesota | 09/01/2017 | 1.20 | % | 2,020,000 | 2,022,848 | |||||||
Metropolitan Government of Nashville & Davidson County TN | 07/01/2017 | 1.21 | % | 1,500,000 | 1,503,225 | |||||||
North Carolina Eastern Municipal Power Agency | 07/01/2018 | 2.00 | % | 1,385,000 | 1,391,897 | |||||||
St. Paul Housing & Redevelopment Authority | 07/01/2018 | 1.84 | % | 1,385,000 | 1,387,729 | |||||||
State of Ohio | 08/01/2017 | 3.33 | % | 1,500,000 | 1,518,780 | |||||||
TOTAL MUNICIPAL BONDS (Cost $8,465,368) | 8,470,356 | |||||||||||
U.S. GOVERNMENT AGENCY ISSUES: 9.70% | ||||||||||||
Federal Farm Credit Banks Funding Corp. | 09/14/2018 | 0.88 | % | 5,000,000 | 4,973,620 | |||||||
Federal Farm Credit Banks Funding Corp. | 09/27/2019 | 1.55 | % | 4,000,000 | 4,004,864 | |||||||
Federal Home Loan Banks | 01/16/2019 | 1.25 | % | 14,000,000 | 13,995,114 | |||||||
Federal Home Loan Banks | 12/11/2020 | 1.88 | % | 7,000,000 | 7,022,253 | |||||||
Federal Home Loan Banks | 02/18/2021 | 1.38 | % | 4,385,000 | 4,301,952 | |||||||
Federal Home Loan Banks | 07/14/2021 | 1.13 | % | 11,095,000 | 10,709,560 | |||||||
Federal Home Loan Mortgage Corp. | 07/27/2018 | 0.85 | % | 4,970,000 | 4,945,647 | |||||||
Federal Home Loan Mortgage Corp. | 08/12/2021 | 1.13 | % | 6,000,000 | 5,776,542 | |||||||
Federal National Mortgage Association | 02/26/2019 | 1.00 | % | 10,000,000 | 9,937,830 | |||||||
Federal National Mortgage Association | 08/02/2019 | 0.88 | % | 5,925,000 | 5,842,696 | |||||||
Federal National Mortgage Association | 10/24/2019 | 1.00 | % | 6,900,000 | 6,804,614 | |||||||
Federal National Mortgage Association | 10/07/2021 | 1.38 | % | 7,500,000 | 7,296,525 | |||||||
TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $86,712,240) | 85,611,217 | |||||||||||
U.S. GOVERNMENT NOTES: 10.95% | ||||||||||||
United States Treasury Note | 05/31/2018 | 2.38 | % | 18,000,000 | 18,335,394 | |||||||
United States Treasury Note | 07/15/2018 | 0.88 | % | 15,000,000 | 14,951,955 | |||||||
United States Treasury Note | 07/31/2020 | 1.63 | % | 3,280,000 | 3,277,822 | |||||||
United States Treasury Note | 09/30/2020 | 1.38 | % | 2,340,000 | 2,313,492 | |||||||
United States Treasury Note | 01/31/2021 | 1.38 | % | 13,250,000 | 13,038,305 | |||||||
United States Treasury Note | 04/30/2021 | 1.38 | % | 5,320,000 | 5,218,798 | |||||||
United States Treasury Note | 05/31/2021 | 1.38 | % | 12,665,000 | 12,413,182 | |||||||
United States Treasury Note | 07/31/2021 | 1.13 | % | 6,000,000 | 5,799,846 | |||||||
United States Treasury Note | 08/31/2021 | 2.00 | % | 7,040,000 | 7,068,047 | |||||||
United States Treasury Note | 10/31/2021 | 1.25 | % | 14,725,000 | 14,278,656 | |||||||
TOTAL U.S. GOVERNMENT NOTES (Cost $97,893,544) | 96,695,497 | |||||||||||
TOTAL SHORT TERM INVESTMENTS: 4.73% | ||||||||||||
U.S. GOVERNMENT NOTE 1.36% | ||||||||||||
United States Treasury Note | 10/15/2017 | 0.88 | % | 12,000,000 | 12,003,276 | |||||||
TOTAL U.S .GOVERNMENT NOTE (Cost 12,003,750) | 12,003,276 | |||||||||||
MONEY MARKET FUND: 3.37% | Shares | |||||||||||
STIT-Government & Agency Portfolio, Institutional Class, 0.43% (d)(e) | 29,719,738 | 29,719,738 | ||||||||||
TOTAL MONEY MARKET FUND (Cost $29,719,738) | 29,719,738 | |||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $41,723,188) | 41,723,014 | |||||||||||
TOTAL INVESTMENTS (Cost $792,214,600): 89.21% | 787,447,647 | |||||||||||
Other Assets in Excess of Liabilities: 10.79% (f) | 95,212,625 | |||||||||||
TOTAL NET ASSETS: 100.00% | $ | 882,660,272 | ||||||||||
(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 December 31, 2016, the value of these securities total $112,566,058 which represents 12.75% of total net assets. |
(b) | Foreign issued security. |
(c) | Variable rate security. The rate reported is the rate in effect as of December 31, 2016. |
(d) | The rate quoted is the annualized seven-day effective yield as of December 31, 2016. |
(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. |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Managed Futures Strategy Fund - Consolidated Schedule of Open Forward Currency Contracts | 21 |
Currency to be Received | Currency to be Delivered | |||||||||||||||||||||||
Notional Amount | Counter- party | Forward Settlement Date | Curr Abbr. | U.S. $ Value at December 31, 2016 | Curr Abbr. | U.S. $ Value on Origination Date | Unrealized Appreciation | Unrealized (Depreciation) | ||||||||||||||||
See key for abbreviation | ||||||||||||||||||||||||
Purchase Contracts: | ||||||||||||||||||||||||
$ | 12,365,353 | DB | 01/18/2017 | AUD | $ | 11,965,891 | USD | $ | 12,365,353 | $ | — | $ | (399,462 | ) | ||||||||||
51,304,791 | BAML | 03/17/2017 | AUD | 49,475,785 | USD | 51,304,791 | — | (1,829,006 | ) | |||||||||||||||
11,734,410 | DB | 01/18/2017 | BRL | 11,970,560 | USD | 11,734,410 | 236,150 | — | ||||||||||||||||
9,678,922 | DB | 01/18/2017 | CAD | 9,647,465 | USD | 9,678,922 | — | (31,457 | ) | |||||||||||||||
10,387,835 | BAML | 03/17/2017 | CAD | 10,200,399 | USD | 10,387,835 | — | (187,436 | ) | |||||||||||||||
4,953,118 | DB | 01/18/2017 | CHF | 4,985,713 | USD | 4,953,118 | 32,595 | — | ||||||||||||||||
3,708,541 | BAML | 03/17/2017 | CHF | 3,710,304 | USD | 3,708,541 | 1,763 | — | ||||||||||||||||
5,922,454 | DB | 01/18/2017 | CLP | 5,817,272 | USD | 5,922,454 | — | (105,182 | ) | |||||||||||||||
2,415,434 | DB | 01/18/2017 | COP | 2,405,277 | USD | 2,415,434 | — | (10,157 | ) | |||||||||||||||
6,419,975 | DB | 01/18/2017 | CZK | 6,436,594 | USD | 6,419,975 | 16,619 | — | ||||||||||||||||
4,845,276 | DB | 01/18/2017 | EUR | 4,805,429 | PLN | 4,845,276 | — | (39,847 | ) | |||||||||||||||
13,750,175 | DB | 01/18/2017 | EUR | 13,657,535 | SEK | 13,750,175 | — | (92,640 | ) | |||||||||||||||
3,890,122 | DB | 01/18/2017 | EUR | 3,856,989 | TRY | 3,890,122 | — | (33,133 | ) | |||||||||||||||
3,276,775 | DB | 01/18/2017 | EUR | 3,319,540 | USD | 3,276,775 | 42,765 | — | ||||||||||||||||
2,287,647 | BAML | 03/17/2017 | EUR | 2,279,502 | USD | 2,287,647 | — | (8,145 | ) | |||||||||||||||
8,190,374 | DB | 01/18/2017 | GBP | 8,138,559 | USD | 8,190,374 | — | (51,815 | ) | |||||||||||||||
681,778 | BAML | 03/17/2017 | GBP | 676,667 | USD | 681,778 | — | (5,111 | ) | |||||||||||||||
3,378,906 | DB | 01/18/2017 | ILS | 3,363,387 | USD | 3,378,906 | — | (15,519 | ) | |||||||||||||||
7,561,484 | DB | 01/18/2017 | INR | 7,562,212 | USD | 7,561,484 | 728 | — | ||||||||||||||||
14,466 | BAML | 03/17/2017 | JPY | 14,525 | USD | 14,466 | 59 | — | ||||||||||||||||
7,593,859 | DB | 01/18/2017 | MXN | 7,497,195 | USD | 7,593,859 | — | (96,664 | ) | |||||||||||||||
177,164 | BAML | 03/17/2017 | MXN | 174,505 | USD | 177,164 | — | (2,659 | ) | |||||||||||||||
18,900,257 | DB | 01/18/2017 | NOK | 18,855,390 | EUR | 18,900,257 | — | (44,867 | ) | |||||||||||||||
862,272 | DB | 01/18/2017 | NOK | 866,398 | USD | 862,272 | 4,126 | — | ||||||||||||||||
11,271,067 | DB | 01/18/2017 | NZD | 11,051,840 | USD | 11,271,067 | — | (219,227 | ) | |||||||||||||||
26,611,029 | BAML | 03/17/2017 | NZD | 25,664,549 | USD | 26,611,029 | — | (946,480 | ) | |||||||||||||||
12,007,799 | DB | 01/18/2017 | PLN | 12,086,210 | EUR | 12,007,799 | 78,411 | — | ||||||||||||||||
4,841,574 | DB | 01/18/2017 | PLN | 4,882,659 | USD | 4,841,574 | 41,085 | — | ||||||||||||||||
6,860,311 | DB | 01/18/2017 | RUB | 6,822,525 | USD | 6,860,311 | — | (37,786 | ) | |||||||||||||||
7,661,386 | DB | 01/18/2017 | SEK | 7,791,438 | EUR | 7,661,386 | 130,052 | — | ||||||||||||||||
6,250,855 | DB | 01/18/2017 | SEK | 6,308,001 | USD | 6,250,855 | 57,146 | — | ||||||||||||||||
1,752,346 | DB | 01/18/2017 | SGD | 1,732,976 | USD | 1,752,346 | — | (19,370 | ) | |||||||||||||||
3,111,628 | DB | 01/18/2017 | TRY | 3,096,036 | EUR | 3,111,628 | — | (15,592 | ) | |||||||||||||||
993,261 | DB | 01/18/2017 | TRY | 991,193 | USD | 993,261 | — | (2,068 | ) | |||||||||||||||
4,342,114 | DB | 01/18/2017 | ZAR | 4,355,890 | USD | 4,342,114 | 13,776 | — | ||||||||||||||||
Total Purchase Contracts | 276,466,410 | 280,004,758 | 655,275 | (4,193,623 | ) | |||||||||||||||||||
Sale Contracts: | ||||||||||||||||||||||||
$ | 22,161,614 | DB | 01/18/2017 | USD | $ | (22,027,625 | ) | AUD | $ | (22,161,614 | ) | $ | 133,989 | $ | — | |||||||||
32,384,128 | BAML | 03/17/2017 | USD | (32,412,662 | ) | AUD | (32,384,128 | ) | — | (28,534 | ) | |||||||||||||
41,209,000 | DB | 01/18/2017 | USD | (40,355,458 | ) | CAD | (41,209,000 | ) | 853,542 | — | ||||||||||||||
62,582,148 | BAML | 03/17/2017 | USD | (61,287,376 | ) | CAD | (62,582,148 | ) | 1,294,772 | — | ||||||||||||||
29,605,187 | DB | 01/18/2017 | USD | (29,579,932 | ) | CHF | (29,605,187 | ) | 25,255 | — | ||||||||||||||
38,680,632 | BAML | 03/17/2017 | USD | (38,364,145 | ) | CHF | (38,680,632 | ) | 316,487 | — | ||||||||||||||
1,169,190 | DB | 01/18/2017 | USD | (1,182,239 | ) | CLP | (1,169,190 | ) | — | (13,049 | ) | |||||||||||||
479,039 | DB | 01/18/2017 | USD | (480,458 | ) | COP | (479,039 | ) | — | (1,419 | ) | |||||||||||||
11,354,419 | DB | 01/18/2017 | USD | (11,241,618 | ) | CZK | (11,354,419 | ) | 112,801 | — | ||||||||||||||
18,900,256 | DB | 01/18/2017 | NOK | (18,958,260 | ) | EUR | (18,900,256 | ) | — | (58,004 | ) | |||||||||||||
12,007,799 | DB | 01/18/2017 | PLN | (12,076,802 | ) | EUR | (12,007,799 | ) | — | (69,003 | ) | |||||||||||||
7,661,385 | DB | 01/18/2017 | SEK | (7,724,516 | ) | EUR | (7,661,385 | ) | — | (63,131 | ) | |||||||||||||
3,111,629 | DB | 01/18/2017 | TRY | (3,129,852 | ) | EUR | (3,111,629 | ) | — | (18,223 | ) | |||||||||||||
46,783,563 | DB | 01/18/2017 | USD | (46,515,709 | ) | EUR | (46,783,563 | ) | 267,854 | — | ||||||||||||||
36,886,202 | BAML | 03/17/2017 | USD | (36,474,145 | ) | EUR | (36,886,202 | ) | 412,057 | — | ||||||||||||||
29,661,610 | DB | 01/18/2017 | USD | (29,089,184 | ) | GBP | (29,661,610 | ) | 572,426 | — | ||||||||||||||
65,192,245 | BAML | 03/17/2017 | USD | (63,764,750 | ) | GBP | (65,192,245 | ) | 1,427,495 | — | ||||||||||||||
1,911,495 | DB | 01/18/2017 | USD | (1,898,560 | ) | ILS | (1,911,495 | ) | 12,935 | — | ||||||||||||||
4,301,194 | DB | 01/18/2017 | USD | (4,299,606 | ) | INR | (4,301,194 | ) | 1,588 | — |
22 | LoCorr Managed Futures Strategy Fund - Consolidated Schedule of Open Forward Currency Contracts (continued) |
Currency to be Received | Currency to be Delivered | |||||||||||||||||||||||
Notional Amount | Counter- party | Forward Settlement Date | Curr Abbr. | U.S. $ Value at December 31, 2016 | Curr Abbr. | U.S. $ Value on Origination Date | Unrealized Appreciation | Unrealized (Depreciation) | ||||||||||||||||
See key for abbreviation | ||||||||||||||||||||||||
Sale Contracts (continued) | ||||||||||||||||||||||||
$ | 30,701,913 | DB | 01/18/2017 | USD | $ | (30,325,948 | ) | JPY | $ | (30,701,913 | ) | $ | 375,965 | $ | — | |||||||||
28,714,986 | BAML | 03/17/2017 | USD | (28,758,453 | ) | JPY | (28,714,986 | ) | — | (43,467 | ) | |||||||||||||
23,834,442 | DB | 01/18/2017 | USD | (23,498,924 | ) | KRW | (23,834,442 | ) | 335,518 | — | ||||||||||||||
2,708,143 | DB | 01/18/2017 | USD | (2,668,843 | ) | MXN | (2,708,143 | ) | 39,300 | — | ||||||||||||||
18,138,083 | BAML | 03/17/2017 | USD | (17,693,010 | ) | MXN | (18,138,083 | ) | 445,073 | — | ||||||||||||||
7,029,433 | DB | 01/18/2017 | USD | (6,996,048 | ) | NOK | (7,029,433 | ) | 33,385 | — | ||||||||||||||
2,206,937 | DB | 01/18/2017 | USD | (2,200,649 | ) | NZD | (2,206,937 | ) | 6,288 | — | ||||||||||||||
253,860 | BAML | 03/17/2017 | USD | (253,672 | ) | NZD | (253,860 | ) | 188 | — | ||||||||||||||
4,845,276 | DB | 01/18/2017 | EUR | (4,867,587 | ) | PLN | (4,845,276 | ) | — | (22,311 | ) | |||||||||||||
7,751,747 | DB | 01/18/2017 | USD | (7,742,024 | ) | PLN | (7,751,747 | ) | 9,723 | — | ||||||||||||||
2,419,632 | DB | 01/18/2017 | USD | (2,436,651 | ) | RUB | (2,419,632 | ) | — | (17,019 | ) | |||||||||||||
13,750,175 | DB | 01/18/2017 | EUR | (13,863,994 | ) | SEK | (13,750,175 | ) | — | (113,819 | ) | |||||||||||||
15,213,329 | DB | 01/18/2017 | USD | (15,373,761 | ) | SEK | (15,213,329 | ) | — | (160,432 | ) | |||||||||||||
26,696,146 | DB | 01/18/2017 | USD | (26,408,891 | ) | SGD | (26,696,146 | ) | 287,255 | — | ||||||||||||||
3,890,122 | DB | 01/18/2017 | EUR | (3,864,057 | ) | TRY | (3,890,122 | ) | 26,065 | — | ||||||||||||||
9,143,988 | DB | 01/18/2017 | USD | (9,118,414 | ) | TRY | (9,143,988 | ) | 25,574 | — | ||||||||||||||
460,074 | DB | 01/18/2017 | USD | (472,220 | ) | ZAR | (460,074 | ) | — | (12,146 | ) | |||||||||||||
Total Sale Contracts | (657,406,043 | ) | (663,801,021 | ) | 7,015,535 | (620,557 | ) | |||||||||||||||||
Total Forward Currency Contracts | $ | (380,939,633 | ) | $ | (383,796,263 | ) | $ | 7,670,810 | $ | (4,814,180 | ) | |||||||||||||
Net Unrealized Appreciation | $ | 2,856,630 |
Counterparty: | |
BAML | Bank of America Merrill Lynch |
DB | Deutsche Bank |
Currency abbreviations: | COP | COLOMBIAN PESO | JPY | JAPANESE YEN | RUB | RUSSIAN RUBLE | ||||
AUD | AUSTRALIAN DOLLAR | CZK | CZECH REPUBLIC KORUNA | KRW | SOUTH KOREAN WON | SEK | SWEDISH KRONA | |||
BRL | BRAZILIAN REAL | EUR | EURO | MXN | MEXICAN PESO | SGD | SINGAPORE DOLLAR | |||
CAD | CANADIAN DOLLAR | GBP | BRITISH POUND | NOK | NORWEGIAN KRONE | TRY | TURKISH LIRA | |||
CHF | SWISS FRANC | ILS | ISRAELI NEW SHEQEL | NZD | NEW ZEALAND DOLLAR | USD | U.S. DOLLAR | |||
CLP | CHILEAN PESO | INR | INDIAN RUPEE | PLN | POLISH ZLOTY | ZAR | SOUTH AFRICAN RAND |
LoCorr Managed Futures Strategy Fund - Consolidated Schedule of Open Futures Contracts | 23 |
Description | Notional Amount | Number of Contracts Purchased (Sold) | Settlement Month-Year | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||
Purchase Contracts: | ||||||||||||||||
10 Yr Mini JGB | $ | 1,671,564 | 13 | Mar-17 | $ | 1,952 | $ | — | ||||||||
90 Day Euro | 6,165,313 | 25 | Sep-17 | — | (4,692 | ) | ||||||||||
90 Day Euro | 3,693,000 | 15 | Dec-17 | — | (3,838 | ) | ||||||||||
90 Day Euro | 53,360,300 | 217 | Mar-18 | — | (132,645 | ) | ||||||||||
90 Day Euro | 31,928,000 | 130 | Jun-18 | — | (78,227 | ) | ||||||||||
90 Day Euro | 36,306,250 | 148 | Sep-18 | — | (44,850 | ) | ||||||||||
90 Day Sterling | 42,330,980 | 276 | Sep-17 | 3,745 | — | |||||||||||
90 Day Sterling | 24,225,650 | 158 | Dec-17 | 1,474 | — | |||||||||||
90 Day Sterling | 39,848,972 | 260 | Mar-18 | 13,644 | — | |||||||||||
90 Day Sterling | 32,632,376 | 213 | Jun-18 | 12,498 | — | |||||||||||
90 Day Sterling | 5,971,938 | 39 | Sep-18 | 1,809 | — | |||||||||||
Aluminum (a)(b) | 20,186,044 | 477 | Mar-17 | — | (480,971 | ) | ||||||||||
Amsterdam Exchange Index | 14,645,866 | 144 | Jan-17 | 193,490 | — | |||||||||||
Australian 10 Yr Bond | 3,410,868 | 37 | Mar-17 | 29,326 | — | |||||||||||
Australian 3 Yr Bond | 30,004,294 | 373 | Mar-17 | — | (29,597 | ) | ||||||||||
Brent Crude (a) | 11,648,100 | 205 | Jan-17 | 63,633 | — | |||||||||||
Brent Crude (a) | 287,450 | 5 | Feb-17 | — | (1,077 | ) | ||||||||||
CAC 40 10 Euro Index | 13,975,021 | 273 | Jan-17 | 219,028 | — | |||||||||||
Canadian 10 Yr Bond | 18,949,875 | 185 | Mar-17 | — | (204,444 | ) | ||||||||||
Copper (LME) (a)(b) | 37,082,825 | 268 | Mar-17 | — | (66,113 | ) | ||||||||||
Copper (NYCOM) (a) | 6,827,488 | 109 | Mar-17 | — | (166,091 | ) | ||||||||||
Cotton No.2 (a) | 4,203,675 | 119 | Mar-17 | 23,113 | — | |||||||||||
DAX Index | 40,731,779 | 135 | Mar-17 | 171,693 | — | |||||||||||
Dollar | 19,536,626 | 191 | Mar-17 | 87,625 | — | |||||||||||
Dow Jones Industrial Average Mini E-Cbot Index | 71,485,000 | 725 | Mar-17 | 256,985 | — | |||||||||||
Euro-Bobl | 324,938,736 | 2,310 | Mar-17 | 2,458,161 | — | |||||||||||
Euro-BTP | 5,839,818 | 41 | Mar-17 | — | (2,076 | ) | ||||||||||
Euro-Bund | 73,955,452 | 428 | Mar-17 | 441,316 | — | |||||||||||
Euro-Buxl 30 Yr Bond | 3,470,473 | 19 | Mar-17 | — | (1,906 | ) | ||||||||||
Euro-OAT | 31,802,964 | 199 | Mar-17 | 175,379 | — | |||||||||||
Euro-Schatz | 337,349,902 | 2,854 | Mar-17 | 453,727 | — | |||||||||||
Euro-Stoxx 50 Index | 28,596,739 | 829 | Mar-17 | 326,414 | — | |||||||||||
FTSE 100 Index | 67,248,774 | 774 | Mar-17 | 780,066 | — | |||||||||||
Gasoline RBOB (a) | 20,983,162 | 299 | Jan-17 | 766,566 | — | |||||||||||
Gasoline RBOB (a) | 2,054,035 | 29 | Feb-17 | 49,745 | — | |||||||||||
Gasoline RBOB (a) | 156,324 | 2 | Mar-17 | 987 | — | |||||||||||
Hang Seng Index | 5,664,324 | 40 | Jan-17 | 93,467 | — | |||||||||||
Heating Oil (a) | 9,363,388 | 129 | Jan-17 | 38,635 | — | |||||||||||
IBEX 35 Index | 4,901,893 | 50 | Jan-17 | 26,835 | — | |||||||||||
Japanese 10 Yr Bond | 122,120,214 | 95 | Mar-17 | 111,841 | — | |||||||||||
KOSPI 200 Index | 13,995,074 | 130 | Mar-17 | 285,950 | — | |||||||||||
Lead (a)(b) | 653,900 | 13 | Mar-17 | — | (79,800 | ) | ||||||||||
Lean Hogs (a) | 79,380 | 3 | Feb-17 | 2,893 | — | |||||||||||
Long Gilt | 32,410,429 | 209 | Mar-17 | 533,294 | — | |||||||||||
Low Sulphur Gasoil (a) | 3,684,675 | 73 | Feb-17 | 174,447 | — | |||||||||||
Low Sulphur Gasoil (a) | 406,000 | 8 | Mar-17 | — | (2,185 | ) | ||||||||||
MSCI Singapore Index | 2,120,001 | 96 | Jan-17 | — | (5,352 | ) | ||||||||||
MSCI Taiwan Index | 7,047,900 | 205 | Jan-17 | 70,269 | — | |||||||||||
Nasdaq 100 E-Mini Index | 42,997,760 | 442 | Mar-17 | — | (504,196 | ) | ||||||||||
Natural Gas (a) | 13,667,080 | 367 | Jan-17 | — | (29,105 | ) | ||||||||||
Natural Gas (a) | 713,200 | 20 | Mar-17 | 10,732 | — |
24 | LoCorr Managed Futures Strategy 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) | ||||||||||||||||
Natural Gas (a) | $ | 1,381,770 | 39 | Apr-17 | $ | 21,467 | $ | — | ||||||||
Nickel (a)(b) | 1,261,386 | 21 | Mar-17 | — | (105,997 | ) | ||||||||||
Nikkei 225 Index (OSE) | 18,139,893 | 111 | Mar-17 | 300,526 | — | |||||||||||
Nikkei 225 Index (SGX) | 21,048,385 | 258 | Mar-17 | 171,738 | — | |||||||||||
Russell 2000 Mini Index | 38,671,650 | 570 | Mar-17 | — | (394,857 | ) | ||||||||||
S&P/TSX 60 Index | 16,032,175 | 120 | Mar-17 | 27,451 | — | |||||||||||
S&P500 E-Mini Index | 61,942,740 | 554 | Mar-17 | — | (471,131 | ) | ||||||||||
Silver (a) | 11,911,805 | 149 | Mar-17 | — | (561,040 | ) | ||||||||||
Soybean (a) | 12,951,600 | 258 | Mar-17 | — | (421,142 | ) | ||||||||||
Soybean Meal (a) | 411,580 | 13 | Mar-17 | — | (3,560 | ) | ||||||||||
Soybean Oil (a) | 3,847,260 | 185 | Mar-17 | — | (212,307 | ) | ||||||||||
SPI 200 Index | 16,660,845 | 164 | Mar-17 | 217,729 | — | |||||||||||
Sugar (a) | 5,309,842 | 243 | May-17 | — | (203,315 | ) | ||||||||||
Tokyo Price Index | 46,368,000 | 357 | Mar-17 | 219,789 | — | |||||||||||
U.S. 2 Yr Note | 104,226,688 | 481 | Mar-17 | — | (53,039 | ) | ||||||||||
Wti Crude (a) | 5,049,680 | 94 | Jan-17 | — | (20,566 | ) | ||||||||||
Zinc (a)(b) | 19,047,600 | 296 | Mar-17 | — | (732,643 | ) | ||||||||||
Total Purchase Contracts | 8,839,439 | (5,016,762 | ) | |||||||||||||
Sale Contracts: | ||||||||||||||||
3 Mo Euro Euribor | $ | 257,702,031 | (977) | Jun-18 | $ | — | $ | (2,388 | ) | |||||||
90 Day Euro | 480,393,600 | (1,956) | Jun-18 | 589,996 | — | |||||||||||
Aluminum (a)(b) | 1,269,563 | (30) | Mar-17 | 28,553 | — | |||||||||||
Australian 10 Yr Bond | 23,507,333 | (255) | Mar-17 | — | (123,926 | ) | ||||||||||
Brent Crude (a) | 3,636,480 | (64) | Jan-17 | — | (19,664 | ) | ||||||||||
Brent Crude (a) | 116,080 | (2) | Mar-17 | — | (403 | ) | ||||||||||
Brent Crude (a) | 58,440 | (1) | Apr-17 | — | (151 | ) | ||||||||||
Canadian 10 Yr Bond | 1,434,045 | (14) | Mar-17 | 108 | — | |||||||||||
CBOE Volatility Index | 5,157,625 | (341) | Jan-17 | — | (305,226 | ) | ||||||||||
Cocoa (CME) (a) | 5,186,907 | (243) | Mar-17 | 637,460 | — | |||||||||||
Cocoa (NYBOT) (a) | 85,040 | (4) | Mar-17 | 4,130 | — | |||||||||||
Coffee (a) | 6,372,825 | (124) | Mar-17 | — | (102,536 | ) | ||||||||||
Copper (LME) (a)(b) | 5,396,381 | (39) | Mar-17 | 77,655 | — | |||||||||||
Corn (a) | 11,598,400 | (659) | Mar-17 | 51,552 | — | |||||||||||
FTSE/JSE Top 40 Index | 3,322,849 | (103) | Mar-17 | 19,429 | — | |||||||||||
Gold (a) | 48,141,060 | (418) | Feb-17 | 356,877 | — | |||||||||||
Hang Seng Index | 4,106,635 | (29) | Jan-17 | — | (44,963 | ) | ||||||||||
Hard Red Wheat (a) | 6,131,025 | (293) | Mar-17 | 90,428 | — | |||||||||||
Heating Oil (a) | 1,959,779 | (27) | Jan-17 | — | (29,988 | ) | ||||||||||
Heating Oil (a) | 510,972 | (7) | Feb-17 | — | (3,923 | ) | ||||||||||
Heating Oil (a) | 219,177 | (3) | Apr-17 | — | (4,138 | ) | ||||||||||
H-Shares Index | 2,239,706 | (37) | Jan-17 | — | (48,670 | ) | ||||||||||
Lead (a)(b) | 503,000 | (10) | Mar-17 | 27,742 | — | |||||||||||
Live Cattle (a) | 46,420 | (1) | Feb-17 | — | (2,733 | ) | ||||||||||
Natural Gas (a) | 1,973,720 | (53) | Jan-17 | 22,370 | — | |||||||||||
Natural Gas (a) | 589,440 | (16) | Feb-17 | — | (20,450 | ) | ||||||||||
Nickel (a)(b) | 840,924 | (14) | Mar-17 | 60,254 | — | |||||||||||
SGX Nifty 50 Index | 2,160,708 | (132) | Jan-17 | — | (42,600 | ) | ||||||||||
Soybean (a) | 1,054,200 | (21) | Mar-17 | 12,839 | — | |||||||||||
Soybean Meal (a) | 4,654,020 | (147) | Mar-17 | — | (16,951 | ) | ||||||||||
Soybean Oil (a) | 519,900 | (25) | Mar-17 | 3,458 | — | |||||||||||
Sugar (a) | 3,889,514 | (178) | May-17 | — | (53,389 | ) | ||||||||||
U.S. 10 Yr Note | 31,816,000 | (256) | Mar-17 | — | (40,863 | ) | ||||||||||
U.S. 2 Yr Note | 224,921,625 | (1,038) | Mar-17 | 57,660 | — | |||||||||||
U.S. 5 Yr Note | 100,955,766 | (858) | Mar-17 | 142,805 | — | |||||||||||
U.S. Long Bond | 41,581,125 | (276) | Mar-17 | 48,608 | — |
LoCorr Managed Futures Strategy Fund - Consolidated Schedule of Open Futures Contracts (continued) | 25 |
Description | Notional Amount | Number of Contracts Purchased (Sold) | Settlement Month-Year | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||
Sale Contracts (continued) | ||||||||||||||||
U.S. Ultra Bond | $ | 3,365,250 | (21) | Mar-17 | $ | — | $ | (18,091 | ) | |||||||
VSTOXX Mini Index | 259,753 | (124) | Jan-17 | — | (5,993 | ) | ||||||||||
Wheat (a) | 9,649,200 | (473) | Mar-17 | 182,827 | — | |||||||||||
Wti Crude (a) | 4,136,440 | (77) | Jan-17 | — | (54,875 | ) | ||||||||||
Wti Crude (a) | 929,220 | (17) | Feb-17 | — | (4,912 | ) | ||||||||||
Wti Crude (a) | 332,580 | (6) | Mar-17 | — | (5,441 | ) | ||||||||||
Wti Crude (a) | 56,050 | (1) | Apr-17 | — | (102 | ) | ||||||||||
Zinc (a)(b) | 2,252,250 | (35) | Mar-17 | 119,878 | — | |||||||||||
Total Sale Contracts | 2,534,629 | (952,376 | ) | |||||||||||||
Total Futures Contracts | $ | 11,374,068 | $ | (5,969,138 | ) | |||||||||||
Net Unrealized Appreciation | $ | 5,404,930 |
(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 and 3. |
26 | LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||
ASSET BACKED SECURITIES: 15.58% | ||||||||
321 Henderson Receivables I LLC, 2006-4A A1 (Acquired 07/19/2016, Cost, $408,854) (a)(c) | 12/15/2041 | 0.74% | $ | 422,895 | $ | 416,603 | ||
AEP Texas Central Transition Funding II LLC, 2006-2 A4 | 01/01/2020 | 5.17% | 370,292 | 376,867 | ||||
American Express Credit Account Master Trust | ||||||||
Series 2012-1 A (c) | 01/15/2020 | 0.97% | 200,000 | 200,113 | ||||
Series 2013-2 A (c) | 05/17/2021 | 1.12% | 600,000 | 601,842 | ||||
Cabela’s Credit Card Master Note Trust | ||||||||
Series 2012-1A A2 (Acquired 03/24/2016, Cost, $749,648) (a)(c) | 02/18/2020 | 1.23% | 750,000 | 750,154 | ||||
Series 2012-1A A1 (Acquired 03/11/2016, Cost, $650,207) (a) | 02/18/2020 | 1.63% | 650,000 | 650,428 | ||||
Series 2014-1A (c) | 03/16/2020 | 1.05% | 310,000 | 310,028 | ||||
Series 2012-2A A1 (Acquired 02/04/2016, Cost, $600,545) (a) | 06/15/2020 | 1.45% | 600,000 | 600,687 | ||||
California Republic Auto Receivables Trust | ||||||||
Series 2013-2 A2 | 03/15/2019 | 1.23% | 96,134 | 96,153 | ||||
Series 2016-2 A2 | 03/15/2019 | 1.34% | 500,000 | 500,060 | ||||
Series 2015-1 A3 | 04/15/2019 | 1.33% | 430,877 | 431,121 | ||||
Series 2015-4 A3 (Acquired 09/02/2016, Cost, $301,892) (a) | 01/15/2020 | 2.04% | 300,000 | 301,888 | ||||
Capital Auto Receivables Asset Trust, 2015-1 A2 | 06/20/2018 | 1.42% | 253,442 | 253,496 | ||||
Capital One Multi-Asset Execution Trust, 2016-A1 A1 (c) | 02/15/2022 | 1.15% | 747,000 | 750,034 | ||||
CenterPoint Energy Restoration Bond Co. LLC, 2009-1 A2 | 08/15/2019 | 3.46% | 145,222 | 147,187 | ||||
CenterPoint Energy Transition Bond Co. II LLC, 2005-A A4 | 08/01/2019 | 5.17% | 101,618 | 102,290 | ||||
CenterPoint Energy Transition Bond Co. IV LLC, 2012-1 A1 | 04/15/2018 | 0.90% | 278,642 | 278,540 | ||||
Chase Issuance Trust | ||||||||
Series 2013-A3 (c) | 04/15/2020 | 0.98% | 545,000 | 545,866 | ||||
Series 2013-9A (c) | 11/16/2020 | 1.12% | 800,000 | 802,390 | ||||
Series 2012-A4 | 08/16/2021 | 1.58% | 637,000 | 632,839 |
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) | 27 |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||
ASSET BACKED SECURITIES (continued) | ||||||||
Colony American Homes | ||||||||
Series 2014-1A A (Acquired 04/02/2014 through 05/09/2016, Cost, $670,134) (a)(c) | 05/17/2031 | 2.14% | $ | 673,017 | $ | 672,421 | ||
Series 2015-1A C (Acquired 05/27/2015 through 04/19/2016, Cost, $457,498) (a)(c) | 07/17/2032 | 2.69% | 470,000 | 469,218 | ||||
Discover Card Execution Note Trust | ||||||||
Series 2013-A1 (c) | 08/17/2020 | 1.00% | 950,000 | 950,778 | ||||
Series 2012-A6 | 01/18/2022 | 1.67% | 450,000 | 448,288 | ||||
Ford Credit Auto Owner Trust, 2016-REV1 A (Acquired 11/22/2016, Cost, $372,876) (a) | 08/15/2027 | 2.31% | 370,000 | 369,282 | ||||
Green Tree Agency Advance Funding Trust I, 2016-T1 (Acquired 09/28/2016, Cost, $499,999) (a) | 10/15/2048 | 2.38% | 500,000 | 495,935 | ||||
Huntington Auto Trust, 2015-1 A3 | 09/16/2019 | 1.24% | 206,224 | 206,104 | ||||
Hyundai Auto Receivables Trust, 2013-C A4 | 03/15/2019 | 1.55% | 475,912 | 476,541 | ||||
Invitation Homes Trust | ||||||||
Series 2013-SFR1 A (Acquired 02/24/2016, Cost, $460,516) (a)(c) | 12/17/2030 | 1.89% | 470,214 | 470,221 | ||||
Series 2013-SFR1 B (Acquired 01/27/2016, Cost, $487,578) (a)(c) | 12/17/2030 | 1.92% | 500,000 | 497,839 | ||||
Series 2014-SFR2 A (Acquired 03/03/2016, Cost, $592,501) (a)(c) | 09/18/2031 | 1.84% | 609,109 | 608,327 | ||||
Ocwen Master Advance Receivables Trust | ||||||||
Series 2015-T3 AT3 (Acquired 11/06/2015, Cost, $99,999) (a) | 11/15/2047 | 3.21% | 100,000 | 99,979 | ||||
Series 2016-T2 AT2 (Acquired 08/03/2016, Cost, $624,999) (a) | 08/16/2049 | 2.72% | 625,000 | 623,242 | ||||
Ohio Phase-In-Recovery Funding LLC, 2013-1 A1 | 07/01/2018 | 0.96% | 152,439 | 152,359 | ||||
OneMain Direct Auto Receivables Trust, 2016 A1 (Acquired 11/09/2016, Cost, $312,785) (a) | 01/15/2021 | 2.04% | 312,038 | 312,565 | ||||
RAMP Series Trust, 2004-RZ3 MII2 (c) | 09/25/2034 | 2.41% | 401,717 | 394,507 | ||||
Small Business Administration Participation Certificates, 2012-20K 1 | 11/01/2032 | 2.09% | 17,806 | 17,276 | ||||
SMART ABS US Trust, 2014-1US A3A (b) | 06/14/2018 | 0.95% | 162,460 | 162,433 | ||||
SoFi Professional Loan Program LLC, 2015-C A2 (Acquired 07/29/2015, Cost, $97,241) (a) | 08/25/2033 | 2.51% | 97,778 | 97,673 | ||||
SPS Servicer Advance Receivables Trust, 2016-T1 A-T1 (Acquired 11/16/2016, Cost, $499,956) (a) | 11/16/2048 | 2.53% | 500,000 | 498,707 | ||||
Susquehanna Auto Receivables Trust, 2014-1A A3 (Acquired 12/22/2015, Cost, $14,623) (a) | 02/15/2018 | 1.00% | 14,652 | 14,651 | ||||
SWAY Residential Trust, 2014-1 A (Acquired 02/02/2016 through 04/04/2016, Cost, $721,573) (a)(c) | 01/20/2032 | 2.04% | 733,706 | 734,182 | ||||
TCF Auto Receivables Owner Trust, 2015-1A A3 (Acquired 09/14/2016, Cost, $599,901) (a) | 04/15/2021 | 1.71% | 600,000 | 596,676 | ||||
Verizon Owner Trust, 2016-A 1A (Acquired 07/12/2016, Cost, $459,923) (a) | 01/20/2021 | 1.42% | 460,000 | 456,799 | ||||
Volkswagen Auto Loan Enhanced Trust | ||||||||
Series 2013-2 A3 | 04/20/2018 | 0.70% | 196,991 | 196,802 | ||||
Series 2014-1 A3 | 10/22/2018 | 0.91% | 379,639 | 379,143 | ||||
World Omni Auto Receivables Trust, 2014-A A3 | 04/15/2019 | 0.94% | 86,766 | 86,708 | ||||
TOTAL ASSET BACKED SECURITIES (Cost $19,188,116) | 19,237,242 | |||||||
CORPORATE BONDS: 34.31% | ||||||||
Administrative and Support and Waste Management and Remediation Services: 0.01% | ||||||||
Safina Ltd. (b) | 01/15/2022 | 1.55% | 14,116 | 13,946 | ||||
Finance and Insurance: 15.12% | ||||||||
Aflac, Inc. | 03/16/2020 | 2.40% | 505,000 | 506,772 | ||||
American Express Co. | 05/22/2018 | 1.55% | 405,000 | 404,213 | ||||
American International Group, Inc. | 08/15/2020 | 3.38% | 330,000 | 339,504 | ||||
Bank of America Corp. | 05/01/2018 | 5.65% | 1,075,000 | 1,126,344 | ||||
Bank of Montreal (b) | 07/18/2019 | 1.50% | 255,000 | 251,660 | ||||
BB&T Corp. | 01/15/2020 | 2.45% | 350,000 | 352,743 | ||||
Berkshire Hathaway Finance Corp. | 08/15/2018 | 2.00% | 175,000 | 176,246 | ||||
Berkshire Hathaway Finance Corp. | 01/15/2021 | 4.25% | 250,000 | 269,434 | ||||
BNP Paribas (b) | 08/20/2018 | 2.70% | 500,000 | 506,507 | ||||
Capital One Financial Corp. | 04/24/2019 | 2.45% | 500,000 | 503,166 | ||||
Charles Schwab Corp./The | 03/10/2018 | 1.50% | 500,000 | 500,118 | ||||
Chubb INA Holdings, Inc. | 11/03/2020 | 2.30% | 350,000 | 349,920 | ||||
Citigroup, Inc. | 07/30/2018 | 2.15% | 585,000 | 586,935 | ||||
Citizens Bank NA | 03/14/2019 | 2.50% | 565,000 | 569,353 | ||||
Cooperatieve Rabobank UA (b) | 01/14/2019 | 2.25% | 250,000 | 251,339 | ||||
Daimler Finance North America LLC (Acquired 12/14/2016, Cost, $393,977) (a) | 07/05/2019 | 1.50% | 400,000 | 393,550 | ||||
Dragon 2012 LLC | 03/12/2024 | 1.97% | 16,128 | 15,943 |
28 | LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||
CORPORATE BONDS (continued) | ||||||||
Fifth Third Bancorp | 06/01/2018 | 4.50% | $ | 260,000 | $ | 268,202 | ||
Ford Motor Credit Company LLC | 11/04/2019 | 2.60% | 455,000 | 454,324 | ||||
General Motors Financial Co., Inc. | 05/09/2019 | 2.40% | 310,000 | 309,179 | ||||
Goldman Sachs Group, Inc./The | 04/01/2018 | 6.15% | 465,000 | 489,140 | ||||
Goldman Sachs Group, Inc./The | 02/25/2021 | 2.88% | 535,000 | 537,474 | ||||
Hartford Financial Services Group, Inc./The | 03/30/2020 | 5.50% | 250,000 | 272,982 | ||||
HSBC Holdings PLC (b) | 04/05/2021 | 5.10% | 215,000 | 232,352 | ||||
ING Bank NV (Acquired 03/15/2016, Cost, $399,884) (a)(b) | 03/22/2019 | 2.30% | 400,000 | 401,045 | ||||
JPMorgan Chase & Co. | 03/22/2019 | 1.85% | 335,000 | 333,943 | ||||
JPMorgan Chase & Co. | 01/23/2020 | 2.25% | 955,000 | 952,752 | ||||
Keycorp | 12/13/2018 | 2.30% | 250,000 | 251,490 | ||||
Lincoln National Corp. | 02/15/2020 | 6.25% | 180,000 | 198,795 | ||||
Metropolitan Life Global Funding I (Acquired 06/16/2016, Cost, $352,995) (a) | 04/14/2020 | 2.00% | 350,000 | 346,060 | ||||
Morgan Stanley | 07/24/2020 | 5.50% | 845,000 | 925,452 | ||||
MSN 41079 and 41084 Ltd. (b) | 07/13/2024 | 1.72% | 16,772 | 16,401 | ||||
National Rural Utilities Cooperative Finance Corp. | 02/01/2019 | 2.15% | 350,000 | 352,676 | ||||
NextEra Energy Capital Holdings, Inc. | 03/01/2019 | 6.00% | 400,000 | 432,558 | ||||
Nomura Holdings, Inc. (b) | 03/19/2019 | 2.75% | 90,000 | 90,852 | ||||
Phoenix 2012 LLC | 07/03/2024 | 1.61% | 16,920 | 16,496 | ||||
PNC Bank NA | 10/18/2019 | 2.40% | 305,000 | 307,808 | ||||
Pricoa Global Funding I (Acquired 09/14/2015, Cost, $149,934) (a) | 09/21/2018 | 1.90% | 150,000 | 150,426 | ||||
Principal Life Global Funding II (Acquired 11/17/2015 through 02/25/2016, Cost, $337,728) (a) | 10/15/2018 | 2.25% | 335,000 | 338,330 | ||||
Prudential Financial, Inc. | 06/15/2019 | 7.38% | 215,000 | 242,027 | ||||
Santander UK PLC (b) | 08/23/2018 | 3.05% | 245,000 | 248,868 | ||||
Societe Generale SA (Acquired 04/04/2016, Cost, $299,775) (a)(b) | 04/08/2021 | 2.50% | 300,000 | 297,194 | ||||
State Street Corp. | 08/18/2020 | 2.55% | 305,000 | 308,077 | ||||
SunTrust Banks, Inc. | 11/01/2018 | 2.35% | 250,000 | 252,215 | ||||
Tagua Leasing LLC | 11/16/2024 | 1.58% | 17,225 | 16,720 | ||||
Teva Pharmaceutical Finance Netherlands III BV (b) | 07/19/2019 | 1.70% | 310,000 | 304,584 | ||||
Toyota Motor Credit Corp. | 10/24/2018 | 2.00% | 250,000 | 251,481 | ||||
Trinity Acquisition PLC (b) | 09/15/2021 | 3.50% | 335,000 | 338,269 | ||||
UnitedHealth Group, Inc. | 10/15/2020 | 3.88% | 195,000 | 205,351 | ||||
Voya Financial, Inc. | 02/15/2018 | 2.90% | 237,000 | 239,935 | ||||
WellPoint, Inc. | 01/15/2018 | 1.88% | 200,000 | 200,088 | ||||
Wells Fargo & Co. | 01/16/2018 | 1.50% | 210,000 | 209,749 | ||||
Wells Fargo & Co. | 04/22/2019 | 2.13% | 765,000 | 767,476 | ||||
18,664,518 | ||||||||
Information: 4.89% | ||||||||
21st Century Fox America, Inc. | 02/15/2021 | 4.50% | 300,000 | 320,742 | ||||
America Movil SAB de CV (b) | 03/30/2020 | 5.00% | 500,000 | 534,678 | ||||
AT&T, Inc. | 03/11/2019 | 2.30% | 700,000 | 702,684 | ||||
CBS Corp. | 04/15/2020 | 5.75% | 250,000 | 275,960 | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 07/23/2020 | 3.58% | 400,000 | 408,094 | ||||
Comcast Corp. | 02/15/2018 | 5.88% | 435,000 | 456,099 | ||||
Discovery Communications LLC | 08/15/2019 | 5.63% | 415,000 | 448,341 | ||||
Hewlett Packard Enterprise Co. | 10/05/2018 | 2.85% | 297,000 | 300,000 | ||||
Oracle Corp. | 04/15/2018 | 5.75% | 230,000 | 242,985 | ||||
Oracle Corp. | 01/15/2019 | 2.38% | 165,000 | 167,208 | ||||
Orange SA (b) | 11/03/2019 | 1.63% | 390,000 | 383,799 | ||||
Rogers Communications, Inc. (b) | 08/15/2018 | 6.80% | 295,000 | 318,083 | ||||
Verizon Communications, Inc. | 09/14/2018 | 3.65% | 560,000 | 578,490 | ||||
Visa, Inc. | 12/14/2020 | 2.20% | 460,000 | 461,430 | ||||
Vodafone Group PLC (b) | 02/19/2018 | 1.50% | 435,000 | 433,384 | ||||
6,031,977 |
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) | 29 |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||
CORPORATE BONDS (continued) | ||||||||
Manufacturing: 7.67% | ||||||||
Abbott Laboratories | 11/30/2021 | 2.90% | $ | 345,000 | $ | 344,017 | ||
AbbVie, Inc. | 05/14/2020 | 2.50% | 505,000 | 505,132 | ||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (b) | 05/15/2019 | 3.75% | 450,000 | 458,437 | ||||
Altria Group, Inc. | 01/14/2020 | 2.63% | 295,000 | 298,362 | ||||
Anheuser-Busch InBev Finance, Inc. | 01/17/2018 | 1.25% | 255,000 | 254,771 | ||||
Anheuser-Busch InBev Finance, Inc. | 02/01/2021 | 2.65% | 250,000 | 251,436 | ||||
Apple, Inc. | 05/06/2019 | 2.10% | 250,000 | 252,372 | ||||
Archer-Daniels-Midland Co. | 03/01/2021 | 4.48% | 500,000 | 541,692 | ||||
Becton, Dickinson & Co. | 12/15/2019 | 2.68% | 196,000 | 198,864 | ||||
Bunge Ltd. Finance Corp. | 11/24/2020 | 3.50% | 295,000 | 300,258 | ||||
Celgene Corp. | 08/15/2018 | 2.13% | 305,000 | 306,225 | ||||
Chevron Corp. | 03/03/2020 | 1.96% | 195,000 | 194,351 | ||||
Dr. Pepper Snapple Group, Inc. | 11/15/2021 | 2.53% | 330,000 | 328,078 | ||||
Eastman Chemical Co. | 01/15/2020 | 2.70% | 250,000 | 251,462 | ||||
Ecolab, Inc. | 12/08/2017 | 1.45% | 200,000 | 199,803 | ||||
General Electric Capital Corp. | 05/01/2018 | 5.63% | 370,000 | 390,496 | ||||
General Electric Capital Corp. | 08/07/2019 | 6.00% | 410,000 | 452,995 | ||||
Ingersoll-Rand Luxembourg Finance SA (b) | 05/01/2020 | 2.63% | 500,000 | 501,108 | ||||
Kraft Heinz Foods Co. | 07/02/2018 | 2.00% | 400,000 | 400,090 | ||||
Merck & Co., Inc. | 05/18/2018 | 1.30% | 210,000 | 209,782 | ||||
Newell Brands, Inc. | 03/29/2019 | 2.60% | 345,000 | 348,786 | ||||
PepsiCo, Inc. | 10/14/2020 | 2.15% | 450,000 | 450,797 | ||||
Philip Morris International, Inc. | 02/25/2019 | 1.38% | 425,000 | 420,486 | ||||
Qualcomm, Inc. | 05/18/2018 | 1.40% | 430,000 | 429,942 | ||||
Reynolds American, Inc. | 06/12/2020 | 3.25% | 335,000 | 343,262 | ||||
Siemens Financieringsmaatschappij NV (Acquired 09/14/2016, Cost, $498,270) (a)(b) | 09/13/2019 | 1.30% | 500,000 | 490,558 | ||||
Tyson Foods, Inc. | 08/15/2019 | 2.65% | 340,000 | 343,241 | ||||
9,466,803 | ||||||||
Mining, Quarrying, and Oil and Gas Extraction: 0.50% | ||||||||
ConocoPhillips Co. | 03/15/2021 | 4.20% | 310,000 | 329,288 | ||||
Total Capital International SA (b) | 01/10/2019 | 2.13% | 290,000 | 292,306 | ||||
621,594 | ||||||||
Professional, Scientific, and Technical Services: 0.86% | ||||||||
Biogen, Inc. | 09/15/2020 | 2.90% | 300,000 | 303,826 | ||||
eBay, Inc. | 03/09/2018 | 2.50% | 500,000 | 504,390 | ||||
International Business Machines Corp. | 05/17/2019 | 1.80% | 250,000 | 250,107 | ||||
1,058,323 | ||||||||
Real Estate and Rental and Leasing: 0.33% | ||||||||
Air Lease Corp. | 06/01/2021 | 3.38% | 350,000 | 354,849 | ||||
Helios Leasing I LLC | 05/29/2024 | 2.02% | 16,319 | 16,146 | ||||
Helios Leasing I LLC | 07/24/2024 | 1.73% | 16,788 | 16,431 | ||||
Helios Leasing I LLC | 09/28/2024 | 1.56% | 16,705 | 16,191 | ||||
403,617 | ||||||||
Retail Trade: 1.86% | ||||||||
Amazon.com, Inc. | 12/05/2019 | 2.60% | 500,000 | 509,850 | ||||
BP Capital Markets (b) | 09/26/2018 | 2.24% | 250,000 | 251,870 | ||||
CVS Health Corp. | 12/05/2018 | 2.25% | 450,000 | 453,944 | ||||
Home Depot, Inc./The | 06/15/2019 | 2.00% | 500,000 | 504,354 | ||||
Hyundai Capital America (Acquired 12/02/2016, Cost, $310,558) (a) | 03/18/2021 | 3.00% | 310,000 | 309,670 | ||||
Walgreens Boots Alliance, Inc. | 11/18/2019 | 2.70% | 260,000 | 263,449 | ||||
2,293,137 | ||||||||
Transportation and Warehousing: 0.30% | ||||||||
Carnival Corp. (b) | 10/15/2020 | 3.95% | 350,000 | 369,102 |
30 | LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||
CORPORATE BONDS (continued) | ||||||||
Utilities: 1.80% | ||||||||
Dominion Resources, Inc. | 08/15/2019 | 1.60% | $ | 360,000 | $ | 354,511 | ||
Duke Energy Corp. | 09/15/2019 | 5.05% | 400,000 | 431,214 | ||||
Exelon Generation Co., LLC | 10/01/2019 | 5.20% | 500,000 | 535,881 | ||||
Northern States Power Co. | 08/15/2020 | 2.20% | 345,000 | 345,530 | ||||
Sempra Energy | 03/15/2020 | 2.40% | 305,000 | 304,550 | ||||
Southern Power Co. | 06/01/2018 | 1.50% | 255,000 | 253,842 | ||||
2,225,528 | ||||||||
Wholesale Trade: 0.97% | ||||||||
Cardinal Health, Inc. | 11/15/2019 | 2.40% | 255,000 | 256,859 | ||||
LyondellBasell Industries NV (b) | 04/15/2019 | 5.00% | 290,000 | 306,429 | ||||
McKesson Corp. | 03/15/2019 | 2.28% | 410,000 | 411,535 | ||||
Sysco Corp. | 10/01/2020 | 2.60% | 225,000 | 226,943 | ||||
1,201,766 | ||||||||
TOTAL CORPORATE BONDS (Cost $42,594,342) | 42,350,311 | |||||||
FOREIGN GOVERNMENT BOND: 0.01% | ||||||||
Petroleos Mexicanos (b) | 12/20/2022 | 2.00% | 15,000 | 14,964 | ||||
TOTAL FOREIGN GOVERNMENT BOND (Cost $15,000) | 14,964 | |||||||
MORTGAGE BACKED SECURITIES: 13.61% | ||||||||
Agate Bay Mortgage Trust, 2016-3 A5 (Acquired 08/08/2016, Cost, $534,166) (a) | 08/25/2046 | 3.50% | 521,235 | 529,990 | ||||
BXHTL Mortgage Trust, 2015-JWRZ A (Acquired 03/10/2016, Cost, $734,063) (a)(c) | 05/15/2029 | 1.93% | 750,000 | 752,118 | ||||
Citigroup Commercial Mortgage Trust, 2016-GC37 A1 | 04/12/2049 | 1.64% | 639,653 | 635,547 | ||||
Citigroup Mortgage Loan Trust, Inc., 2004-HE1 A (Acquired 12/20/2016, Cost, $432,950) (a)(c) | 09/25/2033 | 0.92% | 441,786 | 433,882 | ||||
Commercial Mortgage Trust | ||||||||
Series 2014-BBG A (Acquired 03/09/2016, Cost, $658,547) (a)(c) | 03/15/2029 | 1.50% | 675,000 | 672,063 | ||||
Series 2012-CR4 A2 (c) | 10/17/2045 | 1.80% | 200,000 | 200,589 | ||||
Series 2007-GG11 A4 | 12/10/2049 | 5.74% | 784,839 | 796,067 | ||||
CSMC Trust, 2015-2 A2 (Acquired 04/30/2015, Cost, $72,096) (a) | 02/25/2045 | 3.00% | 71,208 | 71,085 | ||||
Fannie Mae Aces | ||||||||
Series 2014-M13 ASQ2 | 11/25/2017 | 1.64% | 306,128 | 306,489 | ||||
Series 2012-M9 ASQ2 | 12/25/2017 | 1.51% | 247,203 | 247,559 | ||||
Series 2015-M1 ASQ2 | 02/25/2018 | 1.63% | 330,436 | 331,221 | ||||
Series 2013-M7 ASQ2 | 03/25/2018 | 1.23% | 28,695 | 28,558 | ||||
Series 2014-M8 FA (c) | 05/25/2018 | 0.78% | 174,247 | 173,942 | ||||
Series 2014-M10 ASQ2 (c) | 09/25/2019 | 2.17% | 270,000 | 271,100 | ||||
Series 2010-M3 A3 (c) | 03/25/2020 | 4.33% | 308,796 | 326,929 | ||||
Fannie Mae Connecticut Avenue Securities | ||||||||
Series 2014-C01 M1 (c) | 01/25/2024 | 2.36% | 104,615 | 105,163 | ||||
Series 2014-C02 1M1 (c) | 05/28/2024 | 1.53% | 169,952 | 170,322 | ||||
Series 2014-C03 1M1 (c) | 07/25/2024 | 1.78% | 105,251 | 105,528 | ||||
Series 2015-C03 2M1 (c) | 07/25/2025 | 2.09% | 164,748 | 165,072 | ||||
Series 2016-C03 2M1 (c) | 10/25/2028 | 2.79% | 475,389 | 480,301 | ||||
Fannie Mae Pool | 07/01/2017 | 1.50% | 35,000 | 34,988 | ||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||
Series K-701 A2 (c) | 11/25/2017 | 3.88% | 50,000 | 50,859 | ||||
Series K-702 A2 | 02/25/2018 | 3.15% | 741,931 | 752,962 | ||||
Series K-705 A2 (c) | 09/25/2018 | 2.30% | 285,000 | 288,278 | ||||
Series K-708 A2 | 01/25/2019 | 2.13% | 29,790 | 30,059 | ||||
Series K-709 A2 | 03/25/2019 | 2.09% | 25,000 | 25,193 | ||||
Series K-710 A2 | 05/25/2019 | 1.88% | 50,000 | 50,247 | ||||
Series K-P02 A2 (c) | 04/25/2021 | 2.36% | 420,000 | 421,975 | ||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||
Series 2013-DN2 M1 (c) | 11/27/2023 | 2.04% | 80,516 | 80,701 | ||||
Series 2016-DNA2 M1 (c) | 10/25/2028 | 1.69% | 354,737 | 355,167 |
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) | 31 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||
MORTGAGE BACKED SECURITIES (continued) | |||||||||||
FREMF Mortgage Trust | |||||||||||
Series 2011-K704 B (Acquired 03/01/2016, Cost, $413,474) (a)(c) | 10/25/2030 | 4.69% | $ | 400,000 | $ | 414,138 | |||||
Series 2011-K702 B (Acquired 06/16/2016, Cost, $546,067) (a)(c) | 04/25/2044 | 4.77% | 525,000 | 540,505 | |||||||
Series 2012-K708 B (Acquired 04/21/2015, Cost, $156,368) (a)(c) | 02/25/2045 | 3.75% | 150,000 | 153,847 | |||||||
Series 2013-K502 B (Acquired 05/06/2015, Cost, $126,503) (a)(c) | 03/25/2045 | 2.61% | 125,000 | 125,225 | |||||||
Series 2013-KF02 B (Acquired 04/06/2015, Cost, $46,991) (a)(c) | 12/25/2045 | 3.53% | 45,874 | 46,020 | |||||||
Series 2011-K10 (Acquired 11/22/2016, Cost, $412,656) (a)(c) | 11/25/2049 | 4.63% | 386,000 | 409,146 | |||||||
GAHR Commercial Mortgage Trust, 2015-NRF AFL1 (Acquired 05/07/2015 through 08/04/2016, Cost, $368,261) (a)(c) | 12/15/2034 | 2.00% | 366,609 | 367,178 | |||||||
GP Portfolio Trust, 2014-GPP A (Acquired 04/29/2016, Cost, $249,630) (a)(c) | 02/16/2027 | 1.65% | 251,121 | 251,667 | |||||||
GS Mortgage Securities Trust | |||||||||||
Series 2014-GSFL A (Acquired 08/06/2014, Cost, $34,084) (a)(c) | 07/15/2031 | 1.70% | 34,084 | 34,075 | |||||||
Series 2011-GC5 A2 | 08/10/2044 | 3.00% | 3,271 | 3,269 | |||||||
Series 2007-GG10 A4 (c) | 08/10/2045 | 5.79% | 580,702 | 584,318 | |||||||
JP Morgan Mortgage Trust, 2016-1 A5 (Acquired 06/09/2016, Cost, $336,948) (a) | 05/25/2046 | 3.50% | 328,057 | 333,363 | |||||||
JPMBB Commercial Mortgage Securities Trust, 2013-C12 A2 | 07/17/2045 | 2.42% | 176,030 | 177,645 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | |||||||||||
Series 2010-C2 A2 (Acquired 01/26/2016, Cost, $221,699) (a) | 11/18/2043 | 3.62% | 215,657 | 218,884 | |||||||
Series 2012-C8 ASB | 10/17/2045 | 2.38% | 50,000 | 50,233 | |||||||
Series 2011-C3 A3 (Acquired 08/26/2015 through 03/03/2016, Cost, $721,984) (a) | 02/16/2046 | 4.39% | 689,745 | 710,248 | |||||||
Series 2007-CB20 A4 (c) | 02/12/2051 | 5.79% | 467,240 | 474,407 | |||||||
LB Commercial Mortgage Trust, 2007-C3 A4B | 07/15/2044 | 5.52% | 27,633 | 28,020 | |||||||
MASTR Asset Securitization Trust | |||||||||||
Series 2003-2 1A1 | 03/25/2018 | 5.00% | 42,600 | 42,555 | |||||||
Series 2004-1 4A1 | 02/25/2019 | 4.50% | 74,570 | 74,869 | |||||||
Morgan Stanley Re-REMIC Trust, 2010-R1 3A (Acquired 05/05/2016, Cost, $218,070) (a)(c) | 07/26/2035 | 3.18% | 217,390 | 216,197 | |||||||
New Residential Mortgage Loan Trust | |||||||||||
Series 2015-1A A3 (Acquired 03/09/2016 through 04/19/2016, Cost, $403,825) (a) | 05/28/2052 | 3.75% | 394,791 | 406,268 | |||||||
Series 2014-2A A3 (Acquired 02/18/2016, Cost, $269,241) (a)(c) | 05/25/2054 | 3.75% | 262,671 | 269,414 | |||||||
Series 2016-1A A1 (Acquired 03/29/2016, Cost, $406,704) (a) | 03/25/2056 | 3.75% | 395,418 | 401,169 | |||||||
Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates, 2005-1 M3 (c) | 02/25/2035 | 1.61% | 200,000 | 199,506 | |||||||
RBSSP Resecuritization Trust, 2009-7 (Acquired 12/14/2016, Cost, $376,911) (a)(c) | 06/26/2037 | 0.98% | 390,076 | 374,140 | |||||||
SBA Tower Trust, 2012-1 A (Acquired 09/03/2014, Cost, $40,826) (a) | 12/15/2042 | 2.93% | 40,000 | 40,041 | |||||||
Sequoia Mortgage Trust, 2015-3 A4 (Acquired 06/19/2015, Cost, $119,258) (a)(c) | 07/25/2045 | 3.50% | 117,911 | 119,891 | |||||||
UBS-Citigroup Commercial Mortgage Trust, 2011-C1 A2 | 01/12/2045 | 2.80% | 106 | 106 | |||||||
Vornado DP LLC Trust, 2010-VN0 A1 (Acquired 03/01/2016, Cost, $430,913) (a) | 09/14/2028 | 2.97% | 422,320 | 430,826 | |||||||
Wells Fargo Commercial Mortgage Trust | |||||||||||
Series 2015-C26 A1 | 02/18/2048 | 1.45% | 76,858 | 76,533 | |||||||
Series 2015-LC22 A1 | 09/17/2058 | 1.64% | 188,978 | 188,462 | |||||||
WFRBS Commercial Mortgage Trust, 2012-C8 A2 | 08/17/2045 | 1.88% | 144,524 | 144,764 | |||||||
TOTAL MORTGAGE BACKED SECURITIES (Cost $16,817,892) | 16,800,883 | ||||||||||
MUNICIPAL BONDS: 0.36% | |||||||||||
City of Lubbock, TX | 02/15/2018 | 4.44% | 25,000 | 25,969 | |||||||
County of Forsyth, NC | 04/01/2020 | 3.55% | 30,000 | 31,629 | |||||||
Maricopa County School District No. 28 Kyrene Elementary | 07/01/2019 | 5.38% | 15,000 | 16,408 | |||||||
North Carolina Eastern Municipal Power Agency | 07/01/2018 | 2.00% | 60,000 | 60,299 | |||||||
Rosemount-Apple Valley-Eagan Independent School District No. 196 | 02/01/2019 | 5.00% | 25,000 | 26,756 | |||||||
St. Paul Housing & Redevelopment Authority | 07/01/2018 | 1.84% | 60,000 | 60,118 | |||||||
State of Hawaii | 02/01/2017 | 3.73% | 25,000 | 25,052 | |||||||
State of Mississippi | 11/01/2017 | 1.35% | 30,000 | 30,020 | |||||||
State of Ohio | 04/01/2018 | 3.66% | 45,000 | 46,321 | |||||||
State of Tennessee | 05/01/2017 | 3.82% | 25,000 | 25,255 | |||||||
State of Texas | 10/01/2017 | 2.50% | 25,000 | 25,309 | |||||||
State of Washington | 02/01/2017 | 3.04% | 40,000 | 40,066 | |||||||
University of Texas System | 08/15/2018 | 3.81% | 25,000 | 26,002 | |||||||
TOTAL MUNICIPAL BONDS (Cost $436,842) | 439,204 |
32 | LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||
U.S. GOVERNMENT AGENCY ISSUES: 14.57% | |||||||||||
Federal Farm Credit Banks Funding Corp. | 03/03/2017 | 0.65% | $ | 500,000 | $ | 500,212 | |||||
Federal Farm Credit Banks Funding Corp. | 09/14/2018 | 0.88% | 650,000 | 646,571 | |||||||
Federal Home Loan Banks | 01/16/2019 | 1.25% | 3,325,000 | 3,323,840 | |||||||
Federal Home Loan Banks | 08/05/2019 | 0.88% | 1,500,000 | 1,478,770 | |||||||
Federal Home Loan Banks | 02/18/2021 | 1.38% | 985,000 | 966,345 | |||||||
Federal Home Loan Banks | 07/14/2021 | 1.13% | 1,200,000 | 1,158,312 | |||||||
Federal Home Loan Mortgage Corp. | 07/19/2019 | 0.88% | 2,515,000 | 2,481,779 | |||||||
Federal Home Loan Mortgage Corp. | 08/12/2021 | 1.13% | 1,260,000 | 1,213,074 | |||||||
Federal National Mortgage Association | 08/02/2019 | 0.88% | 1,170,000 | 1,153,747 | |||||||
Federal National Mortgage Association | 08/28/2019 | 1.00% | 2,140,000 | 2,116,227 | |||||||
Federal National Mortgage Association | 10/24/2019 | 1.00% | 1,165,000 | 1,148,895 | |||||||
Federal National Mortgage Association | 10/07/2021 | 1.38% | 1,750,000 | 1,702,523 | |||||||
Ginnie Mae II Pool | 07/20/2060 | 5.31% | 19,536 | 20,534 | |||||||
Ginnie Mae II Pool | 07/20/2062 | 4.56% | 22,876 | 23,986 | |||||||
Ginnie Mae II Pool | 08/20/2062 | 4.10% | 46,788 | 48,696 | |||||||
TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $18,212,538) | 17,983,511 | ||||||||||
U.S. GOVERNMENT NOTES: 3.21% | |||||||||||
United States Treasury Note | 07/31/2021 | 1.13% | 505,000 | 488,154 | |||||||
United States Treasury Note | 08/15/2021 | 2.13% | 900,000 | 908,543 | |||||||
United States Treasury Note | 08/31/2021 | 2.00% | 630,000 | 632,510 | |||||||
United States Treasury Note | 10/31/2021 | 1.25% | 2,000,000 | 1,939,375 | |||||||
TOTAL U.S. GOVERNMENT NOTES (Cost $4,030,187) | 3,968,582 | ||||||||||
SHORT TERM INVESTMENTS: 4.04% | |||||||||||
U.S. GOVERNMENT NOTE: 0.81% | |||||||||||
United States Treasury Note | 10/15/2017 | 0.88% | 1,000,000 | 1,000,273 | |||||||
TOTAL U.S. GOVERNMENT NOTE (Cost $1,000,313) | 1,000,273 | ||||||||||
MONEY MARKET FUND: 3.23% | Shares | ||||||||||
STIT-Government & Agency Portfolio, Institutional Class, 0.43% (d)(e) | 3,985,481 | 3,985,481 | |||||||||
TOTAL MONEY MARKET FUND (Cost $3,985,481) | 3,985,481 | ||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $4,985,794) | 4,985,754 | ||||||||||
TOTAL INVESTMENTS (Cost $106,280,711): 85.69% | 105,780,451 | ||||||||||
Other Assets in Excess of Liabilities: 14.31% (f) | 17,666,944 | ||||||||||
TOTAL NET ASSETS: 100.00% | $ | 123,447,395 |
(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 December 31, 2016, the value of these securities total $20,785,689 which represents 16.84% of total net assets. |
(b) | Foreign issued security. |
(c) | Variable rate security. The rate reported is the rate in effect as of December 31, 2016. |
(d) | The rate quoted is the annualized seven-day effective yield as of December 31, 2016. |
(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 | 33 |
Unrealized | ||||||||
Appreciation | ||||||||
Termination Date | Reference Index | Notional | (Depreciation)* | Counterparty | ||||
12/20/2017 | LoCorr Commodities Index^ | $125,600,000 | $(18,990,950) | 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 and 3. |
* | Unrealized depreciation is a payable on the Fund’s consolidated statement of assets and liabilities. |
34 | LoCorr Multi-Strategy Fund - Consolidated Schedule of Investments |
Shares | Value | ||||||
BUSINESS DEVELOPMENT COMPANIES: 3.54% | |||||||
Ares Capital Corp. | 38,665 | $ | 637,586 | ||||
Hercules Capital, Inc. | 34,029 | 480,149 | |||||
Prospect Capital Corp. | 32,906 | 274,765 | |||||
TOTAL BUSINESS DEVELOPMENT COMPANIES (Cost $1,264,681) | 1,392,500 | ||||||
CLOSED-END INVESTMENT COMPANIES: 6.85% | |||||||
AllianzGI Convertible & Income Fund II | 80,482 | 459,552 | |||||
Invesco Dynamic Credit Opportunities Fund | 50,235 | 617,891 | |||||
Invesco Senior Income Trust | 103,095 | 478,361 | |||||
Nuveen Credit Strategies Income Fund | 55,131 | 487,909 | |||||
Nuveen Quality Preferred Income Fund 2 | 22,868 | 212,901 | |||||
Western Asset Global High Income Fund, Inc. | 44,636 | 438,772 | |||||
TOTAL CLOSED-END INVESTMENT COMPANIES: (Cost $2,542,870) | 2,695,386 | ||||||
COMMON STOCKS: 31.89% | |||||||
Construction: 2.15% | |||||||
MasTec, Inc. (a) | 22,078 | 844,484 | |||||
Finance and Insurance: 7.99% | |||||||
Apollo Global Management LLC | 24,276 | 469,983 | |||||
Artisan Partners Asset Management, Inc. | 14,489 | 431,048 | |||||
Credit Acceptance Corp. (a) | 10,310 | 2,242,528 | |||||
3,143,559 | |||||||
Information: 5.48% | |||||||
Frontier Communications Corp. | 113,559 | 383,830 | |||||
Gogo, Inc. (a) | 109,916 | 1,013,425 |
LoCorr Multi-Strategy Fund - Consolidated Schedule of Investments (continued) | 35 |
Shares | Value | ||||||
COMMON STOCKS (continued) | |||||||
Nexstar Broadcasting Group, Inc. | 9,877 | $ | 625,214 | ||||
Sinclair Broadcast Group, Inc. | 3,955 | 131,899 | |||||
2,154,368 | |||||||
Manufacturing: 3.52% | |||||||
BP Prudhoe Bay Royalty Trust | 7,763 | 184,371 | |||||
Tenneco, Inc. (a) | 19,195 | 1,199,112 | |||||
1,383,483 | |||||||
Mining, Quarrying, and Oil and Gas Extraction: 1.06% | |||||||
EnLink Midstream LLC | 11,152 | 212,445 | |||||
Seadrill Partners LLC (b) | 48,770 | 204,834 | |||||
417,279 | |||||||
Real Estate and Rental and Leasing: 0.78% | |||||||
United Rentals, Inc. (a) | 2,922 | 308,505 | |||||
Retail Trade: 5.47% | |||||||
Signet Jewelers Ltd (b) | 10,393 | 979,644 | |||||
Tailored Brands, Inc. | 45,795 | 1,170,062 | |||||
2,149,706 | |||||||
Transportation and Warehousing: 5.44% | |||||||
DHT Holdings, Inc. (b) | 35,854 | 148,435 | |||||
Euronav NV (b) | 19,568 | 155,566 | |||||
Fortress Transportation & Infrastructure Investors LLC | 30,739 | 408,829 | |||||
GasLog Partners LP (b) | 10,845 | 222,865 | |||||
Golar LNG Partners LP (b) | 12,300 | 295,692 | |||||
Scorpio Tankers, Inc. (b) | 93,986 | 425,757 | |||||
Ship Finance International Ltd. (b) | 32,484 | 482,387 | |||||
2,139,531 | |||||||
TOTAL COMMON STOCKS (Cost $10,751,235) | 12,540,915 | ||||||
CONVERTIBLE PREFERRED STOCK: 2.11% | |||||||
Kinder Morgan, Inc. | 17,079 | 830,893 | |||||
TOTAL CONVERTIBLE PREFERRED STOCK (Cost $727,917) | 830,893 | ||||||
Units | |||||||
MASTER LIMITED PARTNERSHIPS: 12.43% | |||||||
Arts, Entertainment, and Recreation: 1.04% | |||||||
Cedar Fair LP | 6,376 | 409,339 | |||||
Manufacturing: 2.03% | |||||||
CVR Partners LP | 76,827 | 461,731 | |||||
Terra Nitrogen Co. LP | 3,275 | 336,375 | |||||
798,106 | |||||||
Mining, Quarrying, and Oil and Gas Extraction: 1.77% | |||||||
Enterprise Products Partners LP | 16,620 | 449,405 | |||||
SunCoke Energy Partners LP | 12,773 | 245,880 | |||||
695,285 | |||||||
Other Services (except Public Administration): 1.42% | |||||||
StoneMor Partners LP | 62,936 | 560,760 | |||||
Retail Trade: 3.77% | |||||||
Crestwood Equity Partners LP | 28,087 | 717,623 | |||||
Global Partners LP | 39,328 | 764,929 | |||||
1,482,552 | |||||||
Transportation and Warehousing: 1.87% | |||||||
Energy Transfer Partners LP | 12,660 | 453,355 | |||||
Summit Midstream Partners LP | 3,098 | 77,915 | |||||
Targa Resources Corp. | 3,605 | 202,132 | |||||
733,402 |
36 | LoCorr Multi-Strategy Fund - Consolidated Schedule of Investments (continued) |
Units | Value | ||||||
MASTER LIMITED PARTNERSHIPS (continued) | |||||||
Wholesale Trade: 0.53% | |||||||
Martin Midstream Partners LP | 11,426 | $ | 209,667 | ||||
TOTAL MASTER LIMITED PARTNERSHIPS (Cost $5,054,071) | 4,889,111 | ||||||
PUBLICLY TRADED PARTNERSHIPS: 4.16% | |||||||
AllianceBernstein Holding LP | 16,710 | 391,850 | |||||
Blackstone Group LP/The | 31,172 | 842,579 | |||||
Carlyle Group LP/The | 26,260 | 400,465 | |||||
TOTAL PUBLICLY TRADED PARTNERSHIPS (Cost $1,585,980) | 1,634,894 | ||||||
Shares | |||||||
REAL ESTATE INVESTMENT TRUSTS: 13.39% | |||||||
Annaly Capital Management, Inc. | 58,992 | 588,150 | |||||
Apollo Commercial Real Estate Finance, Inc. | 60,481 | 1,005,194 | |||||
Care Capital Properties, Inc. | 14,597 | 364,925 | |||||
Communications Sales & Leasing, Inc. | 18,304 | 465,105 | |||||
Digital Realty Trust, Inc. | 14,838 | 402,852 | |||||
Hospitality Properties Trust | 19,842 | 629,785 | |||||
Ladder Capital Corp. | 29,193 | 400,528 | |||||
LaSalle Hotel Properties | 6,965 | 212,223 | |||||
Starwood Property Trust, Inc. | 27,604 | 605,908 | |||||
Two Harbors Investment Corp. | 23,033 | 200,848 | |||||
Washington Prime Group, Inc. | 37,446 | 389,813 | |||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $5,218,449) | 5,265,331 | ||||||
SHORT TERM INVESTMENT: 13.12% | |||||||
MONEY MARKET FUND: 13.12% | |||||||
STIT-Government & Agency Portfolio, Institutional Class, 0.43% (c)(d) | 5,161,976 | 5,161,976 | |||||
TOTAL MONEY MARKET FUND (Cost $5,161,976) | 5,161,976 | ||||||
TOTAL SHORT TERM INVESTMENT (Cost $5,161,976) | 5,161,976 | ||||||
TOTAL INVESTMENTS (Cost $32,307,179): 87.49% | 34,411,006 | ||||||
Other Assets in Excess of Liabilities: 12.51% (e) | 4,922,224 | ||||||
TOTAL NET ASSETS: 100.00% | $ | 39,333,230 |
(a) | Non-dividend income producing security. |
(b) | Foreign issued security. |
(c) | The rate quoted is the annualized seven-day effective yield as of December 31, 2016. |
(d) | All or a portion of this security is held by LCMSF Fund Limited and pledged as collateral for swap contracts. |
(e) | Includes assets pledged as collateral for swap contracts. |
LoCorr Multi-Strategy Fund - Consolidated Schedule of Securities Sold Short | 37 |
Shares | Value | ||||||
COMMON STOCKS: (2.35)% | |||||||
Manufacturing: (1.30)% | |||||||
Owens Corning | (9,925 | ) | $ | (511,733) | |||
Other Services (except Public Administration): (1.05)% | |||||||
Regis Corp. (a) | (28,436 | ) | (412,891) | ||||
TOTAL COMMON STOCKS (Proceeds $933,409) | (924,624) | ||||||
TOTAL SECURITIES SOLD SHORT (Proceeds $933,409) | $ | (924,624) |
(a) | Non-dividend expense producing security. |
38 | LoCorr Multi-Strategy Fund - Consolidated Schedule of Swap Contracts |
Unrealized | ||||||||
Appreciation | ||||||||
Termination Date | Reference Index | Notional | (Depreciation)* | Counterparty | ||||
04/14/2020 | LoCorr Multi-Strategy Index^ | $39,982,500 | $(3,704,355) | 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 and 3. |
* | Unrealized depreciation is a payable on the Fund’s consolidated statement of assets and liabilities. |
LoCorr Market Trend Fund - Consolidated Schedule of Investments | 39 |
LoCorr Market Trend Fund
December 31, 2016 (Unaudited)
Consolidated Schedule of Investments
December 31, 2016
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||
ASSET BACKED SECURITIES: 22.64% | ||||||||||||
AEP Texas Central Transition Funding II LLC, 2006-2 A4 | 01/01/2020 | 5.17 | % | $ | 3,016,295 | $ | 3,069,851 | |||||
AEP Texas Central Transition Funding III LLC, 2012-1 A1 | 12/01/2018 | 0.88 | % | 1,848,434 | 1,846,746 | |||||||
Ally Auto Receivables Trust, 2014-2 A3 | 04/15/2019 | 1.25 | % | 5,052,042 | 5,054,021 | |||||||
American Express Credit Account Master Trust | ||||||||||||
Series 2012-1 A (c) | 01/15/2020 | 0.97 | % | 1,590,000 | 1,590,902 | |||||||
Series 2014-4 A | 06/15/2020 | 1.43 | % | 5,000,000 | 5,008,285 | |||||||
AmeriCredit Automobile Receivables Trust, 2016-3 A2A | 11/08/2019 | 1.37 | % | 7,000,000 | 7,003,778 | |||||||
BA Credit Card Trust | ||||||||||||
Series 2014-A2 A (c) | 09/16/2019 | 0.97 | % | 6,000,000 | 6,001,178 | |||||||
Series 2014-3A A (c) | 01/15/2020 | 0.99 | % | 7,990,000 | 7,995,546 | |||||||
Barclays Dryrock Issuance Trust, 2014-2 A (c) | 03/16/2020 | 1.04 | % | 12,000,000 | 12,002,077 | |||||||
Cabela’s Credit Card Master Note Trust | ||||||||||||
Series 2012-1A A2 (Acquired 02/27/2015 through 02/25/2016, Cost, $7,130,371) (a)(c) | 02/18/2020 | 1.23 | % | 7,130,000 | 7,131,469 | |||||||
Series 2012-1A A1 (Acquired 08/31/2015, Cost, $5,002,890) (a) | 02/18/2020 | 1.63 | % | 5,000,000 | 5,003,293 | |||||||
Series 2014-1 A (c) | 03/16/2020 | 1.05 | % | 3,220,000 | 3,220,294 | |||||||
California Republic Auto Receivables Trust | ||||||||||||
Series 2013-2 A2 | 03/15/2019 | 1.23 | % | 1,756,201 | 1,756,537 | |||||||
Series 2015-1 A3 | 04/15/2019 | 1.33 | % | 517,052 | 517,345 | |||||||
Capital Auto Receivables Asset Trust | ||||||||||||
Series 2015-1 A2 | 06/20/2018 | 1.42 | % | 1,520,652 | 1,520,973 | |||||||
Series 2016-1 A2A | 11/20/2018 | 1.50 | % | 5,682,930 | 5,689,910 | |||||||
Capital One Multi-Asset Execution Trust | ||||||||||||
Series 2007-A2 (c) | 12/16/2019 | 0.78 | % | 2,300,000 | 2,300,000 | |||||||
Series 2015-A6 (c) | 06/15/2020 | 1.07 | % | 3,500,000 | 3,504,858 | |||||||
Series 2007-A7 | 07/15/2020 | 5.75 | % | 4,895,000 | 5,051,354 |
The accompanying notes are an integral part of these consolidated financial statements.
40 | LoCorr Market Trend Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||
CarMax Auto Owner Trust | ||||||||||||
Series 2013-1 A4 | 08/15/2018 | 0.89 | % | $ | 2,557,670 | $ | 2,555,952 | |||||
Series 2014-1 A3 | 10/15/2018 | 0.79 | % | 986,021 | 985,378 | |||||||
CenterPoint Energy Restoration Bond Co. LLC, 2009-1 A2 | 08/15/2019 | 3.46 | % | 3,217,067 | 3,260,591 | |||||||
CenterPoint Energy Transition Bond Co. II LLC, 2005-A A4 | 08/01/2019 | 5.17 | % | 704,083 | 708,739 | |||||||
CenterPoint Energy Transition Bond Co. IV LLC, 2012-1 A1 | 04/15/2018 | 0.90 | % | 2,358,294 | 2,357,427 | |||||||
Chase Issuance Trust | ||||||||||||
Series 2007-A3 | 04/15/2019 | 5.23 | % | 3,315,000 | 3,330,346 | |||||||
Series 2014-A7 | 11/15/2019 | 1.38 | % | 4,405,000 | 4,408,827 | |||||||
Chrysler Capital Auto Receivables Trust, 2016-B A2 (Acquired 10/26/2016, Cost, $3,999,592) (a) | 01/15/2020 | 1.36 | % | 4,000,000 | 3,994,648 | |||||||
Citibank Credit Card Issuance Trust | ||||||||||||
Series 2007-A8 | 09/20/2019 | 5.65 | % | 13,600,000 | 14,021,965 | |||||||
Series 2008-A1 | 02/07/2020 | 5.35 | % | 4,270,000 | 4,455,165 | |||||||
Discover Card Execution Note Trust, 2007-A1 | 03/16/2020 | 5.65 | % | 10,400,000 | 10,714,597 | |||||||
Entergy Gulf States Reconstruction Funding 1 LLC, 2007-A A2 | 10/01/2018 | 5.79 | % | 2,114,196 | 2,153,847 | |||||||
Entergy Texas Restoration Funding LLC, 2009-A A2 | 08/01/2019 | 3.65 | % | 556,052 | 564,215 | |||||||
Ford Credit Auto Owner Trust, 2016-A A2A | 12/15/2018 | 1.12 | % | 3,307,383 | 3,307,817 | |||||||
Honda Auto Receivables Owner Trust | ||||||||||||
Series 2015-3 A2 | 11/20/2017 | 0.92 | % | 980,121 | 979,985 | |||||||
Series 2015-2 A3 | 02/21/2019 | 1.04 | % | 4,966,078 | 4,960,794 | |||||||
Series 2016-1 A3 | 12/18/2019 | 1.22 | % | 9,000,000 | 8,979,252 | |||||||
Huntington Auto Trust, 2015-1 A3 | 09/16/2019 | 1.24 | % | 7,531,308 | 7,526,918 | |||||||
Hyundai Auto Lease Securitization Trust, 2016-A A2A (Acquired 01/26/2016, Cost, $3,466,435) (a) | 07/16/2018 | 1.33 | % | 3,466,538 | 3,468,655 | |||||||
Hyundai Auto Receivables Trust, 2014-B A3 | 12/17/2018 | 0.90 | % | 1,972,853 | 1,971,322 | |||||||
John Deere Owner Trust, 2015-A A3 | 06/17/2019 | 1.32 | % | 1,500,000 | 1,500,380 | |||||||
Nissan Auto Receivables Owner Trust, 2016-A A3 | 10/15/2020 | 1.34 | % | 5,737,000 | 5,719,769 | |||||||
Ohio Phase-In-Recovery Funding LLC, 2013-1 A1 | 07/01/2018 | 0.96 | % | 3,609,286 | 3,607,401 | |||||||
Santander Drive Auto Receivables Trust, 2016-2 A2A | 07/15/2019 | 1.38 | % | 3,428,082 | 3,429,523 | |||||||
Susquehanna Auto Receivables Trust, 2014-1A A3 (Acquired 12/22/2015, Cost, $277,837) (a) | 02/15/2018 | 1.00 | % | 278,392 | 278,364 | |||||||
Synchrony Credit Card Master Note Trust | ||||||||||||
Series 2010-2 A | 03/15/2020 | 4.47 | % | 5,435,000 | 5,471,145 | |||||||
Series 2012-6 A | 08/15/2020 | 1.36 | % | 6,771,000 | 6,774,777 | |||||||
Series 2014-1 A | 11/15/2020 | 1.61 | % | 9,300,000 | 9,317,455 | |||||||
TCF Auto Receivables Owner Trust, 2015-1A A3 (Acquired 09/14/2016, Cost, $6,998,850) (a) | 04/15/2021 | 1.71 | % | 7,000,000 | 6,961,219 | |||||||
Toyota Auto Receivables Owner Trust, 2016-D A2A | 05/15/2019 | 1.06 | % | 12,000,000 | 11,977,004 | |||||||
Verizon Owner Trust, 2016-A 1A (Acquired 07/12/2016, Cost, $4,159,299) (a) | 01/20/2021 | 1.42 | % | 4,160,000 | 4,131,048 | |||||||
Volkswagen Auto Loan Enhanced Trust, 2014-1 A3 | 10/22/2018 | 0.91 | % | 1,927,720 | 1,925,202 | |||||||
TOTAL ASSET BACKED SECURITIES (Cost $231,332,589) | 231,068,144 | |||||||||||
CORPORATE BONDS: 0.46% | ||||||||||||
Finance and Insurance: 0.29% | ||||||||||||
Bank of Montreal (Acquired 12/04/2014 through 06/18/2015, Cost, $3,002,458) (a)(b) | 01/30/2017 | 1.95 | % | 3,000,000 | 3,001,827 | |||||||
Manufacturing: 0.17% | ||||||||||||
Johnson & Johnson | 07/15/2018 | 5.15 | % | 1,595,000 | 1,686,269 | |||||||
TOTAL CORPORATE BONDS (Cost $4,692,454) | 4,688,096 | |||||||||||
FOREIGN GOVERNMENT BONDS: 1.42% | ||||||||||||
European Investment Bank (b) | 03/15/2018 | 1.00 | % | 6,000,000 | 5,976,942 | |||||||
European Investment Bank (b) | 05/15/2018 | 1.25 | % | 1,000,000 | 998,244 | |||||||
European Investment Bank (b) | 08/15/2018 | 1.13 | % | 2,500,000 | 2,489,110 | |||||||
International Bank for Reconstruction & Development (b) | 11/15/2017 | 1.00 | % | 5,000,000 | 4,986,575 | |||||||
TOTAL FOREIGN GOVERNMENT BONDS (Cost $14,478,080) | 14,450,871 |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Market Trend Fund - Consolidated Schedule of Investments (continued) | 41 |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||
MORTGAGE BACKED SECURITIES: 10.04% | ||||||||||||
Fannie Mae Aces | ||||||||||||
Series 2012-M13 ASQ2 | 08/25/2017 | 1.25 | % | $ | 963,811 | $ | 963,167 | |||||
Series 2014-M13 ASQ2 | 11/25/2017 | 1.64 | % | 5,384,786 | 5,391,149 | |||||||
Series 2014-M6 FA (c) | 12/25/2017 | 0.82 | % | 367,122 | 367,239 | |||||||
Series 2015-M1 ASQ2 | 02/25/2018 | 1.63 | % | 5,283,360 | 5,295,912 | |||||||
Series 2015-M7 ASQ2 | 04/25/2018 | 1.55 | % | 3,725,000 | 3,727,136 | |||||||
Series 2014-M8 FA (c) | 05/25/2018 | 0.78 | % | 2,038,695 | 2,035,123 | |||||||
Series 2013-M13 FA (c) | 05/25/2018 | 1.11 | % | 2,501,844 | 2,501,910 | |||||||
Series 2013-M14 FA (c) | 08/25/2018 | 1.11 | % | 1,299,314 | 1,301,058 | |||||||
Series 2009-M2 A3 | 01/25/2019 | 4.00 | % | 2,262,891 | 2,355,951 | |||||||
Series 2014-M10 ASQ2 (c) | 09/25/2019 | 2.17 | % | 4,880,000 | 4,899,874 | |||||||
Series 2010-M1 A2 | 09/25/2019 | 4.45 | % | 3,374,461 | 3,575,271 | |||||||
Series 2010-M3 A3 (c) | 03/25/2020 | 4.33 | % | 3,165,596 | 3,351,491 | |||||||
Fannie Mae Pool | 04/01/2017 | 1.92 | % | 2,500,000 | 2,498,265 | |||||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||||||
Series K-701 A2 (c) | 11/25/2017 | 3.88 | % | 5,000,000 | 5,085,929 | |||||||
Series K-703 A2 | 05/25/2018 | 2.70 | % | 3,951,307 | 4,006,349 | |||||||
Series K-705 A2 (c) | 09/25/2018 | 2.30 | % | 4,000,000 | 4,046,005 | |||||||
Series K-706 A2 | 10/25/2018 | 2.32 | % | 6,861,306 | 6,948,427 | |||||||
Series K-708 A2 | 01/25/2019 | 2.13 | % | 1,390,190 | 1,402,764 | |||||||
Series K-P03 A2 | 07/25/2019 | 1.78 | % | 10,000,000 | 9,966,197 | |||||||
Series K006 A1 | 07/25/2019 | 3.40 | % | 1,601,505 | 1,638,791 | |||||||
Series K-504 A1 | 10/25/2019 | 1.68 | % | 5,621,507 | 5,606,820 | |||||||
Series K-504 A2 | 09/25/2020 | 2.57 | % | 10,250,000 | 10,427,337 | |||||||
NCUA Guaranteed Notes Trust | ||||||||||||
Series 2011-R1 1A (c) | 01/08/2020 | 1.10 | % | 7,135,562 | 7,149,786 | |||||||
Series 2010-R1 1A (c) | 10/07/2020 | 1.10 | % | 7,902,515 | 7,911,584 | |||||||
TOTAL MORTGAGE BACKED SECURITIES (Cost $102,366,308) | 102,453,535 | |||||||||||
U.S. GOVERNMENT AGENCY ISSUES: 41.31% | ||||||||||||
Federal Farm Credit Banks Funding Corp. | 03/03/2017 | 0.65 | % | 2,500,000 | 2,501,062 | |||||||
Federal Farm Credit Banks Funding Corp. | 09/14/2018 | 0.88 | % | 22,000,000 | 21,883,928 | |||||||
Federal Farm Credit Banks Funding Corp. | 09/27/2019 | 1.55 | % | 13,000,000 | 13,015,808 | |||||||
Federal Home Loan Banks | 12/08/2017 | 1.13 | % | 35,000,000 | 35,087,045 | |||||||
Federal Home Loan Banks | 12/08/2017 | 2.13 | % | 5,000,000 | 5,057,350 | |||||||
Federal Home Loan Banks | 03/19/2018 | 0.88 | % | 13,335,000 | 13,313,491 | |||||||
Federal Home Loan Banks | 06/29/2018 | 0.88 | % | 10,740,000 | 10,702,657 | |||||||
Federal Home Loan Banks | 08/07/2018 | 0.63 | % | 30,000,000 | 29,761,560 | |||||||
Federal Home Loan Banks | 12/14/2018 | 1.75 | % | 15,000,000 | 15,157,035 | |||||||
Federal Home Loan Banks | 06/14/2019 | 1.63 | % | 20,000,000 | 20,097,020 | |||||||
Federal Home Loan Banks | 08/05/2019 | 0.88 | % | 5,055,000 | 4,983,456 | |||||||
Federal Home Loan Mortgage Corp. | 07/25/2017 | 1.00 | % | 5,000,000 | 5,006,600 | |||||||
Federal Home Loan Mortgage Corp. | 12/15/2017 | 1.00 | % | 10,000,000 | 10,007,630 | |||||||
Federal Home Loan Mortgage Corp. | 07/27/2018 | 0.85 | % | 27,225,000 | 27,091,597 | |||||||
Federal Home Loan Mortgage Corp. | 10/12/2018 | 0.88 | % | 17,210,000 | 17,116,464 | |||||||
Federal Home Loan Mortgage Corp. | 04/15/2019 | 1.13 | % | 22,000,000 | 21,910,966 | |||||||
Federal Home Loan Mortgage Corp. | 07/19/2019 | 0.88 | % | 25,440,000 | 25,103,963 | |||||||
Federal National Mortgage Association | 02/19/2019 | 1.88 | % | 15,000,000 | 15,182,715 | |||||||
Federal National Mortgage Association | 02/26/2019 | 1.00 | % | 56,000,000 | 55,651,848 | |||||||
Federal National Mortgage Association | 08/02/2019 | 0.88 | % | 21,000,000 | 20,708,289 | |||||||
Federal National Mortgage Association | 08/28/2019 | 1.00 | % | 21,610,000 | 21,369,935 | |||||||
Federal National Mortgage Association | 10/24/2019 | 1.00 | % | 22,545,000 | 22,233,338 | |||||||
Federal National Mortgage Association | 11/26/2019 | 1.75 | % | 8,495,000 | 8,559,970 | |||||||
TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $423,635,292) | 421,503,727 |
The accompanying notes are an integral part of these consolidated financial statements.
42 | LoCorr Market Trend Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||
U.S. GOVERNMENT NOTES: 6.85% | ||||||||||||
United States Treasury Note | 02/15/2019 | 0.75 | % | $ | 26,500,000 | $ | 26,236,033 | |||||
United States Treasury Note | 05/31/2019 | 1.50 | % | 16,000,000 | 16,073,744 | |||||||
United States Treasury Note | 07/15/2019 | 0.75 | % | 17,025,000 | 16,777,610 | |||||||
United States Treasury Note | 03/31/2020 | 1.13 | % | 11,000,000 | 10,857,770 | |||||||
TOTAL U.S. GOVERNMENT NOTES (Cost $70,407,849) | 69,945,157 | |||||||||||
SHORT TERM INVESTMENT 1.56% | ||||||||||||
MONEY MARKET FUND: 1.56% | Shares | |||||||||||
STIT-Government & Agency Portfolio, Institutional Class, 0.43% (d)(e) | 15,947,064 | 15,947,064 | ||||||||||
TOTAL MONEY MARKET FUND (Cost $15,947,064) | 15,947,064 | |||||||||||
TOTAL SHORT TERM INVESTMENT (Cost 15,947,064) | 15,947,064 | |||||||||||
TOTAL INVESTMENTS (Cost $862,859,636): 84.28% | 860,056,594 | |||||||||||
Other Assets in Excess of Liabilities: 15.72% (f) | 160,388,337 | |||||||||||
TOTAL NET ASSETS: 100.00% | $ | 1,020,444,931 |
(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 December 31, 2016, the value of these securities total $33,970,523 which represents 3.33% of total net assets. |
(b) | Foreign issued security. |
(c) | Variable rate security. The rate reported is the rate in effect as of December 31, 2016. |
(d) | The rate quoted is the annualized seven-day effective yield as of December 31, 2016. |
(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. |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Market Trend Fund - Consolidated Schedule of Open Forward Currency Contracts | 43 |
Currency to be Received | Currency to be Delivered | |||||||||||||||||||||||
Notional Amount | Forward Settlement Date | Curr Abbr. | U.S. $ Value at December 31, 2016 | Curr Abbr. | U.S. $ Value on Origination Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||
Purchase Contracts: | ||||||||||||||||||||||||
$ | 197,153,620 | 03/17/2017 | AUD | $ | 189,788,992 | USD | $ | 197,153,620 | $ | — | $ | (7,364,628 | ) | |||||||||||
51,186,637 | 03/17/2017 | CAD | 50,465,993 | USD | 51,186,637 | — | (720,644 | ) | ||||||||||||||||
24,841,228 | 03/17/2017 | CHF | 24,926,135 | USD | 24,841,228 | 84,907 | — | |||||||||||||||||
17,978,358 | 03/17/2017 | EUR | 18,007,749 | USD | 17,978,358 | 29,391 | — | |||||||||||||||||
10,377,081 | 03/17/2017 | GBP | 10,353,746 | USD | 10,377,081 | — | (23,335 | ) | ||||||||||||||||
492,769 | 03/17/2017 | JPY | 494,403 | USD | 492,769 | 1,634 | — | |||||||||||||||||
4,169,069 | 03/17/2017 | MXN | 4,137,695 | USD | 4,169,069 | — | (31,374 | ) | ||||||||||||||||
101,117,322 | 03/17/2017 | NZD | 97,252,070 | USD | 101,117,322 | — | (3,865,252 | ) | ||||||||||||||||
Total Purchase Contracts | 395,426,783 | 407,316,084 | $ | 115,932 | $ | (12,005,233 | ) | |||||||||||||||||
Sale Contracts: | ||||||||||||||||||||||||
$ | 128,432,802 | 03/17/2017 | USD | $ | (128,514,736 | ) | AUD | $ | (128,432,802 | ) | $ | — | $ | (81,934 | ) | |||||||||
239,204,885 | 03/17/2017 | USD | (233,917,363 | ) | CAD | (239,204,885 | ) | 5,287,522 | — | |||||||||||||||
150,715,402 | 03/17/2017 | USD | (149,367,349 | ) | CHF | (150,715,402 | ) | 1,348,053 | — | |||||||||||||||
142,540,920 | 03/17/2017 | USD | (140,798,611 | ) | EUR | (142,540,920 | ) | 1,742,309 | — | |||||||||||||||
242,709,748 | 03/17/2017 | USD | (236,902,594 | ) | GBP | (242,709,748 | ) | 5,807,154 | — | |||||||||||||||
103,609,244 | 03/17/2017 | USD | (103,712,963 | ) | JPY | (103,609,244 | ) | — | (103,719 | ) | ||||||||||||||
68,813,593 | 03/17/2017 | USD | (67,046,041 | ) | MXN | (68,813,593 | ) | 1,767,552 | — | |||||||||||||||
5,974,430 | 03/17/2017 | USD | (6,002,187 | ) | NZD | (5,974,430 | ) | — | (27,757 | ) | ||||||||||||||
Total Sale Contracts | (1,066,261,844 | ) | (1,082,001,024 | ) | 15,952,590 | (213,410 | ) | |||||||||||||||||
Total Forward Currency Contracts | $ | (670,835,061 | ) | $ | (674,684,940 | ) | $ | 16,068,522 | $ | (12,218,643 | ) | |||||||||||||
Net Unrealized Appreciation | $ | 3,849,879 |
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. DO LLAR |
44 | LoCorr Market Trend Fund - Consolidated Schedule of Open Futures Contracts |
Description | Notional Amount | Number of Contracts Purchased (Sold) | Settlement Month-Year | Unrealized Appreciation | Unrealized (Depreciation) | ||||||||||||
Purchase Contracts: | |||||||||||||||||
10 Yr Mini JGB | $ | 1,800,145 | 14 | Mar-17 | $ | 2,072 | $ | — | |||||||||
90 Day Sterling | 9,651,830 | 63 | Jun-18 | 9,042 | — | ||||||||||||
Aluminum (a)(b) | 54,168,000 | 1,280 | Mar-17 | — | (665,924 | ) | |||||||||||
Brent Crude(a) | 41,876,340 | 737 | Jan-17 | 233,751 | — | ||||||||||||
CAC 40 10 Euro Index | 40,440,536 | 790 | Jan-17 | 780,103 | — | ||||||||||||
Canadian 10 Yr Bond | 68,014,687 | 664 | Mar-17 | — | (847,864 | ) | |||||||||||
Copper (a)(b) | 96,858,125 | 700 | Mar-17 | — | (2,349,625 | ) | |||||||||||
Cotton No.2(a) | 11,162,700 | 316 | Mar-17 | 123,803 | — | ||||||||||||
DAX Index | 95,342,534 | 316 | Mar-17 | 642,248 | — | ||||||||||||
Dollar | 70,065,910 | 685 | Mar-17 | 375,888 | — | ||||||||||||
Dow Jones Industrial Average Mini E-Cbot Index | 154,703,400 | 1,569 | Mar-17 | 1,426,454 | — | ||||||||||||
Euro-Bobl | 518,495,316 | 3,686 | Mar-17 | 3,222,801 | — | ||||||||||||
Euro-Bund | 109,205,246 | 632 | Mar-17 | — | (76,745 | ) | |||||||||||
Euro-Schatz | 435,694,373 | 3,686 | Mar-17 | 385,578 | — | ||||||||||||
Euro-Stoxx 50 Index | 44,326,670 | 1,285 | Mar-17 | 320,394 | — | ||||||||||||
FTSE 100 Index | 183,934,954 | 2,117 | Mar-17 | 1,803,061 | — | ||||||||||||
Gasoline RBOB(a) | 73,195,445 | 1,043 | Jan-17 | 2,898,964 | — | ||||||||||||
Heating Oil (a) | 33,606,577 | 463 | Jan-17 | 136,259 | — | ||||||||||||
Japanese 10 Yr Bond | 212,103,529 | 165 | Mar-17 | 9,500 | — | ||||||||||||
Long Gilt | 68,542,629 | 442 | Mar-17 | 1,002,096 | — | ||||||||||||
Low Sulphur Gasoil (a) | 13,274,925 | 263 | Feb-17 | 662,242 | — | ||||||||||||
Nasdaq 100 E-Mini Index | 117,806,080 | 1,211 | Mar-17 | — | (1,209,020 | ) | |||||||||||
Natural Gas (a) | 49,045,080 | 1,317 | Jan-17 | — | (180,674 | ) | |||||||||||
Nikkei 225 Index | 65,368,984 | 400 | Mar-17 | 1,272,750 | — | ||||||||||||
Russell 2000 Mini Index | 84,331,335 | 1,243 | Mar-17 | — | (1,111,495 | ) | |||||||||||
S&P500 E-Mini Index | 89,448,000 | 800 | Mar-17 | — | (717,990 | ) | |||||||||||
Silver (a) | 35,335,690 | 442 | Mar-17 | — | (2,160,875 | ) | |||||||||||
Soybean (a) | 46,535,400 | 927 | Mar-17 | — | (2,136,176 | ) | |||||||||||
Soybean Oil(a) | 13,808,544 | 664 | Mar-17 | — | (817,238 | ) | |||||||||||
Sugar (a) | 19,097,949 | 874 | May-17 | — | (757,411 | ) | |||||||||||
Tokyo Price Index | 87,540,706 | 674 | Mar-17 | 65,082 | — | ||||||||||||
Wti Crude(a) | 18,103,640 | 337 | Jan-17 | — | (75,277 | ) | |||||||||||
Zinc (a)(b) | 52,767,000 | 820 | Mar-17 | — | (2,656,109 | ) | |||||||||||
Total Purchase Contracts | 15,372,088 | (15,762,423 | ) | ||||||||||||||
Sale Contracts: | |||||||||||||||||
3 Mo Euro Euribor | $ | 925,036,869 | (3,507) | Jun-18 | $ | — | $ | (2,079 | ) | ||||||||
90 Day Euro | 1,725,340,000 | (7,025) | Jun-18 | 2,271,540 | — | ||||||||||||
Aluminum (a)(b) | 6,009,263 | (142) | Mar-17 | 112,470 | — | ||||||||||||
Australian 10 Yr Bond | 84,442,027 | (916) | Mar-17 | — | (416,749 | ) | |||||||||||
Cocoa (a) | 18,655,789 | (874) | Mar-17 | 2,405,266 | — | ||||||||||||
Coffee (a) | 17,885,025 | (348) | Mar-17 | — | (449,525 | ) | |||||||||||
Copper (a)(b) | 10,931,131 | (79) | Mar-17 | 386,834 | — | ||||||||||||
Corn (a) | 22,052,800 | (1,253) | Mar-17 | 655,050 | — | ||||||||||||
Gold (a) | 118,855,440 | (1,032) | Feb-17 | 2,189,552 | — | ||||||||||||
Hang Seng Index | 14,868,850 | (105) | Jan-17 | — | (160,479 | ) | |||||||||||
Hard Red Wheat(a) | 14,103,450 | (674) | Mar-17 | 305,940 | — | ||||||||||||
Soybean Meal (a) | 16,684,820 | (527) | Mar-17 | — | (83,088 | ) | |||||||||||
U.S. 10 Yr Note | 113,841,625 | (916) | Mar-17 | — | (86,612 | ) | |||||||||||
U.S. 2 Yr Note | 808,027,688 | (3,729) | Mar-17 | 335,822 | — | ||||||||||||
U.S. 5 Yr Note | 353,227,517 | (3,002) | Mar-17 | 738,409 | — | ||||||||||||
U.S. Long Bond | 127,003,219 | (843) | Mar-17 | 572,480 | — | ||||||||||||
Wheat (a) | 18,482,400 | (906) | Mar-17 | 831,539 | — | ||||||||||||
Zinc (a)(b) | 7,335,900 | (114) | Mar-17 | 311,721 | — | ||||||||||||
Total Sale Contracts | 11,116,623 | (1,198,532 | ) | ||||||||||||||
Total Futures Contracts | $ | 26,488,711 | $ | (16,960,955 | ) | ||||||||||||
Net Unrealized Appreciation | $ | 9,527,756 |
LoCorr Long/Short Equity Fund - Schedule of Investments | 45 |
Composition of Investment Portfolio1 December 31, 2016 (Unaudited) | Composition of Common Stock Portfolio1 December 31, 2016 (Unaudited) |
1As a percentage of total investments. | 1As a percentage of total common stocks. |
Shares | Value | |||||||
COMMON STOCKS: 58.71% | ||||||||
Accommodation and Food Services: 1.77% | ||||||||
Dave & Buster’s Entertainment, Inc.(a) | 12,696 | $ | 714,785 | |||||
Pinnacle Entertainment, Inc.(a) | 53,734 | 779,143 | ||||||
1,493,928 | ||||||||
Arts, Entertainment, and Recreation: 0.78% | ||||||||
Six Flags Entertainment Corp. | 10,983 | 658,541 | ||||||
Construction: 3.41% | ||||||||
MasTec, Inc. (a) | 75,075 | 2,871,619 | ||||||
Finance and Insurance: 12.46% | ||||||||
Allied World Assurance Co. Holdings AG(b) | 20,294 | 1,089,991 | ||||||
Comerica, Inc. | 13,047 | 888,631 | ||||||
Credit Acceptance Corp. (a) | 20,755 | 4,514,420 | ||||||
JPMorgan Chase & Co. | 14,767 | 1,274,244 | ||||||
Match Group, Inc. (a) | 69,599 | 1,190,143 | ||||||
Wells Fargo & Co. | 17,699 | 975,392 | ||||||
Zions Bancorporation | 13,252 | 570,366 | ||||||
10,503,187 | ||||||||
Information: 11.56% | ||||||||
CDK Global, Inc. | 21,401 | 1,277,426 | ||||||
Cincinnati Bell, Inc.(a) | 20,799 | 464,853 | ||||||
Facebook, Inc. (a) | 1,685 | 193,859 | ||||||
Five9, Inc. (a) | 92,587 | 1,313,809 | ||||||
Liberty Global Plc LiLAC (a)(b) | 18,430 | 390,163 | ||||||
Lumos Networks Corp. (a) | 21,148 | 330,332 | ||||||
Madison Square Garden Co./The (a) | 7,165 | 1,228,869 | ||||||
Mentor Graphics Corp. | 19,998 | 737,726 | ||||||
Nexstar Broadcasting Group, Inc. | 29,534 | 1,869,502 | ||||||
Sinclair Broadcast Group, Inc. | 9,136 | 304,686 | ||||||
Take-Two Interactive Software, Inc. (a) | 4,258 | 209,877 | ||||||
Zayo Group Holdings, Inc.(a) | 43,145 | 1,417,745 | ||||||
9,738,847 |
46 | LoCorr Long/Short Equity Fund - Schedule of Investments (continued) |
Shares | Value | ||||||||||||
COMMON STOCKS (continued) | |||||||||||||
Information Technology: 0.72% | |||||||||||||
Mixi, Inc. (b) | 16,520 | $ | 603,554 | ||||||||||
Manufacturing: 14.04% | |||||||||||||
Ambarella, Inc.(a)(b) | 1,811 | 98,029 | |||||||||||
Applied Micro Circuits Corp. (a) | 15,700 | 129,525 | |||||||||||
Axcelis Technologies, Inc. (a) | 30,515 | 443,993 | |||||||||||
Commercial Vehicle Group, Inc. (a) | 39,314 | 217,406 | |||||||||||
Durect Corp. (a) | 80,353 | 107,673 | |||||||||||
Exar Corp. (a) | 60,774 | 655,144 | |||||||||||
Gogo, Inc.(a) | 374,471 | 3,452,623 | |||||||||||
Harmonic, Inc. (a) | 99,096 | 495,480 | |||||||||||
NCR Corp. (a) | 22,494 | 912,357 | |||||||||||
Tenneco, Inc. (a) | 59,979 | 3,746,888 | |||||||||||
Tesla Motors, Inc. (a) | 921 | 196,809 | |||||||||||
TimkenSteel Corp. (a) | 30,011 | 464,570 | |||||||||||
Zynga, Inc. (a) | 356,927 | 917,302 | |||||||||||
11,837,799 | |||||||||||||
Mining, Quarrying, and Oil and Gas Extraction: 2.70% | |||||||||||||
Gran Tierra Energy, Inc. (a) | 191,594 | 578,614 | |||||||||||
Halcon Resources Corp. (a) | 143,933 | 1,344,334 | |||||||||||
Ultra Petroleum Corp. (a)(b) | 48,550 | 351,017 | |||||||||||
2,273,965 | |||||||||||||
Other Services (except Public Administration): 0.91% | |||||||||||||
XO Group, Inc. (a) | 39,425 | 766,816 | |||||||||||
Real Estate and Rental and Leasing: 1.51% | |||||||||||||
H&E Equipment Services, Inc. | 11,132 | 258,819 | |||||||||||
United Rentals, Inc. (a) | 9,583 | 1,011,773 | |||||||||||
1,270,592 | |||||||||||||
Retail Trade: 8.49% | |||||||||||||
MobileIron, Inc.(a) | 42,650 | 159,937 | |||||||||||
Signet Jewelers Ltd (b) | 35,288 | 3,326,247 | |||||||||||
Stamps.com, Inc. (a) | 1,815 | 208,090 | |||||||||||
Tailored Brands, Inc. | 135,461 | 3,461,029 | |||||||||||
7,155,303 | |||||||||||||
Utilities: 0.25% | |||||||||||||
Calpine Corp. (a) | 18,065 | 206,483 | |||||||||||
Wholesale Trade: 0.11% | |||||||||||||
SunOpta, Inc. (a)(b) | 13,724 | 96,754 | |||||||||||
TOTAL COMMON STOCKS (Cost $42,223,061) | 49,477,388 | ||||||||||||
SHORT TERM INVESTMENTS: 37.36% | |||||||||||||
U.S. TREASURY BILL: 7.07% | Maturity Date | Coupon | Principal Amount | ||||||||||
United States Treasury Bill (c) | 11/09/2017 | 0.79%(d) | $ 6,000,000 | 5,958,834 | |||||||||
TOTAL U.S. TREASURY BILL (Cost $5,961,000) | 5,958,834 | ||||||||||||
MONEY MARKET FUND: 30.29% | Shares | ||||||||||||
STIT-Government & Agency Portfolio, Institutional Class, 0.43% (e) | 25,529,082 | 25,529,082 | |||||||||||
TOTAL MONEY MARKET FUND (Cost $25,529,082) | 25,529,082 | ||||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $31,490,082) | 31,487,916 | ||||||||||||
TOTAL INVESTMENTS (Cost $73,713,143): 96.07% | 80,965,304 | ||||||||||||
Other Assets in Excess of Liabilities: 3.93% (f) | 3,311,453 | ||||||||||||
TOTAL NET ASSETS: 100.00% | $ | 84,276,757 |
LoCorr Long/Short Equity Fund - Schedule of Securities Sold Short | 47 |
Shares | Value | |||||||
COMMON STOCKS: (19.43)% | ||||||||
Administrative and Support and Waste Management and Remediation Services: (0.64)% | ||||||||
Criteo SA - ADR (a)(b) | (13,059 | ) | $ | (536,464 | ) | |||
Construction: (0.75)% | ||||||||
NVR, Inc. (a) | (259 | ) | (432,271 | ) | ||||
Quanta Services, Inc. (a) | (5,792 | ) | (201,851 | ) | ||||
(634,122 | ) | |||||||
Finance and Insurance: (0.24)% | ||||||||
Goldman Sachs Group, Inc./The | (422 | ) | (101,048 | ) | ||||
Texas Capital Bancshares, Inc.(a) | (1,265 | ) | (99,176 | ) | ||||
(200,224 | ) | |||||||
Information: (3.58)% | ||||||||
Argan, Inc. | (6,845 | ) | (482,915 | ) | ||||
Aspen Technology, Inc. (a) | (1,855 | ) | (101,431 | ) | ||||
Blackbaud, Inc. | (7,475 | ) | (478,400 | ) | ||||
Electronic Arts, Inc.(a) | (10,218 | ) | (804,770 | ) | ||||
Gogo, Inc.(a) | (18,354 | ) | (169,224 | ) | ||||
Manhattan Associates, Inc.(a) | (9,186 | ) | (487,133 | ) | ||||
MSG Networks, Inc.(a) | (9,439 | ) | (202,938 | ) | ||||
Palo Alto Networks, Inc. (a) | (2,291 | ) | (286,490 | ) | ||||
(3,013,301 | ) | |||||||
Management of Companies and Enterprises (0.12%) | ||||||||
Cullen/Frost Bankers, Inc. | (1,139 | ) | (100,494 | ) | ||||
Manufacturing: (7.41)% | ||||||||
Aceto Corp. | (14,157 | ) | (311,029 | ) | ||||
Advanced Micro Devices, Inc.(a) | (8,705 | ) | (98,715 | ) | ||||
Applied Materials, Inc. | (3,056 | ) | (98,617 | ) | ||||
Cirrus Logic, Inc. (a) | (1,729 | ) | (97,758 | ) | ||||
Cognex Corp. | (1,581 | ) | (100,583 | ) | ||||
Energizer Holdings, Inc. | (8,446 | ) | (376,776 | ) | ||||
Finisar Corp. (a) | (3,268 | ) | (98,922 | ) | ||||
Illinois Tool Works, Inc. | (4,007 | ) | (490,697 | ) | ||||
Inphi Corp. (a) | (2,193 | ) | (97,852 | ) | ||||
iRobot Corp. (a) | (8,463 | ) | (494,662 | ) | ||||
Lincoln Electric Holdings, Inc. | (1,307 | ) | (100,208 | ) | ||||
Methode Electronics, Inc. | (4,719 | ) | (195,131 | ) | ||||
NETGEAR, Inc. (a) | (5,434 | ) | (295,338 | ) | ||||
NVIDIA Corp. | (906 | ) | (96,706 | ) | ||||
Orthofix International NV (a)(b) | (8,477 | ) | (306,698 | ) | ||||
Owens Corning | (29,408 | ) | (1,516,276 | ) | ||||
ResMed, Inc. | (2,235 | ) | (138,682 | ) | ||||
TASER International, Inc.(a) | (79 | ) | (1,915 | ) | ||||
Trimble, Inc. (a) | (3,331 | ) | (100,430 | ) | ||||
Universal Electronics, Inc. (a) | (10,218 | ) | (659,572 | ) | ||||
ViaSat, Inc.(a) | (8,638 | ) | (572,008 | ) | ||||
(6,248,575 | ) | |||||||
Mining, Quarrying, and Oil and Gas Extraction: (1.22)% | ||||||||
Clayton Williams Energy, Inc. (a) | (864 | ) | (103,041 | ) | ||||
Cliffs Natural Resources, Inc. (a) | (21,128 | ) | (177,686 | ) | ||||
EOG Resources, Inc. | (3,672 | ) | (371,239 | ) | ||||
Freeport-McMoRan, Inc. (a) | (14,029 | ) | (185,043 | ) | ||||
Patterson-UTI Energy, Inc. | (6,970 | ) | (187,632 | ) | ||||
(1,024,641 | ) | |||||||
Other Services (except Public Administration): (1.46)% | ||||||||
Regis Corp. (a) | (84,506 | ) | (1,227,027 | ) |
48 | LoCorr Long/Short Equity Fund - Schedule of Securities Sold Short (continued) |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Professional, Scientific, and Technical Services: (0.89)% | ||||||||
Computer Sciences Corp. | (1,686 | ) | $ | (100,182 | ) | |||
F5 Networks, Inc.(a) | (696 | ) | (100,725 | ) | ||||
LivePerson, Inc. (a) | (46,444 | ) | (350,652 | ) | ||||
Verint Systems, Inc. (a) | (5,581 | ) | (196,731 | ) | ||||
(748,290 | ) | |||||||
Real Estate and Rental and Leasing: (0.52)% | ||||||||
Avis Budget Group, Inc. (a) | (5,286 | ) | (193,890 | ) | ||||
United Rentals, Inc. (a) | (2,345 | ) | (247,585 | ) | ||||
(441,475 | ) | |||||||
Retail Trade: (2.08)% | �� | |||||||
Dillard’s, Inc. | (5,520 | ) | (346,049 | ) | ||||
GameStop Corp. | (23,617 | ) | (596,565 | ) | ||||
GrubHub, Inc. (a) | (13,342 | ) | (501,926 | ) | ||||
MSC Industrial Direct Co., Inc. | (1,076 | ) | (99,412 | ) | ||||
Party City Holdco, Inc. (a) | (14,992 | ) | (212,886 | ) | ||||
(1,756,838 | ) | |||||||
Transportation and Warehousing: (0.12)% | ||||||||
Landstar System, Inc. | (1,202 | ) | (102,531 | ) | ||||
Wholesale Trade: (0.40)% | ||||||||
Rockwell Automation, Inc. | (759 | ) | (102,010 | ) | ||||
New Relic, Inc. (a) | (8,446 | ) | (238,600 | ) | ||||
(340,610 | ) | |||||||
TOTAL COMMON STOCKS (Proceeds $16,803,437) | (16,374,592 | ) | ||||||
EXCHANGE TRADED FUNDS: (3.37)% | ||||||||
CurrencyShares Japanese Yen Trust (a) | (7,740 | ) | (638,705 | ) | ||||
iShares PHLX Semiconductor | (1,602 | ) | (196,597 | ) | ||||
iShares Russell 2000 Value | (5,062 | ) | (602,074 | ) | ||||
SPDR S&P Bank | (13,853 | ) | (602,190 | ) | ||||
SPDR S&P Regional Banking | (14,450 | ) | (802,987 | ) | ||||
TOTAL EXCHANGE TRADED FUNDS (Proceeds $2,883,723) | (2,842,553 | ) | ||||||
TOTAL SECURITIES SOLD SHORT (Proceeds $19,687,160): (22.80)% | $ | (19,217,145 | ) |
LoCorr Spectrum Income Fund - Schedule of Investments | 49 |
Shares | Value | |||||||
BUSINESS DEVELOPMENT COMPANIES: 6.17% | ||||||||
Ares Capital Corp. | 185,520 | $ | 3,059,225 | |||||
Hercules Capital, Inc. | 154,725 | 2,183,170 | ||||||
Prospect Capital Corp. | 153,195 | 1,279,178 | ||||||
TOTAL BUSINESS DEVELOPMENT COMPANIES (Cost $6,210,679) | 6,521,573 | |||||||
CLOSED-END INVESTMENT COMPANIES: 11.73% | ||||||||
AllianzGI Convertible & Income Fund II | 365,716 | 2,088,238 | ||||||
Invesco Dynamic Credit Opportunities Fund | 241,298 | 2,967,965 | ||||||
Invesco Senior Income Trust | 474,013 | 2,199,420 | ||||||
Nuveen Credit Strategies Income Fund | 240,992 | 2,132,779 | ||||||
Nuveen Quality Preferred Income Fund 2 | 109,840 | 1,022,610 | ||||||
Western Asset Global High Income Fund, Inc. | 202,931 | 1,994,813 | ||||||
TOTAL CLOSED-END INVESTMENT COMPANIES (Cost $11,719,347) | 12,405,825 | |||||||
COMMON STOCKS: 17.71% | ||||||||
Finance and Insurance: 4.20% | ||||||||
Apollo Global Management LLC | 128,381 | 2,485,456 | ||||||
Artisan Partners Asset Management, Inc. | 65,796 | 1,957,431 | ||||||
4,442,887 | ||||||||
Information: 1.72% | ||||||||
Frontier Communications Corp. | 537,437 | 1,816,537 | ||||||
Manufacturing: 0.81% | ||||||||
BP Prudhoe Bay Royalty Trust | 36,097 | 857,304 | ||||||
Mining, Quarrying, and Oil and Gas Extraction: 1.84% | ||||||||
EnLink Midstream LLC | 51,596 | 982,904 | ||||||
Seadrill Partners LLC (a) | 228,650 | 960,330 | ||||||
1,943,234 | ||||||||
Transportation and Warehousing: 9.14% | ||||||||
DHT Holdings, Inc. (a) | 163,548 | 677,089 | ||||||
Euronav NV (a) | 89,061 | 708,035 | ||||||
Fortress Transportation & Infrastructure Investors LLC | 143,253 | 1,905,265 | ||||||
GasLog Partners LP (a) | 49,593 | 1,019,136 | ||||||
Golar LNG Partners LP (a) | 57,221 | 1,375,593 | ||||||
Scorpio Tankers, Inc. (a) | 438,607 | 1,986,889 |
50 | LoCorr Spectrum Income Fund - Schedule of Investments (continued) |
Shares | Value | |||||||
COMMON STOCKS(continued) | ||||||||
Transportation and Warehousing(continued) | ||||||||
Ship Finance International Ltd. (a) | 134,875 | $ | 2,002,894 | |||||
9,674,901 | ||||||||
TOTAL COMMON STOCKS (Cost $19,813,701) | 18,734,863 | |||||||
CONVERTIBLE PREFERRED STOCK: 4.71% | ||||||||
Kinder Morgan, Inc. | 102,312 | 4,977,479 | ||||||
TOTAL CONVERTIBLE PREFERRED STOCK (Cost $4,359,992) | 4,977,479 | |||||||
Units | ||||||||
MASTER LIMITED PARTNERSHIPS: 21.32% | ||||||||
Arts, Entertainment, and Recreation: 1.98% | ||||||||
Cedar Fair LP | 32,607 | 2,093,369 | ||||||
Manufacturing: 3.38% | ||||||||
CVR Partners LP | 349,326 | 2,099,449 | ||||||
Terra Nitrogen Co. LP | 14,336 | 1,472,451 | ||||||
3,571,900 | ||||||||
Mining, Quarrying, and Oil and Gas Extraction: 3.02% | ||||||||
Enterprise Products Partners LP | 75,788 | 2,049,307 | ||||||
SunCoke Energy Partners LP | 59,651 | 1,148,282 | ||||||
3,197,589 | ||||||||
Other Services (except Public Administration): 2.38% | ||||||||
StoneMor Partners LP | 282,472 | 2,516,825 | ||||||
Retail Trade: 6.52% | ||||||||
Crestwood Equity Partners LP | 129,417 | 3,306,605 | ||||||
Global Partners LP | 184,385 | 3,586,288 | ||||||
6,892,893 | ||||||||
Transportation and Warehousing: 3.12% | ||||||||
Energy Transfer Partners LP | 55,002 | 1,969,621 | ||||||
Summit Midstream Partners LP | 14,532 | 365,480 | ||||||
Targa Resources Corp. | 17,315 | 970,852 | ||||||
3,305,953 | ||||||||
Wholesale Trade: 0.92% | ||||||||
Martin Midstream Partners LP | 52,879 | 970,330 | ||||||
TOTAL MASTER LIMITED PARTNERSHIPS (Cost $23,527,095) | 22,548,859 | |||||||
PUBLICLY TRADED PARTNERSHIPS: 7.22% | ||||||||
AllianceBernstein Holding LP | 76,017 | 1,782,599 | ||||||
Blackstone Group LP/The | 148,835 | 4,023,010 | ||||||
Carlyle Group LP/The | 119,616 | 1,824,144 | ||||||
TOTAL PUBLICLY TRADED PARTNERSHIPS (Cost $7,434,932) | 7,629,753 | |||||||
Shares | ||||||||
REAL ESTATE INVESTMENT TRUSTS: 23.21% | ||||||||
Annaly Capital Management, Inc. | 289,703 | 2,888,339 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 267,148 | 4,440,000 | ||||||
Care Capital Properties, Inc. | 68,957 | 1,723,925 | ||||||
Communications Sales & Leasing, Inc. | 80,298 | 2,040,372 | ||||||
Digital Realty Trust, Inc. | 71,374 | 1,937,804 | ||||||
Hospitality Properties Trust | 95,300 | 3,024,822 | ||||||
Ladder Capital Corp. | 140,196 | 1,923,489 | ||||||
LaSalle Hotel Properties | 32,654 | 994,967 | ||||||
Starwood Property Trust, Inc. | 132,646 | 2,911,580 | ||||||
Two Harbors Investment Corp. | 110,656 | 964,920 | ||||||
Washington Prime Group, Inc. | 163,679 | 1,703,899 | ||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $24,971,866) | 24,554,117 | |||||||
SHORT TERM INVESTMENT: 7.43% | ||||||||
MONEY MARKET FUND: 7.43% | ||||||||
STIT-Government & Agency Portfolio, Institutional Class, 0.43% (b) | 7,862,730 | 7,862,730 | ||||||
TOTAL MONEY MARKET FUND (Cost $7,862,730) | 7,862,730 | |||||||
TOTAL SHORT TERM INVESTMENT (Cost $7,862,730) | ||||||||
TOTAL INVESTMENTS (Cost $105,900,342): 99.50% | 105,235,199 | |||||||
Other Assets in Excess of Liabilities: 0.50% | 533,203 | |||||||
TOTAL NET ASSETS: 100.00% | $ | 105,768,402 |
(a) | Foreign issued security. |
(b) | The rate quoted is the annualized seven-day effective yield as of December 31, 2016. |
LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund | | 51 |
and LoCorr Market Trend Fund - Consolidated Statements of Assets & Liabilities | |
LoCorr Managed Futures Strategy Fund | LoCorr Long/Short Commodities Strategy Fund | LoCorr Multi-Strategy Fund | LoCorr Market Trend Fund | |||||||||||||
Assets | ||||||||||||||||
Investments, at value (Cost $792,214,600, $106,280,711,$32,307,179 and $862,859,636, respectively) | $ | 787,447,647 | $ | 105,780,451 | $ | 34,411,006 | $ | 860,056,594 | ||||||||
Cash (Note 2) | 11,328,877 | — | — | 59,396,719 | ||||||||||||
Foreign currency, at value (Cost $13,355,100, $0, $0 and $440,588, respectively) | 13,338,710 | — | — | 440,588 | ||||||||||||
Receivable for Fund shares sold | 4,103,035 | 853,575 | 575,137 | 8,215,618 | ||||||||||||
Receivable for securities sold | 14,690,300 | 1,114,437 | — | — | ||||||||||||
Dividend and interest receivable | 3,637,892 | 493,632 | 112,122 | 2,197,695 | ||||||||||||
Receivable for unsettled open futures contracts | 314,082 | — | — | 811,025 | ||||||||||||
Deposits with broker for derivative instruments (Note 2) | 64,402,880 | 25,131,441 | 8,189,500 | 125,642,967 | ||||||||||||
Deposits with broker for securities sold short (Note 2) | — | — | 1,410,784 | — | ||||||||||||
Unrealized appreciation on forward currency contracts (Note 2) | 7,670,810 | — | — | 16,068,522 | ||||||||||||
Advance receipt on swap contracts | — | 12,427,453 | — | — | ||||||||||||
Prepaid expenses and other assets | 52,509 | 46,805 | 3,567 | 56,168 | ||||||||||||
Total Assets | 906,986,742 | 145,847,794 | 44,702,116 | 1,072,885,896 | ||||||||||||
Liabilities | ||||||||||||||||
Securities sold short, at value (Proceeds $0, $0, $933,409 and $0, respectively) | $ | — | $ | — | $ | 924,624 | $ | — | ||||||||
Payable for Fund shares redeemed | 1,613,880 | 2,001,298 | 40,959 | 25,711,042 | ||||||||||||
Payable for securities purchased | 12,028,148 | 1,002,236 | — | — | ||||||||||||
Payable for distributions | — | — | 14,632 | 260 | ||||||||||||
Payable for unsettled open futures contracts | 1,465,524 | — | — | 5,671,658 | ||||||||||||
Payable for variation margin on futures contracts | 2,540,395 | — | — | 6,389,312 | ||||||||||||
Payable to custodian | — | 9,967 | — | — | ||||||||||||
Dividend payable | — | — | 1,985 | — | ||||||||||||
Accrued management fees (Note 5) | 1,317,874 | 167,754 | 37,587 | 1,399,002 | ||||||||||||
Accrued Trustees’ fees | 13,708 | 2,494 | 622 | 19,835 | ||||||||||||
Accrued Rule 12b-1 fees | 113,104 | 100,143 | 18,181 | 354,701 | ||||||||||||
Unrealized depreciation on swap contracts (Note 1) | — | 18,990,950 | 3,704,355 | — | ||||||||||||
Unrealized depreciation on forward currency contracts (Note 2) | 4,814,180 | — | — | 12,218,643 | ||||||||||||
Advance payment on swap contracts | — | — | 564,864 | — | ||||||||||||
Accrued expenses and other liabilities | 419,657 | 125,557 | 61,077 | 676,512 | ||||||||||||
Total Liabilities | 24,326,470 | 22,400,399 | 5,368,886 | 52,440,965 | ||||||||||||
Net Assets | $ | 882,660,272 | $ | 123,447,395 | $ | 39,333,230 | $ | 1,020,444,931 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in capital | $ | 869,112,171 | $ | 143,233,832 | $ | 41,695,102 | $ | 1,054,833,787 | ||||||||
Accumulated net investment income (loss) | — | 16,545 | (149,940 | ) | (430,397 | ) | ||||||||||
Accumulated net realized gain (loss) | 10,069,884 | (311,772 | ) | (620,189 | ) | (44,533,052 | ) | |||||||||
Net unrealized appreciation (depreciation) of: | ||||||||||||||||
Investments | (4,766,953 | ) | (500,260 | ) | 2,103,827 | (2,803,042 | ) | |||||||||
Securities sold short | — | — | 8,785 | — | ||||||||||||
Swap contracts | — | (18,990,950 | ) | (3,704,355 | ) | — | ||||||||||
Forward currency contracts | 2,856,630 | — | — | 3,849,879 | ||||||||||||
Futures contracts | 5,404,930 | — | — | 9,527,756 | ||||||||||||
Foreign currency translation | (16,390 | ) | — | — | — | |||||||||||
NET ASSETS | $ | 882,660,272 | $ | 123,447,395 | $ | 39,333,230 | $ | 1,020,444,931 | ||||||||
Class A Shares | ||||||||||||||||
Net assets | $ | 297,844,244 | $ | 34,860,291 | $ | 17,148,668 | $ | 133,145,534 | ||||||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 33,412,218 | 3,800,744 | 2,105,165 | 12,505,112 | ||||||||||||
Net asset value, redemption, and minimum offering price per share (a)(b) | $8.91 | $9.17 | $8.15 | $10.65 | ||||||||||||
Maximum offering price per share | ||||||||||||||||
($8.91/0.9425), ($9.17/0.9425) ($8.15/0.9425) ($10.65/0.9425) (c) | $9.45 | $9.73 | $8.65 | $11.30 | ||||||||||||
Class C Shares | ||||||||||||||||
Net assets | $ | 113,813,897 | $ | 7,382,944 | $ | 3,899,408 | $ | 89,454,344 | ||||||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 13,210,934 | 824,453 | 478,190 | 8,493,445 | ||||||||||||
Net asset value, redemption, and offering price per share (a)(b) | $8.62 | $8.95 | $8.15 | $10.53 | ||||||||||||
Class I Shares | ||||||||||||||||
Net assets | $ | 471,002,131 | $ | 81,204,160 | $ | 18,285,154 | $ | 797,845,053 | ||||||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 52,255,421 | 8,789,574 | 2,247,664 | 74,717,153 | ||||||||||||
Net asset value, redemption, and offering price per share (b) | $9.01 | $9.24 | $8.14 | $10.68 |
(a) | A 1.00% contingent deferred sales charge may apply to redemptions made within twelve months of purchase. |
(b) | Redemptions made within 30 days of purchase may be assessed a redemption fee of 1.00%. |
(c) | On investments of $25,000 or more, the offering price is reduced. |
52 | LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund - Statements of Assets & Liabilities |
LoCorr | LoCorr | |||||||
Long/Short | Spectrum | |||||||
Equity Fund | Income Fund | |||||||
Assets | ||||||||
Investments, at value (Cost $73,713,143 and $105,900,342, respectively) | $ | 80,965,304 | $ | 105,235,199 | ||||
Cash (Note 2) | 2,100,000 | — | ||||||
Receivable for Fund shares sold | 602,879 | 1,040,179 | ||||||
Receivable for securities sold | 7,164,655 | — | ||||||
Dividend and interest receivable | 11,928 | 515,708 | ||||||
Deposits with broker for securities sold short (Note 2) | 18,028,992 | — | ||||||
Prepaid expenses and other assets | 11,623 | 26,277 | ||||||
Total Assets | 108,885,381 | 106,817,363 | ||||||
Liabilities | ||||||||
Securities sold short, at value (Proceeds $19,687,160 and $0, respectively) | $ | 19,217,145 | $ | — | ||||
Payable for Fund shares redeemed | 80,144 | 518,107 | ||||||
Payable for securities purchased | 5,048,328 | — | ||||||
Payable for distributions | — | 207,536 | ||||||
Payable to custodian | — | 27,081 | ||||||
Accrued management fees (Note 5) | 153,305 | 114,605 | ||||||
Accrued Trustees’ fees | 1,249 | 1,759 | ||||||
Accrued Rule 12b-1 fees | 30,238 | 84,318 | ||||||
Accrued expenses and other liabilities | 78,215 | 95,555 | ||||||
Total Liabilities | 24,608,624 | 1,048,961 | ||||||
Net Assets | $ | 84,276,757 | $ | 105,768,402 | ||||
Net Assets Consist of: | ||||||||
Paid-in capital | $ | 75,838,615 | $ | 130,920,636 | ||||
Accumulated net investment loss | — | (1,508,340 | ) | |||||
Accumulated net realized gain (loss) | 715,966 | (22,978,751 | ) | |||||
Net unrealized appreciation (depreciation) of: | ||||||||
Investments | 7,252,161 | (665,143 | ) | |||||
Securities sold short | 470,015 | — | ||||||
NET ASSETS | $ | 84,276,757 | $ | 105,768,402 | ||||
Class A Shares | ||||||||
Net assets | $ | 28,242,755 | $ | 33,032,467 | ||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 2,342,008 | 4,291,419 | ||||||
Net asset value, redemption, and minimum offering price per share(a) | $12.06 | (b) | $7.70 | (c) | ||||
Maximum offering price per share ($12.06/0.9425) ($7.70/0.9425)(d) | $12.80 | $8.17 | ||||||
Class C Shares | ||||||||
Net assets | $ | 11,218,336 | $ | 25,897,723 | ||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 956,669 | 3,356,632 | ||||||
Net asset value, redemption, and offering price per share (a) | $11.73 | (b) | $7.72 | (c) | ||||
Class I Shares | ||||||||
Net assets | $ | 44,815,666 | $ | 46,838,212 | ||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 3,682,147 | 6,088,507 | ||||||
Net asset value, redemption, and offering price per share | $12.17 | (b) | $7.69 | (c) |
LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund - Consolidated Statements of Operations | | 53 |
LoCorr | LoCorr | |||||||||||||||
Managed | Long/Short | LoCorr | LoCorr | |||||||||||||
Futures | Commodities | Multi-Strategy | Market Trend | |||||||||||||
Strategy Fund | Strategy Fund | Fund | Fund | |||||||||||||
Investment Income | ||||||||||||||||
Dividend and interest income (a) | $ | 9,496,542 | $ | 1,624,317 | $ | 1,166,376 | $ | 10,094,331 | ||||||||
Distributions received from master limited partnerships (“MLP”) interests | — | — | 617,400 | — | ||||||||||||
Less: return of capital on distributions from MLP interests (Note 2) | — | — | (617,400 | ) | — | |||||||||||
Other income | 38,696 | 1,472 | — | 32,412 | ||||||||||||
Total Investment Income | 9,535,238 | 1,625,789 | 1,166,376 | 10,126,743 | ||||||||||||
Expenses | ||||||||||||||||
Management fees (Note 5) | 12,322,937 | 1,986,638 | 638,252 | 19,457,280 | ||||||||||||
Fund administration fees | 246,814 | 71,250 | 42,718 | 417,437 | ||||||||||||
Fund accounting fees | 302,441 | 112,795 | 43,388 | 444,544 | ||||||||||||
Trustees’ fees | 43,977 | 8,623 | 2,320 | 80,557 | ||||||||||||
Transfer agent fees and expenses | 1,104,010 | 282,879 | 78,343 | 2,024,155 | ||||||||||||
Custodian fees | 38,492 | 10,928 | 6,830 | 63,348 | ||||||||||||
Registration expenses | 105,054 | 70,693 | 38,384 | 159,190 | ||||||||||||
Rule 12b-1 fees - Class A (Note 5) | 668,802 | 117,283 | 36,385 | 413,989 | ||||||||||||
Rule 12b-1 fees - Class C (Note 5) | 1,105,248 | 72,799 | 43,942 | 1,135,455 | ||||||||||||
Legal and audit fees | 49,068 | 31,383 | 37,193 | 57,620 | ||||||||||||
Printing and mailing expenses | 114,433 | 24,642 | 18,229 | 192,312 | ||||||||||||
Offering costs (Note 2) | — | — | 17,164 | — | ||||||||||||
Other expenses | 20,129 | 4,578 | 2,664 | 29,065 | ||||||||||||
Total expenses before dividend and interest expense | 16,121,405 | 2,794,491 | 1,005,812 | 24,474,952 | ||||||||||||
Dividend expense on securities sold short (See Note 2) | — | — | 5,343 | — | ||||||||||||
Interest expense | 46,604 | — | 12,317 | 3,993 | ||||||||||||
Interest expense on credit line (Note 8) | — | 137 | — | — | ||||||||||||
Total expenses before reimbursement | 16,168,009 | 2,794,628 | 1,023,472 | 24,478,945 | ||||||||||||
Reimbursement from Adviser (Note 5) | — | (21,779 | ) | (181,466 | ) | — | ||||||||||
Net Expenses | 16,168,009 | 2,772,849 | 842,006 | 24,478,945 | ||||||||||||
Net Investment Income (Loss) | (6,632,771 | ) | (1,147,060 | ) | 324,370 | (14,352,202 | ) |
Forward Currency Contracts, Futures Contracts and Foreign Currency Translation:
Net realized gain (loss) on: | ||||||||||||||||
Investments | 233,213 | (73,792 | ) | 211,890 | (4,455 | ) | ||||||||||
Securities sold short | — | — | 168,823 | — | ||||||||||||
Swap contracts | 17,162,980 | 8,698,631 | (520,618 | ) | — | |||||||||||
Forward currency contracts | 7,686,340 | — | — | 12,466,119 | ||||||||||||
Futures contracts | (7,616,403 | ) | — | — | (159,984,048 | ) | ||||||||||
Foreign currency translation | (1,209,385 | ) | — | — | 190,086 | |||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | (2,146,156 | ) | (322,163 | ) | 3,872,790 | (461,618 | ) | |||||||||
Securities sold short | — | — | (564 | ) | — | |||||||||||
Swap contracts | 12,934,752 | (15,911,913 | ) | (3,509,155 | ) | — | ||||||||||
Forward currency contracts | 2,856,630 | — | — | (10,376,445 | ) | |||||||||||
Futures contracts | 5,404,930 | — | — | 18,076,500 | ||||||||||||
Foreign currency translation | (16,390 | ) | — | — | 331 | |||||||||||
Net realized and unrealized gain (loss) | 35,290,511 | (7,609,237 | ) | 223,166 | (140,093,530 | ) | ||||||||||
Net Increase (Decrease) in Net Assets From Operations | $ | 28,657,740 | $ | (8,756,297 | ) | $ | 547,536 | $ | (154,445,732 | ) |
54 | | LoCorr Long/Short Equity and LoCorr Spectrum Income Fund - Statements of Operations |
LoCorr | LoCorr | |||||||
Long/Short | Spectrum | |||||||
Equity Fund | Income Fund | |||||||
Investment Income | ||||||||
Dividend and interest income (a) | $ | 212,616 | $ | 5,438,706 | ||||
Distributions received from master limited partnership (“MLP”) interests | — | 2,667,640 | ||||||
Less: return of capital on distributions from MLP interests (Note 2) | — | (2,667,640 | ) | |||||
Total Investment Income | 212,616 | 5,438,706 | ||||||
Expenses | ||||||||
Management fees (Note 5) | 1,015,046 | 1,212,705 | ||||||
Fund administration fees | 44,734 | 53,811 | ||||||
Fund accounting fees | 45,115 | 59,204 | ||||||
Trustees’ fees | 2,728 | 5,676 | ||||||
Transfer agent fees and expenses | 90,486 | 162,742 | ||||||
Custodian fees | 29,415 | 7,932 | ||||||
Registration expenses | 50,217 | 51,328 | ||||||
Rule 12b-1 fees - Class A (Note 5) | 39,715 | 84,100 | ||||||
Rule 12b-1 fees - Class C (Note 5) | 79,036 | �� | 267,272 | |||||
Legal and audit fees | 17,905 | 38,631 | ||||||
Printing and mailing expenses | 5,605 | 55,393 | ||||||
Other expenses | 3,045 | 4,956 | ||||||
Total expenses before dividend and interest expense | 1,423,047 | 2,003,750 | ||||||
Dividend expense on securities sold short (Note 2) | 104,562 | — | ||||||
Interest expense | 38,532 | — | ||||||
Total expenses before recovery (reimbursement) | 1,566,141 | 2,003,750 | ||||||
Recovery to (Reimbursement from) Adviser (Note 5) | (102,813 | ) | 26,753 | |||||
Net Expenses | 1,463,328 | 2,030,503 | ||||||
Net Investment Income (Loss) | (1,250,712 | ) | 3,408,203 | |||||
Realized and Unrealized Gain (Loss) on Investments, Securities Sold Short, Foreign Currency Translation and Securities Litigation: | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | 4,711,221 | (4,887,412 | ) | |||||
Securities sold short | (161,361 | ) | — | |||||
Foreign currency translation | — | 64 | ||||||
Securities litigation | 7,825 | — | ||||||
Net change in unrealized appreciation on: | ||||||||
Investments | 6,415,531 | 6,426,460 | ||||||
Securities sold short | 319,149 | — | ||||||
Net realized and unrealized gain | 11,292,365 | 1,539,112 | ||||||
Net Increase in Net Assets From Operations | $ | 10,041,653 | $ | 4,947,315 |
LoCorr Managed Futures Strategy Fund - Consolidated Statements of Changes in Net Assets | 55 |
Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||
Operations | |||||||||||
Net investment loss | $ | (6,632,771) | $ | (5,025,905) | |||||||
Net realized gain on investments, swap contracts, forward currency contracts, futures contracts and foreign currency translation | 16,256,745 | 53,264,692 | |||||||||
Net change in unrealized appreciation (depreciation) of investments, swap contracts, forward currency contracts, futures contracts and foreign currency translation | 19,033,766 | (32,509,463) | |||||||||
Increase in Net Assets From Operations | 28,657,740 | 15,729,324 | |||||||||
Distributions to Shareholders From | |||||||||||
Net investment income: | |||||||||||
Class A | — | (6,432,086) | |||||||||
Class C | — | (2,193,991) | |||||||||
Class I | (24,016) | (5,902,168) | |||||||||
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) | (14,528,245) | |||||||||
Capital Transactions (Note 6) | |||||||||||
Proceeds from shares sold | 538,774,369 | 188,314,941 | |||||||||
Reinvestment of distributions | 14,146,054 | 12,372,395 | |||||||||
Cost of shares redeemed | (203,375,297) | (172,340,625) | |||||||||
Redemption fees | 22,168 | 10,605 | |||||||||
Increase in Net Assets From Capital Transactions | 349,567,294 | 28,357,316 | |||||||||
Total Increase in Net Assets | 362,195,361 | 29,558,395 | |||||||||
Net Assets | |||||||||||
Beginning of year | 520,464,911 | 490,906,516 | |||||||||
End of year (including accumulated net investment income of $0 and $23,817, respectively) | $ | 882,660,272 | $ | 520,464,911 |
56 | LoCorr Long/Short Commodities Strategy Fund - Consolidated Statements of Changes in Net Assets |
Year Ended December 31, 2016 | Year Ended December 31, 2015 | ||||||||||
Operations | |||||||||||
Net investment loss | $ | (1,147,060) | $ | (539,687) | |||||||
Net realized gain on investments and swap contracts | 8,624,839 | 9,737,702 | |||||||||
Net change in unrealized depreciation of investments and swap contracts | (16,234,076) | (1,260,950) | |||||||||
Increase (Decrease) in Net Assets From Operations | (8,756,297) | 7,937,065 | |||||||||
Distributions to Shareholders From | |||||||||||
Net investment income: | |||||||||||
Class A | (1,090,668) | (1,496,185) | |||||||||
Class C | (185,406) | (252,385) | |||||||||
Class I | (2,898,594) | (1,602,503) | |||||||||
Total Distributions to Shareholders | (4,174,668) | (3,351,073) | |||||||||
Capital Transactions (Note 6) | |||||||||||
Proceeds from shares sold | 184,501,674 | 44,224,957 | |||||||||
Reinvestment of distributions | 3,318,366 | 2,944,665 | |||||||||
Cost of shares redeemed | (111,389,429) | (50,989,816) | |||||||||
Redemption fees | 26,941 | 1,609 | |||||||||
Increase (Decrease) in Net Assets From Capital Transactions | 76,457,552 | (3,818,585) | |||||||||
Total Increase in Net Assets | 63,526,587 | 767,407 | |||||||||
Net Assets | |||||||||||
Beginning of year | 59,920,808 | 59,153,401 | |||||||||
End of year (including accumulated net investment income of $16,545 and $0, respectively) | $ | 123,447,395 | $ | 59,920,808 |
LoCorr Multi-Strategy Fund - Consolidated Statements of Changes in Net Assets | 57 |
Year Ended December 31, 2016 | Period from April 6, 2015 (commencement of operations) through December 31, 2015 | ||||||||||
Operations | |||||||||||
Net investment income | $ | 324,370 | $ | 193,088 | |||||||
Net realized loss on investments, securities sold short, swap contracts and foreign currency translation | (139,905) | (1,448,509) | |||||||||
Net change in unrealized appreciation (depreciation) of investments, securities sold short and swap contracts | 363,071 | (1,954,814) | |||||||||
Increase (Decrease) in Net Assets From Operations | 547,536 | (3,210,235) | |||||||||
Distributions to Shareholders From | |||||||||||
Net investment income: | |||||||||||
Class A | (154,251) | (57,171) | |||||||||
Class C | (33,115) | (37,332) | |||||||||
Class I | (199,550) | (172,857) | |||||||||
Return of capital: | |||||||||||
Class A | (341,141) | (59,982) | |||||||||
Class C | (73,235) | (39,167) | |||||||||
Class I | (441,323) | (181,352) | |||||||||
Total Distributions to Shareholders | (1,242,615) | (547,861) | |||||||||
Capital Transactions (Note 6) | |||||||||||
Proceeds from shares sold | 21,301,189 | 40,943,678 | |||||||||
Reinvestment of distributions | 1,018,144 | 397,009 | |||||||||
Cost of shares redeemed | (16,445,492) | (3,428,828) | |||||||||
Redemption fees | 238 | 467 | |||||||||
Increase in Net Assets From Capital Transactions | 5,874,079 | 37,912,326 | |||||||||
Total Increase in Net Assets | 5,179,000 | 34,154,230 | |||||||||
Net Assets | |||||||||||
Beginning of period | 34,154,230 | — | |||||||||
End of period (including accumulated net investment loss of $149,940 and $9,659, respectively) | $ | 39,333,230 | $ | 34,154,230 |
58 | LoCorr Market Trend Fund - Consolidated Statements of Changes in Net Assets |
Year Ended December 31, 2016 | Year Ended December 31, 2015 | |||||||||
Operations | ||||||||||
Net investment loss | $ | (14,352,202) | $ | (6,446,474) | ||||||
Net realized loss on investments, forward currency contracts, futures contracts and foreign currency translation | (147,332,298) | (13,448,278) | ||||||||
Net change in unrealized appreciation of investments, forward currency contracts, futures contracts and foreign currency translation | 7,238,768 | 1,494,813 | ||||||||
Decrease in Net Assets From Operations | (154,445,732) | (18,399,939) | ||||||||
Distributions to Shareholders From | ||||||||||
Net investment income: | ||||||||||
Class A | (2,324,469) | (555,579) | ||||||||
Class C | (1,348,021) | (187,583) | ||||||||
Class I | (16,192,350) | (4,581,749) | ||||||||
Net realized gain: | ||||||||||
Class A | — | (199,576) | ||||||||
Class C | — | (175,420) | ||||||||
Class I | — | (1,224,826) | ||||||||
Total Distributions to Shareholders | (19,864,840) | (6,924,733) | ||||||||
Capital Transactions (Note 6) | ||||||||||
Proceeds from shares sold | 1,129,819,283 | 1,017,177,800 | ||||||||
Reinvestment of distributions | 18,880,713 | 6,556,398 | ||||||||
Cost of shares redeemed | (854,994,134) | (157,925,020) | ||||||||
Redemption fees | 31,875 | 55,555 | ||||||||
Increase in Net Assets From Capital Transactions | 293,737,737 | 865,864,733 | ||||||||
Total Increase in Net Assets | 119,427,165 | 840,540,061 | ||||||||
Net Assets | ||||||||||
Beginning of year | 901,017,766 | 60,477,705 | ||||||||
End of year (including accumulated net investment income (loss) of $(430,397) and $5,933,169, respectively) | $ | 1,020,444,931 | $ | 901,017,766 |
LoCorr Long/Short Equity Fund - Statements of Changes in Net Assets | 59 |
Year Ended December 31, 2016 | Year Ended December 31, 2015 | |||||||
Operations | ||||||||
Net investment loss | $ | (1,250,712) | $ | (997,517) | ||||
Net realized gain on investments, securities sold short and securities litigation | 4,557,685 | 1,963,831 | ||||||
Net change in unrealized appreciation (depreciation) of investments and securities sold short | 6,734,680 | (1,306,541) | ||||||
Increase (Decrease) in Net Assets From Operations | 10,041,653 | (340,227) | ||||||
Capital Transactions (Note 6) | ||||||||
Proceeds from shares sold | 59,597,625 | 11,326,336 | ||||||
Cost of shares redeemed | (15,637,868) | (22,349,664) | ||||||
Redemption fees | 2,152 | 279 | ||||||
Increase (Decrease) in Net Assets From Capital Transactions | 43,961,909 | (11,023,049) | ||||||
Total Increase (Decrease) in Net Assets | 54,003,562 | (11,363,276) | ||||||
Net Assets | ||||||||
Beginning of year | 30,273,195 | 41,636,471 | ||||||
End of year (including accumulated net investment income of $0 and $0, respectively) | $ | 84,276,757 | $ | 30,273,195 |
60 | LoCorr Spectrum Income Fund - Statements of Changes in Net Assets |
Year Ended December 31, 2016 | Year Ended December 31, 2015 | |||||||
Operations | ||||||||
Net investment income | $ | 3,408,203 | $ | 4,604,374 | ||||
Net realized loss on investments and foreign currency translation | (4,887,348) | (16,828,199) | ||||||
Net change in unrealized appreciation of investments | 6,426,460 | 2,371,967 | ||||||
Increase (Decrease) in Net Assets From Operations | 4,947,315 | (9,851,858) | ||||||
Distributions to Shareholders From | ||||||||
Net investment income: | ||||||||
Class A | (1,640,399) | (1,853,135) | ||||||
Class C | (1,132,883) | (1,211,916) | ||||||
Class I | (1,733,891) | (1,650,068) | ||||||
Return of capital: | ||||||||
Class A | (869,438) | (883,774) | ||||||
Class C | (600,446) | (577,971) | ||||||
Class I | (918,989) | (786,930) | ||||||
Total Distributions to Shareholders | (6,896,046) | (6,963,794) | ||||||
Capital Transactions (Note 6) | ||||||||
Proceeds from shares sold | 51,290,652 | 58,801,112 | ||||||
Reinvestment of distributions | 5,104,992 | 5,179,324 | ||||||
Cost of shares redeemed | (41,752,967) | (48,180,021) | ||||||
Redemption fees | 8,855 | 17,905 | ||||||
Increase in Net Assets From Capital Transactions | 14,651,532 | 15,818,320 | ||||||
Total Increase (Decrease) in Net Assets | 12,702,801 | (997,332) | ||||||
Net Assets | ||||||||
Beginning of year | 93,065,601 | 94,062,933 | ||||||
End of year (including accumulated net investment loss of $1,508,340 and $559,687, respectively) | $ | 105,768,402 | $ | 93,065,601 |
LoCorr Managed Futures Strategy Fund - Consolidated Financial Highlights - Class A | 61 |
Year Ended | |||||||||||||||||||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | December 31, 2013 | December 31, 2012(a) | |||||||||||||||||||||
Per Share | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 8.54 | $ | 8.51 | $ | 8.28 | $ | 8.77 | $ | 9.33 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)(b) | (0.09) | (0.08) | (0.08) | (0.07) | (0.24) | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.64 | 0.36 | 1.36 | (0.41) | (0.32) | ||||||||||||||||||||
Total from Investment Operations | 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) | (c) | |||||||||||||||||||
Total Distributions | (0.18) | (0.25) | (1.05) | (0.01) | (0.00) | ||||||||||||||||||||
Redemption Fees(c) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||
Net Asset Value, End of Year | $ | 8.91 | $ | 8.54 | $ | 8.51 | $ | 8.28 | $ | 8.77 | |||||||||||||||
Total Investment Return(d) | 6.39 | % | 3.27 | % | 15.42 | % | (5.53) | % | (5.98) | % | |||||||||||||||
Net Assets, End of Year, in Thousands | $ | 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 | 2.34 | %(e),(f) | 2.06 | %(e),(f) | 2.11 | %(e) | 2.08 | %(e) | 3.95 | %(e),(g) | |||||||||||||||
After expense reimbursement or recovery | 2.34 | %(e),(f) | 2.06 | %(e),(f) | 2.11 | %(e) | 2.08 | %(e) | 4.00 | %(e),(g) | |||||||||||||||
Ratio of net investment income (loss) to average net assets: | |||||||||||||||||||||||||
Before expense reimbursement or recovery | (0.96) | %(e) | (0.90) | %(e) | (0.94) | %(e) | (0.87) | %(e) | (2.60) | %(e),(h) | |||||||||||||||
After expense reimbursement or recovery | (0.96) | %(e) | (0.90) | %(e) | (0.94) | %(e) | (0.87) | %(e) | (2.65) | %(e),(h) | |||||||||||||||
Portfolio turnover rate(i) | 62 | % | 53 | % | 57 | % | 46 | % | 46 | % |
(a) | Selected data and ratios (for a share outstanding throughout the period) do not include non-controlling interest. |
(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 of 0.01% and 0.00% for the years ended December 31, 2016 and 2015, respectively. |
(g) | For the year ended December 31, 2012, the ratios include 1.88% of expenses attributable to the Partnership. See Note 1. |
(h) | For the year ended December 31, 2012, the ratios include (1.63)% of net investment losses attributable to the Partnership. See Note 1. |
(i) | 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. |
62 | LoCorr Managed Futures Strategy Fund - Consolidated Financial Highlights - Class C |
Year Ended | |||||||||||||||||||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | December 31, 2013 | December 31, 2012(a) | |||||||||||||||||||||
Per Share | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 8.32 | $ | 8.30 | $ | 8.12 | $ | 8.65 | $ | 9.28 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)(b) | (0.15) | (0.14) | (0.15) | (0.14) | (0.30) | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.63 | 0.35 | 1.33 | (0.38) | (0.33) | ||||||||||||||||||||
Total from Investment Operations | 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) | (c) | |||||||||||||||||||
Total Distributions | (0.18) | (0.19) | (1.00) | (0.01) | (0.00) | ||||||||||||||||||||
Redemption Fees(c) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||
Net Asset Value, End of Year | $ | 8.62 | $ | 8.32 | $ | 8.30 | $ | 8.12 | $ | 8.65 | |||||||||||||||
Total Investment Return(d) | 5.72 | % | 2.51 | % | 14.39 | % | (6.07) | % | (6.77) | % | |||||||||||||||
Net Assets, End of Year, in Thousands | $ | 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 | 3.09 | %(e),(f) | 2.81 | %(e),(f) | 2.86 | %(e) | 2.83 | %(e) | 4.70 | %(e),(g) | |||||||||||||||
After expense reimbursement or recovery | 3.09 | %(e),(f) | 2.81 | %(e),(f) | 2.86 | %(e) | 2.83 | %(e) | 4.75 | %(e),(g) | |||||||||||||||
Ratio of net investment income (loss) to average net assets: | |||||||||||||||||||||||||
Before expense reimbursement or recovery | (1.71) | %(e) | (1.65) | %(e) | (1.69) | %(e) | (1.62) | %(e) | (3.35) | %(e),(h) | |||||||||||||||
After expense reimbursement or recovery | (1.71) | %(e) | (1.65) | %(e) | (1.69) | %(e) | (1.62) | %(e) | (3.40) | %(e),(h) | |||||||||||||||
Portfolio turnover rate(i) | 62 | % | 53 | % | 57 | % | 46 | % | 46 | % |
(a) | Selected data and ratios (for a share outstanding throughout the period) do not include non-controlling interest. |
(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 of 0.01% and 0.00% for the years ended December 31, 2016 and 2015, respectively. |
(g) | For the year ended December 31, 2012, the ratios include 1.88% of expenses attributable to the Partnership. See Note 1. |
(h) | For the year ended December 31, 2012, the ratios include (1.63)% of net investment losses attributable to the Partnership. See Note 1. |
(i) | 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 Managed Futures Strategy Fund - Consolidated Financial Highlights - Class I | 63 |
Year Ended | |||||||||||||||||||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | December 31, 2013 | December 31, 2012(a) | |||||||||||||||||||||
Per Share | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 8.62 | $ | 8.57 | $ | 8.34 | $ | 8.81 | $ | 9.35 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)(b) | (0.07) | (0.06) | (0.06) | (0.05) | (0.22) | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.64 | 0.38 | 1.36 | (0.41) | (0.32) | ||||||||||||||||||||
Total from Investment Operations | 0.57 | 0.32 | 1.30 | (0.46) | (0.54) | ||||||||||||||||||||
Distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | 0.00 | (c) | (0.27) | (1.06) | — | — | |||||||||||||||||||
Net realized gains | (0.18) | — | (0.01) | (0.01) | (0.00) | (c) | |||||||||||||||||||
Total Distributions | (0.18) | (0.27) | (1.07) | (0.01) | (0.00) | ||||||||||||||||||||
Redemption Fees(c) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||
Net Asset Value, End of Year | $ | 9.01 | $ | 8.62 | $ | 8.57 | $ | 8.34 | $ | 8.81 | |||||||||||||||
Total Investment Return(d) | 6.57 | % | 3.72 | % | 15.56 | % | (5.28) | % | (5.75) | % | |||||||||||||||
Net Assets, End of Year, in Thousands | $ | 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 | 2.09 | %(d),(e) | 1.81 | %(d),(e) | 1.86 | %(d) | 1.83 | %(d) | 3.70 | %(d),(f) | |||||||||||||||
After expense reimbursement or recovery | 2.09 | %(d),(e) | 1.81 | %(d),(e) | 1.86 | %(d) | 1.83 | %(d) | 3.75 | %(d),(f) | |||||||||||||||
Ratio of net investment income (loss) to average net assets: | |||||||||||||||||||||||||
Before expense reimbursement or recovery | (0.71) | %(d) | (0.65) | %(d) | (0.69) | %(d) | (0.62) | %(d) | (2.35) | %(d),(g) | |||||||||||||||
After expense reimbursement or recovery | (0.71) | %(d) | (0.65) | %(d) | (0.69) | %(d) | (0.62) | %(d) | (2.40) | %(d),(g) | |||||||||||||||
Portfolio turnover rate(h) | 62 | % | 53 | % | 57 | % | 46 | % | 46 | % |
(a) | Selected data and ratios (for a share outstanding throughout the period) do not include non-controlling interest. |
(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 of 0.01% and 0.00% for the years ended December 31, 2016 and 2015, respectively. |
(f) | For the year ended December 31, 2012, the ratios include 1.88% of expenses attributable to the Partnership. See Note 1. |
(g) | For the year ended December 31, 2012, the ratios include (1.63)% of net investment losses attributable to the Partnership. See Note 1. |
(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 derivative instruments. |
64 | LoCorr Long/Short Commodities Strategy Fund - Consolidated Financial Highlights - Class A |
Year Ended | |||||||||||||||||||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | December 31, 2013 | December 31, 2012 | |||||||||||||||||||||
Per Share | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 9.72 | $ | 8.54 | $ | 7.67 | $ | 8.37 | $ | 10.00 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)(a) | (0.10) | (0.13) | (0.14) | (0.12) | (0.17) | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.18) | 2.02 | 1.85 | (0.58) | (1.46) | ||||||||||||||||||||
Total from Investment Operations | (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(b) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||
Net Asset Value, End of Year | $ | 9.17 | $ | 9.72 | $ | 8.54 | $ | 7.67 | $ | 8.37 | |||||||||||||||
Total Investment Return(c) | (2.98) | % | 22.34 | % | 22.07 | % | (8.36) | % | (16.30) | % | |||||||||||||||
Net Assets, End of Year, in Thousands | $ | 34,860 | $ | 24,425 | $ | 43,345 | $ | 3,653 | $ | 3,213 | |||||||||||||||
Ratios/Supplemental Data:(d) | |||||||||||||||||||||||||
Ratio of expenses to average net assets: | |||||||||||||||||||||||||
Before expense reimbursement or recovery | 2.22 | %(e) | 2.59 | %(e) | 3.01 | %(e) | 4.18 | % | 6.12 | % | |||||||||||||||
After expense reimbursement or recovery | 2.20 | %(e) | 2.20 | %(e) | 2.20 | %(e) | 2.20 | % | 2.20 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets: | |||||||||||||||||||||||||
Before expense reimbursement or recovery | (0.99) | % | (1.79) | % | (2.39) | % | (3.46) | % | (5.82) | % | |||||||||||||||
After expense reimbursement or recovery | (0.97) | % | (1.40) | % | (1.58) | % | (1.48) | % | (1.90) | % | |||||||||||||||
Portfolio turnover rate(f) | 105 | % | 164 | % | 55 | % | 59 | % | 60 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total return excludes the effect of applicable sales charges. |
(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, December 31, 2015 and December 31, 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 Long/Short Commodities Strategy Fund - Consolidated Financial Highlights - Class C | 65 |
Consolidated Financial Highlights
Year Ended | |||||||||||||||||||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | December 31, 2013 | December 31, 2012 | |||||||||||||||||||||
Per Share | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 9.51 | $ | 8.36 | $ | 7.54 | $ | 8.29 | $ | 10.00 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)(a) | (0.17) | (0.19) | (0.20) | (0.17) | (0.24) | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.18) | 1.96 | 1.80 | (0.58) | (1.47) | ||||||||||||||||||||
Total from Investment Operations | (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 | (b) | — | — | — | 0.00 | (b) | ||||||||||||||||||
Net Asset Value, End of Year | $ | 8.95 | $ | 9.51 | $ | 8.36 | $ | 7.54 | $ | 8.29 | |||||||||||||||
Total Investment Return(c) | (3.72) | % | 21.39 | % | 21.01 | % | (9.05) | % | (17.10) | % | |||||||||||||||
Net Assets, End of Year, in Thousands | $ | 7,383 | $ | 4,330 | $ | 2,983 | $ | 1,653 | $ | 1,605 | |||||||||||||||
Ratios/Supplemental Data:(d) | |||||||||||||||||||||||||
Ratio of expenses to average net assets: | |||||||||||||||||||||||||
Before expense reimbursement or recovery | 2.97 | %(e) | 3.34 | %(e) | 3.76 | %(e) | 4.93 | % | 6.87 | % | |||||||||||||||
After expense reimbursement or recovery | 2.95 | %(e) | 2.95 | %(e) | 2.95 | %(e) | 2.95 | % | 2.95 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets: | |||||||||||||||||||||||||
Before expense reimbursement or recovery | (1.74) | % | (2.54) | % | (3.14) | % | (4.21) | % | (6.57) | % | |||||||||||||||
After expense reimbursement or recovery | (1.72) | % | (2.15) | % | (2.33) | % | (2.23) | % | (2.65) | % | |||||||||||||||
Portfolio turnover rate(f) | 105 | % | 164 | % | 55 | % | 59 | % | 60 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total return excludes the effect of applicable sales charges. |
(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, December 31, 2015 and December 31, 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. |
66 | LoCorr Long/Short Commodities Strategy Fund - Consolidated Financial Highlights - Class I |
Year Ended | |||||||||||||||||||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | December 31, 2013 | December 31, 2012 | |||||||||||||||||||||
Per Share | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 9.79 | $ | 8.59 | $ | 7.70 | $ | 8.38 | $ | 10.00 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)(a) | (0.07) | (0.11) | (0.12) | (0.10) | (0.15) | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.18) | 2.03 | 1.86 | (0.58) | (1.47) | ||||||||||||||||||||
Total from Investment Operations | (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(b) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||
Net Asset Value, End of Year | $ | 9.24 | $ | 9.79 | $ | 8.59 | $ | 7.70 | $ | 8.38 | |||||||||||||||
Total Investment Return | (2.67) | % | 22.61 | % | 22.36 | % | (8.11) | % | (16.20) | % | |||||||||||||||
Net Assets, End of Year, in Thousands | $ | 81,204 | $ | 31,166 | $ | 12,825 | $ | 5,502 | $ | 6,373 | |||||||||||||||
Ratios/Supplemental Data:(c) | |||||||||||||||||||||||||
Ratio of expenses to average net assets: | |||||||||||||||||||||||||
Before expense reimbursement or recovery | 1.97 | %(d) | 2.34 | %(d) | 2.76 | %(d) | 3.93 | % | 5.87 | % | |||||||||||||||
After expense reimbursement or recovery | 1.95 | %(d) | 1.95 | %(d) | 1.95 | %(d) | 1.95 | % | 1.95 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets: | |||||||||||||||||||||||||
Before expense reimbursement or recovery | (0.74) | % | (1.54) | % | (2.14) | % | (3.21) | % | (5.57) | % | |||||||||||||||
After expense reimbursement or recovery | (0.72) | % | (1.15) | % | (1.33) | % | (1.23) | % | (1.65) | % | |||||||||||||||
Portfolio turnover rate(e) | 105 | % | 164 | % | 55 | % | 59 | % | 60 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Ratios do not include the income and expenses of the CTAs included in the swap. |
(d) | Includes interest expense on line of credit of 0.00%, 0.00% and 0.00% for the years ended December 31, 2016, December 31, 2015 and December 31, 2014, respectively. |
(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 derivative instruments. |
LoCorr Multi-Strategy Fund - Consolidated Financial Highlights - Class A | 67 |
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 | $ | 8.31 | $ | 10.00 | ||||||
Income (loss) from investment operations: | ||||||||||
Net investment income (loss)(b) | 0.06 | 0.07 | ||||||||
Net realized and unrealized gain (loss) | 0.06 | (c) | (1.58) | |||||||
Total from Investment Operations | 0.12 | (1.51) | ||||||||
Distributions to shareholders from: | ||||||||||
Net investment income | (0.09) | (0.09) | ||||||||
Return of capital | (0.19) | (0.09) | ||||||||
Total Distributions | (0.28) | (0.18) | ||||||||
Redemption Fees(d) | 0.00 | 0.00 | ||||||||
Net Asset Value, End of Period | $ | 8.15 | $ | 8.31 | ||||||
Total Investment Return(e) | 1.41 | % | (15.14) | % | ||||||
Net Assets, End of Period, in Thousands | $ | 17,149 | $ | 12,102 | ||||||
Ratios/Supplemental Data:(f)(g) | ||||||||||
Ratio of expenses to average net assets: | ||||||||||
Before expense reimbursement or recovery | 2.84 | % | 3.44 | % | ||||||
After expense reimbursement or recovery | 2.34 | % | 2.30 | % | ||||||
Ratio of expenses to average net assets (excluding dividend and interest expense): | ||||||||||
Before expense reimbursement or recovery | 2.79 | % | 3.43 | % | ||||||
After expense reimbursement or recovery | 2.29 | % | 2.29 | % | ||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||
Before expense reimbursement or recovery | 0.36 | % | (0.04) | % | ||||||
After expense reimbursement or recovery | 0.86 | % | 1.10 | % | ||||||
Portfolio turnover rate(h) | 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 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 the expenses of the 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. |
68 | LoCorr Multi-Strategy Fund - Consolidated Financial Highlights - Class C |
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 | $ | 8.31 | $ | 10.00 | ||||||
Income (loss) from investment operations: | ||||||||||
Net investment income (loss)(b) | 0.01 | 0.02 | ||||||||
Net realized and unrealized gain (loss) | 0.03 | (c) | (1.58) | |||||||
Total from Investment Operations | 0.04 | (1.56) | ||||||||
Distributions to shareholders from: | ||||||||||
Net investment income | (0.06) | (0.06) | ||||||||
Return of capital | (0.14) | (0.07) | ||||||||
Total Distributions | (0.20) | (0.13) | ||||||||
Redemption Fees(d) | 0.00 | 0.00 | ||||||||
Net Asset Value, End of Period | $ | 8.15 | $ | 8.31 | ||||||
Total Investment Return(e) | 0.49 | % | (15.62) | % | ||||||
Net Assets, End of Period, in Thousands | $ | 3,899 | $ | 5,490 | ||||||
Ratios/Supplemental Data:(f)(g) | ||||||||||
Ratio of expenses to average net assets: | ||||||||||
Before expense reimbursement or recovery | 3.59 | % | 4.19 | % | ||||||
After expense reimbursement or recovery | 3.09 | % | 3.05 | % | ||||||
Ratio of expenses to average net assets (excluding dividend and interest expense): | ||||||||||
Before expense reimbursement or recovery | 3.54 | % | 4.18 | % | ||||||
After expense reimbursement or recovery | 3.04 | % | 3.04 | % | ||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||
Before expense reimbursement or recovery | (0.39) | % | (0.79) | % | ||||||
After expense reimbursement or recovery | 0.11 | % | 0.35 | % | ||||||
Portfolio turnover rate(h) | 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 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 the expenses of the 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 | 69 |
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 | $ | 8.31 | $ | 10.00 | ||||||
Income (loss) from investment operations: | ||||||||||
Net investment income (loss)(b) | 0.10 | 0.09 | ||||||||
Net realized and unrealized gain (loss) | 0.03 | (c) | (1.58) | |||||||
Total from Investment Operations | 0.13 | (1.49) | ||||||||
Distributions to shareholders from: | ||||||||||
Net investment income | (0.09) | (0.10) | ||||||||
Return of capital | (0.21) | (0.10) | ||||||||
Total Distributions | (0.30) | (0.20) | ||||||||
Redemption Fees(d) | 0.00 | 0.00 | ||||||||
Net Asset Value, End of Period | $ | 8.14 | $ | 8.31 | ||||||
Total Investment Return | 1.60 | % | (14.98) | % | ||||||
Net Assets, End of Period, in Thousands | $ | 18,285 | $ | 16,562 | ||||||
Ratios/Supplemental Data:(e)(f) | ||||||||||
Ratio of expenses to average net assets: | ||||||||||
Before expense reimbursement or recovery | 2.59 | % | 3.19 | % | ||||||
After expense reimbursement or recovery | 2.09 | % | 2.05 | % | ||||||
Ratio of expenses to average net assets (excluding dividend and interest expense): | ||||||||||
Before expense reimbursement or recovery | 2.54 | % | 3.18 | % | ||||||
After expense reimbursement or recovery | 2.04 | % | 2.04 | % | ||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||
Before expense reimbursement or recovery | 0.61 | % | 0.21 | % | ||||||
After expense reimbursement or recovery | 1.11 | % | 1.35 | % | ||||||
Portfolio turnover rate(g) | 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 the expenses of the 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. |
70 | LoCorr Market Trend Fund - Consolidated Financial Highlights - Class A |
Period from July 1, 2014 | |||||||||||||||
(commencement of operations) | |||||||||||||||
Year Ended | through | ||||||||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 (a) | |||||||||||||
Per Share | |||||||||||||||
Net asset value, beginning of period | $ | 12.00 | $ | 11.44 | $ | 10.00 | |||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment income (loss)(b) | (0.15) | (0.19) | (0.12) | ||||||||||||
Net realized and unrealized gain (loss) | (1.01) | 0.84 | (c) | 1.99 | |||||||||||
Total from Investment Operations | (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 | ||||||||||||
Net Asset Value, End of Period | $ | 10.65 | $ | 12.00 | $ | 11.44 | |||||||||
Total Investment Return(e) | (9.71) | % | 5.68 | % | 18.74 | % | |||||||||
Net Assets, End of Period, in Thousands | $ | 133,146 | $ | 110,324 | $ | 13,337 | |||||||||
Ratios/Supplemental Data: | |||||||||||||||
Ratio of expenses to average net assets: | |||||||||||||||
Before expense reimbursement or recovery | 2.02 | %(f) | 2.03 | % | 3.64 | % | |||||||||
After expense reimbursement or recovery | 2.02 | %(f) | 2.06 | % | 2.20 | % | |||||||||
Ratio of net investment income (loss) to average net assets: | |||||||||||||||
Before expense reimbursement or recovery | (1.24) | % | (1.49) | % | (3.48) | % | |||||||||
After expense reimbursement or recovery | (1.24) | % | (1.52) | % | (2.04) | % | |||||||||
Portfolio turnover rate(g) | 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 return excludes the effect of applicable sales charges. |
(f) | Includes interest expense of 0.00% 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. |
LoCorr Market Trend Fund - Consolidated Financial Highlights - Class C | 71 |
Period from July 1, 2014 | |||||||||||||||
(commencement of operations) | |||||||||||||||
Year Ended | through | ||||||||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 (a) | |||||||||||||
Per Share | |||||||||||||||
Net asset value, beginning of period | $ | 11.92 | $ | 11.41 | $ | 10.00 | |||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment income (loss)(b) | (0.23) | (0.28) | (0.16) | ||||||||||||
Net realized and unrealized gain (loss) | (1.01) | 0.84 | (c) | 1.99 | |||||||||||
Total from Investment Operations | (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 | ||||||||||||
Net Asset Value, End of Period | $ | 10.53 | $ | 11.92 | $ | 11.41 | |||||||||
Total Investment Return(e) | (10.45) | % | 4.90 | % | 18.29 | % | |||||||||
Net Assets, End of Period, in Thousands | $ | 89,454 | $ | 94,707 | $ | 6,949 | |||||||||
Ratios/Supplemental Data: | |||||||||||||||
Ratio of expenses to average net assets: | |||||||||||||||
Before expense reimbursement or recovery | 2.77 | %(f) | 2.78 | % | 4.39 | % | |||||||||
After expense reimbursement or recovery | 2.77 | %(f) | 2.81 | % | 2.95 | % | |||||||||
Ratio of net investment income (loss) to average net assets: | |||||||||||||||
Before expense reimbursement or recovery | (1.99) | % | (2.24) | % | (4.23) | % | |||||||||
After expense reimbursement or recovery | (1.99) | % | (2.27) | % | (2.79) | % | |||||||||
Portfolio turnover rate(g) | 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 return excludes the effect of applicable sales charges. |
(f) | Includes interest expense of 0.00% 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. |
72 | LoCorr Market Trend Fund - Consolidated Financial Highlights - Class I |
Period from July 1, 2014 | |||||||||||||||
(commencement of operations) | |||||||||||||||
Year Ended | through | ||||||||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 (a) | |||||||||||||
Per Share | |||||||||||||||
Net asset value, beginning of period | $ | 12.02 | $ | 11.45 | $ | 10.00 | |||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment income (loss)(b) | (0.12) | (0.16) | (0.10) | ||||||||||||
Net realized and unrealized gain (loss) | (1.02) | 0.84 | (c) | 1.99 | |||||||||||
Total from Investment Operations | (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 | ||||||||||||
Net Asset Value, End of Period | $ | 10.68 | $ | 12.02 | $ | 11.45 | |||||||||
Total Investment Return | (9.49) | % | 5.96 | % | 18.88 | % | |||||||||
Net Assets, End of Period, in Thousands | $ | 797,845 | $ | 695,987 | $ | 40,192 | |||||||||
Ratios/Supplemental Data: | |||||||||||||||
Ratio of expenses to average net assets: | |||||||||||||||
Before expense reimbursement or recovery | 1.77 | %(e) | 1.78 | % | 3.39 | % | |||||||||
After expense reimbursement or recovery | 1.77 | %(e) | 1.81 | % | 1.95 | % | |||||||||
Ratio of net investment income (loss) to average net assets: | |||||||||||||||
Before expense reimbursement or recovery | (0.99) | % | (1.24) | % | (3.23) | % | |||||||||
After expense reimbursement or recovery | (0.99) | % | (1.27) | % | (1.79) | % | |||||||||
Portfolio turnover rate(f) | 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 interest expense of 0.00% 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. |
LoCorr Long/Short Equity Fund - Financial Highlights - Class A | 73 |
Period from May 10, 2013 | |||||||||||||||||||
(commencement of operations) | |||||||||||||||||||
Year Ended | through | ||||||||||||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | December 31, 2013 (a) | ||||||||||||||||
Per Share | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.64 | $ | 9.80 | $ | 11.48 | $ | 10.00 | |||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment income (loss)(b) | (0.32) | (0.27) | (0.22) | (0.13) | |||||||||||||||
Net realized and unrealized gain (loss) | 2.74 | 0.11 | (1.42) | 1.61 | |||||||||||||||
Total from Investment Operations | 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 | |||||||||||||||
Net Asset Value, End of Period | $ | 12.06 | $ | 9.64 | $ | 9.80 | $ | 11.48 | |||||||||||
Total Investment Return(d) | 25.10 | % | (1.53) | % | (14.37) | % | 14.80 | % | |||||||||||
Net Assets, End of Period, in Thousands | $ | 28,243 | $ | 12,446 | $ | 17,174 | $ | 21,256 | |||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||
Ratio of expenses to average net assets: | |||||||||||||||||||
Before expense reimbursement or recovery | 3.74 | % | 3.72 | % | 3.55 | % | 5.05 | % | |||||||||||
After expense reimbursement or recovery | 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 | 3.40 | % | 3.52 | % | 3.40 | % | 4.94 | % | |||||||||||
After expense reimbursement or recovery | 3.15 | % | 3.15 | % | 3.15 | % | 3.15 | % | |||||||||||
Ratio of net investment income (loss) to average net assets: | |||||||||||||||||||
Before expense reimbursement or recovery | (3.23) | % | (3.06) | % | (2.41) | % | (3.64) | % | |||||||||||
After expense reimbursement or recovery | (2.98) | % | (2.69) | % | (2.16) | % | (1.85) | % | |||||||||||
Portfolio turnover rate(e) | 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 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. |
74 | LoCorr Long/Short Equity Fund - Financial Highlights - Class C |
Period from May 10, 2013 | |||||||||||||||||||
(commencement of operations) | |||||||||||||||||||
Year Ended | through | ||||||||||||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | December 31, 2013 (a) | ||||||||||||||||
Per Share | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.45 | $ | 9.67 | $ | 11.42 | $ | 10.00 | |||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment income (loss)(b) | (0.38) | (0.33) | (0.29) | (0.18) | |||||||||||||||
Net realized and unrealized gain (loss) | 2.66 | 0.11 | (1.42) | 1.60 | |||||||||||||||
Total from Investment Operations | 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) | — | ||||||||||||
Net Asset Value, End of Period | $ | 11.73 | $ | 9.45 | $ | 9.67 | $ | 11.42 | |||||||||||
Total Investment Return(d) | 24.13 | % | (2.28) | % | (14.98) | % | 14.20 | % | |||||||||||
Net Assets, End of Period, in Thousands | $ | 11,218 | $ | 7,837 | $ | 12,158 | $ | 8,443 | |||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||
Ratio of expenses to average net assets: | |||||||||||||||||||
Before expense reimbursement or recovery | 4.49 | % | 4.47 | % | 4.30 | % | 5.80 | % | |||||||||||
After expense reimbursement or recovery | 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 | 4.15 | % | 4.27 | % | 4.15 | % | 5.69 | % | |||||||||||
After expense reimbursement or recovery | 3.90 | % | 3.90 | % | 3.90 | % | 3.90 | % | |||||||||||
Ratio of net investment income (loss) to average net assets: | |||||||||||||||||||
Before expense reimbursement or recovery | (3.98) | % | (3.81) | % | (3.16) | % | (4.39) | % | |||||||||||
After expense reimbursement or recovery | (3.73) | % | (3.44) | % | (2.91) | % | (2.60) | % | |||||||||||
Portfolio turnover rate(e) | 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 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. |
LoCorr Long/Short Equity Fund - Financial Highlights - Class I | 75 |
Period from May 10, 2013 | |||||||||||||||||||
(commencement of operations) | |||||||||||||||||||
Year Ended | through | ||||||||||||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | December 31, 2013 (a) | ||||||||||||||||
Per Share | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.71 | $ | 9.84 | $ | 11.50 | $ | 10.00 | |||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment income (loss)(b) | (0.30) | (0.24) | (0.20) | (0.11) | |||||||||||||||
Net realized and unrealized gain (loss) | 2.76 | 0.11 | (1.42) | 1.61 | |||||||||||||||
Total from Investment Operations | 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 | |||||||||||||||
Net Asset Value, End of Period | $ | 12.17 | $ | 9.71 | $ | 9.84 | $ | 11.50 | |||||||||||
Total Investment Return | 25.33 | % | (1.22) | % | (14.18) | % | 15.00 | % | |||||||||||
Net Assets, End of Period, in Thousands | $ | 44,816 | $ | 9,990 | $ | 12,304 | $ | 12,361 | |||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||
Ratio of expenses to average net assets: | |||||||||||||||||||
Before expense reimbursement or recovery | 3.49 | % | 3.47 | % | 3.30 | % | 4.80 | % | |||||||||||
After expense reimbursement or recovery | 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 | 3.15 | % | 3.27 | % | 3.15 | % | 4.69 | % | |||||||||||
After expense reimbursement or recovery | 2.90 | % | 2.90 | % | 2.90 | % | 2.90 | % | |||||||||||
Ratio of net investment income (loss) to average net assets: | |||||||||||||||||||
Before expense reimbursement or recovery | (2.98) | % | (2.81) | % | (2.16) | % | (3.39) | % | |||||||||||
After expense reimbursement or recovery | (2.73) | % | (2.44) | % | (1.91) | % | (1.60) | % | |||||||||||
Portfolio turnover rate(d) | 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. |
76 | LoCorr Spectrum Income Fund - Financial Highlights - Class A |
Year Ended | |||||||||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | |||||||||||||
Per Share | |||||||||||||||
Net asset value, beginning of year | $ | 7.78 | $ | 8.97 | $ | 10.00 | |||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment income (loss)(a) | 0.29 | 0.38 | 0.41 | ||||||||||||
Net realized and unrealized gain (loss) | 0.20 | (1.00) | (0.91) | ||||||||||||
Total from Investment Operations | 0.49 | (0.62) | (0.50) | ||||||||||||
Distributions to shareholders from: | |||||||||||||||
Net investment income | (0.37) | (0.39) | (0.36) | ||||||||||||
Return of capital | (0.20) | (0.18) | (0.17) | ||||||||||||
Total Distributions | (0.57) | (0.57) | (0.53) | ||||||||||||
Redemption Fees(b) | 0.00 | 0.00 | 0.00 | ||||||||||||
Net Asset Value, End of Year | $ | 7.70 | $ | 7.78 | $ | 8.97 | |||||||||
Total Investment Return(c) | 6.64 | % | (7.36) | % | (5.45) | % | |||||||||
Net Assets, End of Year, in Thousands | $ | 33,032 | $ | 36,957 | $ | 37,425 | |||||||||
Ratios/Supplemental Data:(d) | |||||||||||||||
Ratio of expenses to average net assets: | |||||||||||||||
Before expense reimbursement or recovery | 2.02 | % | 1.99 | %(e) | 2.28 | %(e) | |||||||||
After expense reimbursement or recovery | 2.05 | % | 2.05 | %(e) | 2.05 | %(e) | |||||||||
Ratio of net investment income (loss) to average net assets: | |||||||||||||||
Before expense reimbursement or recovery | 3.81 | % | 4.41 | % | 3.88 | % | |||||||||
After expense reimbursement or recovery | 3.78 | % | 4.35 | % | 4.11 | % | |||||||||
Portfolio turnover rate(f) | 92 | % | 54 | % | 43 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total return excludes the effect of applicable sales charges. |
(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 December 31, 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 Spectrum Income Fund - Financial Highlights - Class C | 77 |
Year Ended | |||||||||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | |||||||||||||
Per Share | |||||||||||||||
Net asset value, beginning of year | $ | 7.78 | $ | 8.96 | $ | 10.00 | |||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment income (loss)(a) | 0.23 | 0.32 | 0.33 | ||||||||||||
Net realized and unrealized gain (loss) | 0.21 | (1.00) | (0.91) | ||||||||||||
Total from Investment Operations | 0.44 | (0.68) | (0.58) | ||||||||||||
Distributions to shareholders from: | |||||||||||||||
Net investment income | (0.33) | (0.34) | (0.31) | ||||||||||||
Return of capital | (0.17) | (0.16) | (0.15) | ||||||||||||
Total Distributions | (0.50) | (0.50) | (0.46) | ||||||||||||
Redemption Fees(b) | 0.00 | 0.00 | 0.00 | ||||||||||||
Net Asset Value, End of Year | $ | 7.72 | $ | 7.78 | $ | 8.96 | |||||||||
Total Investment Return(c) | 5.88 | % | (8.05) | % | (6.19) | % | |||||||||
Net Assets, End of Year, in Thousands | $ | 25,898 | $ | 27,817 | $ | 25,210 | |||||||||
Ratios/Supplemental Data:(d) | |||||||||||||||
Ratio of expenses to average net assets: | |||||||||||||||
Before expense reimbursement or recovery | 2.77 | % | 2.74 | %(e) | 3.03 | %(e) | |||||||||
After expense reimbursement or recovery | 2.80 | % | 2.80 | %(e) | 2.80 | %(e) | |||||||||
Ratio of net investment income (loss) to average net assets: | |||||||||||||||
Before expense reimbursement or recovery | 3.06 | % | 3.66 | % | 3.13 | % | |||||||||
After expense reimbursement or recovery | 3.03 | % | 3.60 | % | 3.36 | % | |||||||||
Portfolio turnover rate(f) | 92 | % | 54 | % | 43 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total return excludes the effect of applicable sales charges. |
(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 December 31, 2014, respectively. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
78 | LoCorr Spectrum Income Fund - Financial Highlights - Class I |
Year Ended | |||||||||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | |||||||||||||
Per Share | |||||||||||||||
Net asset value, beginning of year | $ | 7.78 | $ | 8.97 | $ | 10.00 | |||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment income (loss)(a) | 0.31 | 0.41 | 0.43 | ||||||||||||
Net realized and unrealized gain (loss) | 0.20 | (1.00) | (0.91) | ||||||||||||
Total from Investment Operations | 0.51 | (0.59) | (0.48) | ||||||||||||
Distributions to shareholders from: | |||||||||||||||
Net investment income | (0.39) | (0.41) | (0.38) | ||||||||||||
Return of capital | (0.21) | (0.19) | (0.17) | ||||||||||||
Total Distributions | (0.60) | (0.60) | (0.55) | ||||||||||||
Redemption Fees(b) | 0.00 | 0.00 | 0.00 | ||||||||||||
Net Asset Value, End of Year | $ | 7.69 | $ | 7.78 | $ | 8.97 | |||||||||
Total Investment Return | 6.85% | (7.10)% | (5.23)% | ||||||||||||
Net Assets, End of Year, in Thousands | $ | 46,838 | $ | 28,292 | $ | 31,428 | |||||||||
Ratios/Supplemental Data:(c) | |||||||||||||||
Ratio of expenses to average net assets: | |||||||||||||||
Before expense reimbursement or recovery | 1.77 | % | 1.74 | %(d) | 2.03 | %(d) | |||||||||
After expense reimbursement or recovery | 1.80 | % | 1.80 | %(d) | 1.80 | %(d) | |||||||||
Ratio of net investment income (loss) to average net assets: | |||||||||||||||
Before expense reimbursement or recovery | 4.06 | % | 4.66 | % | 4.13 | % | |||||||||
After expense reimbursement or recovery | 4.03 | % | 4.60 | % | 4.36 | % | |||||||||
Portfolio turnover rate(e) | 92 | % | 54 | % | 43 | % |
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Ratios do not include the expenses of the investment companies in which the Fund invests. |
(d) | Includes interest expense on line of credit of 0.00% and 0.00% for the years ended December 31, 2015 and December 31, 2014, respectively. |
(e) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements | | 79 |
80 | | LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
Commencement of Operations | ||||||
Class A | Class C | Class I | ||||
LoCorr Managed Futures Strategy 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 Long/Short 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 Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 81 |
82 | | LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short 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, in the opinion of the Adviser/relevant Sub-Adviser, the prices or values available do not represent the fair value of the instrument, based upon factors that may include, but are not limited to, the following: the availability of only a bid price or an ask price; the spread between bid and ask prices; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets or regulators, such as the suspension or limitation of trading; |
• | 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 Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 83 |
• | 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. |
84 | | LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short 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 | $ | — | $ | 130,054,412 | $ | — | $ | 130,054,412 | ||||||||
Corporate Bonds | — | 300,200,727 | — | 300,200,727 | ||||||||||||
Foreign Government Bonds | — | 5,876,095 | — | 5,876,095 | ||||||||||||
Mortgage Backed Securities | — | 118,816,329 | — | 118,816,329 | ||||||||||||
Municipal Bonds | — | 8,470,356 | — | 8,470,356 | ||||||||||||
U.S. Government Agency Issues | — | 85,611,217 | — | 85,611,217 | ||||||||||||
U.S. Government Notes | — | 96,695,497 | — | 96,695,497 | ||||||||||||
Short Term Investments | 29,719,738 | 12,003,276 | — | 41,723,014 | ||||||||||||
Total Investments | $ | 29,719,738 | $ | 757,727,909 | $ | — | $ | 787,447,647 | ||||||||
Other Financial Instruments* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Long | $ | — | $ | (3,538,348) | $ | — | $ | (3,538,348) | ||||||||
Short | — | 6,394,978 | — | 6,394,978 | ||||||||||||
Total Forward Currency Contracts | — | 2,856,630 | — | 2,856,630 | ||||||||||||
Futures Contracts | ||||||||||||||||
Long | 3,822,677 | — | — | 3,822,677 | ||||||||||||
Short | 1,582,253 | — | — | 1,582,253 | ||||||||||||
Total Futures Contracts | 5,404,930 | — | — | 5,404,930 | ||||||||||||
Total Other Financial Instruments | $ | 5,404,930 | $ | 2,856,630 | $ | — | $ | 8,261,560 |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 19,237,242 | $ | — | $ | 19,237,242 | ||||||||
Corporate Bonds | — | 42,350,311 | — | 42,350,311 | ||||||||||||
Foreign Government Bond | — | 14,964 | — | 14,964 | ||||||||||||
Mortgage Backed Securities | — | 16,800,883 | — | 16,800,883 | ||||||||||||
Municipal Bonds | — | 439,204 | — | 439,204 | ||||||||||||
U.S. Government Agency Issues | — | 17,983,511 | — | 17,983,511 | ||||||||||||
U.S. Government Notes | — | 3,968,582 | — | 3,968,582 | ||||||||||||
Short Term Investments | 3,985,481 | 1,000,273 | — | 4,985,754 | ||||||||||||
Total Investments | $ | 3,985,481 | $ | 101,794,970 | $ | — | $ | 105,780,451 | ||||||||
Swap Contracts* | ||||||||||||||||
Long Total Return Swap Contracts | $ | — | $ | (18,990,950) | $ | — | $ | (18,990,950) | ||||||||
Total Swap Contracts | $ | — | $ | (18,990,950) | $ | — | $ | (18,990,950) |
LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 85 |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Business Development Companies | $ | 1,392,500 | $ | — | $ | — | $ | 1,392,500 | ||||||||
Closed-End Investment Companies | 2,695,386 | — | — | 2,695,386 | ||||||||||||
Common Stocks | 12,540,915 | — | — | 12,540,915 | ||||||||||||
Convertible Preferred Stock | 830,893 | — | — | 830,893 | ||||||||||||
Master Limited Partnerships | 4,889,111 | — | — | 4,889,111 | ||||||||||||
Publicly Traded Partnerships | 1,634,894 | — | — | 1,634,894 | ||||||||||||
Real Estate Investment Trusts | 5,265,331 | — | — | 5,265,331 | ||||||||||||
Short Term Investment | 5,161,976 | — | — | 5,161,976 | ||||||||||||
Total Investments | $ | 34,411,006 | $ | — | $ | — | $ | 34,411,006 | ||||||||
Securities Sold Short | ||||||||||||||||
Common Stocks | $ | (924,624) | $ | — | $ | — | $ | (924,624) | ||||||||
Total Securities Sold Short | $ | (924,624) | $ | — | $ | — | $ | (924,624) | ||||||||
Swap Contracts* | ||||||||||||||||
Long Total Return Swap Contracts | $ | — | $ | (3,704,355) | $ | — | $ | (3,704,355) | ||||||||
Total Swap Contracts | $ | — | $ | (3,704,355) | $ | — | $ | (3,704,355) |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 231,068,144 | $ | — | $ | 231,068,144 | ||||||||
Corporate Bonds | — | 4,688,096 | — | 4,688,096 | ||||||||||||
Foreign Government Bonds | — | 14,450,871 | — | 14,450,871 | ||||||||||||
Mortgage Backed Securities | — | 102,453,535 | — | 102,453,535 | ||||||||||||
U.S. Government Agency Issues | — | 421,503,727 | — | 421,503,727 | ||||||||||||
U.S. Government Notes | — | 69,945,157 | — | 69,945,157 | ||||||||||||
Short Term Investment | 15,947,064 | — | — | 15,947,064 | ||||||||||||
Total Investments | $ | 15,947,064 | $ | 844,109,530 | $ | — | $ | 860,056,594 | ||||||||
Other Financial Instruments* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Long | $ | — | $ | (11,889,301) | $ | — | $ | (11,889,301) | ||||||||
Short | — | 15,739,180 | — | 15,739,180 | ||||||||||||
Total Forward Currency Contracts | — | 3,849,879 | — | 3,849,879 | ||||||||||||
Futures Contracts | ||||||||||||||||
Long | (390,335) | — | — | (390,335) | ||||||||||||
Short | 9,918,091 | — | — | 9,918,091 | ||||||||||||
Total Futures Contracts | 9,527,756 | — | — | 9,527,756 | ||||||||||||
Total Other Financial Instruments | $ | 9,527,756 | $ | 3,849,879 | $ | — | $ | 13,377,635 |
86 | | LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Common Stocks | $ | 49,477,388 | $ | — | $ | — | $ | 49,477,388 | ||||||||
Short Term Investments | 25,529,082 | 5,958,834 | — | 31,487,916 | ||||||||||||
Total Investments | $ | 75,006,470 | $ | 5,958,834 | $ | — | $ | 80,965,304 | ||||||||
Securities Sold Short | ||||||||||||||||
Common Stocks | $ | (16,374,592) | $ | — | $ | — | $ | (16,374,592) | ||||||||
Exchange Traded Funds | (2,842,553) | — | — | (2,842,553) | ||||||||||||
Total Securities Sold Short | $ | (19,217,145) | $ | — | $ | — | $ | (19,217,145) |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Business Development Companies | $ | 6,521,573 | $ | — | $ | — | $ | 6,521,573 | ||||||||
Closed-End Investment Companies | 12,405,825 | — | — | 12,405,825 | ||||||||||||
Common Stocks | 18,734,863 | — | — | 18,734,863 | ||||||||||||
Convertible Preferred Stock | 4,977,479 | — | — | 4,977,479 | ||||||||||||
Master Limited Partnerships | 22,548,859 | — | — | 22,548,859 | ||||||||||||
Publicly Traded Partnerships | 7,629,753 | — | — | 7,629,753 | ||||||||||||
Real Estate Investment Trusts | 24,554,117 | — | — | 24,554,117 | ||||||||||||
Short Term Investment | 7,862,730 | — | — | 7,862,730 | ||||||||||||
Total Investments | $ | 105,235,199 | $ | — | $ | — | $ | 105,235,199 |
Level 3 Reconciliation Disclosure | Investments in Securities, | |||
Balance, December 31, 2015 | $ | 11,498,342 | ||
Purchases | — | |||
Sales | (11,646,771) | |||
Return of capital distributions | — | |||
Realized gain (loss) | 770,012 | |||
Change in net unrealized gain (loss) | (621,583) | |||
Transfer into Level 3 | — | |||
Transfer out of Level 3 | — | |||
Balance, December 31, 2016 | $ | — | ||
Net change in unrealized gains relating to Level 3 investments still held at December 31, 2016 | $ | — |
LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 87 |
88 | | LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
Year Ended December 31, 2016 | ||||||||||||
Ordinary | Long-Term | Return of | ||||||||||
Fund | Income | Capital Gains | Capital | |||||||||
LoCorr Managed Futures Strategy 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 | |||||||||
Period Ended December 31, 2015(a) | ||||||||||||
Ordinary | Long-Term | Return of | ||||||||||
Fund | Income | Capital Gains | Capital | |||||||||
LoCorr Managed Futures Strategy Fund | $ | 14,528,245 | $ | — | $ | — | ||||||
LoCorr Long/Short Commodities Strategy Fund | 3,351,073 | — | — | |||||||||
LoCorr Multi-Strategy Fund | 267,360 | — | 280,501 | |||||||||
LoCorr Market Trend Fund | 5,964,617 | 960,116 | — | |||||||||
LoCorr Spectrum Income Fund | 4,715,119 | — | 2,248,675 |
LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 89 |
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at period end, resulting from changes in exchange rates.
90 | | LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 91 |
If the price of the security sold short increases between the time of the short sale and the time the Fund covers its short position, the Fund will incur a loss; conversely, if the price declines, the Fund will realize a gain. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in size, will be recognized upon the close of a short sale. Any gain will be decreased, and any loss increased, by the transaction costs described above. The successful use of short selling may be adversely affected by imperfect correlation between movements in the price of the security sold short and the securities being hedged. Gains or losses from closed positions of securities sold short are presented as net realized gain or loss on securities sold short on the statement of operations.
92 | | LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
LoCorr Managed Futures Strategy Fund - December 31, 2016 | ||||||||||||||||||||||||
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 | $ | 7,670,810 | $ | — | $ | 7,670,810 | $ | — | $ | — | $ | 7,670,810 | ||||||||||||
Futures contracts | 314,082 | — | 314,082 | — | — | 314,082 | ||||||||||||||||||
Total | $ | 7,984,892 | $ | — | $ | 7,984,892 | $ | — | $ | — | $ | 7,984,892 |
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 | $ | 4,814,180 | $ | — | $ | 4,814,180 | $ | — | $ | (4,814,180 | ) | $ | — | |||||||||||
Futures contracts | 4,005,919 | — | 4,005,919 | — | (4,005,919 | ) | — | |||||||||||||||||
Total | $ | 8,820,099 | $ | — | $ | 8,820,099 | $ | — | $ | (8,820,099 | ) | $ | — |
LoCorr Long/Short Commodities Strategy Fund - December 31, 2016 | ||||||||||||||||||||||||
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 | $ | 18,990,950 | $ | — | $ | 18,990,950 | $ | — | $ | (18,990,950 | ) | $ | — | |||||||||||
Total | $ | 18,990,950 | $ | — | $ | 18,990,950 | $ | — | $ | (18,990,950 | ) | $ | — |
LoCorr Multi-Strategy Fund - December 31, 2016 | ||||||||||||||||||||||||
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* | $ | 4,269,219 | $ | — | $ | 4,269,219 | $ | — | $ | (4,269,219 | ) | $ | — | |||||||||||
Total | $ | 4,269,219 | $ | — | $ | 4,269,219 | $ | — | $ | (4,269,219 | ) | $ | — |
LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 93 |
LoCorr Market Trend Fund - December 31, 2016 | ||||||||||||||||||||||||
Assets: | Gross Amounts not offset in the | |||||||||||||||||||||||
Consolidated Statement of Assets & Liabilities | ||||||||||||||||||||||||
Gross Amounts | Net Amounts | |||||||||||||||||||||||
Offset in the | Presented in the | |||||||||||||||||||||||
Consolidated | Consolidated | |||||||||||||||||||||||
Gross Amounts of | Statement of | Statement of | Financial | Collateral Received | ||||||||||||||||||||
Description | Recognized Assets | Assets & Liabilities | Assets & Liabilities | Instruments | (Received) | Net Amount | ||||||||||||||||||
Forward currency contracts | $ | 16,068,522 | $ | — | $ | 16,068,522 | $ | — | $ | — | $ | 16,068,522 | ||||||||||||
Futures contracts | 811,025 | — | 811,025 | — | — | 811,025 | ||||||||||||||||||
Total | $ | 16,879,547 | $ | — | $ | 16,879,547 | $ | — | $ | — | $ | 16,879,547 |
Liabilities: | Gross Amounts not offset in the | |||||||||||||||||||||||
Consolidated Statement of Assets & Liabilities | ||||||||||||||||||||||||
Gross Amounts | Net Amounts | |||||||||||||||||||||||
Offset in the | Presented in the | |||||||||||||||||||||||
Gross Amounts | Consolidated | Consolidated | ||||||||||||||||||||||
of Recognized | Statement of | Statement of | Financial | Collateral Received | ||||||||||||||||||||
Description | Liabilities | Assets & Liabilities | Assets & Liabilities | Instruments | (Pledged) | Net Amount | ||||||||||||||||||
Forward currency contracts | $ | 12,218,643 | $ | — | $ | 12,218,643 | $ | — | $ | (12,218,643 | ) | $ | — | |||||||||||
Futures contracts | 12,060,970 | — | 12,060,970 | — | (12,060,970 | ) | — | |||||||||||||||||
Total | $ | 24,279,613 | $ | — | $ | 24,279,613 | $ | — | $ | (24,279,613 | ) | $ | — |
Net Unrealized Gain (Loss) on Open Positions | ||||||||||||
Fair Value | ||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Assets | Liabilities | ||||||||||
LoCorr Managed Futures Strategy Fund | ||||||||||||
Forward Currency Contracts(a) | ||||||||||||
Long | $ | 655,275 | $ | 4,193,623 | $ | (3,538,348) | ||||||
Short | 7,015,535 | 620,557 | 6,394,978 | |||||||||
Total Forward Currency Contracts | 7,670,810 | 4,814,180 | 2,856,630 | |||||||||
Futures Contracts(b) | ||||||||||||
Long Contracts | ||||||||||||
Commodity | 1,152,218 | 3,085,912 | (1,933,694) | |||||||||
Equity | 3,361,430 | 1,375,536 | 1,985,894 | |||||||||
Foreign exchange | 87,625 | — | 87,625 | |||||||||
Interest rate | 4,238,166 | 555,314 | 3,682,852 | |||||||||
Total Long Contracts | 8,839,439 | 5,016,762 | 3,822,677 | |||||||||
Short Contracts | ||||||||||||
Commodity | 1,676,023 | 319,656 | 1,356,367 | |||||||||
Equity | 19,429 | 447,452 | (428,023) | |||||||||
Foreign exchange | — | — | — | |||||||||
Interest rate | 839,177 | 185,268 | 653,909 | |||||||||
Total Short Contracts | 2,534,629 | 952,376 | 1,582,253 | |||||||||
Total Futures Contracts | 11,374,068 | 5,969,138 | 5,404,930 | |||||||||
Total Forward Currency Contracts and Futures Contracts | $ | 19,044,878 | $ | 10,783,318 | $ | 8,261,560 |
94 | | LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
Net Unrealized Gain (Loss) on Open Positions | ||||||||||||
Fair Value | ||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Assets | Liabilities | ||||||||||
LoCorr Long/Short Commodities Strategy Fund | ||||||||||||
Long Total Return Swap Contracts | ||||||||||||
LoCorr Commodities Index | $ | — | $ | 18,990,950 | $ | (18,990,950) | ||||||
LoCorr Multi-Strategy Fund | ||||||||||||
Long Total Return Swap Contracts | ||||||||||||
LoCorr Multi-Strategy Index | $ | — | $ | 3,704,355 | $ | (3,704,355) | ||||||
LoCorr Market Trend Fund | ||||||||||||
Forward Currency Contracts(a) | ||||||||||||
Long | $ | 115,932 | $ | 12,005,233 | $ | (11,889,301) | ||||||
Short | 15,952,590 | 213,410 | 15,739,180 | |||||||||
Total Forward Currency Contracts | 16,068,522 | 12,218,643 | 3,849,879 | |||||||||
Futures Contracts(b) | ||||||||||||
Long Contracts | ||||||||||||
Commodity | 4,055,019 | 11,799,309 | (7,744,290) | |||||||||
Equity | 6,310,092 | 3,038,505 | 3,271,587 | |||||||||
Foreign exchange | 375,888 | — | 375,888 | |||||||||
Interest rate | 4,631,089 | 924,609 | 3,706,480 | |||||||||
Total Long Contracts | 15,372,088 | 15,762,423 | (390,335) | |||||||||
Short Contracts | ||||||||||||
Commodity | 7,198,372 | 532,613 | 6,665,759 | |||||||||
Equity | — | 160,479 | (160,479) | |||||||||
Foreign exchange | — | — | — | |||||||||
Interest rate | 3,918,251 | 505,440 | 3,412,811 | |||||||||
Total Short Contracts | 11,116,623 | 1,198,532 | 9,918,091 | |||||||||
Total Futures Contracts | 26,488,711 | 16,960,955 | 9,527,756 | |||||||||
Total Forward Currency Contracts and Futures Contracts | $ | 42,557,233 | $ | 29,179,598 | $ | 13,377,635 |
Gain (Loss) from Trading | ||||||||
Net Change | ||||||||
Fund and Type of Derivative Instrument | Net Realized | in Unrealized | ||||||
LoCorr Managed Futures Strategy Fund | ||||||||
Forward Currency Contracts | $ | 7,686,340 | $ | 2,856,630 | ||||
Futures Contracts | ||||||||
Commodity | (34,164,049) | (577,327) | ||||||
Equity | 20,003,423 | 1,557,871 | ||||||
Foreign exchange | (2,481,858) | 87,625 | ||||||
Interest rate | 9,026,081 | 4,336,761 | ||||||
Total Futures Contracts | (7,616,403) | 5,404,930 | ||||||
Total Forward Currency Contracts and Futures Contracts | $ | 69,937 | $ | 8,261,560 | ||||
Swap Contracts(a) | $ | 17,162,980 | $ | 12,934,752 | ||||
LoCorr Long/Short Commodities Strategy Fund | ||||||||
Swap Contracts | $ | 8,698,631 | $ | (15,911,913) |
LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 95 |
Gain (Loss) from Trading | ||||||||
Net Change | ||||||||
Fund and Type of Derivative Instrument | Net Realized | in Unrealized | ||||||
LoCorr Multi-Strategy Fund | ||||||||
Put Options(b) | $ | 120,883 | $ | (22,993) | ||||
Swap Contracts | (520,618) | (3,509,155) | ||||||
LoCorr Market Trend Fund | ||||||||
Forward Currency Contracts | $ | 12,466,119 | $ | (10,376,445) | ||||
Futures Contracts | ||||||||
Commodity | (131,775,584) | (4,824,109) | ||||||
Equity | (52,799,349) | 8,780,762 | ||||||
Foreign exchange | (3,061,208) | 375,888 | ||||||
Interest rate | 27,652,093 | 13,743,959 | ||||||
Total Futures Contracts | (159,984,048) | 18,076,500 | ||||||
Total Forward Currency Contracts and Futures Contracts | $ | (147,517,929) | $ | 7,700,055 | ||||
LoCorr Long/Short Equity Fund | ||||||||
Put Options (b) | $ | 269,782 | $ | (55,392) |
Average Notional Amount | ||||||||
Long Contracts | Short Contracts | |||||||
LoCorr Managed Futures Strategy Fund | ||||||||
Forward Currency Contracts(c) | $ | 410,914,997 | $ | 512,943,009 | ||||
Futures Contracts(c) | 2,491,356,750 | 677,883,204 | ||||||
Swap Contracts(a) | 374,639,826 | — | ||||||
LoCorr Long/Short Commodities Strategy Fund | ||||||||
Swap Contracts | $ | 113,984,615 | $ | — | ||||
LoCorr Multi-Strategy Fund | ||||||||
Swap Contracts | $ | 35,690,192 | $ | — | ||||
LoCorr Market Trend Fund | ||||||||
Forward Currency Contracts | $ | 1,405,569,503 | $ | 1,810,188,834 | ||||
Futures Contracts | 7,268,685,138 | 1,913,316,947 |
U.S. Government Obligations | All Other | |||||||||||||||
Purchases | Sales | Purchases | Sales | |||||||||||||
LoCorr Managed Futures Strategy Fund | $ | 191,228,610 | $ | 85,979,789 | $ | 483,168,446 | $ | 258,194,414 | ||||||||
LoCorr Long/Short Commodities Strategy Fund | 32,633,429 | 34,171,190 | 127,661,558 | 66,061,304 | ||||||||||||
LoCorr Multi-Strategy Fund | — | — | 26,028,427 | 26,110,333 | ||||||||||||
LoCorr Market Trend Fund | 226,162,186 | 314,817,212 | 766,226,442 | 530,169,455 | ||||||||||||
LoCorr Long/Short Equity Fund | — | — | 109,665,486 | 92,173,678 | ||||||||||||
LoCorr Spectrum Income Fund | — | — | 91,387,614 | 80,524,423 |
96 | | LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short 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 Managed Futures Strategy Fund | 1.85 | %* | |
LoCorr Multi-Strategy Fund | 1.75 | % | |
LoCorr Market Trend Fund | 1.50 | % | |
LoCorr Long/Short Equity Fund | 2.45 | % | |
LoCorr Spectrum Income Fund | 1.30 | % |
Net Assets for the LoCorr Long/Short Commodities Strategy Fund | Incremental** 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% |
Management Fees | Accrued Management Fees | ||||||||
Fund | For the Year Ended December 31, 2016 | as of December 31, 2016 | |||||||
LoCorr Managed Futures Strategy Fund | $ | 12,322,937 | (a) | $ | 1,317,874 | ||||
LoCorr Long/Short Commodities Strategy Fund | 1,986,638 | 167,754 | |||||||
LoCorr Multi-Strategy Fund | 638,252 | 37,587 | |||||||
LoCorr Market Trend Fund | 19,457,280 | 1,399,002 | |||||||
LoCorr Long/Short Equity Fund | 1,015,046 | 153,305 | |||||||
LoCorr Spectrum Income Fund | 1,212,705 | 114,605 |
LoCorr Managed Futures Strategy Fund: |
Graham Capital Management, L.P. (a) |
Millburn Ridgefield Corporation (a) |
Nuveen Asset Management, LLC |
Revolution Capital Management LLC (a) |
LoCorr Long/Short Commodities Strategy Fund: |
Nuveen Asset Management, LLC |
LoCorr Multi-Strategy Fund: |
Billings Capital Management LLC |
Trust & Fiduciary Income Partners, LLC (b) |
LoCorr Market Trend Fund: |
Graham Capital Management, L.P. |
Nuveen Asset Management, LLC |
LoCorr Long/Short Equity Fund: |
Billings Capital Management LLC |
Kettle Hill Capital Management, LLC |
LoCorr Spectrum Income Fund: |
Trust & Fiduciary Income Partners, LLC (b) |
LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 97 |
Expense Limit as a Percentage of the | ||
Fund | Average Daily Net Assets of the Fund | Effective Period Through |
LoCorr Managed Futures Strategy Fund | 2.25%* | April 30, 2017 |
LoCorr Long/Short Commodities Strategy Fund | 1.95% | April 30, 2017 |
LoCorr Multi-Strategy Fund | 2.04% | April 30, 2017 |
LoCorr Market Trend Fund | 1.95% | April 30, 2017 |
LoCorr Long/Short Equity Fund | 2.90% | April 30, 2017 |
LoCorr Spectrum Income Fund | 1.80% | April 30, 2017 |
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 | Year Ended December 31, | Available | Before Fiscal | |||||||||||||||||||||
Management | Subject to | Year Ending | ||||||||||||||||||||||
Period | Fees | Other Expenses | Total | 2015 | 2016 | Recovery | December 31, | |||||||||||||||||
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 | $ | (403,041 | ) | $ | — | $ | (403,041 | ) | $ | — | $ | — | $ | (403,041 | ) | |||||||||
LoCorr Multi-Strategy Fund | ||||||||||||||||||||||||
Subject to | ||||||||||||||||||||||||
Fees (Waived) or Expenses (Borne) | Recovery to Adviser | Remaining | Recovery on or | |||||||||||||||||||||
by Adviser Subject to Recovery | Year Ended December 31, | Available | Before Fiscal | |||||||||||||||||||||
Management | Subject to | Year Ending | ||||||||||||||||||||||
Period | Fees | Other Expenses | Total | 2015 | 2016 | Recovery | December 31, | |||||||||||||||||
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 | $ | (376,945 | ) | $ | — | $ | (376,945 | ) | $ | — | $ | — | $ | (376,945 | ) | |||||||||
*Period from April 6, 2015 (commencement of operations) through December 31, 2015. | ||||||||||||||||||||||||
LoCorr Long/Short Equity Fund | ||||||||||||||||||||||||
Subject to | ||||||||||||||||||||||||
Fees (Waived) or Expenses (Borne) | Recovery to Adviser | Remaining | Recovery on or | |||||||||||||||||||||
by Adviser Subject to Recovery | Year Ended December 31, | Available | Before Fiscal | |||||||||||||||||||||
Management | Subject to | Year Ending | ||||||||||||||||||||||
Period | Fees | Other Expenses | Total | 2015 | 2016 | Recovery | December 31, | |||||||||||||||||
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 | ) | — | — | (122,831 | ) | 2017 | ||||||||||||||
Total | $ | (357,684 | ) | $ | — | $ | (357,684 | ) | $ | — | $ | — | $ | (357,684 | ) |
98 | | LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short 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 | Year Ended December 31, | Available | Before Fiscal | ||||||||||||||||||||||||
Management | Subject to | Year Ending | |||||||||||||||||||||||||
Period | Fees | Other Expenses | Total | 2015 | 2016 | Recovery | December 31, | ||||||||||||||||||||
Year Ended December 31, 2016 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | 2019 | ||||||||||||||
Year Ended December 31, 2015 | — | — | — | — | — | — | 2018 | ||||||||||||||||||||
Year Ended December 31, 2014 | (132,869 | ) | — | (132,869 | ) | 67,000 | 26,753 | (39,116 | ) | 2017 | |||||||||||||||||
Total | $ | (132,869 | ) | $ | — | $ | (132,869 | ) | $ | 67,000 | $ | 26,753 | $ | (39,116 | ) |
LoCorr Managed Futures Strategy Fund – Class A | ||||||||||||||||
For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 16,961,784 | $ | 155,903,603 | 8,987,226 | $ | 77,825,462 | ||||||||||
Dividends Reinvested | 551,098 | 4,910,284 | 622,596 | 5,254,701 | ||||||||||||
Shares Redeemed | (10,956,643 | ) | (99,832,561 | ) | (7,079,433 | ) | (61,059,914 | ) | ||||||||
Redemption Fees | — | 2,040 | — | 1,423 | ||||||||||||
6,556,239 | $ | 60,983,366 | 2,530,389 | $ | 22,021,672 | |||||||||||
Beginning Shares | 26,855,979 | 24,325,590 | ||||||||||||||
Ending Shares | 33,412,218 | 26,855,979 | ||||||||||||||
LoCorr Managed Futures Strategy Fund – Class C | ||||||||||||||||
For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 3,540,006 | $ | 31,741,634 | 2,909,687 | $ | 24,579,972 | ||||||||||
Dividends Reinvested | 256,145 | 2,207,972 | 250,744 | 2,061,119 | ||||||||||||
Shares Redeemed | (2,445,483 | ) | (21,620,670 | ) | (2,616,414 | ) | (21,913,915 | ) | ||||||||
Redemption Fees | — | 289 | — | 284 | ||||||||||||
1,350,668 | $ | 12,329,225 | 544,017 | $ | 4,727,460 | |||||||||||
Beginning Shares | 11,860,266 | 11,316,249 | ||||||||||||||
Ending Shares | 13,210,934 | 11,860,266 | ||||||||||||||
LoCorr Managed Futures Strategy Fund – Class I | ||||||||||||||||
For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 38,061,171 | $ | 351,129,132 | 9,843,336 | $ | 85,909,507 | ||||||||||
Dividends Reinvested | 779,989 | 7,027,798 | 594,192 | 5,056,575 | ||||||||||||
Shares Redeemed | (8,907,973 | ) | (81,922,066 | ) | (10,279,085 | ) | (89,366,796 | ) | ||||||||
Redemption Fees | — | 19,839 | — | 8,898 | ||||||||||||
29,933,187 | $ | 276,254,703 | 158,443 | $ | 1,608,184 | |||||||||||
Beginning Shares | 22,322,234 | 22,163,791 | ||||||||||||||
Ending Shares | 52,255,421 | 22,322,234 | ||||||||||||||
LoCorr Managed Futures Strategy Fund | ||||||||||||||||
Total Net Increase | $ | 349,567,294 | $ | 28,357,316 |
LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 99 |
LoCorr Long/Short Commodities Strategy Fund – Class A | ||||||||||||||||
For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 5,519,830 | $ | 56,215,085 | 2,034,940 | $ | 18,817,396 | ||||||||||
Dividends Reinvested | 90,271 | 850,348 | 128,995 | 1,216,428 | ||||||||||||
Shares Redeemed | (4,322,845 | ) | (43,063,779 | ) | (4,723,247 | ) | (41,232,944 | ) | ||||||||
Redemption Fees | — | 5,787 | — | 1,049 | ||||||||||||
1,287,256 | $ | 14,007,441 | (2,559,312 | ) | $ | (21,198,071 | ) | |||||||||
Beginning Shares | 2,513,488 | 5,072,800 | ||||||||||||||
Ending Shares | 3,800,744 | 2,513,488 | ||||||||||||||
LoCorr Long/Short Commodities Strategy Fund – Class C | ||||||||||||||||
For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 600,272 | $ | 5,936,288 | 162,705 | $ | 1,482,253 | ||||||||||
Dividends Reinvested | 19,301 | 177,569 | 26,512 | 244,707 | ||||||||||||
Shares Redeemed | (250,419 | ) | (2,413,789 | ) | (90,665 | ) | (791,576 | ) | ||||||||
Redemption Fees | — | 383 | — | — | ||||||||||||
369,154 | $ | 3,700,451 | 98,552 | $ | 935,384 | |||||||||||
Beginning Shares | 455,299 | 356,747 | ||||||||||||||
Ending Shares | 824,453 | 455,299 | ||||||||||||||
LoCorr Long/Short Commodities Strategy Fund – Class I | ||||||||||||||||
For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 11,982,802 | $ | 122,350,301 | 2,537,268 | $ | 23,925,308 | ||||||||||
Dividends Reinvested | 241,354 | 2,290,449 | 156,161 | 1,483,530 | ||||||||||||
Shares Redeemed | (6,618,317 | ) | (65,911,861 | ) | (1,002,228 | ) | (8,965,296 | ) | ||||||||
Redemption Fees | — | 20,771 | — | 560 | ||||||||||||
5,605,839 | $ | 58,749,660 | 1,691,201 | $ | 16,444,102 | |||||||||||
Beginning Shares | 3,183,735 | 1,492,534 | ||||||||||||||
Ending Shares | 8,789,574 | 3,183,735 | ||||||||||||||
LoCorr Long/Short Commodities Strategy Fund | ||||||||||||||||
Total Net Increase (Decrease) | $ | 76,457,552 | $ | (3,818,585 | ) | |||||||||||
LoCorr Multi-Strategy Fund – Class A | ||||||||||||||||
For the Year Ended December 31, 2016 | For the Period Ended December 31, 2015(a) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 1,331,325 | $ | 10,927,197 | 1,600,796 | $ | 13,751,697 | ||||||||||
Dividends Reinvested | 48,692 | 399,332 | 11,062 | 94,305 | ||||||||||||
Shares Redeemed | (730,590 | ) | (6,017,250 | ) | (156,120 | ) | (1,307,967 | ) | ||||||||
Redemption Fees | — | 177 | — | 18 | ||||||||||||
649,427 | $ | 5,309,456 | 1,455,738 | $ | 12,538,053 | |||||||||||
Beginning Shares | 1,455,738 | — | ||||||||||||||
Ending Shares | 2,105,165 | 1,455,738 | ||||||||||||||
LoCorr Multi-Strategy Fund – Class C | ||||||||||||||||
For the Year Ended December 31, 2016 | For the Period Ended December 31, 2015(a) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 187,751 | $ | 1,553,343 | 729,049 | $ | 6,755,532 | ||||||||||
Dividends Reinvested | 12,332 | 100,963 | 8,655 | 74,857 | ||||||||||||
Shares Redeemed | (382,843 | ) | (3,106,550 | ) | (76,754 | ) | (644,545 | ) | ||||||||
Redemption Fees | — | 4 | — | 1 | ||||||||||||
(182,760 | ) | $ | (1,452,240 | ) | 660,950 | $ | 6,185,845 | |||||||||
Beginning Shares | 660,950 | — | ||||||||||||||
Ending Shares | 478,190 | 660,950 | ||||||||||||||
LoCorr Multi-Strategy Fund – Class I | ||||||||||||||||
For the Year Ended December 31, 2016 | For the Period Ended December 31, 2015(a) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 1,079,642 | $ | 8,820,649 | 2,143,805 | $ | 20,436,449 | ||||||||||
Dividends Reinvested | 63,201 | 517,849 | 26,332 | 227,847 | ||||||||||||
Shares Redeemed | (889,163 | ) | (7,321,692 | ) | (176,153 | ) | (1,476,316 | ) | ||||||||
Redemption Fees | — | 57 | — | 448 | ||||||||||||
253,680 | $ | 2,016,863 | 1,993,984 | $ | 19,188,428 | |||||||||||
Beginning Shares | 1,993,984 | — | ||||||||||||||
Ending Shares | 2,247,664 | 1,993,984 | ||||||||||||||
LoCorr Multi-Strategy Fund | ||||||||||||||||
Total Net Increase | $ | 5,874,079 | $ | 37,912,326 |
100 | | LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
LoCorr Market Trend Fund – Class A | ||||||||||||||||
For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 11,027,256 | $ | 134,082,733 | 10,981,830 | $ | 136,204,957 | ||||||||||
Dividends Reinvested | 196,345 | 2,120,523 | 57,551 | 690,031 | ||||||||||||
Shares Redeemed | (7,913,099 | ) | (91,798,608 | ) | (3,010,766 | ) | (37,007,295 | ) | ||||||||
Redemption Fees | — | 7,807 | — | 4,282 | ||||||||||||
3,310,502 | $ | 44,412,455 | 8,028,615 | $ | 99,891,975 | |||||||||||
Beginning Shares | 9,194,610 | 1,165,995 | ||||||||||||||
Ending Shares | 12,505,112 | 9,194,610 | ||||||||||||||
LoCorr Market Trend Fund – Class C | ||||||||||||||||
For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 4,790,065 | $ | 57,543,161 | 7,663,453 | $ | 94,694,283 | ||||||||||
Dividends Reinvested | 123,161 | 1,316,592 | 29,569 | 352,169 | ||||||||||||
Shares Redeemed | (4,366,738 | ) | (49,694,049 | ) | (355,182 | ) | (4,295,885 | ) | ||||||||
Redemption Fees | — | 1,131 | — | 1,142 | ||||||||||||
546,488 | $ | 9,166,835 | 7,337,840 | $ | 90,751,709 | |||||||||||
Beginning Shares | 7,946,957 | 609,117 | ||||||||||||||
Ending Shares | 8,493,445 | 7,946,957 | ||||||||||||||
LoCorr Market Trend Fund – Class I | ||||||||||||||||
For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 77,618,009 | $ | 938,193,389 | 63,469,686 | $ | 786,278,560 | ||||||||||
Dividends Reinvested | 1,426,002 | 15,443,598 | 459,518 | 5,514,198 | ||||||||||||
Shares Redeemed | (62,230,774 | ) | (713,501,477 | ) | (9,534,760 | ) | (116,621,840 | ) | ||||||||
Redemption Fees | — | 22,937 | — | 50,131 | ||||||||||||
16,813,237 | $ | 240,158,447 | 54,394,444 | $ | 675,221,049 | |||||||||||
Beginning Shares | 57,903,916 | 3,509,472 | ||||||||||||||
Ending Shares | 74,717,153 | 57,903,916 | ||||||||||||||
LoCorr Market Trend Fund | ||||||||||||||||
Total Net Increase | $ | 293,737,737 | $ | 865,864,733 | ||||||||||||
LoCorr Long/Short Equity Fund – Class A | ||||||||||||||||
For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 1,619,380 | $ | 18,187,352 | 486,410 | $ | 4,888,251 | ||||||||||
Shares Redeemed | (568,057 | ) | (6,110,231 | ) | (948,753 | ) | (9,453,852 | ) | ||||||||
Redemption Fees | — | 398 | — | 220 | ||||||||||||
1,051,323 | $ | 12,077,519 | (462,343 | ) | $ | (4,565,381 | ) | |||||||||
Beginning Shares | 1,290,685 | 1,753,028 | ||||||||||||||
Ending Shares | 2,342,008 | 1,290,685 | ||||||||||||||
LoCorr Long/Short Equity Fund – Class C | ||||||||||||||||
For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 442,691 | $ | 4,787,011 | 174,848 | $ | 1,678,326 | ||||||||||
Shares Redeemed | (315,415 | ) | (3,114,307 | ) | (602,384 | ) | (5,921,260 | ) | ||||||||
Redemption Fees | — | 33 | — | 4 | ||||||||||||
127,276 | $ | 1,672,737 | (427,536 | ) | $ | (4,242,930 | ) | |||||||||
Beginning Shares | 829,393 | 1,256,929 | ||||||||||||||
Ending Shares | 956,669 | 829,393 | ||||||||||||||
LoCorr Long/Short Equity Fund – Class I | ||||||||||||||||
For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 3,239,660 | $ | 36,623,262 | 487,509 | $ | 4,759,759 | ||||||||||
Shares Redeemed | (586,786 | ) | (6,413,330 | ) | (709,053 | ) | (6,974,552 | ) | ||||||||
Redemption Fees | — | 1,721 | — | 55 | ||||||||||||
2,652,874 | $ | 30,211,653 | (221,544 | ) | $ | (2,214,738 | ) | |||||||||
Beginning Shares | 1,029,273 | 1,250,817 | ||||||||||||||
Ending Shares | 3,682,147 | 1,029,273 | ||||||||||||||
LoCorr Long/Short Equity Fund | ||||||||||||||||
Total Net Increase (Decrease) | $ | 43,961,909 | $ | (11,023,049 | ) |
LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 101 |
LoCorr Spectrum Income Fund – Class A | ||||||||||||||||
For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 1,632,393 | $ | 12,699,250 | 2,106,932 | $ | 18,935,848 | ||||||||||
Dividends Reinvested | 235,964 | 1,810,640 | 226,386 | 1,954,189 | ||||||||||||
Shares Redeemed | (2,326,814 | ) | (17,742,010 | ) | (1,757,377 | ) | (15,153,147 | ) | ||||||||
Redemption Fees | — | 2,666 | — | 3,036 | ||||||||||||
(458,457 | ) | $ | (3,229,454 | ) | 575,941 | $ | 5,739,926 | |||||||||
Beginning Shares | 4,749,876 | 4,173,935 | ||||||||||||||
Ending Shares | 4,291,419 | 4,749,876 | ||||||||||||||
LoCorr Spectrum Income Fund – Class C | ||||||||||||||||
For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 740,640 | $ | 5,722,907 | 1,725,350 | $ | 15,797,616 | ||||||||||
Dividends Reinvested | 189,715 | 1,459,221 | 164,425 | 1,418,707 | ||||||||||||
Shares Redeemed | (1,148,184 | ) | (8,758,530 | ) | (1,129,329 | ) | (9,658,785 | ) | ||||||||
Redemption Fees | — | 384 | — | 2,087 | ||||||||||||
(217,829 | ) | $ | (1,576,018 | ) | 760,446 | $ | 7,559,625 | |||||||||
Beginning Shares | 3,574,461 | 2,814,015 | ||||||||||||||
Ending Shares | 3,356,632 | 3,574,461 | ||||||||||||||
LoCorr Spectrum Income Fund – Class I | ||||||||||||||||
For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares Sold | 4,225,921 | $ | 32,868,495 | 2,681,290 | $ | 24,067,648 | ||||||||||
Dividends Reinvested | 238,899 | 1,835,131 | 207,541 | 1,806,428 | ||||||||||||
Shares Redeemed | (2,012,132 | ) | (15,252,427 | ) | (2,757,482 | ) | (23,368,089 | ) | ||||||||
Redemption Fees | — | 5,805 | — | 12,782 | ||||||||||||
2,452,688 | $ | 19,457,004 | 131,349 | $ | 2,518,769 | |||||||||||
Beginning Shares | 3,635,819 | 3,504,470 | ||||||||||||||
Ending Shares | 6,088,507 | 3,635,819 | ||||||||||||||
LoCorr Spectrum Income Fund | ||||||||||||||||
Total Net Increase | $ | 14,651,532 | $ | 15,818,320 |
LoCorr Managed | LoCorr Long/Short | LoCorr | |||||||
Futures Strategy | 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 earnings (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 Long/Short | 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 | ) |
102 | | LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) | Paid-in Capital | ||||||||||
LoCorr Managed Futures Strategy Fund | $ | 6,632,970 | $ | 10,359,945 | $ | (16,992,915) | ||||||
LoCorr Long/Short Commodities Strategy Fund | 5,338,273 | (8,808,863) | 3,470,590 | |||||||||
LoCorr Multi-Strategy Fund | 777,964 | 848,429 | (1,626,393) | |||||||||
LoCorr Market Trend Fund | 27,853,476 | 136,445,759 | (164,299,235) | |||||||||
LoCorr Long/Short Equity Fund | 1,250,712 | (63,271) | (1,187,441) | |||||||||
LoCorr Spectrum Income Fund | 2,539,190 | 826,683 | (3,365,873) |
Post October Loss Deferral | Late Year 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 Expiration | ||||||||
Short-Term | Long-Term | ||||||||
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 |
LoCorr Managed Futures Strategy Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Multi-Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Long/Short Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 103 |
For the Year Ended December 31, 2016 | |||||||||||||||||
Interest Charges | Average Daily | Weighted Average | Maximum Amount Borrowed | ||||||||||||||
Fund | Incurred | Loan Balance | % | $ | Date | ||||||||||||
LoCorr Long/Short Commodities Strategy Fund | $137 | $3,919 | 3.50% | $794,000 | July 18, 2016 |
Dividend Declaration | Shareholder of | Distribution Amount per Share Class | ||||||||||||
Date (a) | Record Date | Class A | Class C | Class I | ||||||||||
January 31, 2017 | January 30, 2017 | $0.02292 | $0.01667 | $0.02500 | ||||||||||
February 28, 2017 | February 27, 2017 | $0.02292 | $0.01667 | $0.02500 |
Dividend Declaration | Shareholder of | Distribution Amount per Share Class | ||||||||||||
Date (a) | Record Date | Class A | Class C | Class I | ||||||||||
January 31, 2017 | January 30, 2017 | $0.0479 | $0.0417 | $0.0500 | ||||||||||
February 28, 2017 | February 27, 2017 | $0.0479 | $0.0417 | $0.0500 |
104 | | Report of Independent Registered Public Accounting Firm |
Cleveland, Ohio
February 28, 2017
LoCorr Investment Trust - Expense Example (Unaudited) | | 105 |
106 | | LoCorr Investment Trust - Expense Example (Unaudited) (continued) |
Actual | Hypothetical (5% gross annual return) | ||||||||
Class | Fund’s Annualized Expense Ratio 1, 2 | Beginning Account Value July 01, 2016 | Ending Account Value December 31, 2016 | Expenses Paid During Period 1, 2, 3 | Ending Account Value December 31, 2016 | Expenses Paid During Period 1, 2, 3 | |||
LoCorr Managed Futures Strategy Fund | |||||||||
A | 2.41% | $1,000.00 | $954.40 | $11.84 | $1,013.02 | $12.19 | |||
C | 3.16% | $1,000.00 | $950.90 | $15.50 | $1,009.25 | $15.96 | |||
I | 2.16% | $1,000.00 | $955.90 | $10.62 | $1,014.28 | $10.94 | |||
LoCorr Long/Short Commodities Strategy Fund | |||||||||
A | 2.20% | $1,000.00 | $929.10 | $10.67 | $1,014.08 | $11.14 | |||
C | 2.95% | $1,000.00 | $926.90 | $14.29 | $1,010.31 | $14.91 | |||
I | 1.95% | $1,000.00 | $931.40 | $9.47 | $1,015.33 | $9.88 | |||
LoCorr Multi-Strategy Fund | |||||||||
A | 2.36% | $1,000.00 | $981.70 | $11.76 | $1,013.27 | $11.94 | |||
C | 3.11% | $1,000.00 | $976.20 | $15.45 | $1,009.50 | $15.71 | |||
I | 2.11% | $1,000.00 | $983.20 | $10.52 | $1,014.53 | $10.68 | |||
LoCorr Market Trend Fund | |||||||||
A | 2.09% | $1,000.00 | $878.70 | $9.87 | $1,014.63 | $10.58 | |||
C | 2.84% | $1,000.00 | $874.90 | $13.38 | $1,010.86 | $14.36 | |||
I | 1.84% | $1,000.00 | $879.50 | $8.69 | $1,015.89 | $9.32 | |||
LoCorr Long/Short Equity Fund | |||||||||
A | 3.54% | $1,000.00 | $1,184.70 | $19.44 | $1,007.34 | $17.86 | |||
C | 4.29% | $1,000.00 | $1,180.30 | $23.51 | $1,003.57 | $21.61 | |||
I | 3.29% | $1,000.00 | $1,186.20 | $18.08 | $1,008.60 | $16.61 | |||
LoCorr Spectrum Income Fund | |||||||||
A | 2.05% | $1,000.00 | $1,024.40 | $10.43 | $1,014.83 | $10.38 | |||
C | 2.80% | $1,000.00 | $1,020.80 | $14.22 | $1,011.06 | $14.15 | |||
I | 1.80% | $1,000.00 | $1,024.70 | $9.16 | $1,016.09 | $9.12 |
1 | Includes dividend and/or interest expense of 0.01%, 0.00%, 0.07%, 0.00%, 0.39% and 0.00% for the LoCorr Managed Futures Strategy Fund, the LoCorr Long/Short Commodities Strategy Fund, the LoCorr Multi-Strategy Fund, the LoCorr Market Trend Fund, the LoCorr Long/Short Equity Fund and the LoCorr Spectrum Income Fund, respectively. |
2 | Includes expenses of the wholly-owned and controlled Cayman Islands subsidiaries for the LoCorr Managed Futures Strategy 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 184/366 (to reflect the one-half year period). |
Review of Sub-Advisory Agreement (Unaudited) | | 107 |
• | The nature, extent and quality of the services provided by the investment adviser to the fund; |
• | The investment performance of the fund and the investment adviser; |
• | The costs of the services to be provided and the profits to be realized by the adviser and its affiliates from the relationship with the fund; |
• | The extent to which economies of scale will be realized as the fund grows; and |
• | Whether the fee levels reflect these economies of scale to the benefit of the shareholders. |
108 | | Special Meeting of Shareholders of the LoCorr Managed Futures Strategy Fund/Notice of Privacy Policy & Practices/Quarterly Portfolio Holdings/Proxy (Unaudited) |
Shares outstanding on record date | 60,916,179 |
Voted for | 26,526,366 |
Voted against | 651,259 |
Abstained | 3,373,087 |
• | 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. |
Qualified Dividend Income (“QDI”) / Dividends Received Deduction (“DRD”) (Unaudited) | | 109 |
Fund | QDI% | |||
LoCorr Managed Futures Strategy Fund | 0.00% | |||
LoCorr Long/Short Commodities Strategy Fund | 0.00% | |||
LoCorr Multi-Strategy Fund | 100.00% | |||
LoCorr Market Trend Fund | 0.00% | |||
LoCorr Long/Short Equity Fund | 0.00% | |||
LoCorr Spectrum Income Fund | 13.59% |
Fund | DRD% | |||
LoCorr Managed Futures Strategy Fund | 0.00% | |||
LoCorr Long/Short Commodities Strategy Fund | 0.00% | |||
LoCorr Multi-Strategy Fund | 100.00% | |||
LoCorr Market Trend Fund | 0.00% | |||
LoCorr Long/Short Equity Fund | 0.00% | |||
LoCorr Spectrum Income Fund | 39.10% |
110 | | Independent Trustees/Interested Trustees and Officers |
Independent Trustees | ||||
Name, Address and Year of Birth | Position/Term of Offce1 | 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 Offce1 | 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 Operating Officer and Chief Compliance Officer of LoCorr Fund Management, LLC, November 2010 to present; Senior Vice President, Chief Operating Officer and Registered Representative of Octavus Group, LLC (broker/dealer), April 2008 to present. | 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 Octavus Group, LLC (broker/dealer), March 2002 to present. | 6 | None |
FYE 12/31/2016 | FYE 12/31/2015 | |
Audit Fees | $135,000 | $132,000 |
Audit-Related Fees | $0 | $0 |
Tax Fees | $35,500 | $35,500 |
All Other Fees | $6,000 | $6,000 |
FYE 12/31/2016 | FYE 12/31/2015 | |
Audit-Related Fees | 0% | 0% |
Tax Fees | 0% | 0% |
All Other Fees | 0% | 0% |
(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. |