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 |
which gained +3.64% during the period. Overall, we are pleased with both the Fund’s absolute returns as well as its performance versus peers during the period.
4 | | Shareholder Letter |
Shareholder Letter | | 5 |
6 | | Shareholder Letter |
Shareholder Letter | | 7 |
8 | | Shareholder Letter |
Shareholder Letter | | 9 |
10 | | Shareholder Letter |
for investors.
Shareholder Letter | | 11 |
12 | | Shareholder Letter |
Shareholder Letter | | 13 |
14 | | Fund Performance |
Average Annual | |||||
Inception Date | 6 Month | 1 Year | 5 Year | Since Inception | |
LoCorr Macro Strategies Fund - Class A (without maximum load) | 3/22/11 | 7.04% | 6.88% | 3.71% | 1.09% |
LoCorr Macro Strategies Fund - Class A (with maximum load) | 3/22/11 | 0.83% | 0.73% | 2.48% | 0.37% |
LoCorr Macro Strategies Fund - Class C | 3/24/11 | 5.56% | 4.95% | 2.95% | 0.34% |
LoCorr Macro Strategies Fund - Class I | 3/24/11 | 7.19% | 7.12% | 4.00% | 1.36% |
Bank of America Merrill Lynch 3-Month Treasury Bill Index | 1.24% | 2.31% | 0.87% | 0.56%1 | |
Barclay CTA Index | 3.72% | 2.80% | 1.09% | -0.09%1 |
Average Annual | |||||
Inception Date | 6 Month | 1 Year | 5 Year | Since Inception | |
LoCorr Long/Short Commodities Strategy Fund - Class A (without maximum load) | 12/31/11 | -0.10% | 8.14% | 9.79% | 4.11% |
LoCorr Long/Short Commodities Strategy Fund - Class A (with maximum load) | 12/31/11 | -5.81% | 1.92% | 8.49% | 3.29% |
LoCorr Long/Short Commodities Strategy Fund - Class C | 12/31/11 | -1.52% | 6.37% | 8.92% | 3.28% |
LoCorr Long/Short Commodities Strategy Fund - Class I | 12/31/11 | 0.00% | 8.44% | 10.06% | 4.36% |
Bank of America Merrill Lynch 3-Month Treasury Bill Index | 1.24% | 2.31% | 0.87% | 0.61% | |
Morningstar Long/Short Commodity Index | -1.76% | -9.92% | -2.91% | -3.14% |
Fund Performance | | 15 |
Average Annual | |||||
Inception Date | 6 Month | 1 Year | 5 Year | Since Inception | |
LoCorr Market Trend Fund - Class A (without maximum load) | 6/30/14 | 11.87% | 5.13% | 2.53% | 2.53% |
LoCorr Market Trend Fund - Class A (with maximum load) | 6/30/14 | 5.45% | -0.93% | 1.32% | 1.32% |
LoCorr Market Trend Fund - Class C | 6/30/14 | 10.42% | 3.34% | 1.76% | 1.76% |
LoCorr Market Trend Fund - Class I | 6/30/14 | 11.88% | 5.29% | 2.77% | 2.77% |
Bank of America Merrill Lynch 3-Month Treasury Bill Index | 1.24% | 2.31% | 0.87% | 0.87% | |
Barclay CTA Index | 3.72% | 2.80% | 1.09% | 1.09% |
LoCorr Market Trend Fund - Class I
Average Annual | |||||
Inception Date | 6 Month | 1 Year | 5 Year | Since Inception | |
LoCorr Dynamic Equity Fund - Class A (without maximum load) | 5/10/13 | 13.52% | 3.46% | 2.59% | 3.38% |
LoCorr Dynamic Equity Fund - Class A (with maximum load) | 5/10/13 | 7.04% | -2.49% | 1.38% | 2.38% |
LoCorr Dynamic Equity Fund - Class C | 5/10/13 | 11.99% | 1.68% | 1.81% | 2.59% |
LoCorr Dynamic Equity Fund - Class I | 5/10/13 | 13.60% | 3.68% | 2.85% | 3.64% |
S&P 500 Total Return Index | 18.54% | 10.42% | 10.71% | 12.35% | |
Morningstar Long/Short Equity Fund Index | 7.63% | 1.17% | 2.07% | 3.36% |
16 | | Fund Performance |
Average Annual | |||||
Inception Date | 6 Month | 1 Year | 5 Year | Since Inception | |
LoCorr Spectrum Income Fund - Class A (without maximum load) | 12/31/13 | 13.94% | 1.29% | -1.20% | 0.20% |
LoCorr Spectrum Income Fund - Class A (with maximum load) | 12/31/13 | 7.42% | -4.56% | -2.36% | -0.87% |
LoCorr Spectrum Income Fund - Class C | 12/31/13 | 12.62% | -0.23% | -1.92% | -0.54% |
LoCorr Spectrum Income Fund - Class I | 12/31/13 | 14.15% | 1.64% | -0.91% | 0.49% |
Bloomberg Barclay U.S. Aggregate Bond Index | 6.11% | 7.87% | 2.95% | 3.40% | |
Morningstar Allocation - 70% to 85% Equity | 13.49% | 4.21% | 4.98% | 5.57% |
LoCorr Macro Strategies Fund - Consolidated Schedule of Investments | | 17 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
ASSET BACKED SECURITIES: 14.92% | |||||||||||||
321 Henderson Receivables I LLC | |||||||||||||
Series 2006-1A A1 (1 Month LIBOR USD + 0.200%) (a)(c) | 03/15/2041 | 2.59 | % | $ | 833,198 | $ | 820,811 | ||||||
Series 2006-4A A1 (1 Month LIBOR USD + 0.200%) (a)(c) | 12/15/2041 | 2.59 | % | 958,807 | 949,442 | ||||||||
Series 2004-A A1 (1 Month LIBOR USD + 0.350%) (a)(c) | 09/15/2045 | 2.74 | % | 133,386 | 130,414 | ||||||||
American Express Credit Account Master Trust, 2019-1 A | 10/15/2024 | 2.87 | % | 2,390,000 | 2,442,921 | ||||||||
Avid Automobile Receivables Trust, 2018-1 A (a) | 08/15/2023 | 2.84 | % | 1,066,500 | 1,065,080 | ||||||||
Bank of The West Auto Trust, 2017-1 A3 (a) | 01/15/2023 | 2.11 | % | 2,000,000 | 1,994,263 | ||||||||
Barclays Dryrock Issuance Trust, 2017-2 A (1 Month LIBOR USD + 0.300%) (c) | 05/15/2023 | 2.69 | % | 3,225,000 | 3,228,529 | ||||||||
Cabela’s Credit Card Master Note Trust, 2014-2 A (1 Month LIBOR USD + 0.450%) (c) | 07/15/2022 | 2.84 | % | 1,004,000 | 1,004,126 | ||||||||
California Republic Auto Receivables Trust, 2018-1 A3 | 08/15/2022 | 3.14 | % | 1,100,000 | 1,107,792 | ||||||||
Carmax Auto Owner Trust, 2019-1 A3 | 03/15/2024 | 3.05 | % | 2,450,000 | 2,500,059 | ||||||||
Citibank Credit Card Issuance Trust, 2018-A3 | 05/23/2025 | 3.29 | % | 3,500,000 | 3,644,326 | ||||||||
Conn’s Receivables Funding LLC, 2018-A A (a) | 07/17/2023 | 3.25 | % | 947,139 | 950,811 | ||||||||
DB Master Finance LLC, 2019-1A A2I (a) | 05/20/2049 | 3.79 | % | 2,015,000 | 2,057,960 | ||||||||
Diamond Resorts Owner Trust, 2018-1 A (a) | 01/21/2031 | 3.70 | % | 2,364,187 | 2,397,826 | ||||||||
Discover Card Execution Note Trust, 2018-2 A (1 Month LIBOR USD + 0.330%) (c) | 08/15/2025 | 2.72 | % | 2,775,000 | 2,769,361 | ||||||||
Domino’s Pizza Master Issuer LLC, 2017-1A A2I (3 Month LIBOR USD + 1.250%) (a)(c) | 07/25/2047 | 3.83 | % | 1,075,838 | 1,069,716 | ||||||||
Entergy New Orleans Storm Recovery Funding LLC, 2015-1 A | 06/01/2027 | 2.67 | % | 1,107,519 | 1,115,872 | ||||||||
Evergreen Credit Card Trust, 2018-2 A (1 Month LIBOR USD + 0.350%) (a)(b)(c) | 07/15/2022 | 2.74 | % | 1,975,000 | 1,978,330 | ||||||||
Ford Credit Auto Owner Trust, 2016-1 A (a) | 08/15/2027 | 2.31 | % | 2,350,000 | 2,357,972 | ||||||||
GLS Auto Receivables Trust, 2018-2A A (a) | 04/18/2022 | 3.25 | % | 1,196,235 | 1,199,153 | ||||||||
Honda Auto Receivables Owner Trust, 2019-1 A-3 | 03/20/2023 | 2.83 | % | 1,800,000 | 1,825,882 | ||||||||
Invitation Homes Trust | |||||||||||||
Series 2017-SFR2 A (1 Month LIBOR USD + 0.850%) (a)(c) | 12/19/2036 | 3.24 | % | 1,534,348 | 1,524,117 | ||||||||
Series 2018-SFR2 A (1 Month LIBOR USD + 0.900%) (a)(c) | 06/18/2037 | 3.29 | % | 2,582,446 | 2,576,694 | ||||||||
Series 2018-SFR3 A (1 Month LIBOR USD + 1.000%) (a)(c) | 07/17/2037 | 3.39 | % | 2,968,734 | 2,960,376 | ||||||||
Series 2018-SFR4 A (1 Month LIBOR USD + 1.100%) (a)(c) | 01/19/2038 | 3.49 | % | 1,884,573 | 1,894,817 | ||||||||
MVW Owner Trust, 2019-1A A (a) | 11/20/2036 | 2.89 | % | 2,050,000 | 2,077,010 | ||||||||
NRZ Advance Receivables Trust, 2016-T3 AT3 (a) | 10/16/2051 | 2.83 | % | 3,210,000 | 3,233,779 | ||||||||
Ocwen Master Advance Receivables Trust, 2016-T2 AT2 (a) | 08/16/2049 | 2.72 | % | 3,190,000 | 3,188,749 |
18 | | LoCorr Macro Strategies Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||||
OneMain Financial Issuance Trust, 2016-2 B (a) | 03/20/2028 | 5.94 | % | $ | 1,867,215 | $ | 1,874,430 | ||||||
Planet Fitness Master Issuer LLC, 2018-1A A2I (a) | 09/05/2048 | 4.26 | % | 2,064,400 | 2,126,724 | ||||||||
Progress Residential Trust, 2017-SFR1 A (a) | 08/17/2034 | 2.77 | % | 3,279,465 | 3,300,271 | ||||||||
Prosper Marketplace Issuance Trust, 2018-1A A (a) | 06/17/2024 | 3.11 | % | 512,267 | 512,557 | ||||||||
SMB Private Education Loan Trust, 2018-C A1 (1 Month LIBOR USD + 0.300%) (a)(c) | 09/15/2025 | 2.69 | % | 1,114,450 | 1,114,344 | ||||||||
SoFi Professional Loan Program LLC | |||||||||||||
Series 2016-C A2B (a) | 12/27/2032 | 2.36 | % | 2,170,544 | 2,167,435 | ||||||||
Series 2015-C A2 (a) | 08/25/2033 | 2.51 | % | 1,051,610 | 1,054,124 | ||||||||
Series 2016-A A2 (a) | 12/26/2036 | 2.76 | % | 3,058,742 | 3,076,752 | ||||||||
Series 2017-C A2A (a) | 07/25/2040 | 1.75 | % | 832,186 | 829,667 | ||||||||
Synchrony Card Issuance Trust, 2018-A1 A1 | 09/15/2024 | 3.38 | % | 2,935,000 | 3,011,601 | ||||||||
Synchrony Credit Card Master Note Trust, 2018-1 A | 03/15/2024 | 2.97 | % | 3,100,000 | 3,139,639 | ||||||||
TCF Auto Receivables Owner Trust | |||||||||||||
Series 2016-1A A3 (a) | 04/15/2021 | 1.71 | % | 101,720 | 101,662 | ||||||||
Series 2016-PT1 A (a) | 06/15/2022 | 1.93 | % | 1,038,422 | 1,035,607 | ||||||||
Tricon American Homes Trust, 2017-SFR1 A (a) | 09/19/2034 | 2.72 | % | 2,833,053 | 2,837,614 | ||||||||
Verizon Owner Trust | |||||||||||||
Series 2018-1A A1B (1 Month LIBOR USD + 0.260%) (a)(c) | 09/20/2022 | 2.64 | % | 4,525,000 | 4,522,770 | ||||||||
Series 2018-A A1A | 04/20/2023 | 3.23 | % | 3,000,000 | 3,057,786 | ||||||||
Series 2019-B A1A | 12/20/2023 | 2.33 | % | 2,597,000 | 2,604,841 | ||||||||
TOTAL ASSET BACKED SECURITIES (Cost $89,537,908) | 90,434,012 | ||||||||||||
CORPORATE BONDS: 27.41% | |||||||||||||
Aerospace/Defense: 0.43% | |||||||||||||
L3 Technologies, Inc. | 02/15/2021 | 4.95 | % | 1,005,000 | 1,038,476 | ||||||||
United Technologies Corp. | 08/16/2023 | 3.65 | % | 1,480,000 | 1,549,991 | ||||||||
2,588,467 | |||||||||||||
Agriculture: 0.35% | |||||||||||||
Altria Group, Inc. | 02/14/2024 | 3.80 | % | 2,025,000 | 2,110,899 | ||||||||
Auto Manufacturers: 0.97% | |||||||||||||
American Honda Finance Corp. | 02/12/2021 | 2.65 | % | 2,020,000 | 2,032,351 | ||||||||
General Motors Financial Co., Inc. | 05/09/2023 | 3.70 | % | 2,375,000 | 2,409,533 | ||||||||
Hyundai Capital America (a) | 03/18/2021 | 3.00 | % | 1,425,000 | 1,432,540 | ||||||||
5,874,424 | |||||||||||||
Banks: 10.03% | |||||||||||||
Bank of America Corp. | 10/21/2022 | 2.50 | % | 6,155,000 | 6,170,488 | ||||||||
Bank of America Corp. | 01/11/2023 | 3.30 | % | 1,650,000 | 1,700,781 | ||||||||
Bank of Montreal (b) | 03/26/2022 | 2.90 | % | 1,770,000 | 1,797,094 | ||||||||
Bank of New York Mellon Corp. | 02/07/2022 | 2.60 | % | 1,000,000 | 1,010,089 | ||||||||
BB&T Corp. | 12/06/2023 | 3.75 | % | 1,260,000 | 1,329,824 | ||||||||
Citigroup, Inc. | 10/26/2020 | 2.65 | % | 970,000 | 973,414 | ||||||||
Citigroup, Inc. | 01/14/2022 | 4.50 | % | 3,315,000 | 3,484,689 | ||||||||
Citigroup, Inc. (3 Month LIBOR USD + 0.722%) (d) | 01/24/2023 | 3.14 | % | 2,000,000 | 2,034,188 | ||||||||
Cooperatieve Rabobank UA (b) | 11/09/2022 | 3.95 | % | 2,130,000 | 2,209,474 | ||||||||
Danske Bank (a)(b) | 01/12/2022 | 5.00 | % | 1,255,000 | 1,312,789 | ||||||||
Fifth Third Bancorp | 07/27/2020 | 2.88 | % | 1,965,000 | 1,974,022 | ||||||||
Goldman Sachs Group, Inc. | 02/25/2021 | 2.88 | % | 1,690,000 | 1,702,137 | ||||||||
Goldman Sachs Group, Inc. | 01/22/2023 | 3.63 | % | 2,140,000 | 2,220,151 | ||||||||
Goldman Sachs Group, Inc. | 02/23/2023 | 3.20 | % | 1,885,000 | 1,929,097 | ||||||||
HSBC Holdings PLC (b) | 04/05/2021 | 5.10 | % | 2,390,000 | 2,497,383 | ||||||||
Huntington National Bank | 04/01/2022 | 3.13 | % | 1,735,000 | 1,768,958 | ||||||||
JP Morgan Chase & Co. | 09/23/2022 | 3.25 | % | 1,565,000 | 1,607,772 | ||||||||
JP Morgan Chase & Co. | 01/25/2023 | 3.20 | % | 5,705,000 | 5,854,200 | ||||||||
KeyBank NA | 02/01/2022 | 3.30 | % | 1,485,000 | 1,524,047 | ||||||||
Morgan Stanley | 07/24/2020 | 5.50 | % | 4,270,000 | 4,407,656 | ||||||||
Morgan Stanley | 01/23/2023 | 3.13 | % | 2,115,000 | 2,162,729 |
LoCorr Macro Strategies Fund - Consolidated Schedule of Investments (continued) | | 19 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
CORPORATE BONDS (continued) | |||||||||||||
PNC Bank NA | 01/22/2021 | 2.50 | % | $ | 1,555,000 | $ | 1,560,202 | ||||||
Royal Bank of Canada (b) | 04/29/2022 | 2.80 | % | 1,555,000 | 1,579,506 | ||||||||
State Street Corp. | 08/18/2020 | 2.55 | % | 1,410,000 | 1,416,266 | ||||||||
SunTrust Banks, Inc. | 03/03/2021 | 2.90 | % | 2,500,000 | 2,522,495 | ||||||||
Wells Fargo & Co. | 07/22/2020 | 2.60 | % | 2,725,000 | 2,733,962 | ||||||||
Zions Bancorp NA | 03/04/2022 | 3.35 | % | 1,295,000 | 1,319,087 | ||||||||
60,802,500 | |||||||||||||
Beverages: 0.73% | |||||||||||||
Anheuser-Busch InBev Finance, Inc. | 02/01/2023 | 3.30 | % | 1,365,000 | 1,408,902 | ||||||||
Heineken NV (a)(b) | 04/01/2022 | 3.40 | % | 1,425,000 | 1,466,601 | ||||||||
PepsiCo, Inc. | 03/05/2022 | 2.75 | % | 1,515,000 | 1,543,172 | ||||||||
4,418,675 | |||||||||||||
Biotechnology: 0.42% | |||||||||||||
Celgene Corp. | 02/20/2023 | 3.25 | % | 2,480,000 | 2,542,196 | ||||||||
Computers: 0.25% | |||||||||||||
Apple, Inc. | 02/23/2021 | 2.25 | % | 1,540,000 | 1,545,501 | ||||||||
Diversified Financial Services: 2.60% | |||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust Air (b) | 02/01/2022 | 3.95 | % | 1,220,000 | 1,255,195 | ||||||||
Lease Corp. | 07/03/2023 | 3.88 | % | 2,150,000 | 2,240,840 | ||||||||
American Express Co. | 05/20/2022 | 2.75 | % | 505,000 | 511,167 | ||||||||
American Express Co. | 12/02/2022 | 2.65 | % | 2,000,000 | 2,021,927 | ||||||||
Capital One Bank | 02/15/2023 | 3.38 | % | 1,700,000 | 1,734,082 | ||||||||
CDP Financial, Inc.(a)(b) | 03/07/2022 | 2.75 | % | 2,190,000 | 2,234,016 | ||||||||
Charles Schwab Corp. | 01/25/2023 | 2.65 | % | 1,905,000 | 1,928,696 | ||||||||
OMERS Finance Trust (a)(b) | 05/02/2024 | 2.50 | % | 1,930,000 | 1,973,096 | ||||||||
Visa, Inc. | 12/14/2022 | 2.80 | % | 1,800,000 | 1,843,135 | ||||||||
15,742,154 | |||||||||||||
Electric: 0.61% | |||||||||||||
Berkshire Hathaway Energy Co. | 01/15/2021 | 2.38 | % | 2,345,000 | 2,351,420 | ||||||||
Nextera Energy Capital Holdings, Inc. | 04/01/2022 | 2.90 | % | 1,335,000 | 1,358,151 | ||||||||
3,709,571 | |||||||||||||
Environmental Control: 0.26% | |||||||||||||
Waste Management, Inc. | 06/15/2024 | 2.95 | % | 1,530,000 | 1,577,085 | ||||||||
Food: 0.29% | |||||||||||||
Sysco Corp. | 10/01/2020 | 2.60 | % | 1,760,000 | 1,765,898 | ||||||||
Healthcare - Products: 0.25% | |||||||||||||
Abbott Laboratories | 11/30/2021 | 2.90 | % | 1,525,000 | 1,550,268 | ||||||||
Healthcare - Services: 0.24% | |||||||||||||
UnitedHealth Group, Inc. | 10/15/2020 | 3.88 | % | 1,435,000 | 1,458,125 | ||||||||
Insurance: 1.45% | |||||||||||||
Chubb INA Holdings,Inc. | 11/03/2020 | 2.30 | % | 1,215,000 | 1,215,520 | ||||||||
Lincoln National Corp. | 09/01/2023 | 4.00 | % | 1,500,000 | 1,586,876 | ||||||||
Metropolitan Life Global Funding I (a) | 01/11/2022 | 3.38 | % | 2,070,000 | 2,127,764 | ||||||||
Prudential Financial, Inc. | 11/15/2020 | 4.50 | % | 2,000,000 | 2,061,083 | ||||||||
Unum Group | 05/15/2021 | 3.00 | % | 1,820,000 | 1,829,733 | ||||||||
8,820,976 | |||||||||||||
Machinery - Construction & Mining: 0.31% | |||||||||||||
Caterpillar, Inc. | 06/26/2022 | 2.60 | % | 1,840,000 | 1,858,453 | ||||||||
Machinery - Diversified: 0.25% | |||||||||||||
John Deere Capital Corp. | 01/08/2021 | 2.55 | % | 1,495,000 | 1,503,862 |
20 | | LoCorr Macro Strategies Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
CORPORATE BONDS (continued) | |||||||||||||
Media: 1.40% | |||||||||||||
21st Century Fox America, Inc. | 02/15/2021 | 4.50 | % | $ | 2,015,000 | $ | 2,081,380 | ||||||
Comcast Corp. | 04/15/2024 | 3.70 | % | 2,925,000 | 3,104,443 | ||||||||
Discovery Communications LLC | 04/01/2023 | 3.25 | % | 2,150,000 | 2,185,496 | ||||||||
Fox Corp. (a) | 01/25/2022 | 3.67 | % | 1,105,000 | 1,141,925 | ||||||||
8,513,244 | |||||||||||||
Miscellaneous Manufacturing: 0.73% | |||||||||||||
General Electric Co. | 01/07/2021 | 4.63 | % | 1,345,000 | 1,384,204 | ||||||||
Ingersoll-Rand Global Holding Co. Ltd. | 06/15/2023 | 4.25 | % | 1,415,000 | 1,505,470 | ||||||||
Parker-Hannifin Corp. | 06/14/2024 | 2.70 | % | 1,540,000 | 1,558,594 | ||||||||
4,448,268 | |||||||||||||
Oil & Gas: 1.15% | |||||||||||||
BP Capital Markets PLC (b) | 03/11/2021 | 4.74 | % | 1,000,000 | 1,040,899 | ||||||||
Occidental Petroleum Corp. | 02/01/2021 | 4.10 | % | 1,765,000 | 1,805,446 | ||||||||
Saudi Arabian Oil Co. (a)(b) | 04/16/2022 | 2.75 | % | 2,150,000 | 2,169,880 | ||||||||
Total Capital International SA (b) | 06/19/2021 | 2.75 | % | 1,915,000 | 1,937,083 | ||||||||
6,953,308 | |||||||||||||
Oil & Gas Services: 0.33% | |||||||||||||
Schlumberger Holdings Corp. (a) | 12/21/2020 | 3.00 | % | 1,995,000 | 2,011,359 | ||||||||
Packaging & Containers: 0.27% | |||||||||||||
Packaging Corp. of America | 12/15/2020 | 2.45 | % | 1,630,000 | 1,628,664 | ||||||||
Pharmaceuticals: 0.55% | |||||||||||||
AbbVie, Inc. | 11/06/2022 | 2.90 | % | 1,845,000 | 1,857,298 | ||||||||
CVS Health Corp. | 07/20/2020 | 2.80 | % | 1,455,000 | 1,458,718 | ||||||||
3,316,016 | |||||||||||||
Pipelines: 0.35% | |||||||||||||
Enterprise Products Operating LLC | 02/15/2021 | 2.80 | % | 2,115,000 | 2,129,667 | ||||||||
Real Estate Investment Trusts: 0.24% | |||||||||||||
Alexandria Real Estate Equities, Inc. | 01/15/2024 | 4.00 | % | 1,365,000 | 1,443,820 | ||||||||
Retail: 0.26% | |||||||||||||
Walmart, Inc. | 12/15/2022 | 2.35 | % | 1,545,000 | 1,562,332 | ||||||||
Software: 1.05% | |||||||||||||
Fiserv, Inc. | 07/01/2024 | 2.75 | % | 1,650,000 | 1,664,705 | ||||||||
Microsoft Corp. | 02/06/2022 | 2.40 | % | 2,835,000 | 2,864,768 | ||||||||
Oracle Corp. | 10/15/2022 | 2.50 | % | 1,825,000 | 1,837,891 | ||||||||
6,367,364 | |||||||||||||
Telecommunications: 1.18% | |||||||||||||
AT&T, Inc. | 02/17/2021 | 2.80 | % | 2,290,000 | 2,304,341 | ||||||||
AT&T, Inc. | 03/11/2024 | 3.90 | % | 1,470,000 | 1,551,040 | ||||||||
Verizon Communications, Inc. | 03/15/2021 | 3.45 | % | 2,200,000 | 2,250,048 | ||||||||
Verizon Communications, Inc. | 09/15/2023 | 5.15 | % | 920,000 | 1,027,250 | ||||||||
7,132,679 | |||||||||||||
Transportation: 0.46% | |||||||||||||
FedEx Corp. | 01/14/2022 | 3.40 | % | 1,185,000 | 1,214,892 | ||||||||
Union Pacific Corp. | 03/01/2024 | 3.15 | % | 1,525,000 | 1,572,455 | ||||||||
2,787,347 | |||||||||||||
TOTAL CORPORATE BONDS (Cost $163,315,045) | 166,163,122 |
LoCorr Macro Strategies Fund - Consolidated Schedule of Investments (continued) | | 21 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
MORTGAGE BACKED SECURITIES: 13.14% | |||||||||||||
BX Trust, 2018-MCSF A (1 Month LIBOR USD + 0.577%) (a)(c) | 04/16/2035 | 2.97 | % | $ | 3,285,000 | $ | 3,280,984 | ||||||
Comm Mortgage Trust | |||||||||||||
Series 2014-UBS2 AM | 03/12/2047 | 4.20 | % | 2,450,000 | 2,588,847 | ||||||||
Series 2014-LC17 | 10/11/2047 | 3.92 | % | 724,000 | 775,898 | ||||||||
Series 2014-CCRE21 | 12/10/2047 | 3.53 | % | 1,817,139 | 1,902,605 | ||||||||
Series 2015-CCR27 AM | 10/13/2048 | 3.98 | % | 2,000,000 | 2,124,900 | ||||||||
CSMC Trust, 2017-HL2 A3 (a)(d) | 10/25/2047 | 3.50 | % | 2,752,156 | 2,795,883 | ||||||||
Fannie Mae Connecticut Avenue Securities | |||||||||||||
Series 2014-C02 1M2 (1 Month LIBOR USD + 2.600%) (c) | 05/28/2024 | 5.00 | % | 2,038,626 | 2,106,974 | ||||||||
Series 2017-C01 1M1 (1 Month LIBOR USD + 1.300%) (c) | 07/25/2029 | 3.70 | % | 1,783,210 | 1,789,318 | ||||||||
Series 2017-C02 2M1 (1 Month LIBOR USD + 1.150%) (c) | 09/25/2029 | 3.55 | % | 1,216,018 | 1,219,571 | ||||||||
Series 2018-C02 2M1 (1 Month LIBOR USD + 0.650%) (c) | 08/26/2030 | 3.05 | % | 1,203,036 | 1,203,452 | ||||||||
Series 2018-C05 1M1 (1 Month LIBOR USD + 0.720%) (c) | 01/27/2031 | 3.12 | % | 3,512,349 | 3,513,576 | ||||||||
Series 2019-R03 1M1 (1 Month LIBOR USD + 0.750%) (a)(c) | 09/25/2031 | 3.15 | % | 1,532,201 | 1,532,891 | ||||||||
Series 2019-R04 2M1 (1 Month LIBOR USD + 0.750%) (a)(c) | 06/27/2039 | 3.15 | % | 2,700,000 | 2,700,000 | ||||||||
FDIC Guaranteed Notes Trust, 2010-S4 A (1 Month LIBOR USD + 0.720%) (a)(c) | 12/04/2020 | 3.20 | % | 324,732 | 323,317 | ||||||||
FHLMC Multifamily Structured Pass Through Certificates, 3855 HE | 02/15/2026 | 2.50 | % | 3,326 | 3,312 | ||||||||
Flagstar Mortgage Trust | |||||||||||||
Series 2017-2 A5 (a)(d) | 10/25/2047 | 3.50 | % | 3,264,873 | 3,312,828 | ||||||||
Series 2018-4 A4 (a)(d) | 07/25/2048 | 4.00 | % | 2,024,924 | 2,043,997 | ||||||||
GS Mortgage Securities Trust | |||||||||||||
Series 2010-C2 A1 (a) | 12/10/2043 | 3.85 | % | 63,193 | 63,712 | ||||||||
Series 2015-GC28 A5 | 02/12/2048 | 3.76 | % | 1,985,000 | 2,084,506 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | |||||||||||||
Series 2018-BCON A (a) | 01/07/2031 | 3.73 | % | 3,630,000 | 3,799,985 | ||||||||
Series 2010-C2 A3 (a) | 11/15/2043 | 4.07 | % | 4,084,741 | 4,141,373 | ||||||||
Series 2014-C23 ASB | 09/17/2047 | 3.66 | % | 2,950,000 | 3,054,002 | ||||||||
JP Morgan Mortgage Trust | |||||||||||||
Series 2016-1 A5 (a)(d) | 05/25/2046 | 3.50 | % | 965,636 | 980,423 | ||||||||
Series 2018-9 A5 (a)(d) | 02/25/2049 | 4.00 | % | 1,890,227 | 1,923,132 | ||||||||
Morgan Stanley Capital I Trust, 2017-CLS A (1 Month LIBOR USD + 0.700%) (a)(c) | 11/15/2034 | 3.09 | % | 2,785,000 | 2,782,387 | ||||||||
NCUA Guaranteed Notes Trust | |||||||||||||
Series 2011-R2 1A (1 Month LIBOR USD + 0.400%) (c) | 02/06/2020 | 2.82 | % | 1,198,147 | 1,199,177 | ||||||||
Series 2011-R3 1A (1 Month LIBOR USD + 0.400%) (c) | 04/09/2020 | 2.81 | % | 769,723 | 771,121 | ||||||||
Series 2010-R1 1A (1 Month LIBOR USD + 0.450%) (c) | 10/07/2020 | 2.87 | % | 84,864 | 84,993 | ||||||||
New Residential Mortgage Loan Trust | |||||||||||||
Series 2018-NQM1 A1 (a)(d) | 11/25/2048 | 3.99 | % | 2,869,858 | 2,925,627 | ||||||||
Series 2015-1A A3 (a)(d) | 05/28/2052 | 3.75 | % | 1,027,569 | 1,062,258 | ||||||||
Series 2014-2A A3 (a)(d) | 05/25/2054 | 3.75 | % | 915,087 | 931,665 | ||||||||
Series 2016-1A A1 (a)(d) | 03/25/2056 | 3.75 | % | 1,896,361 | 1,938,730 | ||||||||
Series 2017-1A A1 (a)(d) | 02/25/2057 | 4.00 | % | 2,502,889 | 2,604,332 | ||||||||
Series 2017-2A A3 (a)(d) | 03/25/2057 | 4.00 | % | 2,657,575 | 2,775,138 | ||||||||
Series 2017-3A A1 (a)(d) | 04/25/2057 | 4.00 | % | 1,923,945 | 2,001,995 | ||||||||
OBX Trust | |||||||||||||
Series 2018-EXP1 1A6 (a)(d) | 04/25/2048 | 4.50 | % | 1,230,059 | 1,253,332 | ||||||||
Series 2018-EXP2 1A1 (a)(d) | 07/25/2058 | 4.00 | % | 2,187,819 | 2,221,899 | ||||||||
Sequoia Mortgage Trust, 2018-CH4 A10 (a)(d) | 10/25/2048 | 4.50 | % | 1,605,511 | 1,649,074 | ||||||||
Shellpoint Co-Originator Trust, 2017-2 A4 (a)(d) | 10/25/2047 | 3.50 | % | 1,149,744 | 1,169,099 | ||||||||
Spruce Hill Mortgage Loan Trust, 2019-SH1 A1 (a)(d) | 04/29/2049 | 3.40 | % | 1,248,647 | 1,260,132 | ||||||||
Verus Securitization Trust, 2018-3 A-1 (a)(d) | 10/25/2058 | 4.11 | % | 1,333,658 | 1,362,661 | ||||||||
WFRBS Commercial Mortgage Trust, 2011-C3 A4 (a) | 03/17/2044 | 4.38 | % | 2,338,910 | 2,410,010 | ||||||||
TOTAL MORTGAGE BACKED SECURITIES (Cost $79,067,088) | 79,669,116 |
22 | | LoCorr Macro Strategies Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
U.S. GOVERNMENT AGENCY ISSUES: 13.11% | |||||||||||||
Federal Farm Credit Banks | 11/27/2020 | 1.90 | % | $ | 7,000,000 | $ | 7,001,752 | ||||||
Federal Farm Credit Banks | 04/05/2021 | 2.54 | % | 5,120,000 | 5,178,306 | ||||||||
Federal Farm Credit Banks | 06/26/2023 | 1.77 | % | 5,135,000 | 5,118,963 | ||||||||
Federal Farm Credit Banks | 07/17/2023 | 2.88 | % | 10,985,000 | 11,400,636 | ||||||||
Federal Home Loan Banks | 07/07/2021 | 1.88 | % | 5,200,000 | 5,204,919 | ||||||||
Federal Home Loan Banks | 06/10/2022 | 2.13 | % | 5,115,000 | 5,159,506 | ||||||||
Federal Home Loan Banks | 06/10/2022 | 2.75 | % | 6,015,000 | 6,173,600 | ||||||||
Federal Home Loan Banks | 06/09/2023 | 3.25 | % | 15,200,000 | 15,998,228 | ||||||||
Federal Home Loan Banks | 09/08/2023 | 3.38 | % | 9,000,000 | 9,571,683 | ||||||||
Federal Home Loan Mortgage Corp. | 05/29/2020 | 2.53 | % | 5,150,000 | 5,151,754 | ||||||||
Federal National Mortgage Association | 04/12/2022 | 2.25 | % | 3,500,000 | 3,543,970 | ||||||||
TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $77,813,290) | 79,503,317 | ||||||||||||
U.S. GOVERNMENT NOTES: 16.10% | |||||||||||||
United States Treasury Note | 02/28/2021 | 1.13 | % | 8,990,000 | 8,888,512 | ||||||||
United States Treasury Note | 05/31/2021 | 2.00 | % | 2,565,000 | 2,576,022 | ||||||||
United States Treasury Note | 01/15/2022 | 2.50 | % | 6,500,000 | 6,622,891 | ||||||||
United States Treasury Note | 10/31/2022 | 2.00 | % | 1,900,000 | 1,916,625 | ||||||||
United States Treasury Note | 11/15/2022 | 1.63 | % | 9,640,000 | 9,607,992 | ||||||||
United States Treasury Note | 09/30/2023 | 2.88 | % | 2,305,000 | 2,411,336 | ||||||||
United States Treasury Note | 12/31/2023 | 2.63 | % | 4,200,000 | 4,358,156 | ||||||||
United States Treasury Note | 01/31/2024 | 2.25 | % | 11,500,000 | 11,749,315 | ||||||||
United States Treasury Note | 02/15/2024 | 2.75 | % | 5,000,000 | 5,221,094 | ||||||||
United States Treasury Note | 02/29/2024 | 2.38 | % | 2,265,000 | 2,328,792 | ||||||||
United States Treasury Note | 03/31/2024 | 2.13 | % | 6,000,000 | 6,100,313 | ||||||||
United States Treasury Note | 04/30/2024 | 2.00 | % | 11,530,000 | 11,655,659 | ||||||||
United States Treasury Note | 05/15/2024 | 2.50 | % | 8,440,000 | 8,729,795 | ||||||||
United States Treasury Note | 12/31/2024 | 2.25 | % | 10,580,000 | 10,829,622 | ||||||||
United States Treasury Note | 02/15/2025 | 7.63 | % | 3,500,000 | 4,580,625 | ||||||||
TOTAL U.S. GOVERNMENT NOTES (Cost $95,495,750) | 97,576,749 | ||||||||||||
SHORT TERM INVESTMENT: 4.35% | |||||||||||||
MONEY MARKET FUND: 4.35% | Shares | ||||||||||||
STIT-Government & Agency Portfolio, Institutional Class, 2.26% (e)(f) | 26,396,175 | 26,396,175 | |||||||||||
TOTAL MONEY MARKET FUND (Cost $26,396,175) | 26,396,175 | ||||||||||||
TOTAL SHORT TERM INVESTMENT (Cost $26,396,175) | 26,396,175 | ||||||||||||
TOTAL INVESTMENTS (Cost $531,625,256): 89.03% | 539,742,491 | ||||||||||||
Other Assets in Excess of Liabilities: 10.97 (g) | 66,518,828 | ||||||||||||
TOTAL NET ASSETS: 100.00% | $ | 606,261,319 |
(a) | Security as defined in Rule 144A under the Securities Act of 1933 and determined to be liquid. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2019, the value of these securities total $130,098,111 which represents 21.46% of total net assets. |
(b) | Foreign issued security. |
(c) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2019. |
(d) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of June 30, 2019. |
(e) | The rate quoted is the annualized seven-day effective yield as of June 30, 2019. |
(f) | A portion of this security is held by LCMFS Fund Limited and pledged as collateral for derivative contracts. |
(g) | Includes assets pledged as collateral for derivative contracts. |
LIBOR | London Interbank Offered Rate |
LoCorr Macro Strategies Fund - Consolidated Schedule of Open Forward Currency Contracts | | 23 |
LoCorr Macro Strategies Fund
Consolidated Schedule of Open Forward Currency Contracts
June 30, 2019 (Unaudited)
Currency to be Received | Currency to be Delivered | ||||||||||||||||||||||||||
Notional Amount | Counter- party | Forward Settlement Date | Curr Abbr. | U.S. $ Value at June 30, 2019 | Curr Abbr. | U.S. $ Value on Origination Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
See key for abbreviation | |||||||||||||||||||||||||||
Purchase Contracts: | |||||||||||||||||||||||||||
$ | 48,142,753 | DB | 07/17/2019 | AUD | $ | 48,692,370 | USD | $ | 48,142,753 | $ | 549,617 | $ | — | ||||||||||||||
271,144 | BAML | 09/20/2019 | AUD | 273,791 | USD | 271,144 | 2,647 | — | |||||||||||||||||||
32,102,207 | DB | 07/17/2019 | BRL | 32,429,259 | USD | 32,102,207 | 327,052 | — | |||||||||||||||||||
36,068,158 | DB | 07/17/2019 | CAD | 36,747,249 | USD | 36,068,158 | 679,091 | — | |||||||||||||||||||
34,398,893 | BAML | 09/20/2019 | CAD | 34,522,633 | USD | 34,398,893 | 123,740 | — | |||||||||||||||||||
36,678,986 | DB | 07/17/2019 | CHF | 37,006,927 | USD | 36,678,986 | 327,941 | — | |||||||||||||||||||
1,672,456 | BAML | 09/20/2019 | CHF | 1,676,403 | USD | 1,672,456 | 3,947 | — | |||||||||||||||||||
1,214,799 | DB | 07/17/2019 | CLP | 1,234,077 | USD | 1,214,799 | 19,278 | — | |||||||||||||||||||
326,527 | DB | 07/17/2019 | COP | 326,912 | USD | 326,527 | 385 | — | |||||||||||||||||||
21,540,228 | DB | 07/17/2019 | EUR | 21,719,694 | NOK | 21,540,228 | 179,466 | — | |||||||||||||||||||
7,522,578 | DB | 07/17/2019 | EUR | 7,585,379 | PLN | 7,522,578 | 62,801 | — | |||||||||||||||||||
22,882,381 | DB | 07/17/2019 | EUR | 23,109,208 | SEK | 22,882,381 | 226,827 | — | |||||||||||||||||||
57,324,630 | DB | 07/17/2019 | EUR | 57,505,367 | USD | 57,324,630 | 180,737 | — | |||||||||||||||||||
20,639,336 | BAML | 09/20/2019 | EUR | 20,685,660 | USD | 20,639,336 | 46,324 | — | |||||||||||||||||||
50,113,730 | DB | 07/17/2019 | GBP | 50,047,062 | USD | 50,113,730 | — | (66,668) | |||||||||||||||||||
2,244,065 | BAML | 09/20/2019 | GBP | 2,258,891 | USD | 2,244,065 | 14,826 | — | |||||||||||||||||||
5,228,104 | DB | 07/17/2019 | ILS | 5,262,922 | USD | 5,228,104 | 34,818 | — | |||||||||||||||||||
6,282,105 | DB | 07/17/2019 | INR | 6,330,899 | USD | 6,282,105 | 48,794 | — | |||||||||||||||||||
44,547,006 | DB | 07/17/2019 | JPY | 44,607,281 | USD | 44,547,006 | 60,275 | — | |||||||||||||||||||
33,508,874 | BAML | 09/20/2019 | JPY | 33,435,303 | USD | 33,508,874 | — | (73,571) | |||||||||||||||||||
4,959,123 | DB | 07/17/2019 | KRW | 5,004,409 | USD | 4,959,123 | 45,286 | — | |||||||||||||||||||
15,578,376 | DB | 07/17/2019 | MXN | 15,586,191 | USD | 15,578,376 | 7,815 | — | |||||||||||||||||||
12,681,355 | BAML | 09/20/2019 | MXN | 12,641,609 | USD | 12,681,355 | — | (39,746) | |||||||||||||||||||
28,121,543 | DB | 07/17/2019 | NOK | 28,474,965 | EUR | 28,121,543 | 353,422 | — | |||||||||||||||||||
14,377,080 | DB | 07/17/2019 | NOK | 14,504,616 | USD | 14,377,080 | 127,536 | — | |||||||||||||||||||
28,395,977 | DB | 07/17/2019 | NZD | 29,007,966 | USD | 28,395,977 | 611,989 | — | |||||||||||||||||||
709,265 | BAML | 09/20/2019 | NZD | 723,992 | USD | 709,265 | 14,727 | — | |||||||||||||||||||
10,076,736 | DB | 07/17/2019 | PLN | 10,212,181 | EUR | 10,076,736 | 135,445 | — | |||||||||||||||||||
8,523,772 | DB | 07/17/2019 | PLN | 8,599,545 | USD | 8,523,772 | 75,773 | — | |||||||||||||||||||
20,948,766 | DB | 07/17/2019 | RUB | 21,214,320 | USD | 20,948,766 | 265,554 | — | |||||||||||||||||||
14,994,358 | DB | 07/17/2019 | SEK | 15,239,631 | EUR | 14,994,358 | 245,273 | — | |||||||||||||||||||
14,728,790 | DB | 07/17/2019 | SEK | 14,875,450 | USD | 14,728,790 | 146,660 | — | |||||||||||||||||||
4,629,181 | DB | 07/17/2019 | SGD | 4,650,665 | USD | 4,629,181 | 21,484 | — | |||||||||||||||||||
6,266,068 | DB | 07/17/2019 | TRY | 6,321,435 | USD | 6,266,068 | 55,367 | — | |||||||||||||||||||
14,435,681 | DB | 07/17/2019 | ZAR | 14,987,507 | USD | 14,435,681 | 551,826 | — | |||||||||||||||||||
Total Purchase Contracts | 667,501,769 | 662,135,031 | 5,546,723 | (179,985) |
Sale Contracts: | |||||||||||||||||||||||||||
$ | 52,941,144 | DB | 07/17/2019 | USD | $ | 53,778,688 | AUD | $ | 52,941,144 | $ | — | $ | (837,544) | ||||||||||||||
41,854,748 | BAML | 09/20/2019 | USD | 42,292,579 | AUD | 41,854,748 | — | (437,831) | |||||||||||||||||||
25,145,150 | DB | 07/17/2019 | USD | 25,376,708 | BRL | 25,145,150 | — | (231,558) | |||||||||||||||||||
28,129,980 | DB | 07/17/2019 | USD | 28,351,153 | CAD | 28,129,980 | — | (221,173) | |||||||||||||||||||
49,831,776 | BAML | 09/20/2019 | USD | 50,570,227 | CAD | 49,831,776 | — | (738,451) | |||||||||||||||||||
47,382,280 | DB | 07/17/2019 | USD | 47,967,381 | CHF | 47,382,280 | — | (585,101) | |||||||||||||||||||
33,114,785 | BAML | 09/20/2019 | USD | 33,690,119 | CHF | 33,114,785 | — | (575,334) | |||||||||||||||||||
1,206,914 | DB | 07/17/2019 | USD | 1,234,077 | CLP | 1,206,914 | — | (27,163) | |||||||||||||||||||
82,028 | DB | 07/17/2019 | USD | 82,039 | COP | 82,028 | — | (11) | |||||||||||||||||||
28,121,543 | DB | 07/17/2019 | NOK | 28,291,412 | EUR | 28,121,543 | — | (169,869) | |||||||||||||||||||
10,076,735 | DB | 07/17/2019 | PLN | 10,148,006 | EUR | 10,076,735 | — | (71,271) | |||||||||||||||||||
14,994,359 | DB | 07/17/2019 | SEK | 15,102,420 | EUR | 14,994,359 | — | (108,061) | |||||||||||||||||||
55,854,708 | DB | 07/17/2019 | USD | 56,377,811 | EUR | 55,854,708 | — | (523,103) | |||||||||||||||||||
88,760,542 | BAML | 09/20/2019 | USD | 89,189,883 | EUR | 88,760,542 | — | (429,341) | |||||||||||||||||||
46,427,019 | DB | 07/17/2019 | USD | 46,729,235 | GBP | 46,427,019 | — | (302,216) | |||||||||||||||||||
62,465,742 | BAML | 09/20/2019 | USD | 62,473,867 | GBP | 62,465,742 | — | (8,125) | |||||||||||||||||||
3,620,357 | DB | 07/17/2019 | USD | 3,661,041 | ILS | 3,620,357 | — | (40,684) | |||||||||||||||||||
3,043,470 | DB | 07/17/2019 | USD | 3,069,417 | INR | 3,043,470 | — | (25,947) | |||||||||||||||||||
53,488,002 | DB | 07/17/2019 | USD | 53,664,361 | JPY | 53,488,002 | — | (176,359) |
The accompanying notes are an integral part of these consolidated financial statements.
24 | | LoCorr Macro Strategies 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 June 30, 2019 | Curr Abbr. | U.S. $ Value on Origination Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
See key for abbreviation | |||||||||||||||||||||||||||
Sale Contracts: (continued) | |||||||||||||||||||||||||||
$ | 10,155,255 | BAML | 09/20/2019 | USD | $ | 10,174,856 | JPY | $ | 10,155,255 | $ | — | $ | (19,601) | ||||||||||||||
4,884,452 | DB | 07/17/2019 | USD | 4,918,618 | KRW | 4,884,452 | — | (34,166) | |||||||||||||||||||
7,529,692 | DB | 07/17/2019 | USD | 7,529,526 | MXN | 7,529,692 | 166 | — | |||||||||||||||||||
10,457 | BAML | 09/20/2019 | USD | 10,426 | MXN | 10,457 | 31 | — | |||||||||||||||||||
21,540,229 | DB | 07/17/2019 | EUR | 21,854,387 | NOK | 21,540,229 | — | (314,158) | |||||||||||||||||||
12,448,048 | DB | 07/17/2019 | USD | 12,674,677 | NOK | 12,448,048 | — | (226,629) | |||||||||||||||||||
31,455,657 | DB | 07/17/2019 | USD | 32,187,013 | NZD | 31,455,657 | — | (731,356) | |||||||||||||||||||
17,109,509 | BAML | 09/20/2019 | USD | 17,469,373 | NZD | 17,109,509 | — | (359,864) | |||||||||||||||||||
7,522,578 | DB | 07/17/2019 | EUR | 7,628,956 | PLN | 7,522,578 | — | (106,378) | |||||||||||||||||||
4,848,618 | DB | 07/17/2019 | USD | 4,925,511 | PLN | 4,848,618 | — | (76,893) | |||||||||||||||||||
12,153,381 | DB | 07/17/2019 | USD | 12,311,074 | RUB | 12,153,381 | — | (157,693) | |||||||||||||||||||
22,882,381 | DB | 07/17/2019 | EUR | 23,294,001 | SEK | 22,882,381 | — | (411,620) | |||||||||||||||||||
16,802,613 | DB | 07/17/2019 | USD | 17,101,429 | SEK | 16,802,613 | — | (298,816) | |||||||||||||||||||
2,300,666 | DB | 07/17/2019 | USD | 2,321,636 | SGD | 2,300,666 | — | (20,970) | |||||||||||||||||||
2,426,702 | DB | 07/17/2019 | USD | 2,441,441 | TRY | 2,426,702 | — | (14,739) | |||||||||||||||||||
11,688,031 | DB | 07/17/2019 | USD | 12,257,160 | ZAR | 11,688,031 | — | (569,129) | |||||||||||||||||||
Total Sale Contracts | 841,150,508 | 832,299,551 | 197 | (8,851,154) | |||||||||||||||||||||||
Net Forward Currency Contracts | $ | (173,648,739) | $ | (170,164,520) | $ | 5,546,920 | $ | (9,031,139) | |||||||||||||||||||
Net Unrealized Depreciation | $ | (3,484,219) |
Counterparty:
BAML | Bank of America Merrill Lynch |
DB | Deutsche Bank |
Currency abbreviations: | ||||||||||||||
AUD | AUSTRALIAN DOLLAR | EUR | EURO | MXN | MEXICAN PESO | SGD | SINGAPORE DOLLAR | |||||||
BRL | BRAZILIAN REAL | GBP | BRITISH POUND | NOK | NORWEGIAN KRONE | TRY | TURKISH LIRA | |||||||
CAD | CANADIAN DOLLAR | ILS | ISRAELI NEW SHEQEL | NZD | NEW ZEALAND DOLLAR | USD | U.S. DOLLAR | |||||||
CHF | SWISS FRANC | INR | INDIAN RUPEE | PLN | POLISH ZLOTY | ZAR | SOUTH AFRICAN RAND | |||||||
CLP | CHILEAN PESO | JPY | JAPANESE YEN | RUB | RUSSIAN RUBLE | |||||||||
COP | COLOMBIAN PESO | KRW | SOUTH KOREAN WON | SEK | SWEDISH KRONA |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Macro Strategies Fund - Consolidated Schedule of Open Futures Contracts | | 25 |
LoCorr Macro Strategies Fund
Consolidated Schedule of Open Futures Contracts
June 30, 2019 (Unaudited)
Number of | Current | Value | ||||||||||||||||||
Description | Contracts Purchased (Sold) | Settlement Month-Year | Notional Amount | Value at Trade Date | Unrealized Appreciation | Unrealized (Depreciation) | ||||||||||||||
Purchase Contracts: | ||||||||||||||||||||
10 Yr Mini JGB | 13 | Sep-19 | $ | 1,855,679 | $ | 1,852,932 | $ | 2,747 | $ | — | ||||||||||
90 Day Euro | 33 | Mar-20 | 8,108,925 | 8,114,827 | — | (5,902) | ||||||||||||||
90 Day Euro | 50 | Jun-20 | 12,297,500 | 12,305,780 | — | (8,280) | ||||||||||||||
90 Day Euro | 124 | Sep-20 | 30,517,950 | 30,538,110 | — | (20,160) | ||||||||||||||
90 Day Euro | 1,391 | Dec-20 | 342,342,488 | 342,266,277 | 76,211 | — | ||||||||||||||
90 Day Euro | 172 | Mar-21 | 42,342,100 | 42,352,811 | — | (10,711) | ||||||||||||||
90 Day Euro | 164 | Jun-21 | 40,360,400 | 40,358,461 | 1,939 | — | ||||||||||||||
90 Day Euro | 173 | Sep-21 | 42,566,650 | 42,521,088 | 45,562 | — | ||||||||||||||
90 Day Sterling | 1,110 | Dec-20 | 174,849,352 | 174,913,098 | — | (63,746) | ||||||||||||||
Aluminum - 90 Day Settlement (a)(b) | 1 | Jul-19 | 44,263 | 48,205 | — | (3,942) | ||||||||||||||
Aluminum - 90 Day Settlement (a)(b) | 1 | Jul-19 | 44,494 | 47,166 | — | (2,672) | ||||||||||||||
Aluminum - 90 Day Settlement (a)(b) | 1 | Jul-19 | 44,492 | 47,388 | — | (2,896) | ||||||||||||||
Aluminum - 90 Day Settlement (a)(b) | 1 | Aug-19 | 44,734 | 45,724 | — | (990) | ||||||||||||||
Aluminum - 90 Day Settlement (a)(b) | 1 | Aug-19 | 44,811 | 45,925 | — | (1,114) | ||||||||||||||
Aluminum - 90 Day Settlement (a)(b) | 1 | Sep-19 | 45,000 | 44,362 | 638 | — | ||||||||||||||
Aluminum - 90 Day Settlement (a)(b) | 1 | Sep-19 | 45,038 | 43,939 | 1,099 | — | ||||||||||||||
Aluminum - 90 Day Settlement (a)(b) | 1 | Sep-19 | 45,036 | 44,580 | 456 | — | ||||||||||||||
Aluminum - 90 Day Settlement (a)(b) | 1 | Sep-19 | 45,033 | 44,687 | 346 | — | ||||||||||||||
Aluminum (a)(b) | 34 | Sep-19 | 1,530,213 | 1,532,648 | — | (2,435) | ||||||||||||||
Amsterdam Exchange Index | 12 | Jul-19 | 1,530,801 | 1,528,574 | 2,227 | — | ||||||||||||||
Australian 10 Yr Bond | 1,467 | Sep-19 | 147,946,307 | 147,680,789 | 265,518 | — | ||||||||||||||
Australian 3 Yr Bond | 31 | Sep-19 | 2,502,756 | 2,502,900 | — | (144) | ||||||||||||||
Australian Dollar | 217 | Sep-19 | 15,268,120 | 15,233,865 | 34,255 | — | ||||||||||||||
Brent Crude (a) | 219 | Sep-19 | 14,178,060 | 13,845,560 | 332,500 | — | ||||||||||||||
Brent Crude (a) | 6 | Oct-19 | 386,100 | 386,067 | 33 | — | ||||||||||||||
Brent Crude (a) | 3 | Nov-19 | 192,210 | 193,104 | — | (894) | ||||||||||||||
Brent Crude (a) | 2 | Dec-19 | 127,600 | 127,182 | 418 | — | ||||||||||||||
CAC 40 10 Euro Index | 341 | Jul-19 | 21,454,271 | 21,324,251 | 130,020 | — | ||||||||||||||
Canadian 10 Yr Bond | 495 | Sep-19 | 54,026,459 | 53,444,660 | 581,799 | — | ||||||||||||||
Canadian Dollar | 163 | Sep-19 | 12,478,465 | 12,402,091 | 76,374 | — | ||||||||||||||
Cocoa (ICE) (a) | 114 | Sep-19 | 2,613,185 | 2,593,490 | 19,695 | — | ||||||||||||||
Copper - 90 Day Settlement (a)(b) | 1 | Jul-19 | 149,413 | 162,334 | — | (12,921) | ||||||||||||||
Copper - 90 Day Settlement (a)(b) | 1 | Jul-19 | 149,793 | 162,238 | — | (12,445) | ||||||||||||||
Copper - 90 Day Settlement (a)(b) | 1 | Jul-19 | 149,761 | 159,949 | — | (10,188) | ||||||||||||||
Copper - 90 Day Settlement (a)(b) | 1 | Aug-19 | 149,847 | 149,069 | 778 | — | ||||||||||||||
Copper - 90 Day Settlement (a)(b) | 1 | Aug-19 | 149,900 | 148,189 | 1,711 | — | ||||||||||||||
Copper - 90 Day Settlement (a)(b) | 1 | Sep-19 | 149,953 | 148,215 | 1,738 | — | ||||||||||||||
Copper - 90 Day Settlement (a)(b) | 1 | Sep-19 | 149,850 | 148,504 | 1,346 | — | ||||||||||||||
Copper - 90 Day Settlement (a)(b) | 1 | Sep-19 | 149,828 | 150,327 | — | (499) | ||||||||||||||
Copper (a)(b) | 19 | Sep-19 | 2,848,100 | 2,838,548 | 9,552 | — | ||||||||||||||
Corn (a) | 576 | Dec-19 | 12,427,200 | 13,005,915 | — | (578,715) | ||||||||||||||
DAX Index | 85 | Sep-19 | 29,933,593 | 29,694,058 | 239,535 | — | ||||||||||||||
Dollar | 66 | Sep-19 | 6,313,956 | 6,376,175 | — | (62,219) | ||||||||||||||
Dow Jones Industrial Average Mini E-Cbot Index | 332 | Sep-19 | 44,144,380 | 44,211,612 | — | (67,232) | ||||||||||||||
Euro | 144 | Sep-19 | 20,603,700 | 20,582,624 | 21,076 | — | ||||||||||||||
Euro-Bobl | 966 | Sep-19 | 147,674,107 | 147,232,048 | 442,059 | — | ||||||||||||||
Euro-BTP | 58 | Sep-19 | 8,857,328 | 8,806,971 | 50,357 | — | ||||||||||||||
Euro-Bund | 290 | Sep-19 | 56,962,578 | 56,726,213 | 236,365 | — | ||||||||||||||
Euro-Schatz | 48 | Sep-19 | 6,128,606 | 6,123,841 | 4,765 | — | ||||||||||||||
Euro-Stoxx 50 Index | 1,244 | Sep-19 | 49,028,393 | 48,632,120 | 396,273 | — | ||||||||||||||
FTSE 100 Index | 429 | Sep-19 | 40,147,073 | 40,180,758 | — | (33,685) | ||||||||||||||
FTSE China A50 Index | 46 | Jul-19 | 621,230 | 620,869 | 361 | — | ||||||||||||||
Gasoline RBOB (a) | 95 | Aug-19 | 7,567,434 | 6,849,277 | 718,157 | — |
The accompanying notes are an integral part of these consolidated financial statements.
26 | | LoCorr Macro Strategies Fund - Consolidated Schedule of Open Futures Contracts (continued) |
Number of | Current | Value | ||||||||||||||||||
Description | Contracts Purchased (Sold) | Settlement Month-Year | Notional Amount | Value at Trade Date | Unrealized Appreciation | Unrealized (Depreciation) | ||||||||||||||
Purchase Contracts: (continued) | ||||||||||||||||||||
Gasoline RBOB (a) | 2 | Sep-19 | $ | 155,744 | $ | 157,205 | $ | — | $ | (1,461) | ||||||||||
Gasoline RBOB (a) | 1 | Oct-19 | 71,316 | 71,834 | — | (518) | ||||||||||||||
Gasoline RBOB (a) | 1 | Nov-19 | 69,573 | 70,436 | — | (863) | ||||||||||||||
Gold (a) | 238 | Aug-19 | 33,646,060 | 32,688,850 | 957,210 | — | ||||||||||||||
Hang Seng Index | 142 | Jul-19 | 25,907,997 | 25,792,878 | 115,119 | — | ||||||||||||||
Heating Oil (a) | 23 | Aug-19 | 1,873,460 | 1,740,248 | 133,213 | — | ||||||||||||||
H-Shares Index | 42 | Jul-19 | 2,912,746 | 2,895,644 | 17,102 | — | ||||||||||||||
Japanese 10 Yr Bond | 27 | Sep-19 | 38,528,498 | 38,444,347 | 84,151 | — | ||||||||||||||
KOSPI 200 Index | 3 | Sep-19 | 180,834 | 181,175 | — | (341) | ||||||||||||||
Lead (a)(b) | 9 | Sep-19 | 434,700 | 418,148 | 16,552 | — | ||||||||||||||
Long Gilt | 536 | Sep-19 | 88,694,615 | 88,259,236 | 435,379 | — | ||||||||||||||
Low Sulphur Gasoil (a) | 4 | Aug-19 | 239,000 | 218,605 | 20,395 | — | ||||||||||||||
MSCI Taiwan Index | 29 | Jul-19 | 1,120,850 | 1,122,520 | — | (1,670) | ||||||||||||||
Nasdaq 100 E-Mini Index | 419 | Sep-19 | 64,473,625 | 63,956,837 | 516,788 | — | ||||||||||||||
Natural Gas (a) | 10 | Aug-19 | 230,800 | 234,653 | — | (3,853) | ||||||||||||||
Nickel - 90 Day Settlement (a)(b) | 1 | Aug-19 | 76,117 | 72,734 | 3,383 | — | ||||||||||||||
Nickel (a)(b) | 14 | Sep-19 | 1,067,220 | 1,025,570 | 41,650 | — | ||||||||||||||
Platinum (a) | 2 | Oct-19 | 84,110 | 81,514 | 2,596 | — | ||||||||||||||
Russell 2000 Mini Index | 89 | Sep-19 | 6,973,595 | 6,825,377 | 148,218 | — | ||||||||||||||
S&P 500 E-Mini Index | 505 | Sep-19 | 74,341,050 | 73,714,953 | 626,097 | — | ||||||||||||||
S&P/TSX 60 Index | 30 | Sep-19 | 4,479,554 | 4,481,635 | — | (2,081) | ||||||||||||||
SET 50 Index | 174 | Sep-19 | 1,302,922 | 1,290,194 | 12,728 | — | ||||||||||||||
Soybean (a) | 178 | Nov-19 | 8,214,700 | 8,146,335 | 68,365 | — | ||||||||||||||
Soybean Meal (a) | 28 | Dec-19 | 904,120 | 916,432 | — | (12,312) | ||||||||||||||
SPI 200 Index | 25 | Sep-19 | 2,877,966 | 2,872,465 | 5,501 | — | ||||||||||||||
Sugar (a) | 10 | Oct-19 | 141,344 | 141,260 | 84 | — | ||||||||||||||
Swiss Franc | 26 | Sep-19 | 3,354,650 | 3,349,684 | 4,966 | — | ||||||||||||||
TWSE Capitalization Weighted Stock Index | 45 | Jul-19 | 3,064,860 | 3,006,658 | 58,202 | — | ||||||||||||||
U.S. 10 Yr Note | 733 | Sep-19 | 93,801,094 | 92,579,782 | 1,221,312 | — | ||||||||||||||
U.S. 2 Yr Note | 1,024 | Sep-19 | 220,344,001 | 219,173,019 | 1,170,982 | — | ||||||||||||||
U.S. 5 Yr Note | 1,544 | Sep-19 | 182,433,250 | 181,115,573 | 1,317,677 | — | ||||||||||||||
U.S. Long Bond | 413 | Sep-19 | 64,260,219 | 62,404,762 | 1,855,457 | — | ||||||||||||||
U.S. Ultra Bond | 19 | Sep-19 | 3,373,688 | 3,373,832 | — | (144) | ||||||||||||||
Wheat (a) | 74 | Sep-19 | 1,950,825 | 1,960,030 | — | (9,205) | ||||||||||||||
WTI Crude (a) | 16 | Aug-19 | 935,520 | 947,834 | — | (12,314) | ||||||||||||||
WTI Crude (a) | 21 | Sep-19 | 1,228,920 | 1,244,007 | — | (15,087) | ||||||||||||||
WTI Crude (a) | 10 | Oct-19 | 584,000 | 590,227 | — | (6,227) | ||||||||||||||
WTI Crude (a) | 6 | Nov-19 | 349,320 | 352,200 | — | (2,880) | ||||||||||||||
WTI Crude (a) | 3 | Dec-19 | 173,940 | 176,565 | — | (2,625) | ||||||||||||||
WTI Crude (a) | 2 | Jan-20 | 115,420 | 115,453 | — | (33) | ||||||||||||||
WTI Crude (a) | 1 | Feb-20 | 57,420 | 58,301 | — | (881) | ||||||||||||||
Zinc - 90 Day Settlement (a)(b) | 1 | Jul-19 | 63,525 | 69,322 | — | (5,797) | ||||||||||||||
Zinc - 90 Day Settlement (a)(b) | 2 | Aug-19 | 125,625 | 130,912 | — | (5,287) | ||||||||||||||
Zinc - 90 Day Settlement (a)(b) | 1 | Aug-19 | 62,765 | 65,529 | — | (2,764) | ||||||||||||||
Zinc - 90 Day Settlement (a)(b) | 1 | Sep-19 | 62,531 | 62,940 | — | (409) | ||||||||||||||
Zinc - 90 Day Settlement (a)(b) | 1 | Sep-19 | 62,504 | 62,376 | 128 | — | ||||||||||||||
Zinc (a)(b) | 74 | Sep-19 | 4,626,850 | 4,761,667 | — | (134,817) | ||||||||||||||
Total Purchase Contracts | 12,529,165 | (1,123,359) |
Sale Contracts: | ||||||||||||||||||||
Aluminum - 90 Day Settlement (a)(b) | (1 | ) | Jul-19 | $ | 44,263 | $ | 47,783 | $ | 3,520 | $ | — | |||||||||
Aluminum - 90 Day Settlement (a)(b) | (1 | ) | Jul-19 | 44,494 | 47,183 | 2,689 | — | |||||||||||||
Aluminum - 90 Day Settlement (a)(b) | (1 | ) | Jul-19 | 44,492 | 47,356 | 2,864 | — | |||||||||||||
Aluminum - 90 Day Settlement (a)(b) | (1 | ) | Aug-19 | 44,734 | 45,553 | 819 | — | |||||||||||||
Aluminum - 90 Day Settlement (a)(b) | (1 | ) | Aug-19 | 44,811 | 45,938 | 1,127 | — | |||||||||||||
Aluminum - 90 Day Settlement (a)(b) | (1 | ) | Sep-19 | 45,000 | 44,233 | — | (767) | |||||||||||||
Aluminum - 90 Day Settlement (a)(b) | (1 | ) | Sep-19 | 45,038 | 43,932 | — | (1,106) | |||||||||||||
Aluminum - 90 Day Settlement (a)(b) | (1 | ) | Sep-19 | 45,036 | 44,637 | — | (399) |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Macro Strategies Fund - Consolidated Schedule of Open Futures Contracts (continued) | | 27 |
Number of | Current | Value | ||||||||||||||||||
Description | Contracts Purchased (Sold) | Settlement Month-Year | Notional Amount | Value at Trade Date | Unrealized Appreciation | Unrealized (Depreciation) | ||||||||||||||
Sale Contracts: (continued) | ||||||||||||||||||||
Aluminum - 90 Day Settlement (a)(b) | (1 | ) | Sep-19 | $ | 45,033 | $ | 44,573 | $ | — | $ | (460) | | ||||||||
Aluminum (a)(b) | (268 | ) | Sep-19 | 12,061,675 | 12,138,003 | 76,328 | — | |||||||||||||
Australian 10 Yr Bond | (194 | ) | Sep-19 | 19,564,815 | 19,498,329 | — | (66,486) | |||||||||||||
British Pound | (66 | ) | Sep-19 | 5,258,963 | 5,258,554 | — | (409) | |||||||||||||
CAC 40 10 Euro Index | (38 | ) | Jul-19 | 2,390,799 | 2,386,588 | — | (4,211) | |||||||||||||
Canadian 10 Yr Bond | (72 | ) | Sep-19 | 7,858,394 | 7,860,953 | 2,559 | — | |||||||||||||
CBOE Volatility Index | (70 | ) | Jul-19 | 1,086,750 | 1,144,773 | 58,023 | — | |||||||||||||
CBOE Volatility Index | (45 | ) | Aug-19 | 745,875 | 765,268 | 19,393 | — | |||||||||||||
CBOE Volatility Index | (6 | ) | Sep-19 | 101,550 | 103,589 | 2,039 | — | |||||||||||||
Cocoa (NYBOT) (a) | (7 | ) | Sep-19 | 169,750 | 172,983 | 3,233 | — | |||||||||||||
Coffee (a) | (86 | ) | Sep-19 | 3,529,763 | 3,213,269 | — | (316,494) | |||||||||||||
Copper - 90 Day Settlement (a)(b) | (1 | ) | Jul-19 | 149,413 | 162,728 | 13,315 | — | |||||||||||||
Copper - 90 Day Settlement (a)(b) | (1 | ) | Jul-19 | 149,793 | 162,148 | 12,355 | — | |||||||||||||
Copper - 90 Day Settlement (a)(b) | (1 | ) | Jul-19 | 149,761 | 159,977 | 10,216 | — | |||||||||||||
Copper - 90 Day Settlement (a)(b) | (1 | ) | Aug-19 | 149,847 | 148,846 | — | (1,001) | |||||||||||||
Copper - 90 Day Settlement (a)(b) | (1 | ) | Aug-19 | 149,900 | 147,418 | — | (2,482) | |||||||||||||
Copper - 90 Day Settlement (a)(b) | (1 | ) | Sep-19 | 149,953 | 147,988 | — | (1,965) | |||||||||||||
Copper - 90 Day Settlement (a)(b) | (1 | ) | Sep-19 | 149,850 | 148,026 | — | (1,824) | |||||||||||||
Copper - 90 Day Settlement (a)(b) | (1 | ) | Sep-19 | 149,828 | 150,569 | 741 | — | |||||||||||||
Copper (a)(b) | (137 | ) | Sep-19 | 20,536,300 | 20,591,392 | 55,092 | — | |||||||||||||
Copper (COMEX) (a) | (63 | ) | Sep-19 | 4,273,763 | 4,268,506 | — | (5,257) | |||||||||||||
Corn (a) | (288 | ) | Dec-19 | 6,213,600 | 6,504,216 | 290,616 | — | |||||||||||||
Cotton No.2 (a) | (72 | ) | Dec-19 | 2,378,880 | 2,422,067 | 43,187 | — | |||||||||||||
DAX Index | (8 | ) | Sep-19 | 2,817,279 | 2,799,915 | — | (17,364) | |||||||||||||
Euro-Bobl | (31 | ) | Sep-19 | 4,739,024 | 4,736,370 | — | (2,654) | |||||||||||||
Euro-Bund | (53 | ) | Sep-19 | 10,410,402 | 10,405,905 | — | (4,497) | |||||||||||||
Euro-Buxl 30 Yr Bond | (4 | ) | Sep-19 | 922,870 | 921,731 | — | (1,139) | |||||||||||||
Euro-OAT | (105 | ) | Sep-19 | 19,684,739 | 19,647,466 | — | (37,273) | |||||||||||||
Euro-Schatz | (178 | ) | Sep-19 | 22,726,914 | 22,686,742 | — | (40,172) | |||||||||||||
FTSE 100 Index | (90 | ) | Sep-19 | 8,422,463 | 8,405,556 | — | (16,907) | |||||||||||||
FTSE MIB Index | (6 | ) | Sep-19 | 721,695 | 719,238 | — | (2,457) | |||||||||||||
FTSE/JSE Top 40 Index | (26 | ) | Sep-19 | 967,861 | 978,790 | 10,929 | — | |||||||||||||
Gold (a) | (4 | ) | Aug-19 | 565,480 | 565,353 | — | (127) | |||||||||||||
Hard Red Wheat (a) | (150 | ) | Sep-19 | 3,461,250 | 3,572,070 | 110,820 | — | |||||||||||||
Heating Oil (a) | (41 | ) | Aug-19 | 3,339,647 | 3,373,287 | 33,640 | — | |||||||||||||
Heating Oil (a) | (9 | ) | Sep-19 | 736,042 | 741,674 | 5,632 | — | |||||||||||||
Heating Oil (a) | (2 | ) | Oct-19 | 164,111 | 165,556 | 1,445 | — | |||||||||||||
IBEX 35 Index | (11 | ) | Jul-19 | 1,147,368 | 1,145,076 | — | (2,292) | |||||||||||||
Japanese 10 Yr Bond | (9 | ) | Sep-19 | 12,842,833 | 12,836,214 | — | (6,619) | |||||||||||||
Lead (a)(b) | (10 | ) | Sep-19 | 483,000 | 467,357 | — | (15,643) | |||||||||||||
Lean Hogs (a) | (6 | ) | Aug-19 | 182,400 | 186,736 | 4,336 | — | |||||||||||||
Live Cattle (a) | (20 | ) | Aug-19 | 834,800 | 839,584 | 4,784 | — | |||||||||||||
Low Sulphur Gasoil (a) | (59 | ) | Aug-19 | 3,525,250 | 3,438,656 | — | (86,594) | |||||||||||||
Low Sulphur Gasoil (a) | (45 | ) | Sep-19 | 2,702,250 | 2,689,672 | — | (12,578) | |||||||||||||
Low Sulphur Gasoil (a) | (11 | ) | Oct-19 | 663,850 | 661,862 | — | (1,988) | |||||||||||||
MSCI EAFE Index | (35 | ) | Sep-19 | 3,365,775 | 3,319,416 | — | (46,359) | |||||||||||||
MSCI Emerging Markets Index | (180 | ) | Sep-19 | 9,480,600 | 9,386,898 | — | (93,702) | |||||||||||||
Natural Gas (a) | (321 | ) | Aug-19 | 7,408,680 | 7,577,244 | 168,564 | — | |||||||||||||
Natural Gas (a) | (82 | ) | Sep-19 | 1,871,240 | 1,929,339 | 58,099 | — | |||||||||||||
Natural Gas (a) | (51 | ) | Oct-19 | 1,178,610 | 1,207,166 | 28,556 | — | |||||||||||||
Natural Gas (a) | (16 | ) | Nov-19 | 383,840 | 384,581 | 741 | — | |||||||||||||
Natural Gas (a) | (10 | ) | Dec-19 | 259,500 | 258,492 | — | (1,008) | |||||||||||||
Nickel - 90 Day Settlement (a)(b) | (1 | ) | Aug-19 | 76,117 | 72,077 | — | (4,040) | |||||||||||||
Nickel (a)(b) | (14 | ) | Sep-19 | 1,067,220 | 1,009,411 | — | (57,809) | |||||||||||||
Nikkei 225 Index | (13 | ) | Sep-19 | 2,563,465 | 2,553,235 | — | (10,230) | |||||||||||||
OMX Stockholm 30 Index | (20 | ) | Jul-19 | 349,068 | 348,045 | — | (1,023) | |||||||||||||
Russell 2000 Mini Index | (106 | ) | Sep-19 | 8,305,630 | 8,172,745 | — | (132,885) | |||||||||||||
SGX Nifty 50 Index | (8 | ) | Jul-19 | 189,408 | 189,960 | 552 | — |
The accompanying notes are an integral part of these consolidated financial statements.
28 | | LoCorr Macro Strategies Fund - Consolidated Schedule of Open Futures Contracts (continued) |
Number of | Current | Value | ||||||||||||||||||
Description | Contracts Purchased (Sold) | Settlement Month-Year | Notional Amount | Value at Trade Date | Unrealized Appreciation | Unrealized (Depreciation) | ||||||||||||||
Sale Contracts: (continued) | ||||||||||||||||||||
Silver (a) | (148 | ) | Sep-19 | $ | 11,352,340 | $ | 11,155,306 | $ | — | $ | (197,034) | |||||||||
Soybean (a) | (188 | ) | Nov-19 | 8,676,200 | 8,821,105 | 144,905 | — | |||||||||||||
Soybean Meal (a) | (76 | ) | Dec-19 | 2,454,040 | 2,509,319 | 55,279 | — | |||||||||||||
Soybean Oil (a) | (111 | ) | Dec-19 | 1,920,078 | 1,924,789 | 4,711 | — | |||||||||||||
Sugar (a) | (200 | ) | Oct-19 | 2,826,880 | 2,742,158 | — | (84,722) | |||||||||||||
Tokyo Price Index | (214 | ) | Sep-19 | 30,785,512 | 30,761,068 | — | (24,444) | |||||||||||||
U.S. 10 Yr Note | (84 | ) | Sep-19 | 10,749,375 | 10,735,622 | — | (13,753) | |||||||||||||
Wheat (a) | (28 | ) | Sep-19 | 738,150 | 748,738 | 10,588 | — | |||||||||||||
Wheat (a) | (144 | ) | Dec-19 | 3,877,200 | 3,930,833 | 53,633 | — | |||||||||||||
WTI Crude (a) | (77 | ) | Aug-19 | 4,502,190 | 4,190,197 | — | (311,993) | |||||||||||||
Zinc - 90 Day Settlement (a)(b) | (1 | ) | Jul-19 | 63,525 | 68,947 | 5,422 | — | |||||||||||||
Zinc - 90 Day Settlement (a)(b) | (2 | ) | Aug-19 | 125,625 | 131,394 | 5,769 | — | |||||||||||||
Zinc - 90 Day Settlement (a)(b) | (1 | ) | Aug-19 | 62,765 | 65,248 | 2,483 | — | |||||||||||||
Zinc - 90 Day Settlement (a)(b) | (1 | ) | Sep-19 | 62,531 | 62,874 | 343 | — | |||||||||||||
Zinc - 90 Day Settlement (a)(b) | (1 | ) | Sep-19 | 62,504 | 61,890 | — | (614) | |||||||||||||
Zinc (a)(b) | (202 | ) | Sep-19 | 12,630,050 | 12,712,856 | 82,806 | — | |||||||||||||
Total Sale Contracts | 1,392,153 | (1,630,781) | ||||||||||||||||||
Total Futures Contracts | $ | 13,921,318 | $ | (2,754,140) | ||||||||||||||||
Net Unrealized Appreciation | $ | 11,167,178 |
(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. |
COMEX | Commodity Exchange, Inc. |
ICE | Intercontinental Exchange |
NYBOT | New York Board of Trade |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments | | 29 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
ASSET BACKED SECURITIES: 13.55% | |||||||||||||
321 Henderson Receivables I LLC | |||||||||||||
Series 2006-4A A1 (1 Month LIBOR USD + 0.200%) (a)(c) | 12/15/2041 | 2.59 | % | $ | 192,459 | $ | 190,580 | ||||||
Series 2004-A A1 (1 Month LIBOR USD + 0.350%) (a)(c) | 09/15/2045 | 2.74 | % | 66,207 | 64,732 | ||||||||
Ally Auto Receivables Trust, 2017-3 A4 | 03/15/2022 | 2.01 | % | 225,000 | 224,218 | ||||||||
American Express Credit Account Master Trust | |||||||||||||
Series 2018-4 A | 12/15/2023 | 2.99 | % | 800,000 | 812,758 | ||||||||
Series 2019-1 A | 10/15/2024 | 2.87 | % | 1,050,000 | 1,073,250 | ||||||||
Asset Backed Securities Corp Home Equity Loan Trust Series, 2002-HE1 M1 | |||||||||||||
(1 Month LIBOR USD + 1.650%) (c) | 03/15/2032 | 4.04 | % | 527,131 | 535,566 | ||||||||
Bank of The West Auto Trust, 2017-1 A3 (a) | 01/15/2023 | 2.11 | % | 750,000 | 747,849 | ||||||||
Barclays Dryrock Issuance Trust, 2017-2 A (1 Month LIBOR USD + 0.300%) (c) | 05/15/2023 | 2.69 | % | 725,000 | 725,793 | ||||||||
California Republic Auto Receivables Trust, 2018-1 A3 | 08/15/2022 | 3.14 | % | 290,000 | 292,054 | ||||||||
Capital One Multi-Asset Execution Trust | |||||||||||||
Series 2016-A7 (1 Month LIBOR USD + 0.510%) (c) | 09/16/2024 | 2.90 | % | 526,000 | 529,195 | ||||||||
Series 2015-A4 | 05/15/2025 | 2.75 | % | 1,210,000 | 1,235,651 | ||||||||
CarMax Auto Owner Trust | |||||||||||||
Series 2018-1 A3 | 11/15/2022 | 2.48 | % | 496,000 | 497,308 | ||||||||
Series 2018-4 A3 | 09/15/2023 | 3.36 | % | 900,000 | 920,768 | ||||||||
Citibank Credit Card Issuance Trust | |||||||||||||
Series 2018-A6 | 12/09/2024 | 3.21 | % | 1,500,000 | 1,554,130 | ||||||||
Series 2018-A3 | 05/23/2025 | 3.29 | % | 1,085,000 | 1,129,741 | ||||||||
Conn’s Receivables Funding LLC, 2018-A A (a) | 07/17/2023 | 3.25 | % | 183,317 | 184,028 | ||||||||
Countrywide Asset-Backed Certificates, 2004-AB1 (1 Month LIBOR USD + 0.975%) (c) | 11/25/2034 | 3.38 | % | 152,448 | 152,724 | ||||||||
DB Master Finance LLC, 2019-1A A2I (a) | 05/20/2049 | 3.79 | % | 960,000 | 980,467 | ||||||||
Diamond Resorts Owner Trust, 2018-1 A (a) | 01/21/2031 | 3.70 | % | 1,080,771 | 1,096,149 | ||||||||
Discover Card Execution Note Trust, 2018-2 A (1 Month LIBOR USD + 0.330%) (c) | 08/15/2025 | 2.72 | % | 1,225,000 | 1,222,511 | ||||||||
Domino’s Pizza Master Issuer LLC, 2017-1A A2I (3 Month LIBOR USD + 1.250%) (a)(c) | 07/25/2047 | 3.83 | % | 491,250 | 488,455 | ||||||||
Evergreen Credit Card Trust, 2018-2 A (1 Month LIBOR USD + 0.350%) (a)(b)(c) | 07/15/2022 | 2.74 | % | 375,000 | 375,632 | ||||||||
FirstEnergy Ohio PIRB Special Purpose Trust, 2013-1 A2 | 01/15/2022 | 1.73 | % | 62,472 | 62,365 |
30 | | LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||||
Ford Credit Auto Owner Trust | |||||||||||||
Series 2015-2 A (a) | 01/15/2027 | 2.44 | % | $ | 1,350,000 | $ | 1,351,688 | ||||||
Series 2016-1 A (a) | 08/15/2027 | 2.31 | % | 1,360,000 | 1,364,614 | ||||||||
GLS Auto Receivables Trust, 2018-2A A (a) | 04/18/2022 | 3.25 | % | 199,373 | 199,859 | ||||||||
GM Financial Consumer Automobile Receivables Trust, 2018-1 A3 | 07/18/2022 | 2.32 | % | 445,000 | 445,784 | ||||||||
Honda Auto Receivables Owner Trust, 2017-4 A | 03/21/2024 | 2.21 | % | 1,260,000 | 1,262,214 | ||||||||
Invitation Homes Trust | |||||||||||||
Series 2017-SFR2 A (1 Month LIBOR USD + 0.850%) (a)(c) | 12/19/2036 | 3.24 | % | 462,210 | 459,128 | ||||||||
Series 2018-SFR1 A (1 Month LIBOR USD + 0.700%) (a)(c) | 03/19/2037 | 3.09 | % | 635,374 | 627,428 | ||||||||
Series 2018-SFR2 A (1 Month LIBOR USD + 0.900%) (a)(c) | 06/18/2037 | 3.29 | % | 582,090 | 580,793 | ||||||||
Series 2018-SFR3 A (1 Month LIBOR USD + 1.000%) (a)(c) | 07/17/2037 | 3.39 | % | 478,513 | 477,166 | ||||||||
Series 2018-SFR4 A (1 Month LIBOR USD + 1.100%) (a)(c) | 01/19/2038 | 3.49 | % | 482,215 | 484,836 | ||||||||
Mercedes-Benz Auto Lease Trust, 2018-A A2 | 04/15/2020 | 2.20 | % | 60,398 | 60,390 | ||||||||
MVW Owner Trust, 2019-1A A (a) | 11/20/2036 | 2.89 | % | 960,000 | 972,649 | ||||||||
NRZ Advance Receivables Trust | |||||||||||||
Series 2017-T1 AT1 (a) | 02/15/2051 | 3.21 | % | 1,413,000 | 1,428,607 | ||||||||
Series 2016-T3 AT3 (a) | 10/16/2051 | 2.83 | % | 1,110,000 | 1,118,223 | ||||||||
Ocwen Master Advance Receivables Trust | |||||||||||||
Series 2016-T2 AT2 (a) | 08/16/2049 | 2.72 | % | 725,000 | 724,716 | ||||||||
Series 2018-T2 AT2 (a) | 08/15/2050 | 3.60 | % | 735,000 | 742,637 | ||||||||
OneMain Financial Issuance Trust, 2016-2 B (a) | 03/20/2028 | 5.94 | % | 650,638 | 653,152 | ||||||||
Planet Fitness Master Issuer LLC, 2018-1A A2I (a) | 09/05/2048 | 4.26 | % | 913,100 | 940,666 | ||||||||
Progress Residential Trust, 2017-SFR1 A (a) | 08/17/2034 | 2.77 | % | 323,959 | 326,015 | ||||||||
Prosper Marketplace Issuance Trust, 2018-1A A (a) | 06/17/2024 | 3.11 | % | 88,224 | 88,274 | ||||||||
Santander Retail Auto Lease Trust, 2017-A A2A (a) | 03/20/2020 | 2.02 | % | 734 | 734 | ||||||||
SMB Private Education Loan Trust, 2018-C A1 (1 Month LIBOR USD + 0.300%) (a)(c) | 09/15/2025 | 2.69 | % | 244,635 | 244,612 | ||||||||
SoFi Professional Loan Program LLC | |||||||||||||
Series 2015-A A2 (a) | 03/25/2030 | 2.42 | % | 188,075 | 187,960 | ||||||||
Series 2016-D A-2B (a) | 04/25/2033 | 2.34 | % | 1,191,588 | 1,190,147 | ||||||||
Series 2015-C A2 (a) | 08/25/2033 | 2.51 | % | 301,886 | 302,607 | ||||||||
Series 2015-D A2 (a) | 10/27/2036 | 2.72 | % | 115,537 | 116,149 | ||||||||
Series 2016-A A2 (a) | 12/26/2036 | 2.76 | % | 674,776 | 678,749 | ||||||||
Series 2017-B A2FX (a) | 05/25/2040 | 2.74 | % | 924,000 | 923,904 | ||||||||
Series 2017-D A1FX (a) | 09/25/2040 | 1.72 | % | 31,890 | 31,814 | ||||||||
SPS Servicer Advance Receivables Trust, 2018-T1 AT1 (a) | 10/17/2050 | 3.62 | % | 1,195,000 | 1,211,920 | ||||||||
Starwood Waypoint Homes Trust, 2017-1 A (1 Month LIBOR USD + 0.950%) (a)(c) | 01/22/2035 | 3.34 | % | 622,447 | 622,020 | ||||||||
Synchrony Card Issuance Trust, 2018-A1 A1 | 09/15/2024 | 3.38 | % | 1,035,000 | 1,062,012 | ||||||||
Synchrony Credit Card Master Note Trust, 2018-1 A | 03/15/2024 | 2.97 | % | 1,400,000 | 1,417,902 | ||||||||
TCF Auto Receivables Owner Trust | |||||||||||||
Series 2016-1A A3 (a) | 04/15/2021 | 1.71 | % | 18,338 | 18,328 | ||||||||
Series 2016-PT1 A (a) | 06/15/2022 | 1.93 | % | 211,875 | 211,301 | ||||||||
Toyota Auto Receivables Owner Trust, 2019-A A3 | 07/17/2023 | 2.91 | % | 1,355,000 | 1,375,249 | ||||||||
Tricon American Homes Trust, 2017-SFR1 A (a) | 09/19/2034 | 2.72 | % | 1,226,991 | 1,228,967 | ||||||||
Verizon Owner Trust | |||||||||||||
Series 2018-1A A1B (1 Month LIBOR USD + 0.260%) (a)(c) | 09/20/2022 | 2.64 | % | 475,000 | 474,766 | ||||||||
Series 2018-A A1A | 04/20/2023 | 3.23 | % | 705,000 | 718,580 | ||||||||
Series 2019-B A1A | 12/20/2023 | 2.33 | % | 1,215,000 | 1,218,668 | ||||||||
Volkswagen Auto Loan Enhanced Trust, 2018-1 A3 | 11/21/2022 | 3.02 | % | 719,000 | 729,157 | ||||||||
TOTAL ASSET BACKED SECURITIES (Cost $42,806,321) | 43,370,309 | ||||||||||||
CORPORATE BONDS: 24.87% | |||||||||||||
Aerospace/Defense: 0.44% | |||||||||||||
L3 Technologies, Inc. | 02/15/2021 | 4.95 | % | 515,000 | 532,154 | ||||||||
United Technologies Corp. | 08/16/2023 | 3.65 | % | 825,000 | 864,015 | ||||||||
1,396,169 | |||||||||||||
Agriculture: 0.30% | |||||||||||||
Altria Group, Inc. | 02/14/2024 | 3.80 | % | 915,000 | 953,813 | ||||||||
Auto Manufacturers: 0.72% | |||||||||||||
American Honda Finance Corp. | 02/12/2021 | 2.65 | % | 520,000 | 523,179 | ||||||||
General Motors Financial Co., Inc. | 05/09/2023 | 3.70 | % | 1,065,000 | 1,080,485 |
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) | | 31 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
CORPORATE BONDS (continued) | |||||||||||||
Hyundai Capital America (a) | 03/18/2021 | 3.00 | % | $ | 690,000 | $ | 693,651 | ||||||
2,297,315 | |||||||||||||
Banks: 9.28% | |||||||||||||
Bank of America Corp. | 10/21/2022 | 2.50 | % | 775,000 | 776,950 | ||||||||
Bank of America Corp. | 01/11/2023 | 3.30 | % | 2,625,000 | 2,705,790 | ||||||||
Bank of Montreal (b) | 03/26/2022 | 2.90 | % | 845,000 | 857,935 | ||||||||
Bank of New York Mellon Corp. | 02/07/2022 | 2.60 | % | 385,000 | 388,884 | ||||||||
BB&T Corp. | 12/06/2023 | 3.75 | % | 720,000 | 759,899 | ||||||||
Citigroup, Inc. | 10/26/2020 | 2.65 | % | 805,000 | 807,833 | ||||||||
Citigroup, Inc. | 01/14/2022 | 4.50 | % | 1,455,000 | 1,529,479 | ||||||||
Citigroup, Inc. (3 Month LIBOR USD + 0.722%) (d) | 01/24/2023 | 3.14 | % | 710,000 | 722,137 | ||||||||
Cooperatieve Rabobank UA (b) | 11/09/2022 | 3.95 | % | 895,000 | 928,394 | ||||||||
Danske Bank (a)(b) | 01/12/2022 | 5.00 | % | 575,000 | 601,477 | ||||||||
Fifth Third Bancorp | 07/27/2020 | 2.88 | % | 190,000 | 190,872 | ||||||||
Fifth Third Bancorp | 03/15/2022 | 3.50 | % | 790,000 | 812,897 | ||||||||
Goldman Sachs Group, Inc. | 09/15/2020 | 2.75 | % | 250,000 | 251,043 | ||||||||
Goldman Sachs Group, Inc. | 02/25/2021 | 2.88 | % | 1,125,000 | 1,133,079 | ||||||||
Goldman Sachs Group, Inc. | 01/22/2023 | 3.63 | % | 910,000 | 944,083 | ||||||||
Goldman Sachs Group, Inc. | 02/23/2023 | 3.20 | % | 1,155,000 | 1,182,020 | ||||||||
HSBC Holdings PLC (b) | 04/05/2021 | 5.10 | % | 580,000 | 606,060 | ||||||||
Huntington National Bank | 04/01/2022 | 3.13 | % | 780,000 | 795,266 | ||||||||
JP Morgan Chase & Co. | 05/10/2021 | 4.63 | % | 130,000 | 135,330 | ||||||||
JP Morgan Chase & Co. | 09/23/2022 | 3.25 | % | 910,000 | 934,871 | ||||||||
JP Morgan Chase & Co. | 01/25/2023 | 3.20 | % | 2,450,000 | 2,514,074 | ||||||||
KeyBank NA | 02/01/2022 | 3.30 | % | 695,000 | 713,275 | ||||||||
Morgan Stanley | 07/24/2020 | 5.50 | % | 450,000 | 464,507 | ||||||||
Morgan Stanley | 07/28/2021 | 5.50 | % | 910,000 | 966,841 | ||||||||
Morgan Stanley | 01/23/2023 | 3.13 | % | 1,975,000 | 2,019,569 | ||||||||
PNC Bank NA | 01/22/2021 | 2.50 | % | 705,000 | 707,358 | ||||||||
Royal Bank of Canada (b) | 04/29/2022 | 2.80 | % | 695,000 | 705,953 | ||||||||
State Street Corp. | 08/18/2020 | 2.55 | % | 305,000 | 306,355 | ||||||||
State Street Corp. | 05/15/2023 | 3.10 | % | 740,000 | 759,781 | ||||||||
SunTrust Banks, Inc. | 03/03/2021 | 2.90 | % | 915,000 | 923,233 | ||||||||
SunTrust Banks, Inc. | 08/01/2022 | 2.45 | % | 305,000 | 305,915 | ||||||||
Wells Fargo & Co. | 02/13/2023 | 3.45 | % | 1,640,000 | 1,685,457 | ||||||||
Zions Bancorp NA | 03/04/2022 | 3.35 | % | 590,000 | 600,974 | ||||||||
29,737,591 | |||||||||||||
Beverages: 0.53% | |||||||||||||
Anheuser-Busch InBev Finance, Inc. | 02/01/2023 | 3.30 | % | 630,000 | 650,262 | ||||||||
Heineken NV (a)(b) | 04/01/2022 | 3.40 | % | 280,000 | 288,174 | ||||||||
PepsiCo, Inc. | 03/05/2022 | 2.75 | % | 740,000 | 753,760 | ||||||||
1,692,196 | |||||||||||||
Biotechnology: 0.24% | |||||||||||||
Celgene Corp. | 02/20/2023 | 3.25 | % | 735,000 | 753,433 | ||||||||
Computers: 0.21% | |||||||||||||
Apple, Inc. | 02/23/2021 | 2.25 | % | 675,000 | 677,411 | ||||||||
Diversified Financial Services: 2.90% | |||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (b) | 02/01/2022 | 3.95 | % | 1,165,000 | 1,198,608 | ||||||||
Air Lease Corp. | 07/03/2023 | 3.88 | % | 1,155,000 | 1,203,800 | ||||||||
American Express Co. | 05/20/2022 | 2.75 | % | 1,200,000 | 1,214,653 | ||||||||
Capital One Bank | 02/15/2023 | 3.38 | % | 519,000 | 529,405 | ||||||||
Capital One Financial Corp. | 07/15/2021 | 4.75 | % | 505,000 | 527,899 | ||||||||
CDP Financial, Inc. (a)(b) | 03/07/2022 | 2.75 | % | 990,000 | 1,009,898 | ||||||||
Charles Schwab Corp. | 01/25/2023 | 2.65 | % | 1,065,000 | 1,078,248 | ||||||||
Dragon 2012 LLC | 03/12/2024 | 1.97 | % | 10,834 | 10,792 | ||||||||
Helios Leasing I LLC | 05/29/2024 | 2.02 | % | 11,148 | 11,108 | ||||||||
Helios Leasing I LLC | 07/24/2024 | 1.73 | % | 11,640 | 11,514 | ||||||||
Helios Leasing I LLC | 09/28/2024 | 1.56 | % | 11,547 | 11,371 | ||||||||
Mastercard, Inc. | 11/21/2021 | 2.00 | % | 450,000 | 448,919 |
32 | | LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
CORPORATE BONDS (continued) | |||||||||||||
MSN 41079 and 41084 Ltd. (b) | 07/13/2024 | 1.72 | % | $ | 11,621 | $ | 11,511 | ||||||
OMERS Finance Trust (a)(b) | 05/02/2024 | 2.50 | % | 920,000 | 940,543 | ||||||||
Phoenix 2012 LLC | 07/03/2024 | 1.61 | % | 11,649 | 11,491 | ||||||||
Safina Ltd. (b) | 01/15/2022 | 1.55 | % | 7,371 | 7,309 | ||||||||
Tagua Leasing LLC | 11/16/2024 | 1.58 | % | 12,091 | 11,918 | ||||||||
Visa, Inc. | 12/14/2022 | 2.80 | % | 1,055,000 | 1,080,282 | ||||||||
9,319,269 | |||||||||||||
Electric: 0.39% | |||||||||||||
Berkshire Hathaway Energy Co. | 01/15/2021 | 2.38 | % | 210,000 | 210,575 | ||||||||
Dominion Energy, Inc. | 08/15/2021 | 2.00 | % | 440,000 | 436,405 | ||||||||
Nextera Energy Capital Holdings, Inc. | 04/01/2022 | 2.90 | % | 590,000 | 600,232 | ||||||||
1,247,212 | |||||||||||||
Environmental Control: 0.22% | |||||||||||||
Waste Management, Inc. | 06/15/2024 | 2.95 | % | 700,000 | 721,542 | ||||||||
Food: 0.39% | |||||||||||||
Sysco Corp. | 10/01/2020 | 2.60 | % | 625,000 | 627,094 | ||||||||
Tyson Foods, Inc. | 06/15/2022 | 4.50 | % | 595,000 | 627,628 | ||||||||
1,254,722 | |||||||||||||
Healthcare - Products: 0.23% | |||||||||||||
Abbott Laboratories | 11/30/2021 | 2.90 | % | 710,000 | 721,764 | ||||||||
Healthcare - Services: 0.16% | |||||||||||||
UnitedHealth Group, Inc. | 10/15/2020 | 3.88 | % | 195,000 | 198,142 | ||||||||
UnitedHealth Group, Inc. | 03/15/2022 | 2.88 | % | 300,000 | 304,587 | ||||||||
502,729 | |||||||||||||
Insurance: 1.35% | |||||||||||||
Chubb INA Holdings, Inc. | 11/03/2020 | 2.30 | % | 165,000 | 165,071 | ||||||||
Chubb INA Holdings, Inc. | 03/13/2023 | 2.70 | % | 220,000 | 223,553 | ||||||||
Hartford Financial Services Group, Inc. | 03/30/2020 | 5.50 | % | 745,000 | 761,258 | ||||||||
Lincoln National Corp. | 09/01/2023 | 4.00 | % | 650,000 | 687,646 | ||||||||
Metropolitan Life Global Funding I (a) | 01/11/2022 | 3.38 | % | 930,000 | 955,952 | ||||||||
Prudential Financial, Inc. | 11/15/2020 | 4.50 | % | 680,000 | 700,768 | ||||||||
Unum Group | 05/15/2021 | 3.00 | % | 845,000 | 849,519 | ||||||||
4,343,767 | |||||||||||||
Machinery - Construction & Mining: 0.13% | |||||||||||||
Caterpillar, Inc. | 06/26/2022 | 2.60 | % | 405,000 | 409,062 | ||||||||
Machinery - Diversified: 0.15% | |||||||||||||
John Deere Capital Corp. | 01/08/2021 | 2.55 | % | 480,000 | 482,845 | ||||||||
Media: 1.23% | |||||||||||||
21st Century Fox America, Inc. | 02/15/2021 | 4.50 | % | 830,000 | 857,343 | ||||||||
CBS Corp. | 03/01/2022 | 3.38 | % | 795,000 | 813,447 | ||||||||
Comcast Corp. | 04/15/2024 | 3.70 | % | 655,000 | 695,183 | ||||||||
Discovery Communications LLC | 04/01/2023 | 3.25 | % | 510,000 | 518,420 | ||||||||
Fox Corp. (a) | 01/25/2022 | 3.67 | % | 490,000 | 506,374 | ||||||||
NBCUniversal Media LLC | 01/15/2023 | 2.88 | % | 550,000 | 561,808 | ||||||||
3,952,575 | |||||||||||||
Miscellaneous Manufacturing: 0.67% | |||||||||||||
General Electric Co. | 01/07/2021 | 4.63 | % | 330,000 | 339,619 | ||||||||
General Electric Co. | 10/09/2022 | 2.70 | % | 375,000 | 374,583 | ||||||||
Ingersoll-Rand Global Holding Co. Ltd. | 06/15/2023 | 4.25 | % | 525,000 | 558,567 | ||||||||
Parker-Hannifin Corp. | 06/14/2024 | 2.70 | % | 855,000 | 865,323 | ||||||||
2,138,092 | |||||||||||||
Oil & Gas: 1.30% | |||||||||||||
BP Capital Markets PLC (b) | 03/11/2021 | 4.74 | % | 535,000 | 556,881 | ||||||||
Chevron Corp. | 12/05/2022 | 2.36 | % | 370,000 | 371,727 | ||||||||
ConocoPhillips Co. | 12/15/2022 | 2.40 | % | 1,105,000 | 1,108,710 | ||||||||
Occidental Petroleum Corp. | 02/01/2021 | 4.10 | % | 605,000 | 618,864 | ||||||||
Saudi Arabian Oil Co. (a)(b) | 04/16/2022 | 2.75 | % | 1,000,000 | 1,009,247 |
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) | | 33 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
CORPORATE BONDS (continued) | |||||||||||||
Total Capital International SA (b) | 06/19/2021 | 2.75 | % | $ | 505,000 | $ | 510,823 | ||||||
4,176,252 | |||||||||||||
Oil & Gas Services: 0.20% | |||||||||||||
Schlumberger Holdings Corp. (a) | 12/21/2020 | 3.00 | % | 625,000 | 630,125 | ||||||||
Packaging & Containers: 0.11% | |||||||||||||
Packaging Corp. of America | 12/15/2020 | 2.45 | % | 360,000 | 359,705 | ||||||||
Pharmaceuticals: 0.44% | |||||||||||||
AbbVie, Inc. | 11/06/2022 | 2.90 | % | 855,000 | 860,699 | ||||||||
CVS Health Corp. | 07/20/2020 | 2.80 | % | 540,000 | 541,380 | ||||||||
1,402,079 | |||||||||||||
Pipelines: 0.20% | |||||||||||||
Enterprise Products Operating LLC | 02/15/2021 | 2.80 | % | 625,000 | 629,334 | ||||||||
Real Estate Investment Trusts: 0.21% | |||||||||||||
Alexandria Real Estate Equities, Inc. | 01/15/2024 | 4.00 | % | 635,000 | 671,667 | ||||||||
Retail: 0.53% | |||||||||||||
Home Depot Inc. | 06/01/2022 | 2.63 | % | 445,000 | 452,584 | ||||||||
Walmart, Inc. | 12/15/2022 | 2.35 | % | 1,220,000 | 1,233,686 | ||||||||
1,686,270 | |||||||||||||
Software: 0.59% | |||||||||||||
Fiserv, Inc. | 07/01/2024 | 2.75 | % | 780,000 | 786,951 | ||||||||
Microsoft Corp. | 02/06/2022 | 2.40 | % | 445,000 | 449,673 | ||||||||
Oracle Corp. | 10/15/2022 | 2.50 | % | 640,000 | 644,521 | ||||||||
1,881,145 | |||||||||||||
Telecommunications: 1.08% | |||||||||||||
AT&T, Inc. | 02/17/2021 | 2.80 | % | 1,310,000 | 1,318,204 | ||||||||
AT&T, Inc. | 03/11/2024 | 3.90 | % | 680,000 | 717,488 | ||||||||
Verizon Communications, Inc. | 03/15/2021 | 3.45 | % | 440,000 | 450,010 | ||||||||
Verizon Communications, Inc. | 09/15/2023 | 5.15 | % | 855,000 | 954,672 | ||||||||
3,440,374 | |||||||||||||
Transportation: 0.67% | |||||||||||||
Burlington Northern Santa Fe LLC | 09/15/2021 | 3.45 | % | 375,000 | 384,136 | ||||||||
FedEx Corp. | 01/14/2022 | 3.40 | % | 860,000 | 881,694 | ||||||||
Union Pacific Corp. | 03/01/2024 | 3.15 | % | 840,000 | 866,139 | ||||||||
2,131,969 | |||||||||||||
TOTAL CORPORATE BONDS (Cost $77,753,243) | 79,610,427 | ||||||||||||
FOREIGN GOVERNMENT BOND: 0.00%* | |||||||||||||
Petroleos Mexicanos (b) | 12/20/2022 | 2.00 | % | 8,750 | 8,735 | ||||||||
TOTAL FOREIGN GOVERNMENT BOND (Cost $8,750) | 8,735 | ||||||||||||
MORTGAGE BACKED SECURITIES: 11.86% | |||||||||||||
BX Trust, 2018-MCSF A (1 Month LIBOR USD + 0.577%) (a)(c) | 04/16/2035 | 2.97 | % | 865,000 | 863,943 | ||||||||
Citigroup Commercial Mortgage Trust, 2012-GC8 A4A-4 | 09/12/2045 | 3.02 | % | 1,205,636 | 1,231,263 | ||||||||
Comm Mortgage Trust, 2014-UBS2 AM | 03/12/2047 | 4.20 | % | 1,150,000 | 1,215,173 | ||||||||
COMM Mortgage Trust, 2015-CCR27 AM | 10/13/2048 | 3.98 | % | 1,000,000 | 1,062,450 | ||||||||
Deephaven Residential Mortgage Trust, 2018-3A A1 (a)(d) | 08/25/2058 | 3.79 | % | 349,820 | 354,306 | ||||||||
Fannie Mae Aces, 2010-M3 A3 (d) | 03/25/2020 | 4.33 | % | 85,282 | 86,009 | ||||||||
Fannie Mae Connecticut Avenue Securities | |||||||||||||
Series 2014-C02 1M2 (1 Month LIBOR USD + 2.600%) (c) | 05/28/2024 | 5.00 | % | 959,354 | 991,517 | ||||||||
Series 2017-C01 1M1 (1 Month LIBOR USD + 1.300%) (c) | 07/25/2029 | 3.70 | % | 178,321 | 178,932 | ||||||||
Series 2017-C02 2M1 (1 Month LIBOR USD + 1.150%) (c) | 09/25/2029 | 3.55 | % | 146,373 | 146,800 | ||||||||
Series 2018-C02 2M1 (1 Month LIBOR USD + 0.650%) (c) | 08/26/2030 | 3.05 | % | 240,607 | 240,690 | ||||||||
Series 2018-C03 1M1 (1 Month LIBOR USD + 0.680%) (c) | 10/25/2030 | 3.08 | % | 405,557 | 405,652 | ||||||||
Series 2018-C05 1M1 (1 Month LIBOR USD + 0.720%) (c) | 01/27/2031 | 3.12 | % | 684,224 | 684,463 | ||||||||
Series 2019-R03 1M1 (1 Month LIBOR USD + 0.750%) (a)(c) | 09/25/2031 | 3.15 | % | 692,437 | 692,749 | ||||||||
Series 2019-R04 2M1 (1 Month LIBOR USD + 0.750%) (a)(c) | 06/27/2039 | 3.15 | % | 1,300,000 | 1,300,000 |
34 | | LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
MORTGAGE BACKED SECURITIES (continued) | |||||||||||||
FHLMC Multifamily Structured Pass Through Certificates | |||||||||||||
Series K-F08 A (1 Month LIBOR USD + 0.300%) (c) | 01/25/2022 | 2.73 | % | $ | 272,610 | $ | 272,012 | ||||||
Series K-052 A1 | 01/25/2025 | 2.60 | % | 474,543 | 480,448 | ||||||||
Flagstar Mortgage Trust | |||||||||||||
Series 2017-2 A5 (a)(d) | 10/25/2047 | 3.50 | % | 900,252 | 913,474 | ||||||||
Series 2018-4 A4 (a)(d) | 07/25/2048 | 4.00 | % | 697,349 | 703,918 | ||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, 2018-SPI2 M1 (a)(d) | 05/25/2048 | 3.82 | % | 381,071 | 382,344 | ||||||||
GS Mortgage Securities Trust | |||||||||||||
Series 2010-C1 A1 (a) | 08/12/2043 | 3.68 | % | 43,188 | 43,268 | ||||||||
Series 2015-GC28 A5 | 02/12/2048 | 3.76 | % | 885,000 | 929,364 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | |||||||||||||
Series 2018-BCON A (a) | 01/07/2031 | 3.73 | % | 335,000 | 350,687 | ||||||||
Series 2010-C2 A3 (a) | 11/15/2043 | 4.07 | % | 300,412 | 304,577 | ||||||||
Series 2012-C8 ASB | 10/17/2045 | 2.38 | % | 337,638 | 337,529 | ||||||||
Series 2014-C18 ASB | 02/15/2047 | 3.57 | % | 913,330 | 936,515 | ||||||||
Series 2014-C23 ASB | 09/17/2047 | 3.66 | % | 1,330,000 | 1,376,889 | ||||||||
JP Morgan Mortgage Trust | |||||||||||||
Series 2016-1 A5 (a)(d) | 05/25/2046 | 3.50 | % | 193,127 | 196,085 | ||||||||
Series 2016-4 A5 (a)(d) | 10/25/2046 | 3.50 | % | 205,033 | 208,044 | ||||||||
Series 2018-9 A5 (a)(d) | 02/25/2049 | 4.00 | % | 901,247 | 916,936 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, 2013-C10 ASB (d) | 07/17/2046 | 3.91 | % | 481,970 | 495,922 | ||||||||
Morgan Stanley Capital I Trust, 2017-CLS A (1 Month LIBOR USD + 0.700%) (a)(c) | 11/15/2034 | 3.09 | % | 560,000 | 559,475 | ||||||||
New Residential Mortgage Loan Trust | |||||||||||||
Series 2018-NQM1 A1 (a)(d) | 11/25/2048 | 3.99 | % | 721,735 | 735,760 | ||||||||
Series 2015-1A A3 (a)(d) | 05/28/2052 | 3.75 | % | 824,328 | 852,156 | ||||||||
Series 2014-2A A3 (a)(d) | 05/25/2054 | 3.75 | % | 132,165 | 134,560 | ||||||||
Series 2016-1A A1 (a)(d) | 03/25/2056 | 3.75 | % | 303,506 | 310,287 | ||||||||
Series 2017-1A A1 (a)(d) | 02/25/2057 | 4.00 | % | 567,912 | 590,929 | ||||||||
Series 2017-3A A1 (a)(d) | 04/25/2057 | 4.00 | % | 1,265,753 | 1,317,102 | ||||||||
Series 2017-6A A1 (a)(d) | 08/25/2057 | 4.00 | % | 255,726 | 265,436 | ||||||||
Series 2018-5 A1 (a)(d) | 12/25/2057 | 4.75 | % | 1,273,945 | 1,337,313 | ||||||||
OBX Trust | |||||||||||||
Series 2018-EXP1 1A6 (a)(d) | 04/25/2048 | 4.50 | % | 421,734 | 429,714 | ||||||||
Series 2018-EXP2 1A1 (a)(d) | 07/25/2058 | 4.00 | % | 1,068,371 | 1,085,013 | ||||||||
Sequoia Mortgage Trust | |||||||||||||
Series 2017-CH1 A11 (a)(d) | 08/25/2047 | 3.50 | % | 398,101 | 400,543 | ||||||||
Series 2017-CH2 A10 (a)(d) | 12/25/2047 | 4.00 | % | 704,942 | 713,151 | ||||||||
Series 2018-CH4 A10 (a)(d) | 10/25/2048 | 4.50 | % | 360,211 | 369,985 | ||||||||
Shellpoint Co-Originator Trust, 2017-2 A4 (a)(d) | 10/25/2047 | 3.50 | % | 537,585 | 546,635 | ||||||||
Spruce Hill Mortgage Loan Trust, 2019-SH1 A1 (a)(d) | 04/29/2049 | 3.40 | % | 565,425 | 570,626 | ||||||||
STACR Trust, 2018-DNA2 M1 (1 Month LIBOR USD + 0.800%) (a)(c) | 12/26/2030 | 3.20 | % | 804,304 | 805,732 | ||||||||
UBS-Barclays Commercial Mortgage Trust, 2012-C4 A-5 | 12/12/2045 | 2.85 | % | 870,000 | 885,344 | ||||||||
Verus Securitization Trust | |||||||||||||
Series 2018-2 A-1 (a)(d) | 07/25/2058 | 3.68 | % | 422,614 | 427,438 | ||||||||
Series 2018-3 A-1 (a)(d) | 10/25/2058 | 4.11 | % | 342,372 | 349,818 | ||||||||
VNDO Mortgage Trust | |||||||||||||
Series 2013-PENN A (a) | 12/13/2029 | 3.81 | % | 605,000 | 615,792 | ||||||||
Series 2012-6AVE A (a) | 11/15/2030 | 3.00 | % | 1,500,000 | 1,535,751 | ||||||||
Wells Fargo Commercial Trust, 2016-C32 A-SB | 01/17/2059 | 3.32 | % | 1,000,000 | 1,035,931 | ||||||||
WFRBS Commercial Mortgage Trust | |||||||||||||
Series 2011-C2 A4 (a)(d) | 02/15/2044 | 4.87 | % | 1,168,069 | 1,203,599 | ||||||||
Series 2011-C3 A4 (a) | 03/17/2044 | 4.38 | % | 1,285,000 | 1,324,062 | ||||||||
Series 2012-C10 A3 | 12/15/2045 | 2.88 | % | 975,000 | 991,424 | ||||||||
Series 2013-C17 ABS | 12/17/2046 | 3.56 | % | 266,257 | 273,316 | ||||||||
TOTAL MORTGAGE BACKED SECURITIES (Cost $37,384,187) | 37,968,851 | ||||||||||||
MUNICIPAL BONDS: 0.01% | |||||||||||||
County of Forsyth, NC | 04/01/2020 | 3.55 | % | 30,000 | 30,306 | ||||||||
Maricopa County School District No. 28 | 07/01/2019 | 5.38 | % | 15,000 | 15,000 | ||||||||
TOTAL MUNICIPAL BONDS (Cost $45,320) | 45,306 |
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Investments (continued) | | 35 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
U.S. GOVERNMENT AGENCY ISSUES: 8.51% | |||||||||||||
Federal Farm Credit Banks | 07/24/2019 | 1.40 | % | $ | 450,000 | $ | 449,747 | ||||||
Federal Farm Credit Banks | 11/15/2021 | 3.05 | % | 4,115,000 | 4,233,369 | ||||||||
Federal Farm Credit Banks | 06/26/2023 | 1.77 | % | 2,450,000 | 2,442,348 | ||||||||
Federal Farm Credit Banks | 07/17/2023 | 2.88 | % | 1,600,000 | 1,660,539 | ||||||||
Federal Home Loan Banks | 07/07/2021 | 1.88 | % | 2,420,000 | 2,422,289 | ||||||||
Federal Home Loan Banks | 06/10/2022 | 2.13 | % | 3,000,000 | 3,026,103 | ||||||||
Federal Home Loan Banks | 06/10/2022 | 2.75 | % | 1,000,000 | 1,026,367 | ||||||||
Federal Home Loan Banks | 06/09/2023 | 3.25 | % | 2,345,000 | 2,468,148 | ||||||||
Federal Home Loan Banks | 09/08/2023 | 3.38 | % | 4,235,000 | 4,504,009 | ||||||||
Federal Home Loan Banks | 12/08/2023 | 3.38 | % | 2,325,000 | 2,473,500 | ||||||||
Federal Home Loan Mortgage Corp. | 05/29/2020 | 2.53 | % | 2,300,000 | 2,300,783 | ||||||||
Federal National Mortgage Association | 01/19/2023 | 2.38 | % | 220,000 | 224,324 | ||||||||
Small Business Administration Participation Certificates | 11/01/2032 | 2.09 | % | 11,607 | 11,590 | ||||||||
TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $26,673,460) | 27,243,116 | ||||||||||||
U.S. GOVERNMENT NOTES: 15.35% | |||||||||||||
United States Treasury Note | 02/28/2021 | 1.13 | % | 7,090,000 | 7,009,961 | ||||||||
United States Treasury Note | 05/15/2021 | 8.13 | % | 3,165,000 | 3,529,840 | ||||||||
United States Treasury Note | 05/15/2022 | 1.75 | % | 1,860,000 | 1,861,380 | ||||||||
United States Treasury Note | 12/31/2023 | 2.63 | % | 2,200,000 | 2,282,844 | ||||||||
United States Treasury Note | 02/29/2024 | 2.38 | % | 2,025,000 | 2,082,032 | ||||||||
United States Treasury Note | 03/31/2024 | 2.13 | % | 3,500,000 | 3,558,516 | ||||||||
United States Treasury Note | 04/30/2024 | 2.00 | % | 5,195,000 | 5,251,617 | ||||||||
United States Treasury Note | 04/30/2024 | 2.25 | % | 1,585,000 | 1,621,127 | ||||||||
United States Treasury Note | 05/15/2024 | 2.50 | % | 12,295,000 | 12,717,161 | ||||||||
United States Treasury Note | 12/31/2024 | 2.25 | % | 5,720,000 | 5,854,956 | ||||||||
United States Treasury Note | 02/15/2025 | 2.00 | % | 1,500,000 | 1,515,234 | ||||||||
United States Treasury Note | 02/15/2025 | 7.63 | % | 960,000 | 1,256,400 | ||||||||
United States Treasury Note | 05/31/2025 | 2.88 | % | 575,000 | 608,849 | ||||||||
TOTAL U.S. GOVERNMENT NOTES (Cost $48,125,039) | 49,149,917 | ||||||||||||
SHORT TERM INVESTMENTS: 6.67% | |||||||||||||
U.S. GOVERNMENT NOTES: 2.81% | |||||||||||||
United States Treasury Note | 08/31/2019 | 1.25 | % | 3,600,000 | 3,593,820 | ||||||||
United States Treasury Note | 08/31/2019 | 1.00 | % | 5,420,000 | 5,408,475 | ||||||||
TOTAL U.S. GOVERNMENT NOTES (Cost $8,998,778) | 9,002,295 | ||||||||||||
MONEY MARKET FUND: 3.86% | Shares | ||||||||||||
STIT-Government & Agency Portfolio, Institutional Class, 2.26% (e)(f) | 12,339,016 | 12,339,016 | |||||||||||
TOTAL MONEY MARKET FUND (Cost $12,339,016) | 12,339,016 | ||||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $21,337,794) | 21,341,311 | ||||||||||||
TOTAL INVESTMENTS (Cost $254,134,114): 80.82% | 258,737,972 | ||||||||||||
Other Assets in Excess of Liabilities: 19.18% (g) | 61,405,416 | ||||||||||||
TOTAL NET ASSETS: 100.00% | $ | 320,143,388 |
(a) | Security as defined in Rule 144A under the Securities Act of 1933 and determined to be liquid. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2019, the value of these securities total $54,458,970 which represents 17.01% of total net assets. |
(b) | Foreign issued security. |
(c) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2019. |
(d) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of June 30, 2019. |
(e) | The rate quoted is the annualized seven-day effective yield as of June 30, 2019. |
(f) | A portion of this security is held by LCLSCS Fund Limited and pledged as collateral for swap contracts. |
(g) | Includes assets pledged as collateral for swap contracts. |
36 | | LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Swap Contracts |
LoCorr Long/Short Commodities Strategy Fund
Consolidated Schedule of Swap Contracts
June 30, 2019 (Unaudited)
LONG TOTAL RETURN SWAP CONTRACTS
This investment is a holding of LCLSCS Fund Limited. See Note 1.
Termination Date | Reference Index | Financing Rate | Payment Frequency | Notional Amount | Unrealized (Depreciation)* | Counterparty |
12/16/2022 | LoCorr Commodities Index^ | 0.50% | Quarterly | $292,945,098 | $(2,466,015) | Deutsche Bank AG |
^ | Comprised of a proprietary basket of Commodity Trading Advisor’s ‘‘CTA’’) Programs investing in various futures contracts, forward currency contracts, foreign currency and other similar investments. See Notes 2 & 3. |
* | Unrealized depreciation is a payable on the Fund’s consolidated statement of assets and liabilities. |
The underlying components of the basket as of June 30, 2019 are shown below: ^
Description | Expiration Date | Number of Contracts Purchased (Sold) | Value | Concentration % of Exposure | ||||||||||
Futures Contracts: | ||||||||||||||
Purchase Contracts:(1) | ||||||||||||||
Copper | 12/27/2019 | 966.65 | $ | 65,756,102 | 5.94 | % | ||||||||
WTI Crude (NYMEX) | 11/20/2019 | 1,095.43 | 64,378,530 | 5.81 | % | |||||||||
Brent Crude | 07/31/2019 | 701.99 | 45,976,541 | 4.15 | % | |||||||||
Hard Red Wheat | 12/13/2019 | 1,420.92 | 35,531,822 | 3.21 | % | |||||||||
Gasoline RBOB | 08/30/2019 | 447.84 | 35,169,803 | 3.18 | % | |||||||||
Corn | 12/13/2019 | 1,347.63 | 30,363,818 | 2.74 | % | |||||||||
Natural Gas | 11/26/2019 | 1,111.42 | 28,869,231 | 2.61 | % | |||||||||
WTI Crude (NYMEX) | 08/20/2019 | 485.39 | 28,786,347 | 2.60 | % | |||||||||
Coffee | 05/18/2020 | 382.98 | 17,061,693 | 1.54 | % | |||||||||
Sugar No.11 | 02/28/2020 | 1,090.74 | 16,620,295 | 1.50 | % | |||||||||
WTI Crude (NYMEX) | 09/20/2019 | 162.44 | 9,614,185 | 0.87 | % | |||||||||
Wheat | 12/13/2019 | 326.77 | 9,074,030 | 0.82 | % | |||||||||
Cocoa | 09/13/2019 | 367.94 | 8,946,370 | 0.81 | % | |||||||||
WTI Crude (ICE) | 08/19/2019 | 131.50 | 7,798,034 | 0.70 | % | |||||||||
Coffee | 12/18/2019 | 164.38 | 6,977,794 | 0.63 | % | |||||||||
Feeder Cattle | 01/30/2020 | 89.59 | 6,035,831 | 0.54 | % | |||||||||
Palladium | 09/26/2019 | 36.74 | 5,661,919 | 0.51 | % | |||||||||
Natural Gas | 10/29/2019 | 203.55 | 4,899,351 | 0.44 | % | |||||||||
Lean Hogs | 12/13/2019 | 160.51 | 4,636,261 | 0.42 | % | |||||||||
Lean Hogs | 07/15/2019 | 157.62 | 4,601,832 | 0.42 | % | |||||||||
Lean Hogs | 06/12/2020 | 122.43 | 4,360,475 | 0.39 | % | |||||||||
Soybean Oil | 07/14/2020 | 200.82 | 3,559,353 | 0.32 | % | |||||||||
Live Cattle | 12/31/2019 | 73.13 | 3,246,656 | 0.29 | % | |||||||||
Total Purchase Contracts | 447,926,273 | 40.44 | % | |||||||||||
Sale Contracts: (1) | ||||||||||||||
WTI Crude (NYMEX) | 07/22/2019 | (1,771.31 | ) | $ | 104,959,001 | 9.48 | % | |||||||
Copper | 09/26/2019 | (828.13 | ) | 56,199,121 | 5.07 | % | ||||||||
Live Cattle | 10/31/2019 | (898.20 | ) | 38,200,261 | 3.45 | % | ||||||||
Hard Red Wheat | 09/13/2019 | (1,496.34 | ) | 35,790,525 | 3.23 | % | ||||||||
Coffee | 09/18/2019 | (766.25 | ) | 31,507,392 | 2.85 | % | ||||||||
Brent Crude | 08/30/2019 | (431.25 | ) | 28,078,511 | 2.53 | % | ||||||||
Gasoline RBOB | 07/31/2019 | (344.22 | ) | 27,642,588 | 2.50 | % | ||||||||
Soybean Oil | 12/13/2019 | (1,595.98 | ) | 27,243,448 | 2.46 | % | ||||||||
Natural Gas | 08/28/2019 | (994.60 | ) | 22,796,174 | 2.06 | % |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Long/Short Commodities Strategy Fund - Consolidated Schedule of Swap Contracts (continued) | | 37 |
Description | Expiration Date | Number of Contracts Purchased (Sold) | Value | Concentration % of Exposure | ||||||||||
Sale Contracts: (1) (continued) | ||||||||||||||
Natural Gas | 07/29/2019 | (899.51 | ) | $ | 20,855,199 | 1.88 | % | |||||||
Aluminum | 08/21/2019 | (391.00 | ) | 17,617,483 | 1.59 | % | ||||||||
Sugar No.11 | 09/30/2019 | (1,163.26 | ) | 16,565,774 | 1.49 | % | ||||||||
Wheat | 09/13/2019 | (542.44 | ) | 14,805,313 | 1.34 | % | ||||||||
Lean Hogs | 08/14/2019 | (381.58 | ) | 11,922,560 | 1.08 | % | ||||||||
Brent Crude | 09/30/2019 | (170.18 | ) | 11,030,107 | 1.00 | % | ||||||||
Soybean Meal | 12/13/2019 | (269.91 | ) | 8,619,603 | 0.78 | % | ||||||||
Low Sulphur Gasoil | 08/12/2019 | (113.13 | ) | 6,756,683 | 0.61 | % | ||||||||
Natural Gas | 09/26/2019 | (265.14 | ) | 6,152,517 | 0.55 | % | ||||||||
Feeder Cattle | 08/29/2019 | (89.59 | ) | 6,097,421 | 0.55 | % | ||||||||
Cotton No.2 | 03/09/2020 | (142.14 | ) | 4,786,838 | 0.43 | % | ||||||||
Corn | 09/13/2019 | (182.75 | ) | 4,067,292 | 0.37 | % | ||||||||
Silver | 09/26/2019 | (50.28 | ) | 3,858,358 | 0.35 | % | ||||||||
Heating Oil | 07/31/2019 | (40.61 | ) | 3,339,579 | 0.30 | % | ||||||||
London Cocoa | 09/13/2019 | (128.60 | ) | 2,951,954 | 0.27 | % | ||||||||
Total Sale Contracts | 511,843,702 | 46.22 | % | |||||||||||
Other Futures Contracts | 43,972,645 | 3.97 | % | |||||||||||
Total Futures Contracts | 1,003,742,620 | 90.63 | % |
Forward Currency Contracts: | Delivered (in USD) | Received (in USD) | |||||||||||||||
Purchase Contracts:(1) | U.S. | ||||||||||||||||
USD/EUR | 06/30/2019 | Dollar | $ | 4,215,174 | Euro | $ | 4,217,143 | 0.80 | % | ||||||||
Total Forward Currency Contracts | 4,217,143 | 0.80 | % | ||||||||||||||
Cash and Foreign Currency: | Quantity | Value | |||||||||||||||
Cash and Foreign Currency Purchased:(1) | |||||||||||||||||
U.S. Dollar | 44,432,235 | $ | 44,432,235 | 4.01 | % | ||||||||||||
Total Cash and Foreign Currency Purchased | | 44,432,235 | 4.01 | % | |||||||||||||
Cash and Foreign Currency Sold:(1) | |||||||||||||||||
Euro | 46,804,167 | $ | 53,221,026 | 4.81 | % | ||||||||||||
Total Cash and Foreign Currency Sold | 53,221,026 | 4.81 | % | ||||||||||||||
Other Cash and Foreign Currency | 1,852,292 | 0.17 | % | ||||||||||||||
Total Cash and Foreign Currency | 99,505,553 | 8.99 | % | ||||||||||||||
Total Underlying Positions | $ | 1,107,465,316 | 100.00 | % |
^ | The investment is not a direct holding of LoCorr Long/Short Commodities Strategy Fund. The top 50 holdings and other futures contracts, other forward currency contracts, and other cash and foreign currency were determined based on the absolute notional values of the positions within the underlying swap basket. |
(1) | Represents the 50 largest components of the basket. |
ICE | Intercontinental Exchange |
NYMEX | New York Mercantile Exchange |
The accompanying notes are an integral part of these consolidated financial statements.
38 | | LoCorr Market Trend Fund - Consolidated Schedule of Investments |
LoCorr Market Trend Fund
Composition of Consolidated Investment Portfolio1
June 30, 2019 (Unaudited)
1 As a percentage of total investments.
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
ASSET BACKED SECURITIES: 17.27% | |||||||||||||
Ally Auto Receivables Trust, 2018-3 A3 | 01/17/2023 | 3.00 | % | $ | 2,500,000 | $ | 2,523,519 | ||||||
Barclays Dryrock Issuance Trust, 2017-2 A (1 Month LIBOR USD + 0.300%) (c) | 05/15/2023 | 2.69 | % | 4,000,000 | 4,004,378 | ||||||||
BMW Vehicle Lease Trust, 2018-1 A3 | 07/20/2021 | 3.26 | % | 2,450,000 | 2,482,019 | ||||||||
Cabela’s Credit Card Master Trust, 2015-2 A1 | 07/17/2023 | 2.25 | % | 2,500,000 | 2,499,495 | ||||||||
California Republic Auto Receivables Trust, 2018-1 A3 | 08/15/2022 | 3.14 | % | 2,400,000 | 2,417,001 | ||||||||
CarMax Auto Owner Trust, 2018-4 A3 | 09/15/2023 | 3.36 | % | 2,750,000 | 2,813,457 | ||||||||
CenterPoint Energy Residential Bond, 2009-1 A-3 | 08/15/2023 | 4.24 | % | 1,784,283 | 1,845,447 | ||||||||
Chase Issuance Trust, 2018-A1 A1 (1 Month LIBOR USD + 0.200%) (c) | 04/17/2023 | 2.59 | % | 3,050,000 | 3,053,051 | ||||||||
Citibank Credit Card Issuance Trust | |||||||||||||
Series 2017-A4 A4 (1 Month LIBOR USD + 0.220%) (c) | 04/07/2022 | 2.64 | % | 2,150,000 | 2,151,657 | ||||||||
Series 2018-A1 A1 | 01/20/2023 | 2.49 | % | 1,935,000 | 1,948,225 | ||||||||
Entergy Arkansas Restoration Funding LLC, 2010-A A1 | 08/01/2021 | 2.30 | % | 1,624,196 | 1,618,492 | ||||||||
Evergreen Credit Card Trust, 2018-2 A (1 Month LIBOR USD + 0.350%) (a)(b)(c) | 07/15/2022 | 2.74 | % | 1,650,000 | 1,652,782 | ||||||||
Ford Credit Auto Owner Trust, 2018-B A-3 | 04/15/2023 | 3.24 | % | 2,000,000 | 2,039,575 | ||||||||
GM Financial Consumer Automobile Receivables Trust, 2018-4 A3 | 10/16/2023 | 3.21 | % | 2,520,000 | 2,570,425 | ||||||||
Mercedes-Benz Auto Receivables Trust, 2018-1 A3 | 01/17/2023 | 3.03 | % | 2,625,000 | 2,660,203 | ||||||||
Santander Retail Auto Lease Trust | |||||||||||||
Series 2017-A A2A (a) | 03/20/2020 | 2.02 | % | 2,521 | 2,520 | ||||||||
Series 2018-A A2A (a) | 10/20/2020 | 2.71 | % | 1,237,871 | 1,238,504 | ||||||||
TCF Auto Receivables Owner Trust | |||||||||||||
Series 2016-1A A3 (a) | 04/15/2021 | 1.71 | % | 200,574 | 200,459 | ||||||||
Series 2016-PT1 A (a) | 06/15/2022 | 1.93 | % | 1,117,585 | 1,114,555 | ||||||||
Toyota Auto Receivables Owner Trust, 2018-D A-3 | 03/15/2023 | 3.18 | % | 2,010,000 | 2,050,285 | ||||||||
Verizon Owner Trust | |||||||||||||
Series 2018-1A A1B (1 Month LIBOR USD + 0.260%) (a)(c) | 09/20/2022 | 2.64 | % | 1,250,000 | 1,249,384 | ||||||||
Series 2019-B A1A | 12/20/2023 | 2.33 | % | 1,080,000 | 1,083,261 |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Market Trend Fund - Consolidated Schedule of Investments (continued) | | 39 |
Maturity Date | Coupon Rate | Principal Amount | Value | ||||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||||
World Omni Auto Trust, 2018-B A3 | 07/17/2023 | 2.87 | % | $ | 2,025,000 | $ | 2,047,631 | ||||||
TOTAL ASSET BACKED SECURITIES (Cost $44,848,158) | 45,266,325 | ||||||||||||
MORTGAGE BACKED SECURITIES: 10.91% | |||||||||||||
Fannie Mae Aces | |||||||||||||
Series 2010-M1 A2 | 09/25/2019 | 4.45 | % | 562,649 | 561,943 | ||||||||
Series 2010-M3 A3(d) | 03/25/2020 | 4.33 | % | 874,267 | 881,714 | ||||||||
Series 2010-M7 A2 | 11/25/2020 | 3.66 | % | 292,491 | 295,627 | ||||||||
Series 2015-M17 FA (1 Month LIBOR USD + 0.930%) (c) | 11/25/2022 | 3.37 | % | 1,307,355 | 1,307,909 | ||||||||
FHLMC Multifamily Structured Pass Through Certificates | |||||||||||||
Series K-P04 AG1 (1 Month LIBOR USD + 0.220%) (c) | 07/25/2020 | 2.65 | % | 3,450,000 | 3,447,772 | ||||||||
Series K-I03 A (1 Month LIBOR USD + 0.250%) (c) | 02/25/2021 | 2.68 | % | 2,178,574 | 2,175,811 | ||||||||
Series K-F08 A (1 Month LIBOR USD + 0.300%) (c) | 01/25/2022 | 2.73 | % | 1,258,201 | 1,255,438 | ||||||||
Series K-J22 A-1 | 03/25/2022 | 3.17 | % | 2,611,324 | 2,663,031 | ||||||||
Series K-J06 A | 01/25/2023 | 2.27 | % | 2,110,000 | 2,112,330 | ||||||||
Series K-S05 A (1 Month LIBOR USD + 0.500%) (c) | 01/25/2023 | 2.93 | % | 2,908,813 | 2,909,724 | ||||||||
Series K-102 A (1 Month LIBOR USD + 0.200%) (c) | 02/25/2023 | 2.63 | % | 1,697,977 | 1,694,534 | ||||||||
FREMF Multifamily Aggregation Risk Transfer Trust, 2017-KT01 A (1 Month LIBOR USD + 0.320%) (c) | 02/25/2020 | 2.72 | % | 5,890,000 | 5,888,684 | ||||||||
NCUA Guaranteed Notes Trust, 2010-R1 1A (1 Month LIBOR USD + 0.450%)(c) | 10/07/2020 | 2.87 | % | 3,394,543 | 3,399,729 | ||||||||
TOTAL MORTGAGE BACKED SECURITIES (Cost $28,561,390) | 28,594,246 | ||||||||||||
MUNICIPAL BOND: 0.42% | |||||||||||||
Tennessee Valley Authority | 03/15/2020 | 2.25 | % | 1,110,000 | 1,111,224 | ||||||||
TOTAL MUNICIPAL BOND (Cost $1,107,602) | 1,111,224 | ||||||||||||
U.S. GOVERNMENT AGENCY ISSUES: 24.00% | |||||||||||||
Federal Farm Credit Banks | 10/13/2020 | 1.68 | % | 8,000,000 | 7,976,045 | ||||||||
Federal Farm Credit Banks | 10/26/2020 | 1.75 | % | 10,095,000 | 10,074,430 | ||||||||
Federal Farm Credit Banks | 04/05/2021 | 2.54 | % | 4,255,000 | 4,303,455 | ||||||||
Federal Farm Credit Banks | 11/15/2021 | 3.05 | % | 2,500,000 | 2,571,913 | ||||||||
Federal Home Loan Banks | 07/07/2021 | 1.88 | % | 3,200,000 | 3,203,027 | ||||||||
Federal Home Loan Banks | 06/10/2022 | 2.13 | % | 2,620,000 | 2,642,797 | ||||||||
Federal Home Loan Banks | 06/10/2022 | 2.75 | % | 5,000,000 | 5,131,837 | ||||||||
Federal Home Loan Banks | 12/09/2022 | 3.00 | % | 9,500,000 | 9,877,122 | ||||||||
Federal Home Loan Banks | 06/09/2023 | 3.25 | % | 1,120,000 | 1,178,817 | ||||||||
Federal Home Loan Mortgage Corp. | 05/29/2020 | 2.53 | % | 2,150,000 | 2,150,732 | ||||||||
Federal Home Loan Mortgage Corp. | 11/17/2020 | 1.88 | % | 3,715,000 | 3,713,831 | ||||||||
Federal Home Loan Mortgage Corp. | 02/16/2021 | 2.38 | % | 10,000,000 | 10,086,588 | ||||||||
TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $62,283,419) | 62,910,594 | ||||||||||||
U.S. GOVERNMENT NOTES: 24.80% | |||||||||||||
United States Treasury Note | 07/15/2020 | 1.50 | % | 1,820,000 | 1,811,611 | ||||||||
United States Treasury Note | 01/15/2021 | 2.00 | % | 5,000,000 | 5,012,500 | ||||||||
United States Treasury Note | 02/15/2021 | 2.25 | % | 3,055,000 | 3,075,764 | ||||||||
United States Treasury Note | 04/30/2021 | 1.38 | % | 1,500,000 | 1,488,926 | ||||||||
United States Treasury Note | 07/31/2021 | 2.25 | % | 12,330,000 | 12,452,338 | ||||||||
United States Treasury Note | 08/15/2021 | 2.75 | % | 4,000,000 | 4,082,656 | ||||||||
United States Treasury Note | 09/30/2021 | 1.13 | % | 4,285,000 | 4,228,425 | ||||||||
United States Treasury Note | 11/30/2021 | 1.88 | % | 3,275,000 | 3,285,362 | ||||||||
United States Treasury Note | 12/31/2021 | 2.13 | % | 3,000,000 | 3,028,945 | ||||||||
United States Treasury Note | 01/15/2022 | 2.50 | % | 9,635,000 | 9,817,162 | ||||||||
United States Treasury Note | 04/30/2022 | 1.88 | % | 5,000,000 | 5,020,117 | ||||||||
United States Treasury Note | 11/30/2022 | 2.00 | % | 10,085,000 | 10,176,001 | ||||||||
United States Treasury Note | 01/31/2023 | 2.38 | % | 1,500,000 | 1,533,516 | ||||||||
TOTAL U.S. GOVERNMENT NOTES (Cost $64,068,785) | 65,013,323 |
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 | ||||||||||
SHORT TERM INVESTMENTS: 5.48% | |||||||||||||
U.S. GOVERNMENT AGENCY ISSUE: 0.42% | |||||||||||||
Federal Home Loan Banks | 03/20/2020 | 2.58 | % | $ | 1,100,000 | $ | 1,100,777 | ||||||
TOTAL U.S. GOVERNMENT AGENCY ISSUE (Cost $1,100,188) | 1,100,777 | ||||||||||||
U.S. GOVERNMENT NOTES: 1.05% | |||||||||||||
United States Treasury Note | 08/31/2019 | 1.25 | % | 1,660,000 | 1,657,150 | ||||||||
United States Treasury Note | 02/29/2020 | 2.25 | % | 1,090,000 | 1,091,405 | ||||||||
TOTAL U.S. GOVERNMENT NOTES (Cost $2,745,254) | 2,748,555 |
MONEY MARKET FUND: 4.01% | Shares | |||||||
STIT-Government & Agency Portfolio, Institutional Class, 2.26% (e)(f) | 10,513,203 | 10,513,203 | ||||||
TOTAL MONEY MARKET FUND (Cost $10,513,203) | 10,513,203 | |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $14,358,645) | 14,362,535 | |||||||
TOTAL INVESTMENTS (Cost $215,227,999): 82.88% | 217,258,247 | |||||||
Other Assets in Excess of Liabilities: 17.12% (g) | 44,866,351 | |||||||
TOTAL NET ASSETS: 100.00% | $ | 262,124,598 |
(a) | Security as defined in Rule 144A under the Securities Act of 1933 and determined to be liquid. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At June 30, 2019, the value of these securities total $5,458,204 which represents 2.08% of total net assets. |
(b) | Foreign issued security. |
(c) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2019. |
(d) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of June 30, 2019. |
(e) | The rate quoted is the annualized seven-day effective yield as of June 30, 2019. |
(f) | A portion of this security is held by LCMT Fund Limited and pledged as collateral for derivative contracts. |
(g) | Includes assets pledged as collateral for derivative contracts. |
LIBOR | London Interbank Offered Rate |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Market Trend Fund - Consolidated Schedule of Open Forward Currency Contracts | | 41 |
LoCorr Market Trend Fund
Consolidated Schedule of Open Forward Currency Contracts(a)
June 30, 2019 (Unaudited)
Currency to be Received | Currency to be Delivered | |||||||||||||||||||||||||
Notional Amount | Forward Settlement Date | Curr Abbr. | U.S. $ Value at June 30, 2019 | Curr Abbr. | U.S. $ Value on Origination Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
Purchase Contracts: | ||||||||||||||||||||||||||
$ | 44,757,469 | 09/20/2019 | CAD | $ | 44,915,368 | USD | $ | 44,757,469 | $ | 157,899 | $ | — | ||||||||||||||
1,848,325 | 09/20/2019 | CHF | 1,849,824 | USD | 1,848,325 | 1,499 | — | |||||||||||||||||||
25,609,282 | 09/20/2019 | EUR | 25,668,764 | USD | 25,609,282 | 59,482 | — | |||||||||||||||||||
2,948,207 | 09/20/2019 | GBP | 2,967,662 | USD | 2,948,207 | 19,455 | — | |||||||||||||||||||
44,371,682 | 09/20/2019 | JPY | 44,272,068 | USD | 44,371,682 | — | (99,614 | ) | ||||||||||||||||||
16,803,752 | 09/20/2019 | MXN | 16,751,130 | USD | 16,803,752 | — | (52,622 | ) | ||||||||||||||||||
790,380 | 09/20/2019 | NZD | 807,428 | USD | 790,380 | 17,048 | — | |||||||||||||||||||
Total Purchase Contracts | 137,232,244 | 137,129,097 | 255,383 | (152,236 | ) | |||||||||||||||||||||
Sale Contracts: | ||||||||||||||||||||||||||
$ | 55,146,527 | 09/20/2019 | USD | $ | 55,724,514 | AUD | $ | 55,146,527 | $ | — | $ | (577,987 | ) | |||||||||||||
65,229,438 | 09/20/2019 | USD | 66,197,187 | CAD | 65,229,438 | — | (967,749 | ) | ||||||||||||||||||
43,553,019 | 09/20/2019 | USD | 44,304,929 | CHF | 43,553,019 | — | (751,910 | ) | ||||||||||||||||||
115,957,400 | 09/20/2019 | USD | 116,517,391 | EUR | 115,957,400 | — | (559,991 | ) | ||||||||||||||||||
82,815,418 | 09/20/2019 | USD | 82,823,001 | GBP | 82,815,418 | — | (7,583 | ) | ||||||||||||||||||
13,399,257 | 09/20/2019 | USD | 13,424,680 | JPY | 13,399,257 | — | (25,423 | ) | ||||||||||||||||||
22,541,060 | 09/20/2019 | USD | 23,015,056 | NZD | 22,541,060 | — | (473,996 | ) | ||||||||||||||||||
Total Sale Contracts | 402,006,758 | 398,642,119 | — | (3,364,639 | ) | |||||||||||||||||||||
Net Forward Currency Contracts | $ | (264,774,514 | ) | $ | (261,513,022 | ) | $ | 255,383 | $ | (3,516,875 | ) | |||||||||||||||
Net Unrealized Depreciation | $ | (3,261,492 | ) |
Currency abbreviations: | |
AUD | AUSTRALIAN DOLLAR |
CAD | CANADIAN DOLLAR |
CHF | SWISS FRANC |
EUR | EURO |
GBP | BRITISH POUND |
JPY | JAPANESE YEN |
MXN | MEXICAN PESO |
NZD | NEW ZEALAND DOLLAR |
USD | U.S. DOLLAR |
(a) | Bank of America Merrill Lynch is the counterparty for all open forward currency exchange contracts held by the Fund as of June 30, 2019. |
The accompanying notes are an integral part of these consolidated financial statements.
42 | | LoCorr Market Trend Fund - Consolidated Schedule of Open Futures Contracts |
LoCorr Market Trend Fund
Consolidated Schedule of Open Futures Contracts
June 30, 2019 (Unaudited)
Number of Contracts Purchased (Sold) | Current Notional Amount | Value | ||||||||||||||||||||
Description | Settlement Month-Year | Value at Trade Date | Unrealized Appreciation | Unrealized (Depreciation) | ||||||||||||||||||
Purchase Contracts: | ||||||||||||||||||||||
10 Yr Mini JGB | 15 | Sep-19 | $ | 2,141,168 | $ | 2,138,283 | $ | 2,885 | $ | — | ||||||||||||
90 Day Euro | 1,698 | Dec-20 | 417,899,025 | 417,787,582 | 111,443 | — | ||||||||||||||||
90 Day Sterling | 1,473 | Dec-20 | 232,029,815 | 232,007,001 | 22,814 | — | ||||||||||||||||
Aluminum (a)(b) | 9 | Sep-19 | 405,056 | 406,609 | — | (1,553 | ) | |||||||||||||||
Australian 10 Yr Bond | 452 | Sep-19 | 45,584,002 | 45,273,458 | 310,544 | — | ||||||||||||||||
Brent Crude (a) | 109 | Sep-19 | 7,056,660 | 6,966,328 | 90,332 | — | ||||||||||||||||
CAC 40 10 Euro Index | 207 | Jul-19 | 13,023,561 | 12,958,476 | 65,085 | — | ||||||||||||||||
Canadian 10 Yr Bond | 657 | Sep-19 | 71,707,846 | 70,932,256 | 775,590 | — | ||||||||||||||||
Cocoa (a) | 152 | Sep-19 | 3,484,246 | 3,458,279 | 25,967 | — | ||||||||||||||||
Copper (a)(b) | 5 | Sep-19 | 749,500 | 743,419 | 6,081 | — | ||||||||||||||||
DAX Index | 112 | Sep-19 | 39,441,911 | 39,124,491 | 317,420 | — | ||||||||||||||||
Dollar | 88 | Sep-19 | 8,418,608 | 8,500,870 | — | (82,262 | ) | |||||||||||||||
Dow Jones Industrial Average Mini E-Cbot Index | 82 | Sep-19 | 10,903,130 | 10,964,097 | — | (60,967 | ) | |||||||||||||||
Euro-Bobl | 773 | Sep-19 | 118,169,860 | 117,698,827 | 471,033 | — | ||||||||||||||||
Euro-Bund | 136 | Sep-19 | 26,713,485 | 26,466,349 | 247,136 | — | ||||||||||||||||
Euro-Schatz | 64 | Sep-19 | 8,171,475 | 8,165,337 | 6,138 | — | ||||||||||||||||
Euro-Stoxx 50 Index | 1,135 | Sep-19 | 44,732,497 | 44,387,065 | 345,432 | — | ||||||||||||||||
FTSE 100 Index | 563 | Sep-19 | 52,687,185 | 52,730,385 | — | (43,200 | ) | |||||||||||||||
Gasoline RBOB (a) | 109 | Aug-19 | 8,682,635 | 7,714,781 | 967,854 | — | ||||||||||||||||
Gold (a) | 247 | Aug-19 | 34,918,390 | 33,691,044 | 1,227,346 | — | ||||||||||||||||
Hang Seng Index | 51 | Jul-19 | 9,304,985 | 9,237,760 | 67,225 | — | ||||||||||||||||
Heating Oil (a) | 27 | Aug-19 | 2,199,280 | 2,023,570 | 175,710 | — | ||||||||||||||||
Japanese 10 Yr Bond | 36 | Sep-19 | 51,371,330 | 51,263,829 | 107,501 | — | ||||||||||||||||
Long Gilt | 428 | Sep-19 | 70,823,311 | 70,202,353 | 620,958 | — | ||||||||||||||||
Low Sulphur Gasoil (a) | 5 | Aug-19 | 298,750 | 273,381 | 25,369 | — | ||||||||||||||||
Nasdaq 100 E-Mini Index | 205 | Sep-19 | 31,544,375 | 30,866,450 | 677,925 | — | ||||||||||||||||
S&P 500 E-Mini Index | 295 | Sep-19 | 43,426,950 | 42,816,781 | 610,169 | — | ||||||||||||||||
U.S. 10 Yr Note | 832 | Sep-19 | 106,470,000 | 104,899,691 | 1,570,309 | — | ||||||||||||||||
U.S. 2 Yr Note | 1,005 | Sep-19 | 216,255,586 | 214,685,132 | 1,570,454 | — | ||||||||||||||||
U.S. 5 Yr Note | 1,406 | Sep-19 | 166,127,688 | 164,406,466 | 1,721,222 | — | ||||||||||||||||
U.S. Long Bond | 455 | Sep-19 | 70,795,156 | 68,398,672 | 2,396,484 | — | ||||||||||||||||
Zinc (a)(b) | 71 | Sep-19 | 4,439,275 | 4,629,778 | — | (190,503 | ) | |||||||||||||||
Total Purchase Contracts | 14,536,426 | (378,485 | ) | |||||||||||||||||||
Sales Contracts: | ||||||||||||||||||||||
Aluminum (a)(b) | (315 | ) | Sep-19 | $ | 14,176,969 | $ | 14,281,319 | $ | 104,350 | $ | — | |||||||||||
Coffee (a) | (93 | ) | Sep-19 | 3,817,069 | 3,438,417 | — | (378,652 | ) | ||||||||||||||
Copper (a)(b) | (157 | ) | Sep-19 | 23,534,300 | 23,577,757 | 43,457 | — | |||||||||||||||
Corn (a) | (369 | ) | Dec-19 | 7,961,175 | 8,346,097 | 384,922 | — | |||||||||||||||
Cotton No.2 (a) | (77 | ) | Dec-19 | 2,544,080 | 2,601,267 | 57,187 | — | |||||||||||||||
Hard Red Wheat (a) | (167 | ) | Sep-19 | 3,853,525 | 3,977,415 | 123,890 | — | |||||||||||||||
Natural Gas (a) | (258 | ) | Aug-19 | 5,954,640 | 6,143,305 | 188,665 | — | |||||||||||||||
Nikkei 225 Index | (16 | ) | Sep-19 | 3,155,034 | 3,142,482 | — | (12,552 | ) | ||||||||||||||
Russell 2000 Mini Index | (141 | ) | Sep-19 | 11,048,055 | 10,870,539 | — | (177,516 | ) | ||||||||||||||
Silver (a) | (173 | ) | Sep-19 | 13,269,965 | 13,013,051 | — | (256,914 | ) | ||||||||||||||
Soybean (a) | (226 | ) | Nov-19 | 10,429,900 | 10,612,462 | 182,562 | — | |||||||||||||||
Soybean Meal (a) | (101 | ) | Dec-19 | 3,261,290 | 3,335,890 | 74,600 | — | |||||||||||||||
Soybean Oil (a) | (88 | ) | Dec-19 | 1,522,224 | 1,527,649 | 5,425 | — |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Market Trend Fund - Consolidated Schedule of Open Futures Contracts (continued) | | 43 |
Number of Contracts Purchased (Sold) | Current Notional Amount | Value | ||||||||||||||||||||
Description | Settlement Month-Year | Value at Trade Date | Unrealized Appreciation | Unrealized (Depreciation) | ||||||||||||||||||
Sale 1Contracts (continued) | ||||||||||||||||||||||
Sugar (a) | (218 | ) | Oct-19 | $ | 3,081,299 | $ | 2,963,979 | $ | — | $ | (117,320 | ) | ||||||||||
Tokyo Price Index | (234 | ) | Sep-19 | 33,662,663 | 33,693,514 | 30,851 | — | |||||||||||||||
Wheat (a) | (191 | ) | Dec-19 | 5,142,675 | 5,219,108 | 76,433 | — | |||||||||||||||
WTI Crude (a) | (85 | ) | Aug-19 | 4,969,950 | 4,536,331 | — | (433,619 | ) | ||||||||||||||
Zinc (a)(b) | (236 | ) | Sep-19 | 14,755,900 | 14,833,048 | 77,148 | — | |||||||||||||||
Total Sale Contracts | 1,349,490 | (1,376,573 | ) | |||||||||||||||||||
Total Futures Contracts | $ | 15,885,916 | $ | (1,755,058 | ) | |||||||||||||||||
Net Unrealized Appreciation | $ | 14,130,858 |
(a) | Contract held by LCMT Fund Limited. |
(b) | London Metal Exchange (‘‘LME’’) futures contracts settle on their respective maturity date. The unrealized appreciation on these contracts is a receivable for unsettled open futures contracts and the unrealized depreciation is a payable for unsettled open futures contracts on the Fund’s consolidated statement of assets and liabilities. |
The accompanying notes are an integral part of these consolidated financial statements.
44 | | LoCorr Dynamic Equity Fund - Schedule of Investments |
LoCorr Dynamic Equity Fund
1 As a percentage of total investments.
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 74.33% | ||||||||
Aerospace & Defense: 0.21% | ||||||||
Spirit AeroSystems Holdings, Inc. | 710 | $ | 57,773 | |||||
Airlines: 7.03% | ||||||||
Air Canada - ADR (a)(b) | 51,131 | 1,568,189 | ||||||
JetBlue Airways Corp. (a) | 11,743 | 217,128 | ||||||
Southwest Airlines Co. | 1,349 | 68,502 | ||||||
United Continental Holdings, Inc. (a) | 825 | 72,229 | ||||||
1,926,048 | ||||||||
Apparel: 0.85% | ||||||||
Capri Holdings Ltd. (a)(b) | 2,543 | 88,191 | ||||||
Kering SA (b) | 120 | 70,969 | ||||||
Moncler SpA (b) | 1,699 | 72,641 | ||||||
231,801 | ||||||||
Auto Manufacturers: 2.92% | ||||||||
Peugeot SA (b) | 2,665 | 65,668 | ||||||
REV Group, Inc. | 51,057 | 735,731 | ||||||
801,399 | ||||||||
Auto Parts & Equipment: 5.08% | ||||||||
Allison Transmission Holdings, Inc. | 1,543 | 71,518 | ||||||
American Axle & Manufacturing Holdings, Inc. (a) | 25,289 | 322,688 | ||||||
Lear Corp. | 6,385 | 889,239 | ||||||
Nexteer Automotive Group Ltd. (b) | 38,000 | 47,283 | ||||||
TS Tech Co. Ltd. (b) | 2,245 | 61,073 | ||||||
1,391,801 | ||||||||
Banks: 2.41% | ||||||||
Banco Bilbao Vizcaya Argentaria SA (b) | 8,044 | 44,975 | ||||||
Citizens Financial Group, Inc. | 1,979 | 69,977 | ||||||
Dah Sing Financial Holdings Ltd. (b) | 9,600 | 44,856 | ||||||
DBS Group Holdings Ltd. (b) | 2,500 | 47,967 | ||||||
Texas Capital Bancshares, Inc. (a) | 6,449 | 395,775 |
The accompanying notes are an integral part of these financial statements.
LoCorr Dynamic Equity Fund - Schedule of Investments (continued) | | 45 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Umpqua Holdings Corp. | 3,359 | $ | 55,726 | |||||
659,276 | ||||||||
Beverages: 1.04% | ||||||||
Cott Corp. (b) | 15,922 | 212,559 | ||||||
Monster Beverage Corp. (a) | 1,140 | 72,766 | ||||||
285,325 | ||||||||
Biotechnology: 0.84% | ||||||||
Biogen, Inc. (a) | 221 | 51,685 | ||||||
Exelixis, Inc. (a) | 284 | 6,069 | ||||||
Incyte Corp. (a) | 702 | 59,642 | ||||||
Ionis Pharmaceuticals, Inc. (a) | 697 | 44,796 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 379 | 69,501 | ||||||
231,693 | ||||||||
Building Materials: 0.51% | ||||||||
Buzzi Unicem SpA (b) | 3,347 | 46,888 | ||||||
Masco Corp. | 1,230 | 48,265 | ||||||
Rockwool International A/S (b) | 174 | 44,427 | ||||||
139,580 | ||||||||
Chemicals: 0.34% | ||||||||
Covestro AG (b) | 1,199 | 60,957 | ||||||
Showa Denko KK (b) | 1,100 | 32,342 | ||||||
93,299 | ||||||||
Commercial Services: 0.73% | ||||||||
Robert Half International, Inc. | 1,055 | 60,146 | ||||||
ServiceMaster Global Holdings, Inc. (a) | 1,339 | 69,749 | ||||||
United Rentals, Inc. (a) | 526 | 69,763 | ||||||
199,658 | ||||||||
Distribution & Wholesale: 0.20% | ||||||||
G-III Apparel Group Ltd. (a) | 420 | 12,356 | ||||||
HD Supply Holdings, Inc. (a) | 1,037 | 41,770 | ||||||
54,126 | ||||||||
Diversified Financial Services: 10.41% | ||||||||
Credit Acceptance Corp. (a) | 3,119 | 1,509,066 | ||||||
Raymond James Financial, Inc. | 1,051 | 88,862 | ||||||
SEI Investments Co. | 1,274 | 71,471 | ||||||
Synchrony Financial | 32,822 | 1,137,939 | ||||||
Zenkoku Hosho Co. Ltd. (b) | 1,200 | 46,023 | ||||||
2,853,361 | ||||||||
Electric: 1.42% | ||||||||
Ameren Corp. | 592 | 44,465 | ||||||
Contact Energy Ltd. (b) | 9,587 | 51,524 | ||||||
Hawaiian Electric Industries, Inc. | 140 | 6,097 | ||||||
Hera SpA (b) | 12,013 | 45,952 | ||||||
NRG Energy, Inc. | 1,686 | 59,212 | ||||||
OGE Energy Corp. | 1,672 | 71,160 | ||||||
Pinnacle West Capital Corp. | 454 | 42,717 | ||||||
Red Electrica Corp. SA (b) | 3,299 | 68,705 | ||||||
389,832 | ||||||||
Electrical Components & Equipment: 0.41% | ||||||||
EnerSys | 982 | 67,267 | ||||||
Hubbell, Inc. | 343 | 44,727 | ||||||
111,994 | ||||||||
Electronics: 0.49% | ||||||||
Gentex Corp. | 3,083 | 75,873 | ||||||
Resideo Technologies Inc. (a) | 2,258 | 49,495 | ||||||
Taiyo Yuden Co. Ltd. (b) | 400 | 7,439 | ||||||
132,807 | ||||||||
Energy - Alternate Sources: 1.13% | ||||||||
First Solar, Inc. (a) | 4,697 | 308,499 | ||||||
Engineering & Construction: 6.39% | ||||||||
Aena SME SA (b) | 234 | 46,378 | ||||||
CIMIC Group Ltd. (b) | 1,999 | 62,830 | ||||||
Frontdoor, Inc. (a) | 14,789 | 644,061 |
The accompanying notes are an integral part of these financial statements.
46 | | LoCorr Dynamic Equity Fund - Schedule of Investments (continued) |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
MasTec, Inc. (a) | 19,368 | $ | 998,033 | |||||
1,751,302 | ||||||||
Entertainment: 3.95% | ||||||||
Madison Square Garden Co. (a) | 1,337 | 374,280 | ||||||
Marriott Vacations Worldwide Corp. | 7,345 | 708,058 | ||||||
1,082,338 | ||||||||
Food: 0.89% | ||||||||
Chocoladefabriken Lindt & Spruengli AG (b) | 10 | 72,782 | ||||||
Sprouts Farmers Market, Inc. (a) | 2,090 | 39,480 | ||||||
US Foods Holding Corp. (a) | 1,897 | 67,837 | ||||||
Wesfarmers Ltd. (b) | 2,488 | 63,161 | ||||||
243,260 | ||||||||
Hand & Machine Tools: 0.02% | ||||||||
Regal Beloit Corp. | 79 | 6,455 | ||||||
Healthcare - Products: 0.41% | ||||||||
GN Store Nord AS (b) | 1,430 | 66,727 | ||||||
Masimo Corp. (a) | 311 | 46,283 | ||||||
113,010 | ||||||||
Healthcare - Services: 0.26% | ||||||||
Molina Healthcare, Inc. (a) | 492 | 70,425 | ||||||
Holding Companies - Diversified: 0.39% | ||||||||
CK Hutchison Holdings Ltd. (b) | 4,500 | 44,357 | ||||||
Swire Pacific Ltd. A (b) | 500 | 6,145 | ||||||
Swire Pacific Ltd. B (b) | 30,000 | 56,838 | ||||||
107,340 | ||||||||
Home Builders: 0.39% | ||||||||
Haseko Corp. (b) | 1,700 | 17,187 | ||||||
NVR, Inc. (a) | 13 | 43,813 | ||||||
PulteGroup, Inc. | 1,477 | 46,703 | ||||||
107,703 | ||||||||
Home Furnishings: 0.07% | ||||||||
Rational AG (b) | 26 | 17,901 | ||||||
Household Products & Wares: 0.17% | ||||||||
Henkel AG & Co KGaA (b) | 504 | 46,278 | ||||||
Housewares: 0.24% | ||||||||
Toro Co. | 973 | 65,094 | ||||||
Insurance: 2.04% | ||||||||
Allianz (b) | 304 | 73,284 | ||||||
Dai-ichi Life Holdings, Inc. (b) | 4,800 | 72,346 | ||||||
Fidelity National Financial, Inc. | 1,141 | 45,982 | ||||||
First American Financial Corp. | 1,294 | 69,488 | ||||||
Hannover Rueck SE (b) | 289 | 46,730 | ||||||
MS&AD Insurance Group Holdings, Inc. (b) | 1,300 | 41,237 | ||||||
Old Republic International Corp. | 3,219 | 72,041 | ||||||
Reinsurance Group of America, Inc. | 425 | 66,313 | ||||||
Tokio Marine Holdings, Inc. (b) | 1,400 | 70,107 | ||||||
557,528 | ||||||||
Internet: 0.84% | ||||||||
CDW Corp. | 664 | 73,704 | ||||||
EBAY, Inc. | 1,230 | 48,585 | ||||||
Kakaku.com, Inc. (b) | 3,300 | 63,665 | ||||||
Twitter, Inc. (a) | 1,272 | 44,393 | ||||||
230,347 | ||||||||
Investment Companies: 0.27% | ||||||||
EXOR NV (b) | 1,057 | 74,038 | ||||||
Iron & Steel: 0.70% | ||||||||
BlueScope Steel Ltd. (b) | 6,767 | 57,247 | ||||||
Commercial Metals Co. | 4,704 | 83,966 |
The accompanying notes are an integral part of these financial statements.
LoCorr Dynamic Equity Fund - Schedule of Investments (continued) | | 47 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Steel Dynamics, Inc. | 1,671 | $ | 50,464 | |||||
191,677 | ||||||||
Leisure Time: 0.94% | ||||||||
Callaway Golf Co. | 15,068 | 258,567 | ||||||
Lodging: 1.46% | ||||||||
Extended Stay America, Inc. | 18,688 | 315,640 | ||||||
Wyndham Hotels & Resorts, Inc. | 1,532 | 85,394 | ||||||
401,034 | ||||||||
Machinery - Diversified: 0.28% | ||||||||
Atlas Copco AB (b) | 2,633 | 75,535 | ||||||
Media: 0.88% | ||||||||
DISH Network Corp. (a) | 4,379 | 168,197 | ||||||
Mediaset SpA (a)(b) | 10,699 | 34,977 | ||||||
RTL Group SA (b) | 767 | 39,282 | ||||||
242,456 | ||||||||
Mining: 0.61% | ||||||||
BHP Group Ltd. (b) | 1,223 | 35,340 | ||||||
Boliden AB (b) | 2,333 | 59,656 | ||||||
Rio Tinto Ltd. (b) | 999 | 72,772 | ||||||
167,768 | ||||||||
Miscellaneous Manufacturing: 0.35% | ||||||||
Carlisle Cos., Inc. | 363 | 50,969 | ||||||
Nikon Corp. (b) | 3,100 | 43,820 | ||||||
94,789 | ||||||||
Oil & Gas: 1.52% | ||||||||
Apache Corp. | 3,002 | 86,968 | ||||||
Cabot Oil & Gas Corp. | 2,305 | 52,923 | ||||||
ConocoPhillips | 704 | 42,944 | ||||||
Devon Energy Corp. | 1,262 | 35,992 | ||||||
Equinor ASA (b) | 2,240 | 44,233 | ||||||
HollyFrontier Corp. | 1,433 | 66,319 | ||||||
Northern Oil and Gas, Inc. (a) | 9,011 | 17,391 | ||||||
Range Resources Corp. | 10,077 | 70,337 | ||||||
417,107 | ||||||||
Packaging & Containers: 1.56% | ||||||||
Berry Global Group, Inc. (a) | 920 | 48,383 | ||||||
Graphic Packaging Holding Co. | 23,657 | 330,725 | ||||||
Silgan Holdings, Inc. | 1,545 | 47,277 | ||||||
426,385 | ||||||||
Pharmaceuticals: 1.00% | ||||||||
Astellas Pharma, Inc. (b) | 4,700 | 66,916 | ||||||
Eisai Co. Ltd. (b) | 900 | 50,845 | ||||||
Nektar Therapeutics (a) | 1,968 | 70,021 | ||||||
Shionogi & Co. Ltd. (b) | 600 | 34,554 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. . (b) | 2,800 | 53,058 | ||||||
275,394 | ||||||||
Real Estate: 0.24% | ||||||||
Fastighets AB Balder (a)(b) | 1,997 | 66,881 | ||||||
Retail: 4.65% | ||||||||
Advance Auto Parts, Inc. | 2,938 | 452,863 | ||||||
Bloomin’ Brands, Inc. | 8,751 | 165,481 | ||||||
Children’s Place, Inc. | 931 | 88,799 | ||||||
FamilyMart UNY Holdings Co., Ltd. (b) | 1,800 | 42,940 | ||||||
Foot Locker, Inc. | 1,088 | 45,609 | ||||||
Lowe’s Cos., Inc. | 72 | 7,266 | ||||||
Michaels Companies, Inc. (a) | 4,711 | 40,986 | ||||||
RH (a) | 1,596 | 184,498 | ||||||
Ross Stores, Inc. | 740 | 73,349 | ||||||
Sugi Holdings Co. Ltd. (b) | 900 | 42,489 | ||||||
Sundrug Co., Ltd. (b) | 1,500 | 40,569 | ||||||
TJX Cos., Inc. | 878 | 46,429 |
The accompanying notes are an integral part of these financial statements.
48 | | LoCorr Dynamic Equity Fund - Schedule of Investments (continued) |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Urban Outfitters, Inc. (a) | 1,877 | $ | 42,702 | |||||
1,273,980 | ||||||||
Semiconductors: 2.06% | ||||||||
Advantest Corp. (b) | 2,500 | 68,752 | ||||||
Applied Materials, Inc. | 640 | 28,742 | ||||||
Broadcom, Inc. | 164 | 47,209 | ||||||
Microchip Technology, Inc. | 1,041 | 90,255 | ||||||
Micron Technology, Inc. (a) | 1,626 | 62,747 | ||||||
NXP Semiconductors NV (b) | 683 | 66,668 | ||||||
ON Semiconductor Corp. (a) | 2,834 | 57,275 | ||||||
Skyworks Solutions, Inc. | 1,186 | 91,642 | ||||||
Ultra Clean Holdings, Inc. (a) | 3,667 | 51,045 | ||||||
564,335 | ||||||||
Software: 2.44% | ||||||||
Activision Blizzard, Inc. | 1,033 | 48,758 | ||||||
Amadeus IT Group SA (b) | 887 | 70,260 | ||||||
Cadence Design System, Inc. (a) | 1,034 | 73,218 | ||||||
Capcom Co. Ltd. (b) | 1,900 | 38,100 | ||||||
Electronic Arts, Inc. (a) | 444 | 44,959 | ||||||
Intuit, Inc. | 184 | 48,085 | ||||||
Take-Two Interactive Software, Inc. (a) | 2,328 | 264,298 | ||||||
Verra Mobility Corp. (a) | 6,111 | 79,993 | ||||||
667,671 | ||||||||
Telecommunications: 2.41% | ||||||||
Intelsat SA (a)(b) | 21,757 | 423,174 | ||||||
Nippon Telegraph & Telephone Corp. (b) | 1,600 | 74,453 | ||||||
SES SA (b) | 5,612 | 87,744 | ||||||
Telenor ASA (b) | 3,504 | 74,389 | ||||||
659,760 | ||||||||
Toys, Games & Hobbies: 0.65% | ||||||||
Nintendo Co. Ltd. (b) | 484 | 177,277 | ||||||
Transportation: 0.23% | ||||||||
Schneider National, Inc. | 847 | 15,449 | ||||||
Tidewater, Inc. (a) | 1,976 | 46,396 | ||||||
61,845 | ||||||||
TOTAL COMMON STOCKS (Cost $18,078,381) | 20,363,752 | |||||||
REAL ESTATE INVESTMENT TRUSTS: 2.34% | ||||||||
Apartment Investment & Management Co. | 1,342 | 67,261 | ||||||
Apple Hospitality REIT, Inc. | 2,832 | 44,916 | ||||||
Champion Real Estate (b) | 70,000 | 58,336 | ||||||
Douglas Emmett, Inc. | 1,736 | 69,162 | ||||||
Equity Commonwealth | 1,330 | 43,252 | ||||||
Equity LifeStyle Properties, Inc. | 605 | 73,411 | ||||||
Host Hotels & Resorts, Inc. | 2,186 | 39,829 | ||||||
Outfront Media, Inc. | 3,303 | 85,184 | ||||||
VICI Properties, Inc. | 5,659 | 124,724 | ||||||
Weingarten Realty Investors | 1,278 | 35,043 | ||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $612,319) | 641,118 | |||||||
SHORT TERM INVESTMENT: 13.55% | ||||||||
MONEY MARKET FUND: 13.55% | ||||||||
STIT-Government & Agency Portfolio, Institutional Class, 2.26% (c) | 3,711,070 | 3,711,070 | ||||||
TOTAL MONEY MARKET FUND (Cost $3,711,070) | 3,711,070 | |||||||
TOTAL SHORT TERM INVESTMENT (Cost $3,711,070) | 3,711,070 | |||||||
TOTAL INVESTMENTS (Cost $22,401,770): 90.22% | 24,715,940 | |||||||
Other Assets in Excess of Liabilities: 9.78% (d) | 2,679,630 | |||||||
TOTAL NET ASSETS: 100.00% | $ | 27,395,570 |
(a) Non-dividend income producing security.
(b) Foreign issued security.
(c) The rate quoted is the annualized seven-day effective yield as of June 30, 2019.
(d) Includes assets pledged as collateral for securities sold short and futures contracts.
ADR American Depositary Receipt
The accompanying notes are an integral part of these financial statements.
LoCorr Dynamic Equity Fund - Schedule of Securities Sold Short | | 49 |
Shares | Value | |||||||
COMMON STOCKS: (29.52)% | ||||||||
Aerospace & Defense: (0.59)% | ||||||||
General Dynamics Corp. | (330 | ) | $ | (60,001 | ) | |||
Saab AB (b) | (205 | ) | (6,671 | ) | ||||
TransDigm Group, Inc. (a) | (86 | ) | (41,607 | ) | ||||
United Technologies Corp. | (413 | ) | (53,773 | ) | ||||
(162,052 | ) | |||||||
Apparel: (0.14)% | ||||||||
ASICS Corp. (b) | (3,400 | ) | (36,802 | ) | ||||
Auto Manufacturers: (0.66)% | ||||||||
Daimler AG(b) | (901 | ) | (50,125 | ) | ||||
PACCAR, Inc. | (1,237 | ) | (88,643 | ) | ||||
Tesla Motors, Inc. (a) | (183 | ) | (40,893 | ) | ||||
(179,661 | ) | |||||||
Banks: (0.62)% | ||||||||
Banco BPM SpA (a)(b) | (20,998 | ) | (42,740 | ) | ||||
Goldman Sachs Group, Inc. | (210 | ) | (42,966 | ) | ||||
Unione di Banche Italiane SpA (b) | (15,686 | ) | (42,808 | ) | ||||
Yamaguchi Financial Group, Inc. (b) | (6,000 | ) | (40,959 | ) | ||||
(169,473 | ) | |||||||
Beverages: (0.46)% | ||||||||
Brown-Forman Corp. | (1,528 | ) | (84,697 | ) | ||||
Coca-Cola Bottlers Japan Holdings, Inc. (b) | (1,600 | ) | (40,499 | ) | ||||
(125,196 | ) | |||||||
Biotechnology: (0.67)% | ||||||||
Alnylam Pharmaceuticals, Inc. (a) | (619 | ) | (44,915 | ) | ||||
Bluebird Bio, Inc. (a) | (350 | ) | (44,520 | ) | ||||
Sage Therapeutics, Inc. (a) | (334 | ) | (61,152 | ) | ||||
Seattle Genetics, Inc. (a) | (491 | ) | (33,982 | ) | ||||
(184,569 | ) | |||||||
Building Materials: (0.22)% | ||||||||
Armstrong World Industries, Inc. | (492 | ) | (47,822 | ) | ||||
TOTO Ltd. (b) | (300 | ) | (11,840 | ) | ||||
(59,662 | ) | |||||||
Chemicals: (1.44)% | ||||||||
Albemarle Corp. | (677 | ) | (47,668 | ) | ||||
Ashland Global Holdings, Inc. | (505 | ) | (40,385 | ) | ||||
International Flavors & Fragrances, Inc. | (1,236 | ) | (179,331 | ) | ||||
OCI Co. Ltd. (a)(b) | (1,481 | ) | (40,653 | ) | ||||
Umicore SA(b) | (1,318 | ) | (42,263 | ) | ||||
Yara International ASA (b) | (883 | ) | (42,833 | ) | ||||
(393,133 | ) | |||||||
Commercial Services: (1.28)% | ||||||||
2U, Inc. (a) | (1,027 | ) | (38,656 | ) | ||||
Atlantia SpA (b) | (1,525 | ) | (39,728 | ) | ||||
Macquarie Infrastructure Corp. | (960 | ) | (38,918 | ) | ||||
Robert Half International, Inc. | (1,702 | ) | (97,031 | ) | ||||
Service Corp International, Inc. | (2,953 | ) | (138,141 | ) | ||||
(352,474 | ) | |||||||
Computers: (0.21)% | ||||||||
NCR Corp. (a) | (1,818 | ) | (56,540 | ) | ||||
Cosmetics & Personal Care: (0.14)% | ||||||||
Shiseido Co. Ltd. (b) | (500 | ) | (37,662 | ) | ||||
50 | | LoCorr Dynamic Equity Fund - Schedule of Securities Sold Short (continued) |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Distribution & Wholesale: (0.66)% | ||||||||
Fastenal Company | (2,599 | ) | $ | (84,701 | ) | |||
Watsco, Inc. | (588 | ) | (96,156 | ) | ||||
(180,857 | ) | |||||||
Diversified Financial Services: (1.20)% | ||||||||
Aiful Corp. (a)(b) | (22,500 | ) | (45,912 | ) | ||||
CME Group, Inc. | (118 | ) | (22,905 | ) | ||||
Credit Acceptance Corp. (a) | (60 | ) | (29,030 | ) | ||||
Evercore Partners, Inc. | (444 | ) | (39,325 | ) | ||||
Interactive Brokers Group, Inc. | (989 | ) | (53,604 | ) | ||||
Nomura Holdings, Inc. (b) | (14,800 | ) | (52,081 | ) | ||||
SBI Holdings, Inc. (b) | (1,900 | ) | (47,000 | ) | ||||
Virtu Financial, Inc. | (1,810 | ) | (39,422 | ) | ||||
(329,279 | ) | |||||||
Electric: (0.63)% | ||||||||
Dominion Energy, Inc. | (510 | ) | (39,433 | ) | ||||
Entergy Corp. | (395 | ) | (40,657 | ) | ||||
Sempra Energy | (435 | ) | (59,786 | ) | ||||
Vistra Energy Corp. | (1,481 | ) | (33,530 | ) | ||||
(173,406 | ) | |||||||
Electrical Components & Equipment: (0.41)% | ||||||||
Energizer Holdings, Inc. | (941 | ) | (36,360 | ) | ||||
Generac Holdings, Inc. (a) | (453 | ) | (31,443 | ) | ||||
Prysmian SpA (b) | (2,217 | ) | (45,755 | ) | ||||
(113,558 | ) | |||||||
Electronics: (0.67)% | ||||||||
Badger Meter, Inc. | (71 | ) | (4,238 | ) | ||||
Flex Ltd. (a)(b) | (5,149 | ) | (49,276 | ) | ||||
Fujitsu General Ltd. (b) | (3,900 | ) | (61,928 | ) | ||||
Hirose Electric Co. Ltd. (b) | (100 | ) | (11,149 | ) | ||||
Ibiden Co. Ltd. (b) | (3,200 | ) | (55,977 | ) | ||||
(182,568 | ) | |||||||
Energy - Alternate Sources: (0.23)% | ||||||||
First Solar, Inc. (a) | (960 | ) | (63,053 | ) | ||||
Engineering & Construction: (0.98)% | ||||||||
Boskalis Westminster (b) | (2,151 | ) | (49,676 | ) | ||||
Cellnex Telecom SA (b) | (1,129 | ) | (41,774 | ) | ||||
Ferrovial SA (b) | (1,600 | ) | (40,954 | ) | ||||
Jacobs Engineering Group, Inc. | (526 | ) | (44,389 | ) | ||||
JGC Corp. (b) | (3,600 | ) | (49,351 | ) | ||||
SNC-Lavalin Group, Inc. (b) | (2,135 | ) | (43,171 | ) | ||||
(269,315 | ) | |||||||
Entertainment: (0.79)% | ||||||||
International Game Technology PLC (b) | (4,003 | ) | (51,919 | ) | ||||
Sega Sammy Holdings, Inc. (b) | (4,400 | ) | (53,421 | ) | ||||
Six Flags Entertainment Corp. | (774 | ) | (38,452 | ) | ||||
Vail Resorts, Inc. | (329 | ) | (73,426 | ) | ||||
(217,218 | ) | |||||||
Environmental Control: (0.14)% | ||||||||
Stericycle, Inc. (a) | (810 | ) | (38,678 | ) | ||||
Food: (0.63)% | ||||||||
Campbell Soup Co. | (1,092 | ) | (43,756 | ) | ||||
Conagra Brands, Inc. | (1,929 | ) | (51,157 | ) | ||||
Metro, Inc. CN (b) | (1,054 | ) | (39,551 | ) | ||||
Shufersal Ltd. (b) | (5,855 | ) | (38,964 | ) | ||||
(173,428 | ) | |||||||
Food Service: (0.18)% | ||||||||
Aramark | (1,375 | ) | (49,583 | ) |
The accompanying notes are an integral part of these financial statements.
LoCorr Dynamic Equity Fund - Schedule of Securities Sold Short (continued) | | 51 |
Shares | Value | ||||||||
COMMON STOCKS (continued) | |||||||||
Forest Products & Paper: (0.14)% | |||||||||
Nippon Paper Industries Co. Ltd. (b) | (2,200 | ) | $ | (38,933 | ) | ||||
Gas: (0.12)% | |||||||||
NiSource, Inc. | (1,140 | ) | (32,832 | ) | |||||
Hand & Machine Tools: (0.16)% | |||||||||
Colfax Corp. (a) | (1,555 | ) | (43,587 | ) | |||||
Healthcare - Products: (0.90)% | |||||||||
Align Technology, Inc. (a) | (381 | ) | (104,280 | ) | |||||
Cantel Medical Corp. | (83 | ) | (6,693 | ) | |||||
Insulet Corp. (a) | (516 | ) | (61,600 | ) | |||||
iRhythm Technologies, Inc. (a) | (858 | ) | (67,851 | ) | |||||
Siemens Healthineers AG (b) | (148 | ) | (6,245 | ) | |||||
(246,669 | ) | ||||||||
Healthcare - Services: (0.22)% | |||||||||
Acadia Healthcare Co., Inc. (a) | (1,229 | ) | (42,954 | ) | |||||
Quest Diagnostics, Inc. | (177 | ) | (18,020 | ) | |||||
(60,974 | ) | ||||||||
Household Products & Wares: (0.68)% | |||||||||
Avery Dennison Corp. | (851 | ) | (98,444 | ) | |||||
Clorox Co. | (574 | ) | (87,885 | ) | |||||
(186,329 | ) | ||||||||
Insurance: (1.01)% | |||||||||
American International Group, Inc. | (1,105 | ) | (58,874 | ) | |||||
American National Insurance Co. | (327 | ) | (38,086 | ) | |||||
Assured Guaranty Ltd. (b) | (912 | ) | (38,377 | ) | |||||
Axis Capital Holdings Ltd. (b) | (670 | ) | (39,966 | ) | |||||
Markel Corp. (a) | (37 | ) | (40,315 | ) | |||||
White Mountains Insurance Group Ltd. (b) | (59 | ) | (60,266 | ) | |||||
(275,884 | ) | ||||||||
Internet: (1.56)% | |||||||||
CyberAgent, Inc. (b) | (1,300 | ) | (47,085 | ) | |||||
Delivery Hero SE (a)(b) | (1,250 | ) | (56,699 | ) | |||||
Etsy, Inc. (a) | (1,559 | ) | (95,676 | ) | |||||
FireEye, Inc. (a) | (2,574 | ) | (38,121 | ) | |||||
GrubHub, Inc. (a) | (600 | ) | (46,794 | ) | |||||
Uber Technologies, Inc. (a) | (894 | ) | (41,464 | ) | |||||
Wayfair, Inc. (a) | (351 | ) | (51,246 | ) | |||||
Zillow Group, Inc. Class A (a) | (249 | ) | (11,394 | ) | |||||
Zillow Group, Inc. Class C (a) | (848 | ) | (39,339 | ) | |||||
(427,818 | ) | ||||||||
Investment Companies: (0.33)% | |||||||||
Kinnevik AB (b) | (1,526 | ) | (39,686 | ) | |||||
Melrose Industries PLC (b) | (22,029 | ) | (50,594 | ) | |||||
(90,280 | ) | ||||||||
Iron & Steel: (0.54)% | |||||||||
Reliance Steel & Aluminum Co. | (1,036 | ) | (98,026 | ) | |||||
Thyssenkrupp AG (b) | (3,529 | ) | (51,465 | ) | |||||
(149,491 | ) | ||||||||
Leisure Time: (0.03)% | |||||||||
Acushnet Holdings Corp. | (318 | ) | (8,351 | ) | |||||
Lodging: (0.54)% | |||||||||
Choice Hotels International, Inc. | (510 | ) | (44,375 | ) | |||||
City Developments Ltd. (b) | (5,600 | ) | (39,196 | ) | |||||
Kyoritsu Maintenance Co. Ltd. (b) | (200 | ) | (9,331 | ) | |||||
SJM Holdings Ltd. (b) | (6,000 | ) | (6,828 | ) |
52 | | LoCorr Dynamic Equity Fund - Schedule of Securities Sold Short (continued) |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Wyndham Hotels & Resorts, Inc. | (873 | ) | $ | (48,661 | ) | |||
(148,391 | ) | |||||||
Machinery - Diversified: (0.98)% | ||||||||
Deere & Co. | (880 | ) | (145,826 | ) | ||||
Graco, Inc. | (505 | ) | (25,341 | ) | ||||
Wabtec Corp. | (762 | ) | (54,678 | ) | ||||
Welbilt, Inc. (a) | (2,484 | ) | (41,483 | ) | ||||
(267,328 | ) | |||||||
Media: (0.45)% | ||||||||
Disney Walt Co. | (277 | ) | (38,680 | ) | ||||
New York Times Co. | (2,594 | ) | (84,616 | ) | ||||
(123,296 | ) | |||||||
Metal Fabricate & Hardware: (0.14)% | ||||||||
MISUMI Group, Inc. (b) | (1,500 | ) | (37,592 | ) | ||||
Mining: (0.67)% | ||||||||
Dowa Holdings Co. Ltd. (b) | (1,700 | ) | (54,478 | ) | ||||
Freeport-McMoRan, Inc. | (3,824 | ) | (44,397 | ) | ||||
Mitsui Mining & Smelting Co. Ltd. (b) | (1,900 | ) | (45,396 | ) | ||||
Wheaton Precious Metals Corp. (b) | (1,615 | ) | (39,057 | ) | ||||
(183,328 | ) | |||||||
Miscellaneous Manufacturing: (0.75)% | ||||||||
Axon Enterprise, Inc. (a) | (1,644 | ) | (105,561 | ) | ||||
General Electric Co. | (5,553 | ) | (58,307 | ) | ||||
Trinity Industries, Inc. | (2,037 | ) | (42,268 | ) | ||||
(206,136 | ) | |||||||
Oil & Gas: (0.30)% | ||||||||
Concho Resources, Inc. | (385 | ) | (39,724 | ) | ||||
Diamondback Energy, Inc. | (385 | ) | (41,953 | ) | ||||
(81,677 | ) | |||||||
Pharmaceuticals: (0.73)% | ||||||||
Agios Pharmaceuticals, Inc. (a) | (856 | ) | (42,697 | ) | ||||
Bayer AG (b) | (769 | ) | (53,288 | ) | ||||
CVS Health Corp. | (715 | ) | (38,960 | ) | ||||
Sarepta Therapeutics, Inc. (a) | (309 | ) | (46,953 | ) | ||||
Teva Pharmaceutical Industries Ltd. (a)(b) | (2,034 | ) | (18,637 | ) | ||||
(200,535 | ) | |||||||
Pipelines: (0.15)% | ||||||||
Targa Resources Corp. | (1,064 | ) | (41,773 | ) | ||||
Real Estate: (0.76)% | ||||||||
Howard Hughes Corp. (a) | (371 | ) | (45,945 | ) | ||||
Nomura Real Estate Holdings, Inc. (b) | (1,900 | ) | (40,814 | ) | ||||
Sino Land Co. Ltd. (b) | (4,000 | ) | (6,708 | ) | ||||
Tokyu Fudosan Holdings Corp. (b) | (10,000 | ) | (55,187 | ) | ||||
UOL Group Ltd. (b) | (10,600 | ) | (59,150 | ) | ||||
(207,804 | ) | |||||||
Retail: (2.23)% | ||||||||
Canadian Tire Corp Ltd. (b) | (359 | ) | (39,114 | ) | ||||
CarMax, Inc. (a) | (503 | ) | (43,675 | ) | ||||
Carvana Co. (a) | (141 | ) | (8,825 | ) | ||||
Cracker Barrel Old Country Store, Inc. | (562 | ) | (95,950 | ) | ||||
Floor & Decor Holdings, Inc. (a) | (820 | ) | (34,358 | ) | ||||
Home Depot, Inc. | (422 | ) | (87,763 | ) | ||||
Marui Group Co Ltd. (b) | (1,700 | ) | (34,594 | ) | ||||
McDonald’s Corp. | (211 | ) | (43,816 | ) | ||||
Regis Corp. (a) | (6,265 | ) | (104,000 | ) | ||||
Texas Roadhouse, Inc. | (1,280 | ) | (68,698 | ) | ||||
Tiffany & Co. | (427 | ) | (39,984 | ) | ||||
Zalando SE (a)(b) | (207 | ) | (9,185 | ) | ||||
(609,962 | ) |
The accompanying notes are an integral part of these financial statements.
LoCorr Dynamic Equity Fund - Schedule of Securities Sold Short (continued) | | 53 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Semiconductors: (0.69)% | ||||||||
Marvell Technology Group Ltd. (b) | (1,649 | ) | $ | (39,362 | ) | |||
Microchip Technology, Inc. | (597 | ) | (51,760 | ) | ||||
Teradyne, Inc. | (2,062 | ) | (98,790 | ) | ||||
(189,912 | ) | |||||||
Software: (0.55)% | ||||||||
Appian Corp. (a) | (1,249 | ) | (45,051 | ) | ||||
DocuSign, Inc. (a) | (1,027 | ) | (51,052 | ) | ||||
PTC, Inc. (a) | (78 | ) | (7,001 | ) | ||||
Worldline SA (a)(b) | (659 | ) | (47,958 | ) | ||||
(151,062 | ) | |||||||
Telecommunications: (0.74)% | ||||||||
Tele2 AB (b) | (2,818 | ) | (41,119 | ) | ||||
Telecom Italia SpA (a)(b) | (77,332 | ) | (42,226 | ) | ||||
Telia Co. AB (b) | (7,455 | ) | (33,108 | ) | ||||
Verizon Communications, Inc. | (1,495 | ) | (85,409 | ) | ||||
(201,862 | ) | |||||||
Toys, Games & Hobbies: (0.19)% | ||||||||
Mattel, Inc. (a) | (3,932 | ) | (44,078 | ) | ||||
Sanrio Co. Ltd. (b) | (400 | ) | (8,878 | ) | ||||
(52,956 | ) | |||||||
Transportation: (1.00)% | ||||||||
Kirby Corp. (a) | (674 | ) | (53,246 | ) | ||||
Landstar System, Inc. | (422 | ) | (45,572 | ) | ||||
Mitsui OSK Lines Ltd. (b) | (2,200 | ) | (52,625 | ) | ||||
Nippon Yusen KK (b) | (3,400 | ) | (54,525 | ) | ||||
Nishi-Nippon Railroad Co Ltd. (b) | (2,200 | ) | (46,932 | ) | ||||
United Parcel Service, Inc. | (200 | ) | (20,654 | ) | ||||
(273,554 | ) | |||||||
TOTAL COMMON STOCKS (Proceeds $7,808,733) | (8,086,483 | ) | ||||||
EXCHANGE TRADED FUNDS: (0.64)% | ||||||||
iShares Russell 2000 | (569 | ) | (88,480 | ) | ||||
SPDR S&P500 Trust | (300 | ) | (87,900 | ) | ||||
TOTAL EXCHANGE TRADED FUNDS (Proceeds $173,840) | (176,380 | ) | ||||||
REAL ESTATE INVESTMENT TRUSTS: (2.39)% | ||||||||
AGNC Investment Corp. | (2,329 | ) | (39,174 | ) | ||||
Alexandria Real Estate Equities, Inc. | (260 | ) | (36,683 | ) | ||||
Annaly Capital Management, Inc. | (4,404 | ) | (40,209 | ) | ||||
Colony Capital, Inc. | (10,308 | ) | (51,540 | ) | ||||
CyrusOne, Inc. | (920 | ) | (53,102 | ) | ||||
Digital Realty Trust, Inc. | (468 | ) | (55,126 | ) | ||||
Equinix, Inc. | (68 | ) | (34,292 | ) | ||||
Iron Mountain, Inc. | (1,218 | ) | (38,123 | ) | ||||
Macerich Co. | (1,309 | ) | (43,838 | ) | ||||
New Residential Investment Corp. | (2,510 | ) | (38,629 | ) | ||||
Omega Healthcare Investors, Inc. | (1,093 | ) | (40,168 | ) | ||||
Realty Income Corp. | (527 | ) | (36,347 | ) | ||||
Retail Value, Inc. | (672 | ) | (23,386 | ) | ||||
SL Green Realty Corp. | (420 | ) | (33,755 | ) | ||||
Unibail-Rodamco-Westfield (b) | (330 | ) | (49,438 | ) | ||||
Uniti Group, Inc. | (4,236 | ) | (40,242 | ) | ||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Proceeds $711,986) | (654,052 | ) | ||||||
TOTAL SECURITIES SOLD SHORT (Proceeds $8,694,559): (32.55)% | $ | (8,916,915 | ) |
Percentages are stated as a percent of net assets.
(a) Non-dividend expense producing security.
(b) Foreign issued security.
The accompanying notes are an integral part of these financial statements.
54 | | LoCorr Dynamic Equity Fund - Schedule of Open Futures Contracts |
LoCorr Dynamic Equity Fund
Schedule of Open Futures Contracts
June 30, 2019 (Unaudited)
Value | ||||||||||||||||||||||||
Description | Number of Contracts Purchased (Sold) | Settlement Month-Year | Current Notional Amount | Value at Trade Date | Unrealized Appreciation | Unrealized (Depreciation) | ||||||||||||||||||
Purchase Contract: | ||||||||||||||||||||||||
MSCI World Index | 68 | Sep-19 | $ | 4,318,000 | $ | 4,238,557 | $ | 79,443 | $ | — | ||||||||||||||
Total Purchase Contract | 79,443 | — | ||||||||||||||||||||||
Sale Contract: | ||||||||||||||||||||||||
S&P 500 E-Mini Index | (4 | ) | Sep-19 | $ | 588,840 | $ | 591,122 | $ | 2,282 | $ | — | |||||||||||||
Total Sales Contract | 2,282 | — | ||||||||||||||||||||||
Total Futures Contracts | $ | 81,725 | $ | — | ||||||||||||||||||||
Net Unrealized Appreciation | $ | 81,725 |
The accompanying notes are an integral part of these financial statements.
LoCorr Spectrum Income Fund - Schedule of Investments | | 55 |
LoCorr Spectrum Income Fund
Composition of Investment Portfolio1
June 30, 2019 (Unaudited)
1 As a percentage of total investments.
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Value | |||||||
BUSINESS DEVELOPMENT COMPANIES: 7.21% | ||||||||
Ares Capital Corp. | 81,233 | $ | 1,457,320 | |||||
BlackRock TCP Capital Corp. | 51,024 | 727,092 | ||||||
Hercules Capital, Inc. | 113,528 | 1,455,429 | ||||||
Newtek Business Services Corp. | 80,744 | 1,857,112 | ||||||
TOTAL BUSINESS DEVELOPMENT COMPANIES (Cost $5,139,209) | 5,496,953 | |||||||
CLOSED-END INVESTMENT COMPANIES: 9.40% | ||||||||
Aberdeen Asia-Pacific Income Fund, Inc. | 195,748 | 818,227 | ||||||
AllianceBernstein Global High Income Fund, Inc. | 60,622 | 714,127 | ||||||
Eaton Vance Municipal Bond Fund | 66,065 | 821,188 | ||||||
Invesco Trust for Investment Grade Municipals | 110,515 | 1,400,225 | ||||||
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | 122,954 | 849,612 | ||||||
Nuveen Global High Income Fund | 46,737 | 723,021 | ||||||
Nuveen Quality Municipal Income Fund | 79,444 | 1,112,216 | ||||||
Western Asset Emerging Markets Debt Fund, Inc. | 50,903 | 728,931 | ||||||
TOTAL CLOSED-END INVESTMENT COMPANIES (Cost $6,713,141) | 7,167,547 | |||||||
COMMON STOCKS: 27.19% | ||||||||
Advertising: 0.71% | ||||||||
National CineMedia, Inc. | ||||||||
82,353 | 540,236 | |||||||
Commercial Services: 1.09% | ||||||||
Macquarie Infrastructure Corp. | 20,492 | 830,746 | ||||||
Electric: 1.22% | ||||||||
Atlantica Yield PLC (a) | 41,076 | 931,193 | ||||||
Energy - Alternate Sources: 4.56% | ||||||||
NextEra Energy Partners LP | 30,827 | 1,487,403 | ||||||
Pattern Energy Group, Inc. | 86,247 | 1,991,443 | ||||||
3,478,846 |
The accompanying notes are an integral part of these financial statements.
56 | | LoCorr Spectrum Income Fund - Schedule of Investments (continued) |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Insurance: 1.09% | ||||||||
AMERISAFE, Inc. | 12,996 | $ | 828,755 | |||||
Lodging: 0.98% | ||||||||
Las Vegas Sands Corp. | 12,693 | 750,029 | ||||||
Oil & Gas: 8.02% | ||||||||
BP PLC - ADR (a) | 34,219 | 1,426,932 | ||||||
Chevron Corp. | 6,000 | 746,640 | ||||||
CVR Energy, Inc. | 23,221 | 1,160,818 | ||||||
Marathon Petroleum Corp. | 12,121 | 677,321 | ||||||
Royal Dutch Shell PLC - ADR (a) | 11,484 | 747,264 | ||||||
Viper Energy Partners LP | 43,950 | 1,354,539 | ||||||
6,113,514 | ||||||||
Pipelines: 2.82% | ||||||||
EnLink Midstream LLC | 65,366 | 659,543 | ||||||
Williams Cos., Inc. | 53,084 | 1,488,475 | ||||||
2,148,018 | ||||||||
Retail: 0.09% | ||||||||
Cracker Barrel Old Country Store, Inc. | 399 | 68,121 | ||||||
Transportation: 4.77% | ||||||||
GasLog Partners LP (a) | 54,823 | 1,163,892 | ||||||
Golar LNG Partners LP (a) | 63,200 | 714,160 | ||||||
Hoegh LNG Partners LP (a) | 62,764 | 1,085,817 | ||||||
Ship Finance International Ltd. (a) | 53,570 | 670,161 | ||||||
3,634,030 | ||||||||
Trucking & Leasing: 1.84% | ||||||||
Fortress Transportation & Infrastructure Investors LLC | 92,886 | 1,402,579 | ||||||
TOTAL COMMON STOCKS (Cost $20,024,695) | 20,726,067 | |||||||
MASTER LIMITED PARTNERSHIPS: 21.99% | Units | |||||||
Coal: 1.01% | ||||||||
Alliance Resource Partners LP | 45,514 | 772,828 | ||||||
Energy - Alternate Sources: 0.97% | ||||||||
Enviva Partners LP | 23,603 | 741,606 | ||||||
Entertainment: 0.86% | ||||||||
Cedar Fair LP | 13,715 | 654,068 | ||||||
Gas: 2.14% | ||||||||
Global Partners LP | 81,959 | 1,631,804 | ||||||
Investment Companies: 2.00% | ||||||||
Icahn Enterprises LP | 21,055 | 1,524,593 | ||||||
Oil & Gas: 1.22% | ||||||||
Sunoco LP | 29,717 | 929,548 | ||||||
Oil & Gas Services: 2.15% | ||||||||
CrossAmerica Partners LP | 48,545 | 779,147 | ||||||
USA Compression Partners LP | 48,414 | 860,317 | ||||||
1,639,464 | ||||||||
Pipelines: 10.71% | ||||||||
Crestwood Equity Partners LP | 70,011 | 2,504,294 | ||||||
Delek Logistics Partners LP | 28,311 | 905,952 | ||||||
Energy Transfer LP | 99,151 | 1,396,046 | ||||||
Hess Midstream Partners LP | 33,882 | 660,699 | ||||||
MPLX LP | 45,865 | 1,476,394 | ||||||
NGL Energy Partners LP | 81,964 | 1,210,608 | ||||||
8,153,993 |
The accompanying notes are an integral part of these financial statements.
LoCorr Spectrum Income Fund - Schedule of Investments (continued) | | 57 |
Units | Value | |||||||
MASTER LIMITED PARTNERSHIPS (continued) | ||||||||
Transportation: 0.93% | ||||||||
Capital Product Partners LP (a) | 67,498 | $ | 708,729 | |||||
TOTAL MASTER LIMITED PARTNERSHIPS (Cost $13,196,294) | 16,756,633 | |||||||
PREFERRED STOCKS: 2.34% | Shares | |||||||
Pipelines: 1.22% | ||||||||
Crestwood Equity Partners LP, 9.250% | 99,680 | 928,021 | ||||||
Transportation: 1.12% | ||||||||
Hoegh LNG Partners LP, Series A, 8.750% (a) | 33,770 | 858,096 | ||||||
TOTAL PREFERRED STOCKS (Cost $1,715,458) | 1,786,117 | |||||||
PUBLICLY TRADED PARTNERSHIPS: 6.45% | Units | |||||||
Blackstone Group LP | 21,938 | 974,486 | ||||||
Brookfield Renewable Partners LP (a) | 45,532 | 1,574,952 | ||||||
Carlyle Group LP | 34,225 | 773,827 | ||||||
Compass Diversified Holdings | 47,104 | 900,157 | ||||||
Moelis & Co. | 19,777 | 691,206 | ||||||
TOTAL PUBLICLY TRADED PARTNERSHIPS (Cost $4,079,484) | 4,914,628 | |||||||
PURCHASED OPTIONS: 0.32% | Notional Amount | Number of Contracts (b) | ||||||||||
Put Options: 0.32% | ||||||||||||
iShares Russell 2000 ETF | ||||||||||||
Expiration: July 2019, Exercise Price $150.00 | $ | 7,775,000 | 500 | 40,000 | ||||||||
Expiration: August 2019, Exercise Price $140.00 | 18,660,000 | 1,200 | 64,800 | |||||||||
SPDR S&P Oil & Gas Exploration & Production ETF Expiration: September 2019, | ||||||||||||
Exercise Price $27.00 | 2,452,500 | 900 | 137,700 | |||||||||
TOTAL PURCHASED OPTIONS (Cost $488,415) | 242,500 |
REAL ESTATE INVESTMENT TRUSTS: 20.70% | Shares | |||||||
AGNC Investment Corp. | 130,765 | 2,199,466 | ||||||
Annaly Capital Management, Inc. | 224,912 | 2,053,447 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 89,434 | 1,644,691 | ||||||
CoreSite Realty Corp. | 7,211 | 830,491 | ||||||
EPR Properties | 9,128 | 680,858 | ||||||
Global Net Lease, Inc. | 78,124 | 1,532,793 | ||||||
Invesco Mortgage Capital, Inc. | 51,417 | 828,842 | ||||||
Iron Mountain, Inc. | 42,561 | 1,332,159 | ||||||
New York Mortgage Trust, Inc. | 132,404 | 820,905 | ||||||
Sabra Health Care REIT, Inc. | 40,507 | 797,583 | ||||||
Two Harbors Investment Corp. | 51,756 | 655,749 | ||||||
W P CAREY, Inc. | 11,212 | 910,190 | ||||||
Welltower, Inc. | 9,743 | 794,347 | ||||||
Weyerhaeuser Co. | 26,434 | 696,272 | ||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $16,471,883) | 15,777,793 | |||||||
SHORT TERM INVESTMENT: 6.14% | ||||||||
MONEY MARKET FUND: 6.14% | ||||||||
STIT-Government & Agency Portfolio, Institutional Class, 2.26% (c) | 4,678,454 | 4,678,454 | ||||||
TOTAL MONEY MARKET FUND (Cost $4,678,454) | 4,678,454 | |||||||
TOTAL SHORT TERM INVESTMENT (Cost $4,678,454) | 4,678,454 | |||||||
TOTAL INVESTMENTS (Cost $72,507,033): 101.74% | 77,546,692 | |||||||
Liabilities in Excess of Other Assets: (1.74)% | (1,328,448 | ) | ||||||
TOTAL NET ASSETS: 100.00% | $ | 76,218,244 |
(a) Foreign issued security.
(b) Each contract is equivalent to 100 shares of common stock.
(c) The rate quoted is the annualized seven-day effective yield as of June 30, 2019.
ADR | American Depositary Reciept |
PLC | Public Limited Company |
The accompanying notes are an integral part of these financial statements.
58 | | LoCorr Spectrum Income Fund - Schedule of Written Options |
LoCorr Spectrum Income Fund
Schedule of Written Options
June 30, 2019 (Unaudited)
Notional Amount | Number of Contracts (a) | Value | ||||||||||
WRITTEN OPTIONS: 0.12% | ||||||||||||
Call Options: 0.12% | ||||||||||||
Blackstone Group Inc. Expiration: September 2019, Exercise Price: $49.00 | $ | 972,798 | (219 | ) | $ | (8,979 | ) | |||||
Chevron Corp. Expiration: August 2019, Exercise Price: $130.00 | 746,640 | (60 | ) | (6,780 | ) | |||||||
CVR Energy, Inc. Expiration: September 2019, Exercise Price: $50.00 | 1,159,768 | (232 | ) | (58,696 | ) | |||||||
Energy Transfer LP Expiration: July 2019, Exercise Price: $16.00 | 1,395,328 | (991 | ) | (2,973 | ) | |||||||
Las Vegas Sands Corp. Expiration: August 2019, Exercise Price: $65.00 | 744,534 | (126 | ) | (8,820 | ) | |||||||
Marathon Petroleum Corp. Expiration: July 2019, Exercise Price: $60.00 | 676,148 | (121 | ) | (5,929 | ) | |||||||
Welltower, Inc. Expiration: July 2019, Exercise Price: $85.00 | 790,841 | (97 | ) | (2,425 | ) | |||||||
TOTAL WRITTEN OPTIONS (Premiums received $94,915) | $ | (94,602 | ) |
Percentages are stated as a percent of net assets.
(a) Each contract is equivalent to 100 shares of common stock.
The accompanying notes are an integral part of these financial statements.
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund - Consolidated Statements of Assets & Liabilities | | 59 |
Consolidated Statements of Assets & Liabilities
June 30, 2019 (Unaudited)
LoCorr Macro Strategies Fund | LoCorr Long/Short Commodities Strategy Fund | LoCorr Market Trend Fund | ||||||||||
Assets | ||||||||||||
Investments, at value (Cost $531,625,256, $254,134,114 and $215,227,999, respectively) | $ | 539,742,491 | $ | 258,737,972 | $ | 217,258,247 | ||||||
Cash (Note 2) | 17,500,102 | 36,272 | 16,720,000 | |||||||||
Foreign currency, at value (Cost $13,134,069, $0 and $1,123,301, respectively) | 13,234,063 | — | 1,123,301 | |||||||||
Receivable for variation margin on futures contracts | 1,699,415 | — | 1,439,593 | |||||||||
Receivable for Fund shares sold | 2,319,627 | 1,729,395 | 597,947 | |||||||||
Receivable for securities sold | 268,634 | 1,639,342 | 67,378 | |||||||||
Interest receivable | 2,922,682 | 1,328,674 | 849,227 | |||||||||
Receivable for unsettled open futures contracts | 355,266 | — | 231,036 | |||||||||
Deposits with broker for derivative instruments (Note 2) | 39,471,515 | 52,147,729 | 28,562,945 | |||||||||
Unrealized appreciation on forward currency contracts (Note 2) | 5,546,920 | — | 255,383 | |||||||||
Advance receipt on swap contracts | — | 11,034,228 | — | |||||||||
Prepaid expenses and other assets | 149,300 | 68,012 | 51,264 | |||||||||
Total Assets | 623,210,015 | 326,721,624 | 267,156,321 | |||||||||
Liabilities | ||||||||||||
Payable for Fund shares redeemed | $ | 1,079,789 | $ | 554,039 | $ | 608,786 | ||||||
Payable for securities purchased | 5,381,431 | 2,926,980 | — | |||||||||
Payable for unsettled open futures contracts | 287,286 | — | 192,056 | |||||||||
Accrued management fees (Note 5) | 859,913 | 394,789 | 323,529 | |||||||||
Accrued Trustees' fees | 12,434 | 5,001 | 7,320 | |||||||||
Accrued Rule 12b-1 fees | — | 138,723 | 141,896 | |||||||||
Unrealized depreciation on swap contracts (Note 1) | — | 2,466,015 | — | |||||||||
Unrealized depreciation on forward currency contracts (Note 2) | 9,031,139 | — | 3,516,875 | |||||||||
Accrued expenses and other liabilities | 296,704 | 92,689 | 241,261 | |||||||||
Total Liabilities | 16,948,696 | 6,578,236 | 5,031,723 | |||||||||
Net Assets | $ | 606,261,319 | $ | 320,143,388 | $ | 262,124,598 | ||||||
Net Assets Consist of: | ||||||||||||
Paid-in capital | $ | 603,425,311 | $ | 317,797,678 | $ | 297,326,271 | ||||||
Total distributable earnings/(losses) | 2,836,008 | 2,345,710 | (35,201,673 | ) | ||||||||
NET ASSETS | $ | 606,261,319 | $ | 320,143,388 | $ | 262,124,598 | ||||||
Class A Shares | ||||||||||||
Net assets | $ | 50,112,503 | $ | 63,020,742 | $ | 20,997,011 | ||||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 5,891,564 | 6,373,508 | 1,972,241 | |||||||||
Net asset value, redemption, and minimum offering price per share(a) | $ | 8.51 | $ | 9.89 | $ | 10.65 | ||||||
Maximum offering price per share ($8.51/0.9425), ($9.89/0.9425), | $ | 9.03 | $ | 10.49 | $ | 11.30 | ||||||
($10.65/0.9425), respectively(b) | ||||||||||||
Class C Shares | ||||||||||||
Net assets | $ | 45,866,956 | $ | 7,489,258 | $ | 17,958,849 | ||||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 5,649,056 | 788,141 | 1,737,772 | |||||||||
Net asset value, redemption, and offering price per share(a) | $ | 8.12 | $ | 9.50 | $ | 10.33 | ||||||
Class I Shares | ||||||||||||
Net assets | $ | 510,281,860 | $ | 249,633,388 | $ | 223,168,738 | ||||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 59,037,803 | 24,897,746 | 20,775,212 | |||||||||
Net asset value, redemption, and offering price per share | $ | 8.64 | $ | 10.03 | $ | 10.74 |
(a) | A 1.00% contingent deferred sales charge may apply to redemptions made within twelve months of purchase. The contingent deferred sales charge only applies to Class A share purchases of $1 million or more. |
(b) | On investments of $25,000 or more, the offering price is reduced. |
The accompanying notes are an integral part of these consolidated financial statements.
60 | | LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund - Statements of Assets & Liabilities |
Statements of Assets & Liabilities
June 30, 2019 (Unaudited)
LoCorr Dynamic Equity Fund | LoCorr Spectrum Income Fund | |||||||
Assets | ||||||||
Investments, at value (Cost $22,401,770 and $72,507,033, respectively) | $ | 24,715,940 | $ | 77,546,692 | ||||
Cash (Note 2) | 3,015,933 | — | ||||||
Foreign currency, at value (Cost $2,309,301 and $0, respectively) | 2,351,990 | — | ||||||
Receivable for variation margin on futures contracts | 19,903 | — | ||||||
Receivable for Fund shares sold | 167,551 | 108,753 | ||||||
Receivable for securities sold | 684,499 | 908,501 | ||||||
Dividends, interest and other receivables | 22,978 | 319,323 | ||||||
Deposits with broker for futures contracts | 336,110 | — | ||||||
Deposits with broker for securities sold short (Note 2) | 6,186,674 | — | ||||||
Prepaid expenses and other assets | 37,436 | 33,435 | ||||||
Total Assets | 37,539,014 | 78,916,704 | ||||||
Liabilities | ||||||||
Securities sold short, at value (Proceeds $8,694,559 and $0, respectively) | $ | 8,916,915 | $ | — | ||||
Options written, at value (Premiums received $0 and $94,915, respectively) | — | 94,602 | ||||||
Payable for Fund shares redeemed | 75,747 | 231,020 | ||||||
Payable for securities purchased | 1,055,298 | 1,723,860 | ||||||
Payable for distributions | — | 108,616 | ||||||
Dividend payable | 13,869 | — | ||||||
Due to broker for options | — | 326,773 | ||||||
Accrued management fees (Note 5) | 16,896 | 80,963 | ||||||
Accrued Trustees' fees | 631 | 1,681 | ||||||
Accrued Rule 12b-1 fees | 19,017 | 71,584 | ||||||
Accrued expenses and other liabilities | 45,071 | 59,361 | ||||||
Total Liabilities | 10,143,444 | 2,698,460 | ||||||
Net Assets | $ | 27,395,570 | $ | 76,218,244 | ||||
Net Assets Consist of: | ||||||||
Paid-in capital | $ | 26,796,187 | $ | 102,788,437 | ||||
Total distributable earnings/(losses) | 599,383 | (26,570,193 | ) | |||||
NET ASSETS | $ | 27,395,570 | $ | 76,218,244 | ||||
Class A Shares | ||||||||
Net assets | $ | 7,846,619 | $ | 26,036,905 | ||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 697,744 | 3,795,342 | ||||||
Net asset value, redemption, and minimum offering price per share(a) | $ | 11.25 | $ | 6.86 | (b) | |||
Maximum offering price per share ($11.25/0.9425), ($6.86/0.9425), respectively (c) | $ | 11.93 | $ | 7.28 | ||||
Class C Shares | ||||||||
Net assets | $ | 4,547,156 | $ | 19,425,633 | ||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 425,030 | 2,804,762 | ||||||
Net asset value, redemption, and offering price per share(a) | $ | 10.70 | $ | 6.93 | (b) | |||
Class I Shares | ||||||||
Net assets | $ | 15,001,795 | $ | 30,755,706 | ||||
Shares issued and outstanding (unlimited shares authorized, no par value) | 1,311,613 | 4,492,368 | ||||||
Net asset value, redemption, and offering price per share | $ | 11.44 | $ | 6.85 | (b) |
(a) | A 1.00% contingent deferred sales charge may apply to redemptions made within twelve months of purchase. The contingent deferred sales charge only applies to Class A share purchases of $1 million or more. |
(b) | Redemptions made within 60 days of purchase may be assessed a redemption fee of 2.00%. |
(c) | On investments of $25,000 or more, the offering price is reduced. |
The accompanying notes are an integral part of these financial statements.
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund - Consolidated Statements of Operations | | 61 |
Consolidated Statements of Operations
Six Months Ended June 30, 2019 (Unaudited)
LoCorr Macro Strategies Fund | LoCorr Long/Short Commodities Strategy Fund | LoCorr Market Trend Fund | ||||||||||
Investment Income | ||||||||||||
Interest income | $ | 7,691,991 | $ | 3,997,464 | $ | 3,188,827 | ||||||
Total Investment Income | 7,691,991 | 3,997,464 | 3,188,827 | |||||||||
Expenses | ||||||||||||
Management fees (Note 5) | 4,754,411 | 2,174,528 | 2,068,463 | |||||||||
Fund administration fees | 112,764 | 58,874 | 81,207 | |||||||||
Fund accounting fees | 116,484 | 78,591 | 72,129 | |||||||||
Trustees' fees | 27,367 | 12,014 | 15,574 | |||||||||
Transfer agent fees and expenses | 383,145 | 217,790 | 191,399 | |||||||||
Custodian fees | 19,445 | 8,349 | 11,447 | |||||||||
Registration expenses | 32,419 | 32,228 | 29,441 | |||||||||
Rule 12b-1 fee - Class A (Note 5) | 62,512 | 78,051 | 29,708 | |||||||||
Rule 12b-1 fee - Class C (Note 5) | 238,437 | 36,225 | 95,389 | |||||||||
Legal and audit fees | 34,630 | 19,636 | 30,846 | |||||||||
Printing and mailing expenses | 53,266 | 9,306 | 42,989 | |||||||||
Other expenses | 11,242 | 4,615 | 6,800 | |||||||||
Total expenses before fee recovery to Adviser | 5,846,122 | 2,730,207 | 2,675,392 | |||||||||
Fee recovery to Adviser (Note 5) | 188,935 | 103,619 | — | |||||||||
Net Expenses | 6,035,057 | 2,833,826 | 2,675,392 | |||||||||
Net Investment Income | 1,656,934 | 1,163,638 | 513,435 | |||||||||
Realized and Unrealized Gain (Loss) on Investments, Swap Contracts, Forward Currency Contracts, Futures Contracts and Foreign Currency Translation: | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | 692,961 | 614,946 | (252,448 | ) | ||||||||
Swap contracts | — | 615,496 | — | |||||||||
Forward currency contracts | (2,735,250 | ) | — | (1,900,758 | ) | |||||||
Futures contracts | 22,158,854 | — | 9,473,419 | |||||||||
Foreign currency translation | 972,941 | — | (38,622 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on: | — | |||||||||||
Investments | 10,773,148 | 4,676,496 | 2,617,353 | |||||||||
Swap contracts | — | (6,829,961 | ) | — | ||||||||
Forward currency contracts | (2,556,937 | ) | — | (755,268 | ) | |||||||
Futures contracts | 9,874,681 | — | 18,020,012 | |||||||||
Foreign currency translation | (138,840 | ) | — | — | ||||||||
Net realized and unrealized gain (loss) | 39,041,558 | (923,023 | ) | 27,163,688 | ||||||||
Net Increase in Net Assets Resulting From Operations | $ | 40,698,492 | $ | 240,615 | $ | 27,677,123 |
The accompanying notes are an integral part of these consolidated financial statements.
62 | | LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund - Statements of Operations |
Statements of Operations
Six Months Ended June 30, 2019 (Unaudited)
LoCorr Dynamic Equity Fund | LoCorr Spectrum Income Fund | |||||||
Investment Income | ||||||||
Dividend and interest income(a) | $ | 206,548 | $ | 1,766,788 | ||||
Total Investment Income | 206,548 | 1,766,788 | ||||||
Expenses | ||||||||
Management fees (Note 5) | 200,879 | 480,589 | ||||||
Fund administration fees | 28,795 | 30,419 | ||||||
Fund accounting fees | 22,392 | 22,047 | ||||||
Trustees' fees | 1,408 | 3,543 | ||||||
Transfer agent fees and expenses | 41,679 | 63,529 | ||||||
Custodian fees | 20,643 | 3,202 | ||||||
Registration expenses | 22,352 | 23,043 | ||||||
Rule 12b-1 fee - Class A (Note 5) | 10,163 | 31,117 | ||||||
Rule 12b-1 fee - Class C (Note 5) | 25,607 | 97,928 | ||||||
Legal and audit fees | 14,215 | 13,904 | ||||||
Printing and mailing expenses | 4,000 | 15,489 | ||||||
Other expenses | 2,067 | 2,152 | ||||||
Total expense before dividend and interest expense | 394,200 | 786,962 | ||||||
Dividend expense on securities sold short (Note 2) | 103,405 | — | ||||||
Interest expense | — | 528 | ||||||
Total expenses before fee waiver from Adviser | 497,605 | 787,490 | ||||||
Fee waiver from Adviser (Note 5) | (91,924 | ) | — | |||||
Net Expenses | 405,681 | 787,490 | ||||||
Net Investment Income (Loss) | (199,133 | ) | 979,298 | |||||
Realized and Unrealized Gain (Loss) on Investments, Securities Sold Short, Futures Contracts, Foreign Currency Translation and Written Options: | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | 177,794 | (2,573,284 | ) | |||||
Securities sold short | (751,606 | ) | — | |||||
Futures contracts | 527,419 | — | ||||||
Foreign currency translation | (51,670 | ) | — | |||||
Written options | — | 14,253 | ||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments | 4,118,605 | 11,011,942 | ||||||
Securities sold short | (311,391 | ) | — | |||||
Futures contracts | 81,725 | — | ||||||
Foreign currency translation | 42,711 | — | ||||||
Written options | — | 313 | ||||||
Net realized and unrealized gain | 3,833,587 | 8,453,224 | ||||||
Net Increase in Net Assets Resulting From Operations | $ | 3,634,454 | $ | 9,432,522 |
(a) Net foreign tax withheld of $7,643 and $1,619, respectively.
The accompanying notes are an integral part of these financial statements.
LoCorr Macro Strategies Fund - Consolidated Statements of Changes in Net Assets | | 63 |
LoCorr Macro Strategies Fund
Consolidated Statements of Changes in Net Assets
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |||||||
Operations | ||||||||
Net investment income | $ | 1,656,934 | $ | 1,090,770 | ||||
Net realized gain (loss) on investments, forward currency contracts, futures contracts and foreign currency translation | 21,089,506 | (36,778,521 | ) | |||||
Net change in unrealized appreciation (depreciation) of investments, forward currency contracts, futures contracts and foreign currency translation | 17,952,052 | (6,412,563 | ) | |||||
Increase (Decrease) in Net Assets Resulting From Operations | 40,698,492 | (42,100,314 | ) | |||||
Distributions From Earnings | ||||||||
Class A | — | (1,641,026 | ) | |||||
Class C | — | (1,111,427 | ) | |||||
Class I | — | (14,372,592 | ) | |||||
Total Distributions From Earnings | — | (17,125,045 | ) | |||||
Capital Transactions (Note 6) | ||||||||
Proceeds from shares sold | 165,304,950 | 326,669,713 | ||||||
Reinvestment of distributions | — | 15,654,959 | ||||||
Cost of shares redeemed | (153,823,390 | ) | (518,836,160 | ) | ||||
Increase (Decrease) in Net Assets From Capital Transactions | 11,481,560 | (176,511,488 | ) | |||||
Total Increase (Decrease) in Net Assets | 52,180,052 | (235,736,847 | ) | |||||
Net Assets | ||||||||
Beginning of period | 554,081,267 | 789,818,114 | ||||||
End of period | $ | 606,261,319 | $ | 554,081,267 |
The accompanying notes are an integral part of these consolidated financial statements.
64 | | LoCorr Long/Short Commodities Strategy Fund - Consolidated Statements of Changes in Net Assets |
LoCorr Long/Short Commodities Strategy Fund
Consolidated Statements of Changes in Net Assets
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |||||||
Operations | ||||||||
Net investment income | $ | 1,163,638 | $ | 461,665 | ||||
Net realized gain on investments and swap contracts | 1,230,442 | 4,813,532 | ||||||
Net change in unrealized appreciation (depreciation) of investments and swap contracts | (2,153,465 | ) | 16,122,331 | |||||
Increase in Net Assets Resulting From Operations | 240,615 | 21,397,528 | ||||||
Distributions From Earnings | ||||||||
Class A | — | (5,426,159 | ) | |||||
Class C | — | (652,659 | ) | |||||
Class I | — | (17,507,215 | ) | |||||
Total Distributions From Earnings | — | (23,586,033 | ) | |||||
Capital Transactions (Note 6) | ||||||||
Proceeds from shares sold | 121,145,716 | 195,310,076 | ||||||
Reinvestment of distributions | — | 18,672,560 | ||||||
Cost of shares redeemed | (58,268,966 | ) | (38,015,146 | ) | ||||
Increase in Net Assets From Capital Transactions | 62,876,750 | 175,967,490 | ||||||
Total Increase in Net Assets | 63,117,365 | 173,778,985 | ||||||
Net Assets | ||||||||
Beginning of period | 257,026,023 | 83,247,038 | ||||||
End of period | $ | 320,143,388 | $ | 257,026,023 |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Market Trend Fund - Consolidated Statements of Changes in Net Assets | | 65 |
LoCorr Market Trend Fund
Consolidated Statements of Changes in Net Assets
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |||||||
Operations | ||||||||
Net investment income (loss) | $ | 513,435 | $ | (420,639 | ) | |||
Net realized gain (loss) on investments, forward currency contracts, futures contracts and foreign currency translation | 7,281,591 | (52,236,535 | ) | |||||
Net change in unrealized appreciation (depreciation) of investments, forward currency contracts, futures contracts and foreign currency translation | 19,882,097 | (31,624,162 | ) | |||||
Increase (Decrease) in Net Assets Resulting From Operations | 27,677,123 | (84,281,336 | ) | |||||
Capital Transactions (Note 6) | ||||||||
Proceeds from shares sold | 53,974,851 | 283,959,578 | ||||||
Cost of shares redeemed | (162,727,928 | ) | (523,178,776 | ) | ||||
Decrease in Net Assets From Capital Transactions | (108,753,077 | ) | (239,219,198 | ) | ||||
Total Decrease in Net Assets | (81,075,954 | ) | (323,500,534 | ) | ||||
Net Assets | ||||||||
Beginning of period | 343,200,552 | 666,701,086 | ||||||
End of period | $ | 262,124,598 | $ | 343,200,552 |
The accompanying notes are an integral part of these consolidated financial statements.
66 | | LoCorr Dynamic Equity Fund - Statements of Changes in Net Assets |
LoCorr Dynamic Equity Fund
Statements of Changes in Net Assets
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |||||||
Operations | ||||||||
Net investment loss | $ | (199,133 | ) | $ | (1,110,481 | ) | ||
Net realized gain (loss) on investments, securities sold short, futures contracts and foreign currency translation | (98,063 | ) | 2,095,066 | |||||
Net change in unrealized appreciation (depreciation) of investments, securities sold short, futures contracts and foreign currency translation | 3,931,650 | (7,056,676 | ) | |||||
Increase (Decrease) in Net Assets Resulting From Operations | 3,634,454 | (6,072,091 | ) | |||||
Distributions From Earnings | ||||||||
Class A | — | (323,018 | ) | |||||
Class C | — | (208,891 | ) | |||||
Class I | — | (630,416 | ) | |||||
Total Distributions From Earnings | — | (1,162,325 | ) | |||||
Capital Transactions (Note 6) | ||||||||
Proceeds from shares sold | 5,830,916 | 11,732,272 | ||||||
Reinvestment of distributions | — | 1,093,095 | ||||||
Cost of shares redeemed | (12,342,696 | ) | (39,145,301 | ) | ||||
Decrease in Net Assets From Capital Transactions | (6,511,780 | ) | (26,319,934 | ) | ||||
Total Decrease in Net Assets | (2,877,326 | ) | (33,554,350 | ) | ||||
Net Assets | ||||||||
Beginning of period | 30,272,896 | 63,827,246 | ||||||
End of period | $ | 27,395,570 | $ | 30,272,896 |
The accompanying notes are an integral part of these financial statements.
LoCorr Spectrum Income Fund - Statements of Changes in Net Assets | | 67 |
LoCorr Spectrum Income Fund
Statements of Changes in Net Assets
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |||||||
Operations | ||||||||
Net investment income | $ | 979,298 | $ | 2,402,701 | ||||
Net realized gain (loss) on investments and written options | (2,559,031 | ) | 2,771 | |||||
Net change in unrealized appreciation (depreciation) of investments and written options | 11,012,255 | (9,102,504 | ) | |||||
Increase (Decrease) in Net Assets Resulting From Operations | 9,432,522 | (6,697,032 | ) | |||||
Distributions From Earnings | ||||||||
Net investment income: | ||||||||
Class A | (976,423 | ) | (956,505 | ) | ||||
Class C | (671,687 | ) | (681,277 | ) | ||||
Class I | (1,219,093 | ) | (1,262,271 | ) | ||||
Return of capital: | ||||||||
Class A | — | (1,144,116 | ) | |||||
Class C | — | (814,904 | ) | |||||
Class I | — | (1,509,857 | ) | |||||
Total Distributions From Earnings | (2,867,203 | ) | (6,368,930 | ) | ||||
Capital Transactions (Note 6) | ||||||||
Proceeds from shares sold | 14,940,979 | 24,514,502 | ||||||
Reinvestment of distributions | 2,151,350 | 4,713,777 | ||||||
Cost of shares redeemed | (15,759,846 | ) | (44,379,996 | ) | ||||
Redemption fees | 482 | 25,115 | ||||||
Increase (Decrease) in Net Assets From Capital Transactions | 1,332,965 | (15,126,602 | ) | |||||
Total Increase (Decrease) in Net Assets | 7,898,284 | (28,192,564 | ) | |||||
Net Assets | ||||||||
Beginning of period | 68,319,960 | 96,512,524 | ||||||
End of period | $ | 76,218,244 | $ | 68,319,960 |
The accompanying notes are an integral part of these financial statements.
68 | | LoCorr Macro Strategies Fund - Consolidated Financial Highlights - Class A |
LoCorr Macro Strategies Fund - Class A
Consolidated Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 2019* | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.95 | $ | 8.64 | $ | 8.91 | $ | 8.54 | $ | 8.51 | $ | 8.28 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | 0.02 | 0.00 | (b) | (0.06 | ) | (0.09 | ) | (0.08 | ) | (0.08 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 0.54 | (0.46 | ) | 0.31 | 0.64 | 0.36 | 1.36 | |||||||||||||||||
Total from Investment Operations | 0.56 | (0.46 | ) | 0.25 | 0.55 | 0.28 | 1.28 | |||||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||||||
Net investment income | — | (0.10 | ) | — | — | (0.25 | ) | (1.04 | ) | |||||||||||||||
Net realized gains | — | (0.13 | ) | (0.52 | ) | (0.18 | ) | — | (0.01 | ) | ||||||||||||||
Total Distributions | — | (0.23 | ) | (0.52 | ) | (0.18 | ) | (0.25 | ) | (1.05 | ) | |||||||||||||
Redemption Fees | — | — | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | ||||||||||||||
Net Asset Value, End of Period | $ | 8.51 | $ | 7.95 | $ | 8.64 | $ | 8.91 | $ | 8.54 | $ | 8.51 | ||||||||||||
Total Investment Return(c) | 7.04 | % | (5.36 | )% | 2.77 | % | 6.39 | % | 3.27 | % | 15.42 | % | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 50,112 | $ | 55,075 | $ | 93,182 | $ | 297,844 | $ | 229,427 | $ | 206,931 | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 2.17 | % | 2.25 | % | 2.33 | % | 2.34 | %(d)(e) | 2.06 | %(d)(e) | 2.11 | %(d) | ||||||||||||
After expense waiver or recovery | 2.24 | % | 2.24 | % | 2.28 | % | 2.34 | %(d)(e) | 2.06 | %(d)(e) | 2.11 | %(d) | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 0.50 | % | 0.03 | % | (0.76 | )% | (0.96 | )%(d) | (0.90 | )%(d) | (0.94 | )%(d) | ||||||||||||
After expense waiver or recovery | 0.43 | % | 0.04 | % | (0.71 | )% | (0.96 | )%(d) | (0.90 | )%(d) | (0.94 | )%(d) | ||||||||||||
Portfolio turnover rate(f) | 45 | % | 105 | % | 97 | % | 62 | % | 53 | % | 57 | % |
* All ratios have been annualized except total investment return and portfolio turnover.
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total investment 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 of 0.01% and 0.00% for the years ended December 31, 2016 and 2015, 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. |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Macro Strategies Fund - Consolidated Financial Highlights - Class C | | 69 |
LoCorr Macro Strategies Fund - Class C
Consolidated Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 2019* | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.62 | $ | 8.27 | $ | 8.62 | $ | 8.32 | $ | 8.30 | $ | 8.12 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | (0.01 | ) | (0.06 | ) | (0.13 | ) | (0.15 | ) | (0.14 | ) | (0.15 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 0.51 | (0.43 | ) | 0.30 | 0.63 | 0.35 | 1.33 | |||||||||||||||||
Total from Investment Operations | 0.50 | (0.49 | ) | 0.17 | 0.48 | 0.21 | 1.18 | |||||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||||||
Net investment income | — | (0.03 | ) | — | — | (0.19 | ) | (0.99 | ) | |||||||||||||||
Net realized gains | — | (0.13 | ) | (0.52 | ) | (0.18 | ) | — | (0.01 | ) | ||||||||||||||
Total Distributions | — | (0.16 | ) | (0.52 | ) | (0.18 | ) | (0.19 | ) | (1.00 | ) | |||||||||||||
Redemption Fees | — | — | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | ||||||||||||||
Net Asset Value, End of Period | $ | 8.12 | $ | 7.62 | $ | 8.27 | $ | 8.62 | $ | 8.32 | $ | 8.30 | ||||||||||||
Total Investment Return(c) | 6.56 | % | (5.98 | )% | 1.93 | % | 5.72 | % | 2.51 | % | 14.39 | % | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 45,867 | $ | 53,148 | $ | 90,653 | $ | 113,814 | $ | 98,729 | $ | 93,924 | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 2.92 | % | 3.00 | % | 3.08 | % | 3.09 | %(d)(e) | 2.81 | %(d)(e) | 2.86 | %(d) | ||||||||||||
After expense waiver or recovery | 2.99 | % | 2.99 | % | 3.03 | % | 3.09 | %(d)(e) | 2.81 | %(d)(e) | 2.86 | %(d) | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | (0.25 | )% | (0.72 | )% | (1.51 | )% | (1.71 | )%(d) | (1.65 | )%(d) | (1.69 | )%(d) | ||||||||||||
After expense waiver or recovery | (0.32 | )% | (0.71 | )% | (1.46 | )% | (1.71 | )%(d) | (1.65 | )%(d) | (1.69 | )%(d) | ||||||||||||
Portfolio turnover rate(f) | 45 | % | 105 | % | 97 | % | 62 | % | 53 | % | 57 | % |
* All ratios have been annualized except total investment return and portfolio turnover.
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total investment 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 of 0.01% and 0.00% for the years ended December 31, 2016 and 2015, 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. |
The accompanying notes are an integral part of these consolidated financial statements.
70 | | LoCorr Macro Strategies Fund - Consolidated Financial Highlights - Class I |
LoCorr Macro Strategies Fund - Class I
Consolidated Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 2019* | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.07 | $ | 8.77 | $ | 9.01 | $ | 8.62 | $ | 8.57 | $ | 8.34 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | 0.03 | 0.02 | (0.04 | ) | (0.07 | ) | (0.06 | ) | (0.06 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 0.54 | (0.47 | ) | 0.32 | 0.64 | 0.38 | 1.36 | |||||||||||||||||
Total from Investment Operations | 0.57 | (0.45 | ) | 0.28 | 0.57 | 0.32 | 1.30 | |||||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||||||
Net investment income | — | (0.12 | ) | — | 0.00 | (b) | (0.27 | ) | (1.06 | ) | ||||||||||||||
Net realized gains | — | (0.13 | ) | (0.52 | ) | (0.18 | ) | — | (0.01 | ) | ||||||||||||||
Total Distributions | — | (0.25 | ) | (0.52 | ) | (0.18 | ) | (0.27 | ) | (1.07 | ) | |||||||||||||
Redemption Fees | — | — | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | ||||||||||||||
Net Asset Value, End of Period | $ | 8.64 | $ | 8.07 | $ | 8.77 | $ | 9.01 | $ | 8.62 | $ | 8.57 | ||||||||||||
Total Investment Return | 7.19 | % | (5.08 | )% | 3.07 | % | 6.57 | % | 3.72 | % | 15.56 | % | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 510,282 | $ | 445,858 | $ | 605,983 | $ | 471,002 | $ | 192,309 | $ | 190,052 | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 1.92 | % | 2.00 | % | 2.08 | % | 2.09 | %(c)(d) | 1.81 | %(c)(d) | 1.86 | %(c) | ||||||||||||
After expense waiver or recovery | 1.99 | % | 1.99 | % | 2.03 | % | 2.09 | %(c)(d) | 1.81 | %(c)(d) | 1.86 | %(c) | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 0.75 | % | 0.28 | % | (0.51 | )% | (0.71 | )%(c) | (0.65 | )%(c) | (0.69 | )%(c) | ||||||||||||
After expense waiver or recovery | 0.68 | % | 0.29 | % | (0.46 | )% | (0.71 | )%(c) | (0.65 | )%(c) | (0.69 | )%(c) | ||||||||||||
Portfolio turnover rate(e) | 45 | % | 105 | % | 97 | % | 62 | % | 53 | % | 57 | % |
* All ratios have been annualized except total investment return and portfolio turnover.
(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 of 0.01% and 0.00% for the years ended December 31, 2016 and 2015, 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. |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Long/Short Commodities Strategy Fund - Consolidated Financial Highlights - Class A | | 71 |
LoCorr Long/Short Commodities Strategy Fund - Class A
Consolidated Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 2019* | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.90 | $ | 9.71 | $ | 9.17 | $ | 9.72 | $ | 8.54 | $ | 7.67 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | 0.03 | 0.02 | (0.04 | ) | (0.10 | ) | (0.13 | ) | (0.14 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (0.04 | ) | 1.39 | 0.58 | (0.18 | ) | 2.02 | 1.85 | ||||||||||||||||
Total from Investment Operations | (0.01 | ) | 1.41 | 0.54 | (0.28 | ) | 1.89 | 1.71 | ||||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||||||
Net investment income | — | (1.22 | ) | 0.00 | (b) | (0.27 | ) | (0.71 | ) | (0.84 | ) | |||||||||||||
Total Distributions | — | (1.22 | ) | 0.00 | (0.27 | ) | (0.71 | ) | (0.84 | ) | ||||||||||||||
Redemption Fees | — | — | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | ||||||||||||||
Net Asset Value, End of Period | $ | 9.89 | $ | 9.90 | $ | 9.71 | $ | 9.17 | $ | 9.72 | $ | 8.54 | ||||||||||||
Total Investment Return(c) | (0.10 | )% | 15.05 | % | 5.91 | % | (2.98 | )% | 22.34 | % | 22.07 | % | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 63,021 | $ | 68,719 | $ | 25,575 | $ | 34,860 | $ | 24,425 | $ | 43,345 | ||||||||||||
Ratio/Supplemental Data:(d) | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 2.06 | % | 2.16 | % | 2.28 | % | 2.22 | %(e) | 2.59 | %(e) | 3.01 | %(e) | ||||||||||||
After expense waiver or recovery | 2.13 | % | 2.20 | % | 2.20 | % | 2.20 | %(e) | 2.20 | %(e) | 2.20 | %(e) | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 0.70 | % | 0.22 | % | (0.52 | )% | (0.99 | )% | (1.79 | )% | (2.39 | )% | ||||||||||||
After expense waiver or recovery | 0.63 | % | 0.18 | % | (0.44 | )% | (0.97 | )% | (1.40 | )% | (1.58 | )% | ||||||||||||
Portfolio turnover rate(f) | 48 | % | 92 | % | 74 | % | 105 | % | 164 | % | 55 | % |
* All ratios have been annualized except total investment return and portfolio turnover.
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total investment 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 of 0.01% and 0.00% for the years ended December 31, 2016 and 2015, 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. |
The accompanying notes are an integral part of these consolidated financial statements.
72 | | LoCorr Long/Short Commodities Strategy Fund - Consolidated Financial Highlights - Class C |
LoCorr Long/Short Commodities Strategy Fund - Class C
Consolidated Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 2019* | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.55 | $ | 9.41 | $ | 8.95 | $ | 9.51 | $ | 8.36 | $ | 7.54 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | (0.01 | ) | (0.06 | ) | (0.11 | ) | (0.17 | ) | (0.19 | ) | (0.20 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (0.04 | ) | 1.35 | 0.57 | (0.18 | ) | 1.96 | 1.80 | ||||||||||||||||
Total from Investment Operations | (0.05 | ) | 1.29 | 0.46 | (0.35 | ) | 1.77 | 1.60 | ||||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||||||
Net investment income | — | (1.15 | ) | 0.00 | (b) | (0.21 | ) | (0.62 | ) | (0.78 | ) | |||||||||||||
Total Distributions | — | (1.15 | ) | 0.00 | (0.21 | ) | (0.62 | ) | (0.78 | ) | ||||||||||||||
Redemption Fees | — | — | 0.00 | (b) | 0.00 | (b) | — | — | ||||||||||||||||
Net Asset Value, End of Period | $ | 9.50 | $ | 9.55 | $ | 9.41 | $ | 8.95 | $ | 9.51 | $ | 8.36 | ||||||||||||
Total Investment Return(c) | (0.52 | )% | 14.20 | % | 5.17 | % | (3.72 | )% | 21.39 | % | 21.01 | % | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 7,489 | $ | 6,503 | $ | 4,737 | $ | 7,383 | $ | 4,330 | $ | 2,983 | ||||||||||||
Ratio/Supplemental Data:(d) | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 2.81 | % | 2.91 | % | 3.03 | % | 2.97 | %(e) | 3.34 | %(e) | 3.76 | %(e) | ||||||||||||
After expense waiver or recovery | 2.88 | % | 2.95 | % | 2.95 | % | 2.95 | %(e) | 2.95 | %(e) | 2.95 | %(e) | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | (0.05 | )% | (0.53 | )% | (1.27 | )% | (1.74 | )% | (2.54 | )% | (3.14 | )% | ||||||||||||
After expense waiver or recovery | (0.12 | )% | (0.57 | )% | (1.19 | )% | (1.72 | )% | (2.15 | )% | (2.33 | )% | ||||||||||||
Portfolio turnover rate(f) | 48 | % | 92 | % | 74 | % | 105 | % | 164 | % | 55 | % |
* All ratios have been annualized except total investment return and portfolio turnover.
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total investment 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, 2015 and 2014, respectively. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments. |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Long/Short Commodities Strategy Fund - Consolidated Financial Highlights - Class I | | 73 |
LoCorr Long/Short Commodities Strategy Fund - Class I
Consolidated Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 2019* | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.03 | $ | 9.81 | $ | 9.24 | $ | 9.79 | $ | 8.59 | $ | 7.70 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | 0.04 | 0.05 | (0.02 | ) | (0.07 | ) | (0.11 | ) | (0.12 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (0.04 | ) | 1.41 | 0.59 | (0.18 | ) | 2.03 | 1.86 | ||||||||||||||||
Total from Investment Operations | 0.00 | 1.46 | 0.57 | (0.25 | ) | 1.92 | 1.74 | |||||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||||||
Net investment income | — | (1.24 | ) | 0.00 | (b) | (0.30 | ) | (0.72 | ) | (0.85 | ) | |||||||||||||
Total Distributions | — | (1.24 | ) | 0.00 | (0.30 | ) | (0.72 | ) | (0.85 | ) | ||||||||||||||
Redemption Fees | — | — | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | ||||||||||||||
Net Asset Value, End of Period | $ | 10.03 | $ | 10.03 | $ | 9.81 | $ | 9.24 | $ | 9.79 | $ | 8.59 | ||||||||||||
Total Investment Return | 0.00 | % | 15.40 | % | 6.19 | % | (2.67 | )% | 22.61 | % | 22.36 | % | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 249,633 | $ | 181,804 | $ | 52,935 | $ | 81,204 | $ | 31,166 | $ | 12,825 | ||||||||||||
Ratio/Supplemental Data:(c) | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 1.81 | % | 1.91 | % | 2.03 | % | 1.97 | %(d) | 2.34 | %(d) | 2.76 | %(d) | ||||||||||||
After expense waiver or recovery | 1.88 | % | 1.95 | % | 1.95 | % | 1.95 | %(d) | 1.95 | %(d) | 1.95 | %(d) | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 0.95 | % | 0.47 | % | (0.27 | )% | (0.74 | )% | (1.54 | )% | (2.14 | )% | ||||||||||||
After expense waiver or recovery | 0.88 | % | 0.43 | % | (0.19 | )% | (0.72 | )% | (1.15 | )% | (1.33 | )% | ||||||||||||
Portfolio turnover rate(e) | 48 | % | 92 | % | 74 | % | 105 | % | 164 | % | 55 | % |
* All ratios have been annualized except total investment return and portfolio turnover.
(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, 2015 and 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. |
The accompanying notes are an integral part of these consolidated financial statements.
74 | | LoCorr Market Trend Fund - Consolidated Financial Highlights - Class A |
LoCorr Market Trend Fund - Class A
Consolidated Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 2019* | Year Ended December 31, | Period from July 1, 2014 (commencement of operations) through | ||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | December 31, 2014* | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.52 | $ | 11.03 | $ | 10.65 | $ | 12.00 | $ | 11.44 | $ | 10.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | 0.01 | (0.03 | ) | (0.10 | ) | (0.15 | ) | (0.19 | ) | (0.12 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 1.12 | (1.48 | ) | 0.48 | (1.01 | ) | 0.84 | (b) | 1.99 | |||||||||||||||
Total from Investment Operations | 1.13 | (1.51 | ) | 0.38 | (1.16 | ) | 0.65 | 1.87 | ||||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||||||
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 | — | — | 0.00 | (c) | 0.00 | (c) | 0.00 | (c) | 0.00 | (c) | ||||||||||||||
Net Asset Value, End of Period | $ | 10.65 | $ | 9.52 | $ | 11.03 | $ | 10.65 | $ | 12.00 | $ | 11.44 | ||||||||||||
Total Investment Return(d) | 11.87 | % | (13.69 | )% | 3.57 | % | (9.71 | )% | 5.68 | % | 18.74 | % | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 20,997 | $ | 32,082 | $ | 61,557 | $ | 133,146 | $ | 110,324 | $ | 13,337 | ||||||||||||
Ratio/Supplemental Data: | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 2.10 | % | 1.99 | % | 2.00 | % | 2.02 | %(e) | 2.03 | % | 3.64 | % | ||||||||||||
After expense waiver or recovery | 2.10 | % | 1.99 | % | 2.00 | % | 2.02 | %(e) | 2.06 | % | 2.20 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 0.21 | % | (0.24 | )% | (0.97 | )% | (1.24 | )% | (1.49 | )% | (3.48 | )% | ||||||||||||
After expense waiver or recovery | 0.21 | % | (0.24 | )% | (0.97 | )% | (1.24 | )% | (1.52 | )% | (2.04 | )% | ||||||||||||
Portfolio turnover rate(f) | 40 | % | 91 | % | 85 | % | 83 | % | 27 | % | 6 | % |
* All ratios have been annualized except total investment return and portfolio turnover.
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | 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. |
(c) | Amount represents less than $0.005 per share. |
(d) | Total investment return excludes the effect of applicable sales charges. |
(e) | Includes 0.00% of interest expense for the year ended December 31, 2016. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments. |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Market Trend Fund - Consolidated Financial Highlights - Class C | | 75 |
LoCorr Market Trend Fund - Class C
Consolidated Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 2019* | Year Ended December 31, | Period from July 1, 2014 (commencement of operations) through | ||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | December 31, 2014* | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.28 | $ | 10.83 | $ | 10.53 | $ | 11.92 | $ | 11.41 | $ | 10.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | (0.03 | ) | (0.10 | ) | (0.18 | ) | (0.23 | ) | (0.28 | ) | (0.16 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 1.08 | (1.45 | ) | 0.48 | (1.01 | ) | 0.84 | (b) | 1.99 | |||||||||||||||
Total from Investment Operations | 1.05 | (1.55 | ) | 0.30 | (1.24 | ) | 0.56 | 1.83 | ||||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||||||
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 | — | — | 0.00 | (c) | 0.00 | (c) | 0.00 | (c) | 0.00 | (c) | ||||||||||||||
Net Asset Value, End of Period | $ | 10.33 | $ | 9.28 | $ | 10.83 | $ | 10.53 | $ | 11.92 | $ | 11.41 | ||||||||||||
Total Investment Return(d) | 11.42 | % | (14.31 | )% | 2.85 | % | (10.45 | )% | 4.90 | % | 18.29 | % | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 17,959 | $ | 23,417 | $ | 43,772 | $ | 89,454 | $ | 94,707 | $ | 6,949 | ||||||||||||
Ratio/Supplemental Data: | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 2.85 | % | 2.74 | % | 2.75 | % | 2.77 | %(e) | 2.78 | % | 4.39 | % | ||||||||||||
After expense waiver or recovery | 2.85 | % | 2.74 | % | 2.75 | % | 2.77 | %(e) | 2.81 | % | 2.95 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | (0.54 | )% | (0.99 | )% | (1.72 | )% | (1.99 | )% | (2.24 | )% | (4.23 | )% | ||||||||||||
After expense waiver or recovery | (0.54 | )% | (0.99 | )% | (1.72 | )% | (1.99 | )% | (2.27 | )% | (2.79 | )% | ||||||||||||
Portfolio turnover rate(f) | 40 | % | 91 | % | 85 | % | 83 | % | 27 | % | 6 | % |
* All ratios have been annualized except total investment return and portfolio turnover.
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | 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. |
(c) | Amount represents less than $0.005 per share. |
(d) | Total investment return excludes the effect of applicable sales charges. |
(e) | Includes 0.00% of interest expense for the year ended December 31, 2016. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments. |
The accompanying notes are an integral part of these consolidated financial statements.
76 | | LoCorr Market Trend Fund - Consolidated Financial Highlights - Class I |
LoCorr Market Trend Fund - Class I
Consolidated Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 2019* | Year Ended December 31, | Period from July 1, 2014 (commencement of operations) through | ||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | December 31, 2014* | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.60 | $ | 11.09 | $ | 10.68 | $ | 12.02 | $ | 11.45 | $ | 10.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | 0.02 | 0.00 | (c) | (0.08 | ) | (0.12 | ) | (0.16 | ) | (0.10 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 1.12 | (1.49 | ) | 0.49 | (1.02 | ) | 0.84 | (b) | 1.99 | |||||||||||||||
Total from Investment Operations | 1.14 | (1.49 | ) | 0.41 | (1.14 | ) | 0.68 | 1.89 | ||||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||||||
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 | — | — | 0.00 | (c) | 0.00 | (c) | 0.00 | (c) | 0.00 | (c) | ||||||||||||||
Net Asset Value, End of Period | $ | 10.74 | $ | 9.60 | $ | 11.09 | $ | 10.68 | $ | 12.02 | $ | 11.45 | ||||||||||||
Total Investment Return | 11.88 | % | (13.44 | )% | 3.84 | % | (9.49 | )% | 5.96 | % | 18.88 | % | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 223,169 | $ | 287,702 | $ | 561,372 | $ | 797,845 | $ | 695,987 | $ | 40,192 | ||||||||||||
Ratio/Supplemental Data: | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 1.85 | % | 1.74 | % | 1.75 | % | 1.77 | %(d) | 1.78 | % | 3.39 | % | ||||||||||||
After expense waiver or recovery | 1.85 | % | 1.74 | % | 1.75 | % | 1.77 | %(d) | 1.81 | % | 1.95 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 0.46 | % | 0.01 | % | (0.72 | )% | (0.99 | )% | (1.24 | )% | (3.23 | )% | ||||||||||||
After expense waiver or recovery | 0.46 | % | 0.01 | % | (0.72 | )% | (0.99 | )% | (1.27 | )% | (1.79 | )% | ||||||||||||
Portfolio turnover rate(e) | 40 | % | 91 | % | 85 | % | 83 | % | 27 | % | 6 | % |
* All ratios have been annualized except total investment return and portfolio turnover.
(a) | Net investment income (loss) per share is based on average shares outstanding. | |
(b) | 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. | |
(c) | Amount represents less than $0.005 per share. |
(d) | Includes 0.00% of interest expense for the year ended December 31, 2016. |
(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. |
The accompanying notes are an integral part of these consolidated financial statements.
LoCorr Dynamic Equity Fund - Financial Highlights - Class A | | 77 |
LoCorr Dynamic Equity Fund - Class A
Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 2019* | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.92 | $ | 11.82 | $ | 12.06 | $ | 9.64 | $ | 9.80 | $ | 11.48 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | (0.08 | ) | (0.25 | ) | (0.30 | ) | (0.32 | ) | (0.27 | ) | (0.22 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 1.41 | (1.26 | ) | 0.59 | 2.74 | 0.11 | (1.42 | ) | ||||||||||||||||
Total from Investment Operations | 1.33 | (1.51 | ) | 0.29 | 2.42 | (0.16 | ) | (1.64 | ) | |||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||||||
Net realized gains | — | (0.39 | ) | (0.53 | ) | — | — | (0.04 | ) | |||||||||||||||
Total Distributions | — | (0.39 | ) | (0.53 | ) | — | – | (0.04 | ) | |||||||||||||||
Redemption Fees | — | — | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | ||||||||||||||
Net Asset Value, End of Period | $ | 11.25 | $ | 9.92 | $ | 11.82 | $ | 12.06 | $ | 9.64 | $ | 9.80 | ||||||||||||
Total Investment Return(c) | 13.52 | % | (12.87 | )% | 2.38 | % | 25.10 | % | (1.53 | )% | (14.37 | )% | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 7,847 | $ | 8,473 | $ | 19,962 | $ | 28,243 | $ | 12,446 | $ | 17,174 | ||||||||||||
Ratio/Supplemental Data: | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 3.70 | % | 3.40 | % | 3.42 | % | 3.74 | % | 3.72 | % | 3.55 | % | ||||||||||||
After expense waiver or recovery | 3.01 | % | 3.21 | % | 3.35 | % | 3.49 | % | 3.35 | % | 3.30 | % | ||||||||||||
Ratio of expenses to average net assets (excluding dividend and interest expense): | ||||||||||||||||||||||||
Before expense waiver or recovery | 2.93 | % | 3.20 | % | 3.22 | % | 3.40 | % | 3.52 | % | 3.40 | % | ||||||||||||
After expense waiver or recovery | 2.24 | % | 3.01 | % | 3.15 | % | 3.15 | % | 3.15 | % | 3.15 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | (2.16 | )% | (2.39 | )% | (2.61 | )% | (3.23 | )% | (3.06 | )% | (2.41 | )% | ||||||||||||
After expense waiver or recovery | (1.47 | )% | (2.20 | )% | (2.54 | )% | (2.98 | )% | (2.69 | )% | (2.16 | )% | ||||||||||||
Portfolio turnover rate(d) | 164 | % | 449 | % | 363 | % | 343 | % | 269 | % | 256 | % |
* All ratios have been annualized except total investment return and portfolio turnover.
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total investment return excludes the effect of applicable sales charges. |
(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. |
The accompanying notes are an integral part of these financial statements.
78 | | LoCorr Dynamic Equity Fund - Financial Highlights - Class C |
LoCorr Dynamic Equity Fund - Class C
Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 2019* | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.47 | $ | 11.39 | $ | 11.73 | $ | 9.45 | $ | 9.67 | $ | 11.42 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | (0.11 | ) | (0.32 | ) | (0.38 | ) | (0.38 | ) | (0.33 | ) | (0.29 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 1.34 | (1.21 | ) | 0.57 | 2.66 | 0.11 | (1.42 | ) | ||||||||||||||||
Total from Investment Operations | 1.23 | (1.53 | ) | 0.19 | 2.28 | (0.22 | ) | (1.71 | ) | |||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||||||
Net realized gains | — | (0.39 | ) | (0.53 | ) | — | — | (0.04 | ) | |||||||||||||||
Total Distributions | — | (0.39 | ) | (0.53 | ) | — | — | (0.04 | ) | |||||||||||||||
Redemption Fees | — | — | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | ||||||||||||||
Net Asset Value, End of Period | $ | 10.70 | $ | 9.47 | $ | 11.39 | $ | 11.73 | $ | 9.45 | $ | 9.67 | ||||||||||||
Total Investment Return(c) | 12.99 | % | (13.45 | )% | 1.59 | % | 24.13 | % | (2.28 | )% | (14.98 | )% | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 4,547 | $ | 5,255 | $ | 11,084 | $ | 11,218 | $ | 7,837 | $ | 12,158 | ||||||||||||
Ratio/Supplemental Data: | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 4.45 | % | 4.15 | % | 4.17 | % | 4.49 | % | 4.47 | % | 4.30 | % | ||||||||||||
After expense waiver or recovery | 3.76 | % | 3.96 | % | 4.10 | % | 4.24 | % | 4.10 | % | 4.05 | % | ||||||||||||
Ratio of expenses to average net assets (excluding dividend and interest expense): | ||||||||||||||||||||||||
Before expense waiver or recovery | 3.68 | % | 3.95 | % | 3.97 | % | 4.15 | % | 4.27 | % | 4.15 | % | ||||||||||||
After expense waiver or recovery | 2.99 | % | 3.76 | % | 3.90 | % | 3.90 | % | 3.90 | % | 3.90 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | (2.91 | )% | (3.14 | )% | (3.36 | )% | (3.98 | )% | (3.81 | )% | (3.16 | )% | ||||||||||||
After expense waiver or recovery | (2.22 | )% | (2.95 | )% | (3.29 | )% | (3.73 | )% | (3.44 | )% | (2.91 | )% | ||||||||||||
Portfolio turnover rate(d) | 164 | % | 449 | % | 363 | % | 343 | % | 269 | % | 256 | % |
* All ratios have been annualized except total investment return and portfolio turnover.
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total investment return excludes the effect of applicable sales charges. |
(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. |
The accompanying notes are an integral part of these financial statements.
LoCorr Dynamic Equity Fund - Financial Highlights - Class I | | 79 |
LoCorr Dynamic Equity Fund - Class I
Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the year)
Six Months Ended June 30, 2019* | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.07 | $ | 11.96 | $ | 12.17 | $ | 9.71 | $ | 9.84 | $ | 11.50 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | (0.07 | ) | (0.23 | ) | (0.28 | ) | (0.30 | ) | (0.24 | ) | (0.20 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 1.44 | (1.27 | ) | 0.60 | 2.76 | 0.11 | (1.42 | ) | ||||||||||||||||
Total from Investment Operations | 1.37 | (1.50 | ) | 0.32 | 2.46 | (0.13 | ) | (1.62 | ) | |||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||||||
Net realized gains | — | (0.39 | ) | (0.53 | ) | — | — | (0.04 | ) | |||||||||||||||
Total Distributions | — | (0.39 | ) | (0.53 | ) | — | — | (0.04 | ) | |||||||||||||||
Redemption Fees | — | — | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | ||||||||||||||
Net Asset Value, End of Period | $ | 11.44 | $ | 10.07 | $ | 11.96 | $ | 12.17 | $ | 9.71 | $ | 9.84 | ||||||||||||
Total Investment Return | 13.60 | % | (12.55 | )% | 2.60 | % | 25.33 | % | (1.22 | )% | (14.18 | )% | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 15,002 | $ | 16,545 | $ | 32,781 | $ | 44,816 | $ | 9,990 | $ | 12,304 | ||||||||||||
Ratio/Supplemental Data: | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 3.45 | % | 3.15 | % | 3.17 | % | 3.49 | % | 3.47 | % | 3.30 | % | ||||||||||||
After expense waiver or recovery | 2.76 | % | 2.96 | % | 3.10 | % | 3.24 | % | 3.10 | % | 3.05 | % | ||||||||||||
Ratio of expenses to average net assets (excluding dividend and interest expense): | ||||||||||||||||||||||||
Before expense waiver or recovery | 2.68 | % | 2.95 | % | 2.97 | % | 3.15 | % | 3.27 | % | 3.15 | % | ||||||||||||
After expense waiver or recovery | 1.99 | % | 2.76 | % | 2.90 | % | 2.90 | % | 2.90 | % | 2.90 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | (1.91 | )% | (2.14 | )% | (2.36 | )% | (2.98 | )% | (2.81 | )% | (2.16 | )% | ||||||||||||
After expense waiver or recovery | (1.22 | )% | (1.95 | )% | (2.29 | )% | (2.73 | )% | (2.44 | )% | (1.91 | )% | ||||||||||||
Portfolio turnover rate(c) | 164 | % | 449 | % | 363 | % | 343 | % | 269 | % | 256 | % |
* All ratios have been annualized except total investment return and portfolio turnover.
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes securities sold short. |
The accompanying notes are an integral part of these financial statements.
80 | | LoCorr Spectrum Income Fund - Financial Highlights - Class A |
LoCorr Spectrum Income Fund - Class A
Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 2019* | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 6.26 | $ | 7.39 | $ | 7.70 | $ | 7.78 | $ | 8.97 | $ | 10.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | 0.09 | 0.22 | 0.17 | 0.29 | 0.38 | 0.41 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.78 | (0.78 | ) | 0.09 | 0.20 | (1.00 | ) | (0.91 | ) | |||||||||||||||
Total from Investment Operations | 0.87 | (0.56 | ) | 0.26 | 0.49 | (0.62 | ) | (0.50 | ) | |||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||||||
Net investment income | (0.27 | ) | (0.26 | ) | (0.15 | ) | (0.37 | ) | (0.39 | ) | (0.36 | ) | ||||||||||||
Return of capital | — | (0.31 | ) | (0.42 | ) | (0.20 | ) | (0.18 | ) | (0.17 | ) | |||||||||||||
Total Distributions | (0.27 | ) | (0.57 | ) | (0.57 | ) | (0.57 | ) | (0.57 | ) | (0.53 | ) | ||||||||||||
Redemption Fees(b) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
Net Asset Value, End of Period | $ | 6.86 | $ | 6.26 | $ | 7.39 | $ | 7.70 | $ | 7.78 | $ | 8.97 | ||||||||||||
Total Investment Return(c) | 13.94 | % | (8.22 | )% | 3.50 | % | 6.64 | % | (7.36 | )% | (5.45 | )% | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 26,037 | $ | 22,610 | $ | 29,970 | $ | 33,032 | $ | 36,957 | $ | 37,425 | ||||||||||||
Ratio/Supplemental Data:(d) | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 2.03 | %(e) | 1.98 | % | 1.95 | % | 2.02 | % | 1.99 | %(f) | 2.28 | %(f) | ||||||||||||
After expense waiver or recovery | 2.03 | %(e) | 1.98 | % | 1.99 | % | 2.05 | % | 2.05 | %(f) | 2.05 | %(f) | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 2.75 | % | 3.01 | % | 2.27 | % | 3.81 | % | 4.41 | % | 3.88 | % | ||||||||||||
After expense waiver or recovery | 2.75 | % | 3.01 | % | 2.23 | % | 3.78 | % | 4.35 | % | 4.11 | % | ||||||||||||
Portfolio turnover rate(g) | 50 | % | 82 | % | 84 | % | 92 | % | 54 | % | 43 | % |
* All ratios have been annualized except total investment return and portfolio turnover.
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total investment 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 0.00% of interest expense for the period ended June 30, 2019. |
(f) | Includes interest expense on line of credit of 0.00% and 0.00% for the years ended December 31, 2015 and 2014, respectively. |
(g) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
LoCorr Spectrum Income Fund - Financial Highlights - Class C | | 81 |
LoCorr Spectrum Income Fund - Class C
Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 2019* | Year Ended December 31,, | |||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 6.31 | $ | 7.42 | $ | 7.72 | $ | 7.78 | $ | 8.96 | $ | 10.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | 0.07 | 0.16 | 0.11 | 0.23 | 0.32 | 0.33 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.79 | (0.77 | ) | 0.09 | 0.21 | (1.00 | ) | (0.91 | ) | |||||||||||||||
Total from Investment Operations | 0.86 | (0.61 | ) | 0.20 | 0.44 | (0.68 | ) | (0.58 | ) | |||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||||||
Net investment income | (0.24 | ) | (0.23 | ) | (0.13 | ) | (0.33 | ) | (0.34 | ) | (0.31 | ) | ||||||||||||
Return of capital | — | (0.27 | ) | (0.37 | ) | (0.17 | ) | (0.16 | ) | (0.15 | ) | |||||||||||||
Total Distributions | (0.24 | ) | (0.50 | ) | (0.50 | ) | (0.50 | ) | (0.50 | ) | (0.46 | ) | ||||||||||||
Redemption Fees(b) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
Net Asset Value, End of Period | $ | 6.93 | $ | 6.31 | $ | 7.42 | $ | 7.72 | $ | 7.78 | $ | 8.96 | ||||||||||||
Total Investment Return(c) | 13.62 | % | (8.85 | )% | 2.62 | % | 5.88 | % | (8.05 | )% | (6.19 | )% | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 19,425 | $ | 18,092 | $ | 23,511 | $ | 25,898 | $ | 27,817 | $ | 25,210 | ||||||||||||
Ratio/Supplemental Data:(d) | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 2.78 | %(e) | 2.73 | % | 2.70 | % | 2.77 | % | 2.74 | %(f) | 3.03 | %(f) | ||||||||||||
After expense waiver or recovery | 2.78 | %(e) | 2.73 | % | 2.74 | % | 2.80 | % | 2.80 | %(f) | 2.80 | %(f) | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 2.00 | % | 2.26 | % | 1.52 | % | 3.06 | % | 3.66 | % | 3.13 | % | ||||||||||||
After expense waiver or recovery | 2.00 | % | 2.26 | % | 1.48 | % | 3.03 | % | 3.60 | % | 3.36 | % | ||||||||||||
Portfolio turnover rate(g) | 50 | % | 82 | % | 84 | % | 92 | % | 54 | % | 43 | % |
* All ratios have been annualized except total investment return and portfolio turnover.
(a) | Net investment income (loss) per share is based on average shares outstanding. |
(b) | Amount represents less than $0.005 per share. |
(c) | Total investment 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 0.00% of interest expense for the period ended June 30, 2019. |
(f) | Includes interest expense on line of credit of 0.00% and 0.00% for the years ended December 31, 2015 and 2014, respectively. |
(g) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
82 | | LoCorr Spectrum Income Fund - Financial Highlights - Class I |
LoCorr Spectrum Income Fund - Class I
Financial Highlights
Selected Data and Ratios (for a share outstanding throughout the period)
Six Months Ended June 30, 2019* | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Per Share | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 6.25 | $ | 7.38 | $ | 7.69 | $ | 7.78 | $ | 8.97 | $ | 10.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | 0.10 | 0.24 | 0.19 | 0.31 | 0.41 | 0.43 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.78 | (0.77 | ) | 0.10 | 0.20 | (1.00 | ) | (0.91 | ) | |||||||||||||||
Total from Investment Operations | 0.88 | (0.53 | ) | 0.29 | 0.51 | (0.59 | ) | (0.48 | ) | |||||||||||||||
Distributions From Earnings: | ||||||||||||||||||||||||
Net investment income | (0.28 | ) | (0.27 | ) | (0.16 | ) | (0.39 | ) | (0.41 | ) | (0.38 | ) | ||||||||||||
Return of capital | – | (0.33 | ) | (0.44 | ) | (0.21 | ) | (0.19 | ) | (0.17 | ) | |||||||||||||
Total Distributions | (0.28 | ) | (0.60 | ) | (0.60 | ) | (0.60 | ) | (0.60 | ) | (0.55 | ) | ||||||||||||
Redemption Fees | – | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | 0.00 | (b) | |||||||||||||
Net Asset Value, End of Period | $ | 6.85 | $ | 6.25 | $ | 7.38 | $ | 7.69 | $ | 7.78 | $ | 8.97 | ||||||||||||
Total Investment Return | 14.15 | % | (7.91 | )% | 3.85 | % | 6.85 | % | (7.10 | )% | (5.23 | )% | ||||||||||||
Net Assets, End of Period, in Thousands | $ | 30,756 | $ | 27,618 | $ | 43,032 | $ | 46,838 | $ | 28,292 | $ | 31,428 | ||||||||||||
Ratio/Supplemental Data:(c) | ||||||||||||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 1.78 | %(d) | 1.73 | % | 1.70 | % | 1.77 | % | 1.74 | %(e) | 2.03 | %(e) | ||||||||||||
After expense waiver or recovery | 1.78 | %(d) | 1.73 | % | 1.74 | % | 1.80 | % | 1.80 | %(e) | 1.80 | %(e) | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before expense waiver or recovery | 3.00 | % | 3.26 | % | 2.52 | % | 4.06 | % | 4.66 | % | 4.13 | % | ||||||||||||
After expense waiver or recovery | 3.00 | % | 3.26 | % | 2.48 | % | 4.03 | % | 4.60 | % | 4.36 | % | ||||||||||||
Portfolio turnover rate(f) | 50 | % | 82 | % | 84 | % | 92 | % | 54 | % | 43 | % |
* All ratios have been annualized except total investment return and portfolio turnover.
(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 0.00% of interest expense for the period ended June 30, 2019. |
(e) | Includes interest expense on line of credit of 0.00% and 0.00% for the years ended December 31, 2015 and 2014, respectively. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
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LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements | | 83 |
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|
84 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
Commencement of Operations | ||||||
Class A | Class C | Class I | ||||
LoCorr Macro Strategies Fund | March 22, 2011 | March 24, 2011 | March 24, 2011 | |||
LoCorr Long/Short Commodities Strategy Fund | January 1, 2012 | January 1, 2012 | January 1, 2012 | |||
LoCorr Dynamic Equity Fund | May 10, 2013 | May 10, 2013 | May 10, 2013 | |||
LoCorr Spectrum Income Fund | January 1, 2014 | January 1, 2014 | January 1, 2014 | |||
LoCorr Market Trend Fund | July 1, 2014 | July 1, 2014 | July 1, 2014 |
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LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 85 |
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|
86 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
● | securities for which market quotations are not readily available at the valuation time on a particular business day (including without limitation securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source); |
● | securities 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. |
● | 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. |
|
|
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LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 87 |
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|
● | 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. |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 90,434,012 | $ | — | $ | 90,434,012 | ||||||||
Corporate Bonds | — | 166,163,122 | — | 166,163,122 | ||||||||||||
Mortgage Backed Securities | — | 79,669,116 | — | 79,669,116 | ||||||||||||
U.S. Government Agency Issues | — | 79,503,317 | — | 79,503,317 | ||||||||||||
U.S. Government Notes | — | 97,576,749 | — | 97,576,749 | ||||||||||||
Short Term Investment | 26,396,175 | — | — | 26,396,175 | ||||||||||||
Total Investments | $ | 26,396,175 | $ | 513,346,316 | $ | — | $ | 539,742,491 | ||||||||
Other Financial Instruments* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Purchase | $ | — | $ | 5,366,738 | $ | — | $ | 5,366,738 | ||||||||
Sale | — | (8,850,957 | ) | — | (8,850,957 | ) | ||||||||||
Total Forward Currency Contracts | — | (3,484,219 | ) | — | (3,484,219 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Long | 11,405,806 | — | — | 11,405,806 | ||||||||||||
Short | (238,628 | ) | — | — | (238,628 | ) | ||||||||||
Total Futures Contracts | 11,167,178 | — | — | 11,167,178 | ||||||||||||
Total Other Financial Instruments | $ | 11,167,178 | $ | (3,484,219 | ) | $ | — | $ | 7,682,959 |
88 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 43,370,309 | $ | — | $ | 43,370,309 | ||||||||
Corporate Bonds | — | 79,610,427 | — | 79,610,427 | ||||||||||||
Foreign Government Bond | — | 8,735 | — | 8,735 | ||||||||||||
Mortgage Backed Securities | — | 37,968,851 | — | 37,968,851 | ||||||||||||
Municipal Bonds | — | 45,306 | — | 45,306 | ||||||||||||
U.S. Government Agency Issues | — | 27,243,116 | — | 27,243,116 | ||||||||||||
U.S. Government Notes | — | 49,149,917 | — | 49,149,917 | ||||||||||||
Short Term Investments | 12,339,016 | 9,002,295 | — | 21,341,311 | ||||||||||||
Total Investments | $ | 12,339,016 | $ | 246,398,956 | $ | — | $ | 258,737,972 | ||||||||
Swap Contracts* | ||||||||||||||||
Long Total Return Swap Contracts | $ | — | $ | (2,466,015 | ) | $ | — | $ | (2,466,015 | ) | ||||||
Total Swap Contracts | $ | — | $ | (2,466,015 | ) | $ | — | $ | (2,466,015 | ) |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 45,266,325 | $ | — | $ | 45,266,325 | ||||||||
Mortgage Backed Securities | — | 28,594,246 | — | 28,594,246 | ||||||||||||
Municipal Bond | — | 1,111,224 | — | 1,111,224 | ||||||||||||
U.S. Government Agency Issues | — | 62,910,594 | — | 62,910,594 | ||||||||||||
U.S. Government Notes | — | 65,013,323 | — | 65,013,323 | ||||||||||||
Short Term Investment | 10,513,203 | 3,849,332 | — | 14,362,535 | ||||||||||||
Total Investments | $ | 10,513,203 | $ | 206,745,044 | $ | — | $ | 217,258,247 | ||||||||
Other Financial Instruments* | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Purchase | $ | — | $ | 103,147 | $ | — | $ | 103,147 | ||||||||
Sale | — | (3,364,639 | ) | — | (3,364,639 | ) | ||||||||||
Total Forward Currency Contracts | — | (3,261,492 | ) | — | (3,261,492 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Long | 14,157,941 | — | — | 14,157,941 | ||||||||||||
Short | (27,083 | ) | — | — | (27,083 | ) | ||||||||||
Total Futures Contracts | 14,130,858 | — | — | 14,130,858 | ||||||||||||
Total Other Financial Instruments | $ | 14,130,858 | $ | (3,261,492 | ) | $ | — | $ | 10,869,366 |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 89 |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Common Stocks | $ | 20,363,752 | $ | — | $ | — | $ | 20,363,752 | ||||||||
Real Estate Investment Trusts | 641,118 | — | — | 641,118 | ||||||||||||
Short Term Investment | 3,711,070 | — | — | 3,711,070 | ||||||||||||
Total Investments | $ | 24,715,940 | $ | — | $ | — | $ | 24,715,940 | ||||||||
Securities Sold Short | ||||||||||||||||
Common Stocks | $ | (8,086,483 | ) | $ | — | $ | — | $ | (8,086,483 | ) | ||||||
Exchange Traded Funds | (176,380 | ) | — | — | (176,380 | ) | ||||||||||
Real Estate Investment Trusts | (654,052 | ) | — | — | (654,052 | ) | ||||||||||
Total Securities Sold Short | $ | (8,916,915 | ) | $ | — | $ | — | $ | (8,916,915 | ) | ||||||
Futures Contracts* | ||||||||||||||||
Long | $ | 79,443 | $ | — | $ | — | $ | 79,443 | ||||||||
Short | 2,282 | — | — | 2,282 | ||||||||||||
Total Futures Contracts | $ | 81,725 | $ | — | $ | — | $ | 81,725 |
Security Classification | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Business Development Companies | $ | 5,496,953 | $ | — | $ | — | $ | 5,496,953 | ||||||||
Closed-End Investment Companies | 7,167,547 | — | — | 7,167,547 | ||||||||||||
Common Stocks | 20,726,067 | — | — | 20,726,067 | ||||||||||||
Master Limited Partnerships | 16,756,633 | — | — | 16,756,633 | ||||||||||||
Preferred Stocks | 858,096 | 928,021 | — | 1,786,117 | ||||||||||||
Publicly Traded Partnerships | 4,914,628 | — | — | 4,914,628 | ||||||||||||
Purchased Put Options | 242,500 | — | — | 242,500 | ||||||||||||
Real Estate Investment Trusts | 15,777,793 | — | — | 15,777,793 | ||||||||||||
Short Term Investment | 4,678,454 | — | — | 4,678,454 | ||||||||||||
Total Investments | $ | 76,618,671 | $ | 928,021 | $ | — | $ | 77,546,692 | ||||||||
Written Options | ||||||||||||||||
Written Call Options | $ | (94,602 | ) | $ | — | $ | — | $ | (94,602 | ) | ||||||
Total Written Options | $ | (94,602 | ) | $ | — | $ | — | $ | (94,602 | ) |
90 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
Distributions from Earnings
Shareholder transactions are recorded on trade date. Dividends from net investment income are declared and paid at least annually by the Funds. Distribution of net realized capital gains, if any, are declared and paid at least annually. Distributions to shareholders are recorded on the ex-dividend date. The character of distributions made during the periods from net investment income or net realized gains may differ from the characterization for federal income tax purposes due to the difference in the recognition of income, expense and gain items for financial statement and tax purposes.
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 91 |
The tax character of distributions paid during the periods was as follows:
Six Months Ended June 30, 2019 | ||||||||||||
Fund | Ordinary Income | Long-Term Capital Gains | Return of Capital | |||||||||
LoCorr Spectrum Income Fund | $ | 2,867,203 | $ | — | $ | — |
Year Ended December 31, 2018 | ||||||||||||
Fund | Ordinary Income | Long-Term Capital Gains | Return of Capital | |||||||||
LoCorr Macro Strategies Fund | $ | 17,125,045 | $ | — | $ | — | ||||||
LoCorr Long/Short Commodities Strategy Fund | 23,586,033 | — | — | |||||||||
LoCorr Dynamic Equity Fund | — | 1,162,325 | — | |||||||||
LoCorr Spectrum Income Fund | 2,900,053 | — | 3,468,877 |
92 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 93 |
94 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 95 |
At June 30, 2019, the LoCorr Macro Strategies Fund, the LoCorr Long/Short Commodities Strategy Fund, the LoCorr Market Trend Fund, the LoCorr Dynamic Equity Fund and the LoCorr Spectrum Income Fund held derivative and other financial instruments which are not subject to a master netting arrangement. As the tables below illustrate, no positions are netted in these consolidated and non-consolidated financial statements.
LoCorr Macro Strategies Fund - June 30, 2019 | |||||||||||||||||||
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 | $ | 5,546,920 | $ | — | $ | 5,546,920 | $ | — | $ | — | $ | 5,546,920 | |||||||
Futures contracts | 2,054,681 | — | 2,054,681 | — | — | 2,054,681 | |||||||||||||
Total | $ | 7,601,601 | $ | — | $ | 7,601,601 | $ | — | $ | — | $ | 7,601,601 |
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 | $ | 9,031,139 | $ | — | $ | 9,031,139 | $ | — | $ | (9,031,139) | $ | — | |||||||
Futures contracts | 287,286 | — | 287,286 | — | (287,286) | — | |||||||||||||
Total | $ | 9,318,425 | $ | — | $ | 9,318,425 | $ | — | $ | (9,318,425) | $ | — |
LoCorr Long/Short Commodities Strategy Fund - June 30, 2019 | |||||||||||||||||||
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 | |||||||||||||
Swap Contracts* | $ | 11,034,228 | $ | — | $ | 11,034,228 | $ | — | $ | — | $ | 11,034,228 | |||||||
Total | $ | 11,034,228 | $ | — | $ | 11,034,228 | $ | — | $ | — | $ | 11,034,228 |
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 Assets & Liabilities | Financial Instruments | Collateral Received (Pledged) | Net Amount | |||||||||||||
Swap Contracts | $ | 2,466,015 | $ | — | $ | 2,466,015 | $ | — | $ | (2,466,015) | $ | — | |||||||
Total | $ | 2,466,015 | $ | — | $ | 2,466,015 | $ | — | $ | (2,466,015) | $ | — |
*Represents advance receipt on swap contracts.
LoCorr Market Trend Fund - June 30, 2019 | |||||||||||||||||||
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 | Financial Instruments | Collateral Pledged (Received) | Net Amount | |||||||||||||
Forward currency contracts | $ | 255,383 | $ | — | $ | 255,383 | $ | — | $ | — | $ | 255,383 | |||||||
Futures contracts | 1,670,629 | — | 1,670,629 | — | — | 1,670,629 | |||||||||||||
Total | $ | 1,926,012 | $ | — | $ | 1,926,012 | $ | — | $ | — | $ | 1,926,012 |
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 | $ | 3,516,875 | $ | — | $ | 3,516,875 | $ | — | $ | (3,516,875) | $ | — | |||||||
Futures contracts | 192,056 | — | 192,056 | — | (192,056) | — | |||||||||||||
Total | $ | 3,708,931 | $ | — | $ | 3,708,931 | $ | — | $ | (3,708,931) | $ | — |
96 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
LoCorr Dynamic Equity Fund - June 30, 2019 | |||||||||||||||||||
Assets: | Gross Amounts not offset in the 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 | Financial Instruments | Collateral Pledged (Received) | Net Amount | |||||||||||||
Futures contracts | $ | 19,903 | $ | — | $ | 19,903 | $ | — | $ | — | $ | 19,903 | |||||||
Total | $ | 19,903 | $ | — | $ | 19,903 | $ | — | $ | — | $ | 19,903 |
The Funds have adopted authoritative standards regarding disclosure about derivatives and hedging activities and how they affect the Funds’ consolidated statements of assets and liabilities and consolidated statements of operations. Fair value of swap contracts are recorded in the consolidated statements of assets and liabilities as net unrealized gain on swap contracts or net unrealized loss on swap contracts and net unrealized appreciation of swap contracts or net unrealized depreciation of swap contracts.
Since the derivatives held long or short are for speculative trading purposes, the derivative instruments are not designated as hedging instruments. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open contracts from the preceding period, are recognized as part of realized and unrealized gain (loss) in the consolidated statements of operations.
The following table presents the fair value of consolidated derivative instruments for the LoCorr Macro Strategies Fund, the LoCorr Long/Short Commodities Strategy Fund, the LoCorr Market Trend Fund and the non-consolidated derivative instruments for the LoCorr Dynamic Equity Fund and the LoCorr Spectrum Income Fund as of June 30, 2019 as presented on each Fund’s consolidated and non-consolidated statements of assets and liabilities:
Net Unrealized | ||||||||||
Fair Value | Open | |||||||||
Derivatives Not Accounted for as Hedging Instruments | Assets | Liabilities | Positions | |||||||
LoCorr Macro Strategies Fund | ||||||||||
Forward Currency Contracts(a) | ||||||||||
Long | $ | 5,546,723 | $ | 179,985 | $ | 5,366,738 | ||||
Short | 197 | 8,851,154 | (8,850,957 | ) | ||||||
Total Forward Currency Contracts | 5,546,920 | 9,031,139 | (3,484,219 | ) | ||||||
Futures Contracts(b) | ||||||||||
Long Contracts | ||||||||||
Commodity | 2,332,043 | 847,044 | 1,484,999 | |||||||
Equity | 2,268,171 | 105,009 | 2,163,162 | |||||||
Foreign exchange | 136,671 | 62,219 | 74,452 | |||||||
Interest rate | 7,792,280 | 109,087 | 7,683,193 | |||||||
Total Long Contracts | 12,529,165 | 1,123,359 | 11,405,806 | |||||||
Short Contracts | ||||||||||
Commodity | 1,298,658 | 1,105,905 | 192,753 | |||||||
Equity | 90,936 | 351,874 | (260,938 | ) | ||||||
Foreign exchange | — | 409 | (409 | ) | ||||||
Interest rate | 2,559 | 172,593 | (170,034 | ) | ||||||
Total Short Contracts | 1,392,153 | 1,630,781 | (238,628 | ) | ||||||
Total Futures Contracts | 13,921,318 | 2,754,140 | 11,167,178 | |||||||
Total Forward Currency Contracts and Futures Contracts | $ | 19,468,238 | $ | 11,785,279 | $ | 7,682,959 |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 97 |
Net Unrealized Gain (Loss) on | ||||||||||
Fair Value | Open | |||||||||
Derivatives Not Accounted for as Hedging Instruments | Assets | Liabilities | Positions | |||||||
LoCorr Long/Short Commodities Strategy Fund | ||||||||||
Long Total Return Swap Contracts | ||||||||||
LoCorr Commodities Index | $ | — | $ | 2,466,015 | $ | (2,466,015 | ) | |||
LoCorr Market Trend Fund | ||||||||||
Forward Currency Contracts(a) | ||||||||||
Long | $ | 255,383 | $ | 152,236 | $ | 103,147 | ||||
Short | — | 3,364,639 | (3,364,639 | ) | ||||||
Total Forward Currency Contracts | 255,383 | 3,516,875 | (3,261,492 | ) | ||||||
Futures Contracts(b) | ||||||||||
Long Contracts | ||||||||||
Commodity | 2,518,659 | 192,056 | 2,326,603 | |||||||
Equity | 2,083,256 | 104,167 | 1,979,089 | |||||||
Foreign exchange | — | 82,262 | (82,262 | ) | ||||||
Interest rate | 9,934,511 | — | 9,934,511 | |||||||
Total Long Contracts | 14,536,426 | 378,485 | 14,157,941 | |||||||
Short Contracts | ||||||||||
Commodity | 1,318,639 | 1,186,505 | 132,134 | |||||||
Equity | 30,851 | 190,068 | (159,217 | ) | ||||||
Total Short Contracts | 1,349,490 | 1,376,573 | (27,083 | ) | ||||||
Total Futures Contracts | 15,885,916 | 1,755,058 | 14,130,858 | |||||||
Total Forward Currency Contracts and Futures Contracts | $ | 16,141,299 | $ | 5,271,933 | $ | 10,869,366 | ||||
LoCorr Dynamic Equity Fund | ||||||||||
Futures Contracts(b) | ||||||||||
Long Contracts | ||||||||||
Equity | $ | 79,443 | $ | — | $ | 79,443 | ||||
Total Long Contracts | 79,443 | — | 79,443 | |||||||
Short Contracts | ||||||||||
Equity | 2,282 | — | 2,282 | |||||||
Total Short Contracts | 2,282 | — | 2,282 | |||||||
Total Futures Contracts | $ | 81,725 | $ | — | $ | 81,725 | ||||
LoCorr Spectrum Income Fund | ||||||||||
Options (c) | ||||||||||
Purchased Options | ||||||||||
Put Options | $ | 242,500 | $ | — | $ | (245,915 | ) | |||
Written Options | ||||||||||
Call Options | — | 94,602 | 313 | |||||||
Total Options | $ | 242,500 | $ | (94,602 | ) | $ | (245,602 | ) |
(a) | Unrealized appreciation on forward currency contracts is a receivable and unrealized depreciation on forward currency contracts is a payable on the Fund’s consolidated statement of assets and liabilities. |
(b) | Reflects the cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Fund’s consolidated and non-consolidated schedule of open futures contracts. Only the current day variation margin for futures contracts is separately reported within the Fund’s consolidated and non-consolidated statement of assets and liabilities. |
(c) | Purchased options are included within Investments at value, and written options are reported as liabilities on the Fund’s statements of assets and liabilities. |
98 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
The following table presents the results of the derivative trading and information related to volume for the six months ended June 30, 2019 for the LoCorr Macro Strategies Fund, the LoCorr Long/Short Commodities Strategy Fund, the LoCorr Market Trend Fund, the LoCorr Dynamic Equity Fund and the LoCorr Spectrum Income Fund. The below captions of “Net Realized” and “Net Change in Unrealized” correspond to the captions in each Fund’s consolidated and non-consolidated statement of operations.
Gain (Loss) from Trading | |||||||
Fund and Type of Derivative Instrument | Net Realized | Net Change in Unrealized | |||||
LoCorr Macro Strategies Fund | |||||||
Forward Currency Contracts | $ | (2,735,250 | ) | $ | (2,556,937 | ) | |
Futures Contracts | |||||||
Commodity | (13,165,105 | ) | (2,102,421 | ) | |||
Equity | 4,820,143 | 2,565,863 | |||||
Foreign exchange | (464,745 | ) | 186,930 | ||||
Interest rate | 30,968,561 | 9,224,309 | |||||
Total Futures Contracts | 22,158,854 | 9,874,681 | |||||
Total Forward Currency Contracts and Futures Contracts | $ | 19,423,604 | $ | 7,317,744 | |||
LoCorr Long/Short Commodities Strategy Fund | |||||||
Swap Contracts | $ | 615,496 | $ | (6,829,961 | ) | ||
LoCorr Market Trend Fund | |||||||
Forward Currency Contracts | $ | (1,900,758 | ) | $ | (755,268 | ) | |
Futures Contracts | |||||||
Commodity | (20,145,279 | ) | 2,281,000 | ||||
Equity | 4,614,462 | 2,647,869 | |||||
Foreign exchange | (2,819 | ) | 132,513 | ||||
Interest rate | 25,007,055 | 12,958,630 | |||||
Total Futures Contracts | 9,473,419 | 18,020,012 | |||||
Total Forward Currency Contracts and Futures Contracts | $ | 7,572,661 | $ | 17,264,744 | |||
LoCorr Dynamic Equity Fund | |||||||
Futures Contracts | |||||||
Equity | $ | 527,419 | $ | 81,725 | |||
Total Futures Contracts | $ | 527,419 | $ | 81,725 | |||
LoCorr Spectrum Income Fund | |||||||
Options | |||||||
Purchased Options | |||||||
Put Options | $ | 42,907 | $ | (245,915 | ) | ||
Written Options | |||||||
Call Options | 14,253 | 313 | |||||
Total Options | $ | 57,160 | $ | (245,602 | ) |
Average Notional Amount | |||||||
Long Contracts | Short Contracts | ||||||
LoCorr Macro Strategies Fund | |||||||
Forward Currency Contracts | $ | 599,419,327 | $ | 854,144,192 | |||
Futures Contracts | 1,935,532,467 | 594,060,960 | |||||
LoCorr Long/Short Commodities Strategy Fund | |||||||
Swap Contracts | $ | 221,087,955 | $ | — | |||
LoCorr Market Trend Fund | |||||||
Forward Currency Contracts | $ | 296,856,174 | $ | 602,027,184 | |||
Futures Contracts | 1,824,110,198 | 501,014,686 |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 99 |
Average Notional Amount | |||||||
Long Contracts | Short Contracts | ||||||
LoCorr Dynamic Equity Fund* | |||||||
Futures Contracts | $ | 4,680,200 | $ | 517,229 | |||
LoCorr Spectrum Income Fund** | |||||||
Options | $ | 380,600 | $ | 5,028,411 |
* Represents the average notional amount for the period of January 9, 2019 to June 30, 2019, when the Fund began trading futures contracts.
** Represents the average notional amount for the period of May 21, 2019 to June 30, 2019, when the Fund began trading options.
The swap contracts and the commodity-related futures contracts reported in the tables in Note 3 represent balances and activity of each Fund’s respective wholly-owned and controlled subsidiary. See Note 2.
Please refer to the Funds’ prospectuses for a full listing of risks associated with these investments.
4. Investment Transactions
The cost of security purchases and proceeds from security sales, excluding short-term investments, derivative instruments, short sales and purchases to cover short sales for the six months ended June 30, 2019 were as follows:
U.S. Government Obligations | All Other | ||||||||||||
Purchases | Sales | Purchases | Sales | ||||||||||
LoCorr Macro Strategies Fund | $ | 101,045,815 | $ | 40,792,981 | $ | 136,485,948 | $ | 180,772,801 | |||||
LoCorr Long/Short Commodities Strategy Fund | 49,789,415 | 22,924,220 | 102,680,021 | 79,045,701 | |||||||||
LoCorr Market Trend Fund | 57,275,553 | 20,494,760 | 28,950,006 | 152,776,850 | |||||||||
LoCorr Dynamic Equity Fund | — | — | 32,584,426 | 38,970,289 | |||||||||
LoCorr Spectrum Income Fund | — | — | 33,474,720 | 34,844,093 |
5. Management Fees and Other Transactions with Affiliates
Management Agreement
The Trust has a Management Agreement with the Adviser, with whom certain officers and Trustees of the Funds are affiliated, to furnish investment advisory services to the Funds. Pursuant to the amended Management Agreement, the Adviser is entitled to receive a fee as follows:
Fund | Annual Advisory Fee as a Percentage of the Average Daily Net Assets of the Fund |
LoCorr Macro Strategies Fund | 1.65% |
LoCorr Market Trend Fund | 1.50% |
LoCorr Dynamic Equity Fund | 1.50% |
LoCorr Spectrum Income Fund | 1.30% |
Pursuant to the amended Management Agreement, the Adviser is entitled to receive a fee, in accordance with the Incremental Advisory Fee schedule below based on the LoCorr Long/Short Commodities Strategy Fund’s average daily net assets.
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% |
*Incremental advisory fee represents the fees paid on net assets at the related net asset level. For example, with $3 billion in net assets in the Fund, the Adviser would earn 1.50% on the first $500 million, plus 1.40% on the next $500 million, plus 1.30% on the next $500 million, plus 1.20% on the next $500 million, plus 1.10% on the next $500 million, plus 1.00% on the final $500 million.
100 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
As of and for the six months ended June 30, 2019, the Funds reported the following in regards to management fees:
Fund | Management Fees For the Six Months Ended June 30, 2019 | Accrued Net Management Fees as of June 30, 2019 | |||||||||
LoCorr Macro Strategies Fund | $ | 4,754,411 | $ | 859,913 | |||||||
LoCorr Long/Short Commodities Strategy Fund | 2,174,528 | 394,789 | |||||||||
LoCorr Market Trend Fund | 2,068,463 | 323,529 | |||||||||
LoCorr Dynamic Equity Fund | 200,879 | 16,896 | |||||||||
LoCorr Spectrum Income Fund | 480,589 | 80,963 |
Sub-Advisory Agreements
Sub-advisory services are provided to the Funds, pursuant to agreements between the Adviser and the below listed sub-advisers. Under the terms of these sub-advisory agreements, the Adviser compensates the sub-advisers based on the portion of each Fund’s average daily net assets which they have been allocated to manage.
LoCorr Macro Strategies Fund: |
Graham Capital Management, L.P. |
Millburn Ridgefield Corporation |
Nuveen Asset Management, LLC |
Revolution Capital Management LLC |
LoCorr Long/Short Commodities Strategy Fund: |
Nuveen Asset Management, LLC |
LoCorr Market Trend Fund: |
Graham Capital Management, L.P. |
Nuveen Asset Management, LLC |
LoCorr Dynamic Equity Fund: |
Billings Capital Management LLC |
First Quadrant, L.P. |
Kettle Hill Capital Management, LLC |
LoCorr Spectrum Income Fund: |
Trust & Fiduciary Income Partners, LLC |
The Adviser is solely responsible for the payment of the sub-adviser’s fees, and the sub-adviser agrees not to seek payment of its fees from the Trust or the Funds.
Expense Limitation Agreement
The Funds’ Adviser has contractually agreed to waive management fees and/or reimburse the Funds for expenses they incur, but only to the extent necessary to maintain the Funds’ total annual operating expenses after fee waiver and/or reimbursement (excluding any Rule 12b-1 distribution and/or servicing fees, taxes, interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, dividend expenses on short sales, swap fees, indirect expenses, expenses of other investment companies in which the Funds may invest, or extraordinary expenses such as litigation expenses and inclusive of offering and organizational costs incurred prior to the commencement of operations) at the percentages listed below:
Fund | Expense Limit as a Percentage of the Average Daily Net Assets of the Fund | Effective Period Through |
LoCorr Macro Strategies Fund | 1.99% | April 30, 2020 |
LoCorr Long/Short Commodities Strategy Fund | 1.95% | April 30, 2020 |
LoCorr Market Trend Fund | 1.95% | April 30, 2020 |
LoCorr Dynamic Equity Fund | 1.99% | April 30, 2020 |
LoCorr Spectrum Income Fund | 1.80% | April 30, 2020 |
Any waiver or reimbursement is subject to repayment by the respective Fund within the three fiscal years following the fiscal year in which the expenses occurred, if the Fund is able to make the repayment without exceeding its current expense limitations and the repayment is approved by the Board. The organizational and offering costs are subject to repayment by the Funds.
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 101 |
The total amounts of management fees waived and/or expenses reimbursed which are subject to recovery, and their related expiration date are as follows:
LoCorr Macro Strategies Fund | |||||||||||||
Management Fees | Recovery to Adviser | Subject to Recovery on or | |||||||||||
Period | (Waived) by Adviser Subject to Recovery | Six Months Ended June 30, 2019 | Remaining Available Subject to Recovery | Before Fiscal Year Ending December 31, | |||||||||
Six Months Ended June 30, 2019 | $ | — | $ | — | $ | — | 2022 | ||||||
Year Ended December 31, 2018 | (67,297 | ) | — | (67,297 | ) | 2021 | |||||||
Year Ended December 31, 2017 | (485,398 | ) | 188,935 | (296,463 | ) | 2020 | |||||||
Total | $ | (552,695 | ) | $ | 188,935 | $ | (363,760 | ) | |||||
LoCorr Long/Short Commodities Strategy Fund | |||||||||||||
Management Fees | Recovery to Adviser | Subject to Recovery on or | |||||||||||
Period | (Waived) by Adviser Subject to Recovery | Six Months Ended June 30, 2019 | Remaining Available Subject to Recovery | Before Fiscal Year Ending December 31, | |||||||||
Six Months Ended June 30, 2019 | $ | — | $ | — | $ | — | 2022 | ||||||
Year Ended December 31, 2018 | — | — | — | 2021 | |||||||||
Year Ended December 31, 2017 | (81,840 | ) | 81,840 | — | 2020 | ||||||||
Year Ended December 31, 2016 | (21,779 | ) | 21,779 | — | 2019 | ||||||||
Total | $ | (103,619 | ) | $ | 103,619 | $ | — | ||||||
LoCorr Dynamic Equity Fund | |||||||||||||
Management Fees | Recovery to Adviser | Subject to Recovery on or | |||||||||||
Period | (Waived) by Adviser Subject to Recovery | Six Months Ended June 30, 2019 | Remaining Available Subject to Recovery | Before Fiscal Year Ending December 31, | |||||||||
Six Months Ended June 30, 2019 | $ | (91,924 | ) | $ | — | $ | (91,924 | ) | 2022 | ||||
Year Ended December 31, 2018 | (95,089 | ) | — | (95,089 | ) | 2021 | |||||||
Year Ended December 31, 2017 | (58,609 | ) | — | (58,609 | ) | 2020 | |||||||
Year Ended December 31, 2016 | (102,813 | ) | — | (102,813 | ) | 2019 | |||||||
Total | $ | (348,435 | ) | $ | — | $ | (348,435 | ) |
At June 30, 2019, there were no fees subject to recovery for the LoCorr Long/Short Commodities Strategy Fund, LoCorr Market Trend Fund or the LoCorr Spectrum Income Fund.
Rule 12b-1 Distribution Agreement
The Funds have entered into a Rule 12b-1 distribution agreement with Quasar Distributors, LLC (“Quasar”). Class A shareholders pay distribution expenses to Quasar at the annual rate of 0.25% of the Fund’s average daily net assets. Class C shareholders pay to Quasar an annual rate of 1.00%, which is comprised of 0.75% in distribution expenses and 0.25% in service fees, of the Fund’s average daily net assets. Class I shareholders pay no 12b-1 fees.
102 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
6. Fund Shares
At June 30, 2019, there were an unlimited number of shares of beneficial interest authorized. The following table summarizes the activity in shares and dollar amounts applicable to each class of the Funds:
LoCorr Macro Strategies Fund – Class A | |||||||||||||
For the Six Months Ended June 30, 2019 | For the Year Ended December 31, 2018 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 890,823 | $ | 7,172,973 | 2,896,743 | $ | 24,405,481 | |||||||
Reinvestment of Distributions | — | — | 199,801 | 1,570,436 | |||||||||
Shares Redeemed | (1,925,904 | ) | (15,416,402 | ) | (6,956,481 | ) | (57,264,468 | ) | |||||
(1,035,081 | ) | $ | (8,243,429 | ) | (3,859,937 | ) | $ | (31,288,551 | ) | ||||
Beginning Shares | 6,926,645 | 10,786,582 | |||||||||||
Ending Shares | 5,891,564 | 6,926,645 | |||||||||||
LoCorr Macro Strategies Fund – Class C | |||||||||||||
For the Six Months Ended June 30, 2019 | For the Year Ended December 31, 2018 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 305,016 | $ | 2,383,751 | 780,250 | $ | 6,256,139 | |||||||
Reinvestment of Distributions | — | — | 143,755 | 1,082,469 | |||||||||
Shares Redeemed | (1,632,492 | ) | (12,590,306 | ) | (4,904,955 | ) | (38,557,306 | ) | |||||
(1,327,476 | ) | $ | (10,206,555 | ) | (3,980,950 | ) | $ | (31,218,698 | ) | ||||
Beginning Shares | 6,976,532 | 10,957,482 | |||||||||||
Ending Shares | 5,649,056 | 6,976,532 | |||||||||||
LoCorr Macro Strategies Fund – Class I | |||||||||||||
For the Six Months Ended June 30, 2019 | For the Year Ended December 31, 2018 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 19,135,788 | $ | 155,748,226 | 35,161,086 | $ | 296,008,093 | |||||||
Reinvestment of Distributions | — | — | 1,631,374 | 13,002,054 | |||||||||
Shares Redeemed | (15,350,722 | ) | (125,816,682 | ) | (50,629,729 | ) | (423,014,386 | ) | |||||
3,785,066 | $ | 29,931,544 | (13,837,269 | ) | $ | (114,004,239 | ) | ||||||
Beginning Shares | 55,252,737 | 69,090,006 | |||||||||||
Ending Shares | 59,037,803 | 55,252,737 | |||||||||||
LoCorr Macro Strategies Fund | |||||||||||||
Total Net Increase (Decrease) | $ | 11,481,560 | $ | (176,511,488 | ) | ||||||||
LoCorr Long/Short Commodities Strategy Fund – Class A | |||||||||||||
For the Six Months Ended June 30, 2019 | For the Year Ended December 31, 2018 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 1,647,370 | $ | 16,064,177 | 4,847,619 | $ | 49,396,793 | |||||||
Reinvestment of Distributions | — | — | 513,483 | 4,883,224 | |||||||||
Shares Redeemed | (2,213,439 | ) | (21,333,358 | ) | (1,055,893 | ) | (10,813,133 | ) | |||||
(566,069 | ) | $ | (5,269,181 | ) | 4,305,209 | $ | 43,466,884 | ||||||
Beginning Shares | 6,939,577 | 2,634,368 | |||||||||||
Ending Shares | 6,373,508 | 6,939,577 | |||||||||||
LoCorr Long/Short Commodities Strategy Fund – Class C | |||||||||||||
For the Six Months Ended June 30, 2019 | For the Year Ended December 31, 2018 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 216,805 | $ | 2,032,938 | 257,769 | $ | 2,549,916 | |||||||
Reinvestment of Distributions | — | — | 69,279 | 635,984 | |||||||||
Shares Redeemed | (109,426 | ) | (1,034,622 | ) | (149,818 | ) | (1,446,429 | ) | |||||
107,379 | $ | 998,316 | 177,230 | $ | 1,739,471 | ||||||||
Beginning Shares | 680,762 | 503,532 | |||||||||||
Ending Shares | 788,141 | 680,762 | |||||||||||
LoCorr Long/Short Commodities Strategy Fund – Class I | |||||||||||||
For the Six Months Ended June 30, 2019 | For the Year Ended December 31, 2018 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 10,374,376 | $ | 103,048,601 | 13,864,200 | $ | 143,363,367 | |||||||
Reinvestment of Distributions | — | — | 1,365,873 | 13,153,352 | |||||||||
Shares Redeemed | (3,604,338 | ) | (35,900,986 | ) | (2,498,836 | ) | (25,755,584 | ) | |||||
6,770,038 | $ | 67,147,615 | 12,731,237 | $ | 130,761,135 | ||||||||
Beginning Shares | 18,127,708 | 5,396,471 | |||||||||||
Ending Shares | 24,897,746 | 18,127,708 | |||||||||||
LoCorr Long/Short Commodities Strategy Fund | |||||||||||||
Total Net Increase | $ | 62,876,750 | $ | 175,967,490 |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) | | 103 |
LoCorr Market Trend Fund – Class A | |||||||||||||
For the Six Months Ended June 30, 2019 | For the Year Ended December 31, 2018 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 228,017 | $ | 2,210,796 | 2,041,593 | $ | 21,534,780 | |||||||
Shares Redeemed | (1,624,024 | ) | (15,556,599 | ) | (4,253,791 | ) | (44,013,360 | ) | |||||
(1,396,007 | ) | $ | (13,345,803 | ) | (2,212,198 | ) | $ | (22,478,580 | ) | ||||
Beginning Shares | 3,368,248 | 5,580,446 | |||||||||||
Ending Shares | 1,972,241 | 3,368,248 | |||||||||||
�� | |||||||||||||
LoCorr Market Trend Fund – Class C | |||||||||||||
For the Six Months Ended June 30, 2019 | For the Year Ended December 31, 2018 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 5,099 | $ | 49,487 | 354,298 | $ | 3,626,237 | |||||||
Shares Redeemed | (790,622 | ) | (7,372,260 | ) | (1,872,667 | ) | (18,856,227 | ) | |||||
(785,523 | ) | $ | (7,322,773 | ) | (1,518,369 | ) | $ | (15,229,990 | ) | ||||
Beginning Shares | 2,523,295 | 4,041,664 | |||||||||||
Ending Shares | 1,737,772 | 2,523,295 | |||||||||||
LoCorr Market Trend Fund – Class I | |||||||||||||
For the Six Months Ended June 30, 2019 | For the Year Ended December 31, 2018 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 5,350,312 | $ | 51,714,568 | 24,293,597 | $ | 258,798,561 | |||||||
Shares Redeemed | (14,545,509 | ) | (139,799,069 | ) | (44,938,075 | ) | (460,309,189 | ) | |||||
(9,195,197 | ) | $ | (88,084,501 | ) | (20,644,478 | ) | $ | (201,510,628 | ) | ||||
Beginning Shares | 29,970,409 | 50,614,887 | |||||||||||
Ending Shares | 20,775,212 | 29,970,409 | |||||||||||
LoCorr Market Trend Fund | |||||||||||||
Total Net Decrease | $ | (108,753,077 | ) | $ | (239,219,198 | ) | |||||||
LoCorr Dynamic Equity Fund – Class A | |||||||||||||
For the Six Months Ended June 30, 2019 | For the Year Ended December 31, 2018 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 153,285 | $ | 1,662,436 | 204,446 | $ | 2,334,198 | |||||||
Reinvestment of Distributions | — | — | 30,595 | 303,192 | |||||||||
Shares Redeemed | (309,943 | ) | (3,340,496 | ) | (1,070,038 | ) | (11,843,915 | ) | |||||
(156,658 | ) | $ | (1,678,060 | ) | (834,997 | ) | $ | (9,206,525 | ) | ||||
Beginning Shares | 854,402 | 1,689,399 | |||||||||||
Ending Shares | 697,744 | 854,402 | |||||||||||
LoCorr Dynamic Equity Fund – Class C | |||||||||||||
For the Six Months Ended June 30, 2019 | For the Year Ended December 31, 2018 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 8,630 | $ | 87,695 | 12,061 | $ | 129,613 | |||||||
Reinvestment of Distributions | — | — | 20,409 | 193,276 | |||||||||
Shares Redeemed | (138,464 | ) | (1,434,469 | ) | (451,054 | ) | (4,895,777 | ) | |||||
(129,834 | ) | $ | (1,346,774 | ) | (418,584 | ) | $ | (4,572,888 | ) | ||||
Beginning Shares | 554,864 | 973,448 | |||||||||||
Ending Shares | 425,030 | 554,864 | |||||||||||
LoCorr Dynamic Equity Fund – Class I | |||||||||||||
For the Six Months Ended June 30, 2019 | For the Year Ended December 31, 2018 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 368,055 | $ | 4,080,785 | 808,578 | $ | 9,268,461 | |||||||
Reinvestment of Distributions | — | — | 59,248 | 596,627 | |||||||||
Shares Redeemed | (698,818 | ) | (7,567,731 | ) | (1,965,613 | ) | (22,405,609 | ) | |||||
(330,763 | ) | $ | (3,486,946 | ) | (1,097,787 | ) | $ | (12,540,521 | ) | ||||
Beginning Shares | 1,642,376 | 2,740,163 | |||||||||||
Ending Shares | 1,311,613 | 1,642,376 | |||||||||||
LoCorr Dynamic Equity Fund | |||||||||||||
Total Net Decrease | $ | (6,511,780 | ) | $ | (26,319,934 | ) |
104 | | LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund – Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund – Notes to Financial Statements (continued) |
LoCorr Spectrum Income Fund – Class A | |||||||||||||
For the Six Months Ended June 30, 2019 | For the Year Ended December 31, 2018 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 567,149 | $ | 3,913,040 | 1,001,209 | $ | 7,351,429 | |||||||
Reinvestment of Distributions | 101,628 | 697,951 | 202,320 | 1,445,202 | |||||||||
Shares Redeemed | (486,350 | ) | (3,350,931 | ) | (1,648,412 | ) | (11,964,611 | ) | |||||
Redemption Fees | — | 419 | — | 523 | |||||||||
182,427 | $ | 1,260,479 | (444,883 | ) | $ | (3,167,457 | ) | ||||||
Beginning Shares | 3,612,915 | 4,057,798 | |||||||||||
Ending Shares | 3,795,342 | 3,612,915 | |||||||||||
LoCorr Spectrum Income Fund – Class C | |||||||||||||
For the Six Months Ended June 30, 2019 | For the Year Ended December 31, 2018 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 260,456 | $ | 1,811,885 | 560,060 | $ | 4,179,406 | |||||||
Reinvestment of Distributions | 76,156 | 528,237 | 156,310 | 1,123,445 | |||||||||
Shares Redeemed | (399,001 | ) | (2,767,930 | ) | (1,017,079 | ) | (7,360,766 | ) | |||||
Redemption Fees | — | 63 | — | 408 | |||||||||
(62,389 | ) | $ | (427,745 | ) | (300,709 | ) | $ | (2,057,507 | ) | ||||
Beginning Shares | 2,867,151 | 3,167,860 | |||||||||||
Ending Shares | 2,804,762 | 2,867,151 | |||||||||||
LoCorr Spectrum Income Fund – Class I | |||||||||||||
For the Six Months Ended June 30, 2019 | For the Year Ended December 31, 2018 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Shares Sold | 1,336,189 | $ | 9,216,054 | 1,790,254 | $ | 12,983,667 | |||||||
Reinvestment of Distributions | 134,864 | 925,162 | 300,481 | 2,145,130 | |||||||||
Shares Redeemed | (1,398,784 | ) | (9,640,985 | ) | (3,504,043 | ) | (25,054,619 | ) | |||||
Redemption Fees | — | — | — | 24,184 | |||||||||
72,269 | $ | 500,231 | (1,413,308 | ) | $ | (9,901,638 | ) | ||||||
Beginning Shares | 4,420,099 | 5,833,407 | |||||||||||
Ending Shares | 4,492,368 | 4,420,099 | |||||||||||
LoCorr Spectrum Income Fund | |||||||||||||
Total Net Increase (Decrease) | $ | 1,332,965 | $ | (15,126,602 | ) |
7. Federal Tax Information
At December 31, 2018, the components of accumulated earnings (losses) on a tax basis were as follows(1):
LoCorr Macro Strategies Fund (2) | LoCorr Long/Short Commodities Strategy Fund (2) | LoCorr Market Trend Fund (2) | ||||||||
Tax cost of portfolio | $ | 564,003,036 | $ | 242,747,901 | $ | 312,199,163 | ||||
Gross unrealized appreciation | $ | 7,855,108 | $ | 11,187,250 | $ | 5,325,322 | ||||
Gross unrealized depreciation | (5,908,737 | ) | (6,896,884 | ) | (4,953,334 | ) | ||||
Net unrealized appreciation (depreciation) | 1,946,371 | 4,290,366 | 371,988 | |||||||
Undistributed ordinary income | 9,770,918 | 15,958 | 3,078,171 | |||||||
Undistributed long-term capital gains | — | — | — | |||||||
Total distributable earnings | 9,770,918 | 15,958 | 3,078,171 | |||||||
Other accumulated losses | (49,579,773 | ) | (2,201,229 | ) | (66,328,955 | ) | ||||
Total accumulated earnings (losses) | $ | (37,862,484 | ) | $ | 2,105,095 | $ | (62,878,796 | ) | ||
LoCorr Dynamic Equity Fund | LoCorr Spectrum Income Fund | |||||||||
Tax cost of portfolio | $ | 29,383,989 | $ | 73,493,864 | ||||||
Gross unrealized appreciation | $ | 1,167,022 | $ | 5,251,648 | ||||||
Gross unrealized depreciation | (4,080,140 | ) | (10,231,469 | ) | ||||||
Net unrealized appreciation (depreciation) | (2,913,118 | ) | (4,979,821 | ) | ||||||
Undistributed ordinary income | — | — | ||||||||
Undistributed long-term capital gains | 93,534 | — | ||||||||
Total distributable earnings | 93,534 | — | ||||||||
Other accumulated earnings (losses) | (215,487 | ) | (28,155,691 | ) | ||||||
Total accumulated earnings (losses) | $ | (3,035,071 | ) | $ | (33,135,512 | ) |
(1) | Total Portfolio represents aggregate amounts of Fund’s investments, securities sold short, forward currency contracts and futures contracts, where applicable. |
(2) | Tax Cost is presented on a non-consolidated basis and includes each of the Fund’s investment in the respective CFC’s and the unrealized appreciation and depreciation associated with those investments. |
LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund and LoCorr Market Trend Fund - Notes to Consolidated Financial Statements / LoCorr Dynamic Equity Fund and LoCorr Spectrum Income Fund - Notes to Financial Statements (continued) | | 105 |
Undistributed income or net realized gains for financial statement purposes may differ from amounts recognized for federal income tax purposes due to differences in the recognition and characterization of income, expense and capital gain items. The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributed primarily to the tax deferral of losses on wash sales and other temporary differences.
Under the current tax law, capital losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. As presented in the table below, the following Funds elected to defer capital losses for the fiscal year ended December 31, 2018:
Post October Loss Deferral | Late Year Ordinary Loss Deferral | ||||||
LoCorr Dynamic Equity Fund | $ | 167,174 | $ | — |
At December 31, 2018, accumulated net realized capital loss carryovers, if any, and the year(s) in which the capital loss carryovers expire were:
Capital Loss Carryover | Year of Expiration | |||||||||
Short-Term | Long-Term | |||||||||
LoCorr Macro Strategies Fund | $ | 25,624,736 | $ | 24,193,872 | Indefinitely | |||||
LoCorr Long/Short Commodities Strategy Fund | 1,125,032 | 1,076,197 | Indefinitely | |||||||
LoCorr Market Trend Fund | 32,588,883 | 33,724,138 | Indefinitely | |||||||
LoCorr Spectrum Income Fund | 11,098,789 | 15,638,249 | Indefinitely |
None of the Funds utilized any capital loss carryovers during the year ended December 31, 2018.
8. Line of Credit
The Trust entered into an unsecured, uncommitted Loan Agreement (“Line of Credit” or “LOC”) with U.S. Bank not individually but as an umbrella facility on behalf of the Funds in the Trust. The LOC expires on March 10, 2020. The LOC was established to provide the Funds a temporary short-term liquidity source, subject to certain restrictions, covenants and the right of setoff on the Funds’ assets, to meet unanticipated redemptions. Under terms of the LOC, borrowings for each Fund are limited to the lesser of one-third of the net unencumbered assets (including the amount borrowed) of the respective Fund, 5% of the gross assets of the respective Fund or $50 million in the aggregate for all of the Funds under this agreement. U.S. Bank charges an interest rate per annum equal to the Prime Rate (5.50% as of June 30, 2019).
The Funds did not utilize the Line of Credit during the six months ended June 30, 2019.
9. Subsequent Events
In preparing the financial statements, the Adviser has evaluated events after June 30, 2019.
Declaration of Dividends
The LoCorr Spectrum Income Fund declared the following ordinary income distributions:
Dividend Declaration Date (a) | Shareholder of Record Date | Distribution Amount per Share Class | |||||||||||
Class A | Class C | Class I | |||||||||||
July 31, 2019 | July 30, 2019 | $ | 0.03860 | $ | 0.03470 | $ | 0.04000 |
(a) Ex-date, reinvest date and payable date.
The estimated characterization of the distributions paid will be an ordinary dividend, qualified dividend or return of capital. See Note 2 for additional information.
There were no additional subsequent events since June 30, 2019 through the date the financial statements were issued that would require adjustments to or additional disclosure in these financial statements.
106 | | LoCorr Investment Trust - Expense Example (Unaudited) |
Expense Example
June 30, 2019 (Unaudited)
As a shareholder of a mutual fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments; redemption fees; and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees and other Fund expenses.
This Example is intended to help you understand your ongoing costs (in dollars) of investing in each of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2019 through June 30, 2019).
Actual Expenses
The actual return columns in the following table provide information about account values based on actual returns and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. The only transaction fees you may be required to pay are for outgoing wire transfers, returned checks and stop payment orders at prevailing rates charged by U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services, the Funds’ transfer agent. These fees are assessed on all accounts, as applicable. If you request that a redemption be made by wire transfer, currently the Funds’ transfer agent charges a $15.00 fee. The Funds’ transfer agent charges a transaction fee of $25.00 on returned checks and stop payment orders. If you paid a transaction fee, you would add the fee amount to the expenses paid on your account this period to obtain your total expenses paid.
Hypothetical Example for Comparison Purposes
The hypothetical return columns in the following table provide information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A transaction fee of $15.00 may be assessed on outgoing wire transfers and a transaction fee of $25.00 may be assessed on returned checks and stop payment orders. To include this fee in the calculation, you would add the estimated transaction fee to the hypothetical expenses shown in the table. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect the transaction fees discussed above. Therefore, those columns are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
LoCorr Investment Trust - Expense Example (Unaudited) (continued) | | 107 |
Actual vs Hypothetical Returns
Actual vs. Hypothetical returns for the Six Months Ended June 30, 2019 (Unaudited)
Actual | Hypothetical (5% gross annual return) | |||||||||||
Class | Fund’s Annualized Expense Ratio 1, 2 | Beginning Account Value January 1, 2019 | Ending Account Value June 30, 2019 | Expenses Paid During Period 1, 2, 3 | Ending Account Value June 30, 2019 | Expenses Paid During Period 1, 2, 3 | ||||||
LoCorr Macro Strategies Fund | ||||||||||||
A | 2.24% | $1,000.00 | $1,070.40 | $11.50 | $1,013.69 | $11.18 | ||||||
C | 2.99% | $1,000.00 | $1,065.60 | $15.31 | $1,009.97 | $14.90 | ||||||
I | 1.99% | $1,000.00 | $1,071.90 | $10.22 | $1,014.93 | $9.94 | ||||||
LoCorr Long/Short Commodities Strategy Fund | ||||||||||||
A | 2.13% | $1,000.00 | $999.00 | $10.56 | $1,014.23 | $10.64 | ||||||
C | 2.88% | $1,000.00 | $994.80 | $14.24 | $1,010.51 | $14.36 | ||||||
I | 1.88% | $1,000.00 | $1,000.00 | $9.32 | $1,015.47 | $9.39 | ||||||
LoCorr Market Trend Fund | ||||||||||||
A | 2.10% | $1,000.00 | $1,118.70 | $11.03 | $1,014.38 | $10.49 | ||||||
C | 2.85% | $1,000.00 | $1,114.20 | $14.94 | $1,010.66 | $14.21 | ||||||
I | 1.85% | $1,000.00 | $1,118.80 | $9.72 | $1,015.62 | $9.25 | ||||||
LoCorr Dynamic Equity Fund | ||||||||||||
A | 3.01% | $1,000.00 | $1,135.20 | $15.94 | $1,009.87 | $15.00 | ||||||
C | 3.76% | $1,000.00 | $1,129.90 | $19.86 | $1,006.15 | $18.70 | ||||||
I | 2.76% | $1,000.00 | $1,136.00 | $14.62 | $1,011.11 | $13.76 | ||||||
LoCorr Spectrum Income Fund | ||||||||||||
A | 2.03% | $1,000.00 | $1,139.40 | $10.77 | $1,014.73 | $10.14 | ||||||
C | 2.78% | $1,000.00 | $1,136.20 | $14.72 | $1,011.01 | $13.86 | ||||||
I | 1.78% | $1,000.00 | $1,141.50 | $9.45 | $1,015.97 | $8.90 |
1 | Includes dividend and/or interest expense of 0.00%, 0.00%, 0.00%, 0.77% and 0.00% for the LoCorr Macro Strategies Fund, the LoCorr Long/Short Commodities Strategy Fund, the LoCorr Market Trend Fund, the LoCorr Dynamic Equity Fund and the LoCorr Spectrum Income Fund, respectively. |
2 | Includes expenses of wholly-owned and controlled Cayman Islands subsidiaries for the LoCorr Macro Strategies Fund, the LoCorr Long/Short Commodities Strategy Fund and the LoCorr Market Trend Fund. |
3 | Expenses Paid During Period are equal to the net annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
108 | | Approval of Advisory Agreements (Unaudited) |
LoCorr Investment Trust
June 30, 2019 (Unaudited)
Review of Management and Sub-Advisory Agreements
Approval of Advisory Agreement
The Board considered the nature, extent and quality of services to be provided by LoCorr Fund Management, LLC (the “Adviser”) to the LoCorr Macro Strategies Fund (the “Macro Fund”) and its wholly-owned subsidiary, LCMFS Fund Limited, the LoCorr Long/Short Commodities Strategy Fund (the “LLSCS Fund”) and its wholly-owned subsidiary, LCLSCS Fund Limited, the LoCorr Dynamic Equity Fund (the “LDE Fund”) and the LoCorr Spectrum Income Fund (the “LSI Fund”) and reviewed the 15(c) responses for each, which included the backgrounds and experience of the key personnel of the Adviser. The Trustees considered that the Adviser provides a continuous investment program for the Funds consistent with each Fund’s investment objective. policies and regulatory restrictions. Counsel reminded the Trustees that the Adviser oversees and evaluates the sub-advisers and that the Adviser also provides overall portfolio and risk management consistent each Fund’s investment strategy. The Trust’s chief compliance officer (“CCO”) then discussed the Adviser’s compliance program with the Trustees. A representative from the Adviser discussed the Adviser’s financial statements with the Trustees. The Trustees noted that, based on their review of the Adviser’s financial statements and discussions with the Adviser, its financial position was strong and stable, and that the Adviser has sufficient resources to perform its obligations to each of the Funds.
The CCO and a representative of the Adviser reviewed the compliance policies and noted that the Adviser reported no material compliance issues. Counsel indicated to the Board that the Adviser had adopted a code of ethics as required under Rule 17j-1 of the 1940 Act. The CCO and Counsel further noted for the Board that the Adviser had only made minor changes to its compliance policies in the last year. After a discussion, the Board concluded that the Adviser has compliance policies and procedures in place in order to perform its duties under the renewed management agreements for the Funds.
The CCO stated there had been a recent routine examination of the Adviser by the U.S. Securities and Exchange Commission (SEC”), noting that no material deficiencies or violations were identified. Counsel noted for the Trustees that the Adviser continued to carry Errors & Omissions and Directors and Officers (“E&O/D&O”) insurance coverage at an appropriate level of coverage. A representative of the Adviser stated that the Adviser would continue to evaluate the level of insurance coverage with its insurance broker. After a discussion, the Board concluded that the Adviser is well resourced with experienced personnel and investment expertise and has provided, and is expected to continue to provide, high quality services to the Funds.
The Board reviewed and discussed the performance of the Macro Fund, noting that the one-year, five-year and since inception returns of the Fund. Management noted that the one-year performance was higher than the Morningstar category and peer group average but lower than the benchmark index. Counsel did indicate that the Fund’s five-year and since inception performance was significantly better than the benchmark, peer group and Morningstar category. A representative of the Adviser reviewed the various sub-advisers and their respective managed futures programs. After a discussion, the Board concluded that the Macro Fund’s performance was satisfactory.
Counsel then directed the Board’s attention to the investment performance of the LLSCS Fund, noting its annualized returns for the one, three, five-year and since inception periods. The Board discussed that the Fund had materially outperformed each of the peer group, benchmark and Morningstar category for all periods. After further discussion, the Trustees concluded that they were very satisfied with the Fund’s performance.
The Trustees then reviewed and discussed the performance of the LDE Fund, noting that the one-year performance of the LDE Fund has lagged the peer group, benchmark index and Morningstar category. Counsel noted for the Board that the Fund had outperformed the peer group and Morningstar category for the three-year and since inception periods but had trailed the benchmark index for those periods. A representative of the Adviser discussed the Fund’s allocations to its various sub-advisers, noting that an additional sub-adviser would be managing a portion of the Fund’s assets shortly. After a discussion, the Board concluded that the Fund’s performance was not unreasonable.
Counsel then directed the Trustees to the performance of the LSI Fund. The Board discussed the performance of the LSI Fund, reviewing that the one-year return had outperformed the peer group and Morningstar category but had lagged the benchmark index. The Board then discussed that the three-year return had underperformed the benchmark, peer group and Morningstar Category average and that the five-year performance has outperformed the peer group but had underperformed the category average and benchmark. After a discussion, the Board concluded that the LSI Fund’s performance was not unreasonable but that the Board would continue to monitor the Fund’s performance.
The Board then reviewed and discussed the costs of services provided and profits to be realized by the Adviser with respect to the Funds.
The Trustees noted that the management fee for the Macro Fund was above the average of its peer group and Morningstar Category. However, Counsel reviewed with the Trustees that the management fee was within range of management fees for the Fund’s peer group and Morningstar Category Average. The Adviser noted that it had recently lowered the Fund’s management fee. After a discussion, the Board agreed that the Macro Fund’s management fee was reasonable.
The Trustees then discussed the management fee for the LLSCS Fund, noting that it was above the average of the Fund’s peer group and Morningstar Category, but was well below the high-end range of management fees reported for the Fund’s Morningstar Category and was within the range of advisory fees for the peer group. A representative of the Adviser discussed with the Board that it is difficult to find a large number of peers for the Fund, given the Fund’s unique structure and strategy. After a discussion, the Board concluded that the management fee of the Fund was reasonable.
Approval of Advisory Agreements (Unaudited) (continued) | | 109 |
Counsel directed the Board to review the management fee for the LDE Fund, noting for the Board that it was below the average of its peer group and Morningstar Category. Management noted that the advisory fee recently had been lowered in October 2018. Management then discussed the Fund’s unique structure and its use of sub-advisers, which differentiated the Fund from many other long/short equity funds. After a discussion, the Board agreed that the LDE Fund’s management fee was not unreasonable.
The Trustees noted that the LSI Fund’s management fee was above the averages for the Fund’s peer group and Morningstar Category but within the range of the Morningstar Category. A representative of the Adviser indicated that it was difficult, given the Fund’s unique strategy, to identify a sizeable peer group for the LSI Fund. Counsel reviewed with the Trustees that the LSI Fund’s expense ratio was above the average expense ratio for the Morningstar Category but below the high range of the Morningstar Category. After a discussion, the Board considered the Fund’s unique strategy and structure and agreed that the management fee of the LSI Fund was not excessive.
The Board considered all of these factors with regards to the renewal of the expense limitation agreements with the Adviser for an additional one-year period for the Macro Fund, LLSCS Fund, LDE Fund and LSI Fund.
The Board reviewed the profit analysis of the Adviser with respect to the Macro Fund and considered that the Adviser’s profits from the advisory agreement, net of sub-advisory fees and overhead. The Board also considered and agreed that the Adviser’s total net profits related to the Macro Fund was reasonable.
The Board then reviewed the profitability of the Adviser with respect to the LLSCS Fund. Counsel noted that the Adviser’s net profits with respect to the LLSCS Fund which the Board agreed was reasonable.
The Board then reviewed the profitability of the Adviser with respect to the LDE Fund. Counsel pointed out to the Board that the Adviser had a small total net profit margin. The Board concluded that the Adviser’s profits with respect to the LDE Fund were not excessive.
Next, Counsel directed the Board’s attention to the profitability of the Adviser with respect to the LSI Fund. The Board noted that the Adviser showed a net profit and agreed that the Adviser’s total net profits was reasonable.
The Board considered the economies of scale to be realized by the shareholders of the Macro Fund, LLSCS Fund, LDE Fund and LSI Fund, noting that, with the exception of the Macro Fund, the management fees reflect an incremental fee schedule which includes break points.
Having requested and received such information from the Adviser as the Trustees believed to be reasonably necessary to evaluate the terms of the Advisory Agreement, and as assisted by the advice of counsel, the Trustees concluded that the fee structure is reasonable, and that approval of the Advisory Agreement is in the best interests of the shareholders of the Macro Fund, LLSCS Fund, LDE Fund and LSI Fund.
Approval of Sub-Advisory Agreements
Nuveen Asset Management, LLC (“Nuveen”), Sub-Adviser (Macro Fund, LLSCS Fund and LMT Fund)
Counsel then turned the attention of the Trustees to the 15(c) materials provided by Nuveen. The Board reviewed the nature, extent and quality of services provided by Nuveen for the fixed income strategies in the Macro Fund, LLSCS Fund and the Market Trend Fund (“LMT Fund”). The Board discussed Nuveen’s key individuals, noted many years of experience and a depth of investment capabilities. The Trustees further noted that Nuveen provides credit research, security selection, trade execution and compliance monitoring for the fixed income portion of the Macro, LLSCS and LMT Fund’s portfolios. A representative of the Adviser reviewed the minor changes with respect to the Nuveen personnel providing services to the Funds but stressed the overall continuity of the Nuveen fixed income team. The representative further discussed that the Adviser continued to very satisfied with the services and performance of Nuveen for all of the Funds.
Counsel noted for the Board the updates to Nuveen’s compliance manual that had been included in the materials. The CCO stated that these compliance updates were not material. A representative of the Adviser indicated that Nuveen continued to follow the same investment-grade strategy that it has always pursued for each of the Funds.
Counsel reported that Nuveen reported no material compliance or regulatory agency issues in the past 36 months and no material litigation that would impact its ability to continue to provide services to the Funds. Counsel further stated that Nuveen continued to carry an E&O/D&O policy in an appropriate amount. After a discussion, the Board concluded that Nuveen had the appropriate personnel and resources to continue to provide satisfactory services to the Funds.
Next, the Trustees discussed the investment performance for Nuveen, noting the one-year and since inception returns for the Macro, LLSCS and LMT Funds. The Trustees compared Nuveen’s reported returns to its benchmark index returns for the one-year and since inception periods. Counsel noted for the Trustees that Nuveen had outperformed its benchmark index for all Funds for all periods. After a discussion, the Board noted it very satisfied with Nuveen’s performance with respect to Macro Fund, LLSCS Fund and LMT Fund.
The Trustees discussed the costs of services provided by Nuveen to Macro Fund, LLSCS Fund and LMT Fund, and noted that Nuveen reported that it is not profitable with regard to sub-advising any of the Funds. The Board concluded that the sub-advisory fees paid to Nuveen by the Adviser were reasonable in light of the services to be provided under the sub-advisory agreements and the fees charged by Nuveen for managing similar accounts.
Having requested and received such information from Nuveen as the Trustees believed to be reasonably necessary to evaluate the terms of the Sub-Advisory Agreement, and as assisted by the advice of counsel, the Trustees concluded that the fee structure is reasonable, and that approval of the Sub-Advisory Agreement is in the best interests of the shareholders of Macro Fund, LLSCS Fund and LMT Fund.
110 | | Approval of Advisory Agreements (Unaudited) (continued) |
Millburn Ridgefield Corporation (“Millburn”), Sub-Adviser (Macro Fund & LCMFS Fund Limited)
The Board then reviewed the nature, extent and quality of sub-advisory services provided by Millburn to the Fund. Counsel directed the Board’s attention to the 15(c) responses for Millburn. The Board reviewed the responsibilities of Millburn’s personnel, noted the depth of experience for the portfolio management team and their investment capabilities. The Trustees considered the services that Millburn provides including portfolio construction, investment strategy development and trade execution for the Fund’s portfolio as well as compliance services to assure assets are managed within the Fund’s investment restrictions.
The Board noted that Millburn did not have any material compliance issues in the past 36 months or had any material litigations. Counsel noted that the National Futures Association (“NFA”) had recently examined Millburn in June 2017 with no material findings. The Board considered Millburn’s compliance controls including its pre and post-trade compliance checks and that Millburn carried an appropriate E&O/D&O policy. A representative of the Adviser noted the Adviser’s satisfaction with Millburn’s services. The Board concluded that Millburn is well-resourced and has experienced portfolio management personnel. The Board concluded that the services provided by Millburn to the Fund have been satisfactory and that the Board expects Millburn to continue to provide quality services in the future.
The Board then reviewed the investment performance of Millburn’s allocation of the Fund’s portfolio. A representative of the Adviser discussed that the Adviser was satisfied with Millburn’s performance, noting that Milburn had outperformed the overall Fund for each performance period since inception. After a discussion, the Trustees concluded that they were satisfied with Millburn’s performance for the Fund.
The Board also noted that the sub-advisory fee structure was lower than the fee charged by Millburn to its separately managed account clients and did not include an incentive fee. After further discussion, the Trustees concluded that the sub-advisory fee was reasonable.
The Trustees considered whether there were any economies of scale with respect to the management of the Fund. The Trustees agreed that this was primarily an adviser level issue and should be considered with respect to the overall advisory contract, taking into consideration the impact of the sub-advisory expense. After discussion, it was the consensus of the Trustees that a lack of breakpoints was acceptable.
The Trustees considered the profits realized by Millburn in connection with its relationship with the Fund and whether the amount of profit is a reasonable profit with respect to the sub-advisory services provided to the Fund. After a discussion, the Trustees concluded that the level of profit was not excessive.
Having requested and received such information from Millburn as the Trustees believed to be reasonably necessary to evaluate the terms of the Sub-Advisory Agreement, and as assisted by the advice of counsel, the Trustees concluded that the fee structure is reasonable, and that approval of the Sub-Advisory Agreement is in the best interests of the shareholders of the Macro Fund and LCMFS Fund Limited.
Graham Capital Management, L.P. (“Graham”), Sub-Adviser (Macro Fund & LCMFS Fund Limited)
The Board considered the nature, extent and quality of services to be provided by Graham to the Fund. Counsel directed the Board’s attention to the 15(c) responses for Graham. The Board reviewed the responsibilities of Graham’s personnel providing services to the Fund. Management further noted for the Trustees that Graham provides quantitative research, security selection and trade execution for the Fund’s portfolio as well as compliance services to assure assets are managed within the Fund’s investment restrictions.
Counsel and the CCO noted that Graham had adopted appropriate compliance policies and procedures and a code of ethics under Rule 17j-1 of the 1940 Act. Counsel further reviewed with the Board that Graham did not report any material compliance issues in the past 36 months. A representative of the Adviser indicated that Graham did have a routine SEC examination that had not yet concluded. Counsel noted for the Trustees that Graham carries an appropriate E&O/D&O policy. The Board concluded that Graham had sufficient resources and investment personnel to perform the services as sub-adviser to the Fund.
Counsel directed the Board’s attention the investment performance of Graham’s sleeve of the Fund and its representative accounts for its tactical trend strategy. A representative from the Adviser indicated that Graham’s recent performance had been negative but that the Adviser was satisfied overall with how Graham was executing its strategy for the Fund. After a discussion, the Trustees concluded that Graham’s performance was not unreasonable but asked the Adviser to continue to monitor Graham’s performance.
The Trustees considered the sub-advisory fee paid to Graham by the Adviser was higher than some of its other clients but did not include a performance incentive fee. The Trustees did note that the Fund’s sub-advisory fee for Graham was lower than the average fee charged by Graham to some of its other client accounts After further discussion, the Trustees concluded that the sub-advisory fee was not unreasonable.
Counsel then reviewed the profits realized by Graham and whether the amount of profit is reasonable with respect to the sub-advisory services to be provided to the Fund. The Trustees also considered whether there will be economies of scale with respect to the management of the Fund. The Trustees agreed that this was primarily an adviser level issue and should be considered with respect to the overall advisory contract, taking into consideration the impact of the sub-advisory expense. After discussion, it was the consensus of the Trustees that a lack of breakpoints was acceptable. After a discussion, the Trustees concluded that Graham’s level of profit was not excessive.
Having requested and received such information from Graham as the Trustees believed to be reasonably necessary to evaluate the terms of the Sub-Advisory Agreement, and as assisted by the advice of counsel, the Trustees concluded that the fee structure is reasonable, and that approval of the Sub-Advisory Agreement is in the best interests of the shareholders of the Macro Fund.
Approval of Advisory Agreements (Unaudited) (continued) | | 111 |
Revolution Capital Management, LLC (“Revolution”), Sub-Adviser (Macro Fund & LCMFS Fund Limited)
The Board then directed their attention to the 15(c) responses for Revolution. The Board reviewed the responsibilities of Revolution’s investment personnel, noting their experience and backgrounds. Counsel further noted that Revolution is responsible for the maintenance and improvement of its trading models used in its strategy for the Fund’s portfolio and trade execution as well as compliance services to assure assets are managed within the Fund’s investment restrictions. In response to a question, a representative of the Adviser indicated that Revolution continued to execute the same strategy as it has since it became a sub-adviser to the Fund.
The Trustees noted Revolution’s trading models, compliance controls and risk control systems. Counsel indicated that Revolution did not report any material compliance issues or material litigations in the past 36 months. The CCO noted that Revolution has adopted appropriate compliance policies and procedures and that it had recently designated a new chief compliance officer. Counsel reported that Revolution had not had any recent regulatory examinations. Counsel stated that Revolution maintained an E&O/D&O insurance policy in an appropriate amount. After a discussion, the Board concluded that Revolution is well staffed and has the resources and investment expertise needed to continue to provide quality services to the Fund.
The Board then reviewed the investment performance of Revolution’s strategy for the Fund. Counsel indicated for the Board that Revolution had underperformed its benchmark since becoming a sub-adviser to the Fund and for the one-year period. A representative of the Adviser noted that the Adviser was satisfied with Revolution’s execution of its strategy. After a discussion, the Trustees concluded that Revolution’s performance was not unreasonable.
The Trustees considered that the sub-advisory fee structure was favorable compared to the average fee charged by Revolution to its separately managed account clients in the same strategy. Counsel also noted for the Trustees that there was not an incentive fee component in the subadvisory fee. After further discussion, the Trustees concluded that the proposed sub-advisory fee was reasonable.
The Trustees considered whether there were any economies of scale with respect to the management of the Fund. The Trustees agreed that this was primarily an adviser level issue and should be considered with respect to the overall advisory contract, taking into consideration the impact of the sub-advisory expense. After discussion, it was the consensus of the Trustees that a lack of breakpoints was acceptable.
The Trustees next considered the profits realized by Revolution in connection with its relationship with the Fund and whether the amount of profit is a fair entrepreneurial profit with respect to the sub-advisory services to be provided to the Fund. The Trustees concluded that Revolution’s level of profit was not excessive.
Having requested and received such information from Revolution as the Trustees believed to be reasonably necessary to evaluate the terms of the Sub-Advisory Agreement, and as assisted by the advice of counsel, the Trustees concluded that the fee structure is reasonable, and that approval of the Sub-Advisory Agreement is in the best interests of the shareholders of the Macro Fund.
Billings Capital Management, LLC (“Billings”), Sub-Adviser (LDE Fund)
The Board then considered the nature, extent and quality of services provided by Billings for the LDE Fund. The Board reviewed the responsibilities of Billings’ key personnel and their experience in sub-advising the long/short equity strategies for the Fund. Counsel discussed with the Board that Billings provides fundamental research, security selection and trade execution for the Fund’s portfolio as well as compliance services to assure assets are managed within the Fund’s investment restrictions.
Counsel reported that Billings did not report any material compliance issues in the past 36 months. Counsel also indicated that Billings did not have any recent regulatory examinations, material compliance issues or material litigations in the past 36 months. The Trustees noted that Billings carries an appropriate E&O/D&O policy. The Board concluded that Billings had adequate resources and experienced investment professionals to continue to provide quality services to the Fund.
The Trustees then turned their attention to the performance for Billings for the Fund. The Board noted that Billings had provided overall positive performance for the Fund since Billings became a sub-adviser but that it had negative performance for the one-year period. The Board and representatives of the Adviser’s discussed the recent performance of Billings. A representative of the Adviser acknowledged the recent performance and indicated that the Adviser was overall satisfied with the performance of the Billings strategy for the Fund. After a discussion, the Board concluded that the performance was not unreasonable but that it would continue to monitor Billings’ performance.
The Board then discussed the cost of services and profitability of Billings with respect to the Funds. A representative of the Adviser reminded the Trustees that Billings is paid on a sliding scale that took into account the aggregate assets of the LDE Fund. Counsel noted for the Board that Billings also received a performance fee from such other accounts. Counsel also noted the profitability of the Fund for Billings. After a discussion, the Board concluded that Billings’ sub-advisory fee and profitability were not excessive.
Having requested and received such information from Billings as the Trustees believed to be reasonably necessary to evaluate the terms of the Sub-Advisory Agreement, and as assisted by the advice of counsel, the Trustees concluded that the fee structure is reasonable, and that approval of the Sub-Advisory Agreement is in the best interests of the shareholders of the LDE Fund.
112 | | Approval of Advisory Agreements (Unaudited) (continued) |
Trust & Fiduciary Income Partners, LLC (“TFIP”), Sub-Adviser (LSI Fund)
The Board then considered the renewal of the sub-advisory agreements with TFIP with respect to the LSI Fund.
The Board also considered the nature, extent and quality of services provided or to be provided by TFIP for the income strategies for the LSI Fund. The Board reviewed the 15(c) responses for TFIP and discussed responsibilities of TFIP’s personnel. The Trustees further noted that TFIP provides quantitative research, security selection and trade execution for the income portion of the LSI Fund’s portfolios. Counsel stated that TFIP continued to operate under the compliance policies and procedures of Bramshill in providing compliance oversight for its management of the Fund.
Counsel noted that TFIP reported no material compliance issues or material litigations in the past 36 months. Counsel also stated that TFIP carries a sufficient E&O/D&O policy. The Board concluded that TFIP has appropriate resources available and sufficient insurance coverage. The Board concluded that TFIP is appropriately resourced, has experienced personnel and fixed income investment expertise and has provided high quality services to the LSI Fund. The Board concluded that TFIP was well-suited to perform the services as sub-adviser to the LSI Fund.
The Board then directed its attention to the performance information for TFIP with respect to the LSI Fund. The Board noted that TFIP’s performance exceeded the Fund’s benchmark and the sub-adviser’s selected benchmark for the one-year period and had outperformed the overall Fund. A representative of the Adviser reviewed TFIP’s performance and stated that the Adviser was overall very satisfied with the performance of TFIP. After a discussion, the Board deemed TFIP’s performance was satisfactory.
The Trustees discussed the costs of services provided and to be provided by TFIP to the LSI Fund. The Board noted that TFIP was slightly profitable with respect to the LSI Fund. Counsel directed the Trustees’ attention to the materials for TFIP which indicated that TFIP’s sub-advisory fee was favorable in comparison to fees it charges to other clients. The Board concluded that the sub-advisory fees to be paid to TFIP by the Adviser were reasonable in light of the services to be provided under the sub-advisory agreements.
Having requested and received such information from TFIP as the Trustees believed to be reasonably necessary to evaluate the terms of the SubAdvisory Agreement, and as assisted by the advice of counsel, the Trustees concluded that the fee structure is reasonable, and that approval of the Sub-Advisory Agreement is in the best interests of the shareholders of the LSI Fund.
Review of Management and Sub-Advisory Agreements
Approval of Advisory Agreement
The Board reviewed the nature, extent and quality of services to be provided by the Adviser to the LoCorr Market Trend Fund (the “LMT Fund”) and its wholly-owned subsidiary, LCMT Fund Limited and reviewed the 15(c) responses, which included a review of the personnel of the Adviser providing services to the LMT Fund. A representative of the Adviser noted that there had been no changes in the personnel providing services to the LMT Fund since the most recent renewal of the LMT Fund’s advisory agreement. The Trustees discussed that the Adviser oversees the overall investment program for the LMT Fund consistent with its investment objective, policies and regulatory restrictions as it has since the Fund’s inception. The Trustees further noted that the Adviser evaluates and oversees the LMT Fund’s sub-advisers.
Fund Counsel noted for the benefit of the Trustees that there were no material compliance issues or litigations since the most recent renewal of the advisory agreement for the LMT Fund. Fund Counsel also noted that that the Adviser continues to maintain appropriate insurance for E&O/D&O coverage.
After a discussion, the Board concluded that the Adviser is appropriately resourced with experienced personnel and provides valuable investment expertise and oversight of the LMT Fund and is expected to continue to provide such valuable services.
The Trustees then reviewed the Fund’s performance, noting that the Fund had lagged its peer group average, benchmark index and Morningstar category for the one-year period. A representative of the Adviser discussed the Fund’s market trend strategy’s underperformance during the one-year period while noting that the Fund’s fixed income strategy had outperformed on a relative basis. The Trustees discussed the Fund’s since-inception performance, noting that it was essentially in-line with its peer group average, benchmark index and Morningstar category for that period. A representative of the Adviser stated that the Adviser continued to be satisfied with the performance of the LMT Fund’s two sub- advisers and noted that it would continue to monitor the performance of the market trend strategy. After a discussion, the Trustees agreed that the Fund’s performance was not unreasonable.
Counsel then reviewed the Adviser’s responses regarding its advisory fee and its profitability with respect to the LMT Fund. the Trustees noted that the investment advisory fee was slightly above the peer group and Morningstar category averages but well within the ranges for each. A representative of the Adviser discussed the peer group and noted the differences between the LMT Fund and some of its peers. Counsel then reviewed with the Trustees the Adviser’s profitability with respect to the LMT Fund, noting its profitability margin. After a discussion, the Board concluded that the LMT Fund’s advisory fee and the Adviser’s profitability with respect to the LMT Fund were not unreasonable.
Fund Counsel then directed the Trustees to the Adviser’s financial statements which a representative of the Adviser discussed with the Trustees. The Trustees noted that, based on their review of the Adviser’s financial statements, the Adviser has the appropriate financial resources to continue to manage the LMT Fund.
Approval of Advisory Agreements (Unaudited) (continued) | | 113 |
Having requested and received such information from the Adviser as the Trustees believed to be reasonably necessary to evaluate the terms of the Advisory Agreement, and as assisted by the advice of Counsel, the Trustees concluded that the fee structure is reasonable, and that approval of the Advisory Agreement is in the best interests of the LMT Fund and its shareholders.
Approval of Sub-Advisory Agreement
Graham Capital Management, L.P. (“Graham”), Sub-Adviser (LMT Fund & LCMT Fund Limited)
The Trustees then reviewed to the responses provided by Graham in its 15(c) questionnaire. The Board then discussed the nature, extent and quality of services provided by Graham. Counsel reviewed Graham’s personnel responsible for providing services to the Fund, noting that had been no material changes in the sub-adviser’s personnel. A representative of the Adviser reviewed Graham’s market trend strategy and the CCO discussed its compliance program. Fund Counsel noted that Graham did not have any recent compliance, litigation or regulatory issues and that it maintained appropriate insurance coverage. The Board concluded that Graham was well positioned to continue to provide a high-level of services to the LMT Fund.
The Board then reviewed Graham’s performance for the LMT Fund with a representative of the Adviser. The representative of the Adviser noted Graham’s overall performance as a sub-adviser to the Fund since inception in July 2014 but stated that the strategy had underperformed during the past one-year and three-year periods. The Adviser indicated that it would continue to monitor the performance of Graham closely. After a discussion, the Trustees concluded that the overall performance of Graham was not unreasonable.
Fund Counsel then directed the Trustees to information related to Graham’s sub-advisory fee and its fees for similar accounts. The Trustees noted that the sub-advisory fee remained favorable in comparison to the Graham’s fee for other accounts, further noting that Graham did not charge a performance fee for the LMT Fund as it does for some other of its private accounts. The Trustees then reviewed Graham’s profitability chart with respect to the LMT Fund. The Trustees agreed that the sub-advisory fee and Graham’s profitability with respect to the LMT Fund was reasonable.
Having requested and received such information from Graham as the Trustees believed to be reasonably necessary to evaluate the terms of the sub-advisory agreement, and as assisted by the advice of Counsel, the Trustees concluded that the fee structure is reasonable and that approval of the sub-advisory agreement with Graham for the LMT Fund is in the best interests of the Fund and its shareholders.
114 | | Notice of Privacy Policy & Practices/Quarterly Portfolio Holdings/Proxy (Unaudited) |
Notice of Privacy Policy & Practices
(Unaudited)
Your privacy is important to us. The Funds are committed to maintaining the confidentiality, integrity, and security of your personal information. When you provide personal information, the Funds believe that you should be aware of policies to protect the confidentiality of that information.
The Funds collect the following nonpublic personal information about you:
● | Information we receive from you on or in applications or other forms, correspondence, or conversations, including, but not limited to, your name, address, phone number, social security number, assets, income and date of birth; and |
● | Information about your transactions with us, our affiliates, or others, including, but not limited to, your account number and balance, payments history, parties to transactions, cost basis information and other financial information. |
The Funds do not disclose any nonpublic personal information about our current or former shareholders to affiliated or nonaffiliated third parties, except as permitted by law. For example, the Funds are permitted by law to disclose all of the information we collect, as described above, to our transfer agent to process your transactions. Furthermore, the Funds restrict access to your nonpublic personal information to those persons who require such information to provide products or services to you. The Funds maintain physical, electronic and procedural safeguards that comply with applicable federal and state standards to guard your nonpublic personal information.
In the event that you hold shares of the Funds through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your nonpublic personal information would be shared with affiliated or non-affiliated third parties.
Portfolio Holdings Disclosure
(Unaudited)
The Funds file a complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year on Part F of Form N-PORT. The Funds’ Part F of Form N-PORT are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds’ Part F of Form N-PORT may also be obtained by calling toll-free 1-855-523-8637.
Proxy voting policies, procedures and record
(Unaudited)
You may obtain a description of the Funds’ (1) proxy voting policies, (2) proxy voting procedures and (3) information regarding how the Funds voted any proxies related to portfolio securities during the most recent 12-month period ended June 30 for which an SEC filing has been made, without charge, upon request by contacting the Funds directly at 1-855-523-8637, or on the EDGAR Database on the SEC’s website (http:// www.sec.gov).
Independent Trustees/Interested Trustees and Officers | | 115 |
The Statement of Additional Information includes additional information about the Independent Trustees/Interested Trustees and Officers and is available, without charge, by calling 1-855-523-8637.
Independent Trustees | ||||
Name and Year of Birth | Position/Term of Office1 | Principal Occupation During the Past 5 Years | Number of Portfolios in Fund Complex2 Overseen by Trustee | Other Directorships Held by Trustee During the Past 5 Years |
Gary Jarrett Year of Birth: 1954 | Trustee/ 2016 to present | Chief Executive Officer, Black River Asset Management LLC, investment subsidiary of Cargill, Inc., 2002 to 2015. | 5 | None |
Mark Thompson Year of Birth: 1959 | Trustee/ 2011 to present | Chairman and Chief Manager, Riverbridge Partners, LLC (investment management), 1987 to present. | 5 | None |
Ronald A. Tschetter Year of Birth: 1941 | Trustee/ 2011 to present | Mr. Tschetter is presently retired from his principal occupations; Director of the U.S. Peace Corps, 2006 to 2009. | 5 | None |
Interested Trustees and Officers | ||||
Name and Year of Birth | Position/Term of Office1 | Principal Occupation During the Past 5 Years | Number of Portfolios in Fund Complex2 Overseen by Trustee | Other Directorships Held by Trustee During the Past 5 Years |
Jon C. Essen3 Year of Birth: 1963 | Treasurer, Secretary, Chief Financial Officer/2011 to present; Trustee/ 2010 to present | LoCorr Fund Management, LLC: Chief Operating Officer (2010-2016), Chief Compliance Officer, (2010-2017); LoCorr Distributors, LLC: Principal, Chief Financial Officer, and Registered Representative (2008 to present) Chief Compliance Officer (2008-2017) | 5 | None |
Kevin M. Kinzie4 Year of Birth: 1956 | President, Trustee/2011 to present | Chief Executive Officer of LoCorr Fund Management, LLC, 2010 to present; President and Chief Executive Officer of LoCorr Distributors, LLC (broker/dealer), 2002 to present. | 5 | None |
Jason Roeske5 Year of Birth: 1969 | Chief Compliance Officer/2017 to present | Consultant at Encore Consulting Group (2013); Chief Compliance Officer of Welsh Securities, LLC (2014-2016); Chief Compliance Officer of LoCorr Fund Management, LLC, (2017-present). | 5 | Chief Compliance Officer of Welsh Securities, LLC (2014-2016) |
1 The term of office for each Trustee listed above will continue indefinitely.
2 The term “Fund Complex” refers to the LoCorr Investment Trust.
3 Mr. Essen is an interested Trustee because he is an officer of the Funds’ Adviser.
4 Mr. Kinzie is an interested Trustee because he is an officer and indirect controlling interest holder of the Funds’ Adviser.
5 Mr. Roeske is an interested person because he is an officer of the Funds’ Adviser.
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(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 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. |
(2) | A separate certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. |
(3) | Any written solicitation to purchase securities under Rule 23c‑1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. |
(4) | Changes in the registrant’s independent public accountant. |
(b) | Certifications pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002. |