UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811-22865 | |||||||
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Forethought Variable Insurance Trust | ||||||||
(Exact name of registrant as specified in charter) | ||||||||
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10 West Market Street, Suite 2300 Indianapolis, Indiana |
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(Address of principal executive offices) |
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The Corporation Trust Company 1209 Orange Street Wilmington, DE 19801 | ||||||||
(Name and address of agent for service) | ||||||||
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Registrant’s telephone number, including area code: | 317-223-2703 |
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Date of fiscal year end: | December 31 |
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Date of reporting period: | December 31, 2019 |
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Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
Annual Report
December 31, 2019
Global Atlantic Portfolios
Global Atlantic American Funds® Managed Risk Portfolio
Global Atlantic Balanced Managed Risk Portfolio
Global Atlantic BlackRock Selects Managed Risk Portfolio (formerly Global Atlantic BlackRock Global Allocation Managed Risk Portfolio)
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
Global Atlantic Growth Managed Risk Portfolio
Global Atlantic Moderate Growth Managed Risk Portfolio
Global Atlantic PIMCO Tactical Allocation Portfolio
Global Atlantic Select Advisor Managed Risk Portfolio
Global Atlantic Wellington Research Managed Risk Portfolio
Class II shares
Each a separate series of the Forethought Variable Insurance Trust
Distributed by Global Atlantic Distributors, LLC
Member FINRA
Dear Shareholders/Contract Owners:
After a difficult 2018 that saw many global equity markets finish in correction territory (a decline of greater than 10%), most markets recovered from those losses in 2019, posting strong double digit returns. Much of this correction and recovery straddled the calendar years, as illustrated by the S&P 500® declining -13.52% in the fourth quarter of 2018, followed by a recovery of 13.65% in the first quarter of 2019. Other global equity markets exhibited a similar decline and recovery. To put this into historical context, since 1950, quarterly returns of this magnitude have occurred less than 5% of the time. More recently, losses of this magnitude have not occurred since 2011 and recoveries of this magnitude have not occurred since 2009, when the market was recovering from the 2008 Financial Crisis. In fact, the S&P 500® return of 18.54% during the first half of 2019 represented its strongest such period since 1997.
During 2019, equity volatility and returns ebbed and flowed significantly on several occasions. The months of May, August, and October saw the most notable spikes in volatility, driven in each case by trade tensions between the U.S. and its major trading partners (primarily China and Mexico), U.S. economic data weakness, and discussions of impeachment. In each instance, the equity markets rebounded strongly in the days and weeks that followed, forming additional v-shaped markets that have appeared in recent years. While equity returns globally were strong in 2019, the U.S. generally led international.
Fixed income also performed well in 2019, driven primarily by the decline in yields resulting from the aforementioned concerns about trade, economic growth, and discussions of impeachment. As a result of these concerns, the U.S. Federal Reserve (the "Fed") lowered interest rates three times in 2019, after originally indicating that it would raise them twice during the period. These rate cuts come after four hikes in 2018. Looking ahead, the Fed indicated in its December 2019 comments that it does not foresee changing rates at all in 2020. U.S. bond yields dropped significantly during the year, with the U.S. 10-year Treasury yield falling from 2.69% to a low of 1.46% in September 2019, before rising to end the year at 1.80%. These sub-2.00% yield levels have not occurred since 2016 and are in stark contrast to the 3.24% yield level experienced in late 2018. This resulted in strong returns within U.S. High Yield, as represented by the ICE BofAML U.S. High Yield Index, and domestic investment grade bonds, as measured by the Bbg Barclays US Agg Bond Index.
From a commodity perspective, the S&P GSCI Index was also up significantly in 2019 following a difficult 2018. This was led by a rise of 25.59% in oil (as compared to down -10.87% in 2018) and an increase of 17.86% in gold (as compared to down -1.94% in 2018). The U.S. dollar was up marginally during the period.
For asset allocation funds, periods of significant fluctuations in both volatility and returns meant that asset allocation decisions, and the timing of those decisions, were important drivers of performance during the period. The following pages contain Management's discussion of recent Portfolio performance. Thank you for investing in the Global Atlantic Portfolios.
Sincerely, | |||||||
Eric D. Todd, CFA | Cameron Jeffreys, CFA | ||||||
President | Senior Vice President | ||||||
Global Atlantic Investment Advisors, LLC | Global Atlantic Investment Advisors, LLC |
1
Portfolio | Benchmark1 | ||||||
Global Atlantic American Funds® Managed Risk Portfolio | S&P Global Managed Risk LargeMidCap Index – Moderate Conservative | ||||||
Global Atlantic Balanced Managed Risk Portfolio | S&P Global Managed Risk LargeMidCap Index – Conservative | ||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio2 | S&P Global Managed Risk LargeMidCap Index – Moderate Conservative | ||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | S&P 500 Managed Risk Index – Moderate | ||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | S&P Global Managed Risk LargeMidCap Index – Conservative | ||||||
Global Atlantic Growth Managed Risk Portfolio | S&P Global Managed Risk LargeMidCap Index – Moderate Aggressive | ||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | S&P Global Managed Risk LargeMidCap Index – Moderate Conservative | ||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | S&P Global Managed Risk LargeMidCap Index – Moderate | ||||||
Global Atlantic Select Advisor Managed Risk Portfolio | S&P Global Managed Risk LargeMidCap Index – Moderate | ||||||
Global Atlantic Wellington Research Managed Risk Portfolio | S&P 500 Managed Risk Index – Moderate Conservative |
The indices shown are for informational purposes only and are not reflective of any investment. As it is not possible to invest directly in the indices, the data shown does not reflect or compare features of an actual investment, such as its objectives, costs and expenses, liquidity, safety, guarantees or insurance, fluctuation of principal or return, or tax features. Past performance is no guarantee of future results.
This report contains the current opinions of Global Atlantic Investment Advisors, LLC and/or sub-advisers at the time of its publication and should not be considered investment advice or a recommendation of any particular security, strategy or investment product. Such opinions are subject to change without notice and securities described herein may no longer be included in, or may at any time be removed from, a Portfolio's portfolio. This report is distributed for informational purposes only. Information contained herein has been obtained from sources believed to be reliable, but not guaranteed.
Index Definitions:
S&P Global Managed Risk LargeMidCap Index – Conservative. An index that is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 50% to the underlying bond index.
S&P Global Managed Risk LargeMidCap Index – Moderate Conservative. An index that is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 40% to the underlying bond index.
S&P Global Managed Risk LargeMidCap Index – Moderate. An index that is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 30% to the underlying bond index.
S&P Global Managed Risk LargeMidCap Index – Moderate Aggressive. An index that is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 20% to the underlying bond index.
S&P 500 Managed Risk Index – Moderate Conservative. An index that is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 40% to the underlying bond index.
S&P 500 Managed Risk Index – Moderate. An index that is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 30% to the underlying bond index.
1 Effective July 1, 2019, the Adviser changed the benchmark index applicable to each Portfolio to a benchmark that the Adviser believes better reflects the Portfolio's investment strategy.
2 Prior to May 1, 2019, the Portfolio was named Global Atlantic BlackRock Global Allocation Managed Risk Portfolio.
2
Bloomberg Barclays US Aggregate Bond Index ("Bbg Barc US Agg"). An index weighted according to market capitalization and includes, among other categories, Treasury securities, mortgage backed securities, government agency bonds and corporate bonds. To be included in the index, bonds must be rated investment grade by Moody's and Standard and Poor's.
ICE BofA ML High Yield Cash Pay MV USI Index ("ICE BofAML US HY"). An index that tracks the performance of US dollar denominated, below investment grade corporate debt, currently in a coupon paying period, which is publically issued in the US domestic market.
MSCI EAFE Total Return Index ("MSCI EAFE"). An index created by Morgan Stanley Capital International (MSCI) that serves as a benchmark of the performance in major developed international equity markets as represented by 21 major MSCI indexes from Europe, Australasia and the Far East.
MSCI Emerging Markets Total Return Index ("MSCI Emerg Mkts"). An index created by MSCI that is designed to measure equity market performance in global emerging markets. The index is unmanaged and not available for direct investment. The Emerging Markets Index is a float-adjusted market capitalization index that consists of indices in 24 emerging economies: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Russia, Qatar, South Africa, Taiwan, Thailand, Turkey, and United Arab Emirates.
Russell 2000 Total Return Index ("Russell 2000"). An index measuring the performance approximately 2,000 small-cap companies in the Russell 3000 Index, which is made up of 3,000 of the biggest U.S. stocks. The Russell 2000 serves as a benchmark for small-cap stocks in the United States.
S&P MidCap 400 Total Return Index ("S&P MidCap 400"). A capitalization-weighted index which measures the performance of the mid-range sector of the U.S. stock market.
S&P 500® Total Return Index ("S&P 500®"). A market capitalization weighted price index composed of 500 widely held U.S. common stocks. Frequently used as a measure of U.S. stock market performance.
S&P GSCI Total Return Index ("S&P GSCI"). A broad based, production weighted index meant to be representative of the global commodity market beta. The S&P Goldman Sachs Commodity Index (GSCI) consists of 24 commodity futures on physical commodities across five sectors; energy, agriculture, livestock, industrial metals, and precious metals.
U.S. Dollar Index. An index that indicates the general international value of the U.S. Dollar by averaging the exchange rates between the U.S. Dollar and major world currencies.
3
Table of Contents
Page | |||||||
• Global Atlantic Portfolio Review and Portfolio of Investments | |||||||
Global Atlantic American Funds® Managed Risk Portfolio | 5 – 8 | ||||||
Global Atlantic Balanced Managed Risk Portfolio | 9 – 11 | ||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio (formerly Global Atlantic BlackRock Global Allocation Managed Risk Portfolio) | 12 – 15 | ||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 16 – 28 | ||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 29 – 31 | ||||||
Global Atlantic Growth Managed Risk Portfolio | 32 – 35 | ||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 36 – 39 | ||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 40 – 46 | ||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 47 – 50 | ||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 51 – 66 | ||||||
• Financial Statements: | |||||||
Statements of Assets and Liabilities | 67 – 69 | ||||||
Statements of Operations | 70 – 72 | ||||||
Statements of Changes in Net Assets | 73 – 77 | ||||||
Financial Highlights | 78 – 87 | ||||||
• Notes to Financial Statements | 88 – 110 | ||||||
• Report of Independent Registered Accounting Firm | 111 | ||||||
• Expense Examples | 112 – 113 | ||||||
• Supplemental Information | 114 – 116 | ||||||
• Trustee Table | 117 – 120 | ||||||
• Privacy Notice | 121 – 122 | ||||||
• Proxy Voting Policy | Back Cover | ||||||
• Portfolio Holdings | Back Cover |
4
Global Atlantic American Funds® Managed Risk Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide capital appreciation and income while seeking to manage volatility.
Management Review
The capital appreciation and income component is sub-advised by Wilshire Associates Incorporated ("Wilshire"), while the managed risk component is sub-advised by Milliman Financial Risk Management LLC ("Milliman").
How did the Portfolio perform during the period?
During 2019, the Portfolio underperformed its reference benchmark, the S&P Global Managed Risk LargeMidCap Index – Moderate Conservative. The Portfolio posted a return of 16.72% compared to a benchmark return of 18.15%, a difference of -143 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
The Portfolio was impacted by both dynamic asset allocation tilts as well as manager selection during 2019. An overweight to U.S. value equities generally weighed on relative performance, though absolute returns from U.S. value equities were strong. Wilshire's overweight to U.S. value equities is driven by a combination of what Wilshire considers to be highly attractive relative valuations, lower beta, and potential mean reversion.
In the first quarter of 2019, the Portfolio reduced its allocation to American Funds Insurance Series® US Govt/AAA-Rated Securities Fund and removed the allocation to American Funds Insurance Series® Mortgage Fund in order to reduce the underweight to fixed income duration and increase exposure to investment grade and high yield credit towards neutral. This change was made in conjunction with Wilshire's view that the likelihood of a dramatic rise in interest rates was reduced going forward and an improved outlook regarding investment grade and high yield credit. New allocations to American Funds Insurance Series® High-Income Bond Fund and American Funds Insurance Series® Global Bond Fund were introduced during the year, which detracted from performance.
The Portfolio was overweight to foreign, developed and emerging markets equities during the year. Although those markets produced strong absolute returns, the decision to overweight exposure to those markets was a mild performance detractor. Manager selection was the most significant detractor during the year, with underperformance from underlying funds estimated to have cost -0.83% to Portfolio returns for the year. The three domestic equity funds, American Funds Insurance Series® Growth Fund, American Funds Insurance Series® Growth – Income Fund, and American Funds Insurance Series® Blue Chip Income and Growth Fund, each had difficult years. The Portfolio had several underlying funds generate stand-alone returns in excess of 25% for the year, but the two strongest performing stand-alone allocations were American Funds Insurance Series® Global Small Capitalization Fund and American Funds Insurance Series® Global Growth and Income, which returned 31.84% and 31.39%, respectively as global growth equities outpaced value equities during the year and easily outpaced fixed income.
The managed risk component was a significant detractor to performance during 2019, with the majority of the drag occurring during the first quarter. Consistent with other global equity markets, the S&P 500® Index corrected -13.52% in the fourth quarter of 2018, then recovered rapidly, up 13.65% in the first quarter of 2019. To put this into historical context, since 1950, quarterly S&P 500® returns of this magnitude have occurred less than 5% of the time. This correction and rapid recovery in the equity markets resulted in the Portfolio being underweight equity, particularly during December 2018 and January 2019. As a result, while the managed risk component worked as designed to protect the Portfolio during the market correction, and was therefore a meaningful contributor to performance during this period, it was a meaningful detractor to performance in early 2019.
5
Global Atlantic American Funds® Managed Risk Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
How was the Portfolio positioned at period end?
Wilshire's overweight to U.S. value equities is driven by a combination of what Wilshire considers to be highly attractive relative valuations, lower beta, and potential mean reversion. Value equities are trading 2.6 standard deviations cheaper than average, relative to growth equities, when measured over the past 15 years. That level of relative valuation dispersion implies that value equities (compared to growth) are currently cheaper than they will be 99.5% of the time. Earnings remain strong for many value sectors, while price-to-earnings expansion in recent years has not kept pace with growth equities.
Foreign equities, relative to domestic equities, remains another area of focus and the Portfolio is overweight to foreign equities. Wilshire believes that although earnings growth and manufacturing purchasing managers' indices (PMI) within Europe have tailed off recently, the potential for outperformance exists. Wilshire also believes that reduced trade tensions provide the opportunity for improved global trade activity and positive economic growth in developed and emerging markets. Returns could also benefit from the U.S. dollar weakening and providing a tailwind to foreign equity results.
The Portfolio's performance figures for the periods ended December 31, 2019 as compared to its benchmark:
Annualized | Operating Expense* | ||||||||||||||||||||||||||||||
Inception Date | One Year | Three Years | Five Years | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | |||||||||||||||||||||||||||||||
Class II | October 31, 2013 | 16.72 | % | 8.27 | % | 5.66 | % | 5.99 | % | 1.67 | % | 1.27 | % | ||||||||||||||||||
S&P Global Managed Risk LargeMidCap Index - Moderate Conservative^ | 18.15 | % | 8.99 | % | 5.62 | % | 5.64 | % | |||||||||||||||||||||||
S&P Target Risk® Moderate Index (Total Return)+ | 15.71 | % | 7.58 | % | 5.44 | % | 5.42 | % |
The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Total returns would have been lower absent fee waivers by the Adviser. Performance figures for periods greater than one year are annualized. The returns shown do not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Prior to October 1, 2016, the Capital Appreciation and Income Component of the Portfolio were managed by the Adviser without the use of a sub-adviser. The performance prior to that date is attributable to the Adviser's asset allocation decisions.
* The estimated operating expense ratios for Class II shares, as disclosed in the most recent prospectus dated May 1, 2019. Ratios include Acquired Fund Fees and Expenses indirectly incurred by the Portfolio, if applicable. Gross operating expense ratio reflects the ratio of expenses absent waivers and/or reimbursements by the Adviser. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
^ Effective July 1, 2019, the Portfolio's benchmark is the S&P Global Managed Risk LargeMidCap Index - Moderate Conservative. The S&P Global Managed Risk LargeMidCap Index - Moderate Conservative is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 40% to the underlying bond index. Global Atlantic Investment Advisors, LLC believes that the new benchmark better reflects the Portfolio's investment strategy.
+ The S&P Target Risk® Moderate Index (Total Return) provides significant exposure to fixed income, while also providing increased opportunity for capital growth through equities. It is not possible to invest directly in an index.
6
Global Atlantic American Funds® Managed Risk Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
Comparison of the Change in Value of a $10,000 Investment
Holdings by Asset Class | % of Net Assets | ||||||
Variable Insurance Trusts | 95.2 | % | |||||
Short-Term Investments | 4.9 | % | |||||
Other Assets Less Liabilities - Net | (0.1 | )% | |||||
100.0 | % |
Please refer to the Portfolio of Investments in this annual report for more information regarding the Portfolio's holdings as of December 31, 2019.
7
Global Atlantic American Funds® Managed Risk Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
VARIABLE INSURANCE TRUSTS - 95.2% | |||||||||||
ASSET ALLOCATION FUND - 1.9% | |||||||||||
170,131 | American Funds Insurance Series - New World Fund, Class 1 | $ | 4,396,193 | ||||||||
TOTAL ASSET ALLOCATION FUND | 4,396,193 | ||||||||||
DEBT FUNDS - 33.4% | |||||||||||
4,927,264 | American Funds Insurance Series - Bond Fund, Class 1 | 55,037,541 | |||||||||
548,083 | American Funds Insurance Series - Global Bond Fund, Class 1 | 6,642,763 | |||||||||
446,552 | American Funds Insurance Series - High-Income Bond Fund, Class 1 | 4,407,463 | |||||||||
894,183 | American Funds Insurance Series - U.S. Government/AAA-Rated Securities Fund, Class 1 | 11,034,217 | |||||||||
TOTAL DEBT FUNDS | 77,121,984 | ||||||||||
EQUITY FUNDS - 59.9% | |||||||||||
3,075,639 | American Funds Insurance Series - Blue Chip Income And Growth Fund, Class 1 | 41,705,666 | |||||||||
1,522,114 | American Funds Insurance Series - Global Growth And Income Fund, Class 1 | 24,232,062 | |||||||||
246,716 | American Funds Insurance Series - Global Small Capitalization Fund, Class 1 | 6,611,986 | |||||||||
296,334 | American Funds Insurance Series - Growth Fund, Class 1 | 24,068,273 | |||||||||
648,904 | American Funds Insurance Series - Growth-Income Fund, Class 1 | 32,905,923 | |||||||||
422,146 | American Funds Insurance Series - International Fund, Class 1 | 8,805,968 | |||||||||
TOTAL EQUITY FUNDS | 138,329,878 | ||||||||||
TOTAL VARIABLE INSURANCE TRUSTS (Cost - $198,649,267) | 219,848,055 |
Shares/ Principal | Fair Value | ||||||||||
SHORT-TERM INVESTMENTS - 4.9% | |||||||||||
MONEY MARKET FUNDS - 4.9% | |||||||||||
11,215,718 | Dreyfus Government Cash Management, 1.51% (a) | $ | 11,215,718 | ||||||||
5,938 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (a) | 5,938 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $11,221,656) | 11,221,656 | ||||||||||
TOTAL INVESTMENTS - 100.1% (Cost - $209,870,923) | $ | 231,069,711 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET - (0.1)% | (153,374) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 230,916,337 |
(a) The rate shown is the annualized seven-day yield at period end.
See accompanying notes to financial statements.
8
Global Atlantic Balanced Managed Risk Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide capital appreciation and income while seeking to manage volatility.
Management Review
The capital appreciation and income component is sub-advised by BlackRock Financial Management, Inc. ("BFM"), while the managed risk component is sub-advised by Milliman Financial Risk Management LLC ("Milliman").
How did the Portfolio perform during the period?
During 2019, the Portfolio underperformed its reference benchmark, the S&P Global Managed Risk LargeMidCap Index – Conservative. The Portfolio posted a return of 14.34% compared to a benchmark return of 16.55%, a difference of -221 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
Much of the positive equity performance this year reflected improving investor sentiment, as global trade tensions have generally eased, and central banks globally have shifted to a more dovish stance in the face of slowing growth. Though growth has been moderating, BFM believes the near-term risk of a U.S. recession is low. With corporate earnings growth slowing but still solid, equity valuations back in line with post-2008 Financial Crisis averages, and few signs of overheating in the U.S. economy, the Portfolio remained positioned to take advantage of late-cycle equity gains.
Within equities, the Portfolio maintained an overweight to the U.S. relative to international markets, which also proved beneficial to Portfolio performance. The Portfolio added minimum volatility factor exposure in the second half of the year. The allocation was additive to returns in the third quarter of 2019, but it was a detractor in the fourth quarter of 2019 as equity markets rallied into year-end as U.S. and China reached an agreement for a Phase 1 trade deal.
Within fixed income, the Portfolio maintained an overweight to credit relative to treasuries for the first six months of the year, which had a positive impact on performance. The Portfolio's duration positioning was slightly short throughout the first half of the year, which contributed negatively to performance as interest rates rallied. The Portfolio increased duration and shifted from credit toward treasuries in the second half of the year. This defensive posture was a headwind for fixed income performance as interest rates rose toward the end of the year.
The managed risk component was a significant detractor to performance during 2019, with the majority of the drag occurring during the first quarter. Consistent with other global equity markets, the S&P 500® Index corrected -13.52% in the fourth quarter of 2018, then recovered rapidly, up 13.65% in the first quarter of 2019. To put this into historical context, since 1950, quarterly S&P 500® returns of this magnitude have occurred less than 5% of the time. This correction and rapid recovery in the equity markets resulted in the Portfolio being underweight equity, particularly during December 2018 and January 2019. As a result, while the managed risk component worked as designed to protect the Portfolio during the market correction, and was therefore a meaningful contributor to performance during this period, it was a meaningful detractor to performance in early 2019.
How was the Portfolio positioned at period end?
A supportive policy mix and the prospect of an extended cycle underpin BFM's positive view on equities. The BFM investment team continues to favor U.S. equities over other developed markets. From an equity factors perspective, at year-end, the Portfolio remained defensively positioned, with a preference for minimum volatility exposure and quality stocks. From a fixed income perspective, the BFM investment team believes the trend of credit spread compression may not imminently reverse, but expects further gains to be incremental. At year-end, the Portfolio maintained an overweight to U.S. Treasuries relative to credit assets.
9
Global Atlantic Balanced Managed Risk Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
The Portfolio's performance figures for the periods ended December 31, 2019 as compared to its benchmark:
Annualized | Operating Expense* | ||||||||||||||||||||||||||||||
Inception Date | One Year | Three Years | Five Years | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||||||||
Global Atlantic Balanced Managed Risk Portfolio | |||||||||||||||||||||||||||||||
Class II | October 31, 2013 | 14.34 | % | 6.44 | % | 4.31 | % | 4.82 | % | 1.02 | % | 1.02 | % | ||||||||||||||||||
S&P Global Managed Risk LargeMidCap Index - Conservative^ | 16.55 | % | 8.15 | % | 5.34 | % | 5.35 | % | |||||||||||||||||||||||
S&P Target Risk® Conservative Index (Total Return)+ | 13.99 | % | 6.75 | % | 4.84 | % | 4.74 | % |
The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Total returns would have been lower absent fee waivers by the Adviser. Performance figures for periods greater than one year are annualized. The returns shown do not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Prior to October 1, 2016, the Capital Appreciation and Income Component of the Portfolio were managed by the Adviser without the use of a sub-adviser. The performance prior to that date is attributable to the Adviser's asset allocation decisions.
* The estimated operating expense ratios for Class II shares, as disclosed in the most recent prospectus dated May 1, 2019. Ratios include Acquired Fund Fees and Expenses indirectly incurred by the Portfolio, if applicable. Gross operating expense ratio reflects the ratio of expenses absent waivers and/or reimbursements by the Adviser. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
^ Effective July 1, 2019, the Portfolio's benchmark is the S&P Global Managed Risk LargeMidCap Index - Conservative. The S&P Global Managed Risk LargeMidCap Index - Conservative is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 50% to the underlying bond index. Global Atlantic Investment Advisors, LLC believes that the new benchmark better reflects the Portfolio's investment strategy.
+ The S&P Target Risk® Conservative Index (Total Return) provides significant exposure to fixed income in order to produce a consistent income stream and avoid excessive volatility of returns. It is not possible to invest directly in an index.
Comparison of the Change in Value of a $10,000 Investment
Holdings by Asset Class | % of Net Assets | ||||||
Exchange Traded Funds | 95.5 | % | |||||
Short-Term Investments | 4.8 | % | |||||
Other Assets Less Liabilities - Net | (0.3 | )% | |||||
100.0 | % |
Please refer to the Portfolio of Investments in this annual report for more information regarding the Portfolio's holdings as of December 31, 2019.
10
Global Atlantic Balanced Managed Risk Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
EXCHANGE TRADED FUNDS - 95.5% | |||||||||||
DEBT FUNDS - 45.5% | |||||||||||
11,381 | iShares 20+ Year Treasury Bond ETF | $ | 1,541,898 | ||||||||
13,568 | iShares Broad USD Investment Grade Corporate Bond ETF | 791,014 | |||||||||
63,105 | iShares Core U.S. Aggregate Bond ETF | 7,091,109 | |||||||||
46,472 | iShares Floating Rate Bond ETF | 2,366,354 | |||||||||
15,847 | iShares iBoxx High Yield Corporate Bond ETF | 1,393,585 | |||||||||
68,155 | iShares Intermediate-Term Corporate Bond ETF | 3,951,627 | |||||||||
8,760 | iShares JP Morgan USD Emerging Markets Bond ETF | 1,003,546 | |||||||||
7,317 | iShares MBS ETF | 790,675 | |||||||||
14,733 | iShares Short-Term Corporate Bond ETF, Class 3 | 790,131 | |||||||||
704,685 | iShares U.S. Treasury Bond ETF | 18,279,529 | |||||||||
TOTAL DEBT FUNDS | 37,999,468 | ||||||||||
EQUITY FUNDS - 50.0% | |||||||||||
39,835 | iShares Core MSCI EAFE ETF | 2,598,835 | |||||||||
66,306 | iShares Core S&P 500 ETF | 21,432,752 | |||||||||
16,649 | iShares Core S&P Mid-Cap ETF | 3,426,697 | |||||||||
16,765 | iShares Core S&P Small-Cap ETF | 1,405,745 | |||||||||
10,510 | iShares Edge MSCI Min Vol EAFE ETF | 783,415 | |||||||||
27,483 | iShares Edge MSCI Min Vol Emerging Markets ETF | 1,612,153 | |||||||||
121,962 | iShares Edge MSCI Min Vol USA ETF | 8,000,707 | |||||||||
13,613 | iShares Russell 1000 ETF | 2,428,832 | |||||||||
TOTAL EQUITY FUNDS | 41,689,136 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $67,783,615) | 79,688,604 |
Shares/ Principal | Fair Value | ||||||||||
SHORT-TERM INVESTMENTS - 4.8% | |||||||||||
MONEY MARKET FUNDS - 4.8% | |||||||||||
3,982,736 | Dreyfus Government Cash Management, 1.51% (a) | $ | 3,982,736 | ||||||||
10,845 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (a) | 10,845 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $3,993,581) | 3,993,581 | ||||||||||
TOTAL INVESTMENTS - 100.3% (Cost - $71,777,196) | $ | 83,682,185 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET - (0.3)% | (270,974) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 83,411,211 |
(a) The rate shown is the annualized seven-day yield at period end.
See accompanying notes to financial statements.
11
Global Atlantic BlackRock Selects Managed Risk Portfolio
(formerly Global Atlantic BlackRock Global Allocation Managed Risk Portfolio)
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide capital appreciation and income while seeking to manage volatility.
Management Review
The capital appreciation and income component is sub-advised by BlackRock Investment Management, LLC ("BIM"), while the managed risk component is sub-advised by Milliman Financial Risk Management LLC ("Milliman"). Prior to May 1, 2019, the capital appreciation and income component was managed by the Global Atlantic Investment Advisors, LLC (the "Adviser").
How did the Portfolio perform during the period?
During 2019, the Portfolio underperformed its reference benchmark, the S&P Global Managed Risk LargeMidCap Index – Moderate Conservative. The Portfolio posted a return of 15.22% compared to a benchmark return of 18.15%, a difference of -293 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
Global equity markets capped off 2019 with another month of positive returns. Emerging markets posted strong gains at the end of the year, following the announcement of 'Phase 1' of a U.S./China trade agreement, and U.S. dollar weakness. Within developed markets, performance was led by European equities as political uncertainty and concerns of Brexit diminished following U.K. elections. U.S equities remained strong given progress in trade developments and continued liquidity provided in the overnight lending markets by the Federal Reserve. Global bonds also wrapped up the year posting modest gains as recessionary fears waned, and the U.S. dollar weakened. One exception was U.S. Treasuries, which declined as demand for safe-haven assets decreased. BIM believes a combination of a stabilizing economy, ample liquidity and momentum will continue to support equities in early 2020. That said BIM is mindful that uncertainty over the U.S. election may translate into more volatility through the next year.
Over the year, an overweight to equity contributed to performance, but was partially offset by an exposure to cash and cash equivalents. Within equities an underweight and security selection within energy positively contributed to performance. Security selection within information technology negatively impacted returns. An overweight to Emerging Asian equities detracted and was partially offset by an overweight and security selection within the U.S. and Canada. Within fixed income, Portfolio positioning within credit and an exposure to securitized assets contributed, while positioning within government bonds negatively impacted returns.
The managed risk component was a significant detractor to performance during 2019, with the majority of the drag occurring during the first quarter. Consistent with other global equity markets, the S&P 500® Index corrected -13.52% in the fourth quarter of 2018, then recovered rapidly, up 13.65% in the first quarter of 2019. To put this into historical context, since 1950, quarterly S&P 500® returns of this magnitude have occurred less than 5% of the time. This correction and rapid recovery in the equity markets resulted in the Portfolio being underweight equity, particularly during December 2018 and January 2019. As a result, while the managed risk component worked as designed to protect the Portfolio during the market correction, and was therefore a meaningful contributor to performance during this period, it was a meaningful detractor to performance in early 2019.
How was the Portfolio positioned at period end?
At year-end, the Portfolio was modestly overweight equities and underweight fixed income. Within equities, the Portfolio was overweight the U.S. and emerging markets, notably Asia, and underweight Europe. Accommodative monetary policy, stronger than expected U.S. jobs and wage data, along with early indications that global manufacturing data may have finally bottomed, leaves BIM inclined to remain moderately overweight global stocks for the time being. BIM believes the U.S.
12
Global Atlantic BlackRock Selects Managed Risk Portfolio
(formerly Global Atlantic BlackRock Global Allocation Managed Risk Portfolio)
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
Federal Reserve's September decision to supply overnight lending markets with $60 billion a month in liquidity injections through at least May of 2020 is likely to provide ongoing support for risk assets. Although equities have enjoyed twelve months of above average returns, benign central bank policy, an improving earnings backdrop, and the progress achieved on U.S./China along with intra-North American trade agreements, support the rationale for continuing to favor global stocks over global bonds.
From a sector perspective, the Portfolio was overweight information technology, real estate, and communication services and underweight energy and financials. Given the current market environment, the Portfolio maintains a bias toward higher quality U.S. stocks that BIM believes offer the potential to deliver consistent cash flow growth despite operating within a moderate growth environment. Given growing concerns over the fundamental supply-demand balance in energy markets and escalating tensions between the U.S. and the Middle East, the Portfolio remains underweight energy. Although the Portfolio ended the year slightly underweight financials, BIM is constructive on U.S. financial stocks given their potential to benefit from a combination of continued economic growth and modestly higher longer-term interest rates.
Within fixed income, the Portfolio was overweight U.S. Treasuries and underweight securitized assets and investment grade credit. While BIM believes that in the prevailing low growth, low inflation environment, duration can provide an effective partial hedge against stock market volatility, the Portfolio generally possesses a modest tactical underweight to duration, as BIM thinks that long-dated sovereign bond yields could drift up modestly, as trade related risks have moderated. The Portfolio is generally tilted toward the front-end of the U.S. Treasury curve, where BIM expects yields to remain anchored. With credit spreads very narrow relative to comparable U.S. Treasuries and duration risks elevated in the short-term, BIM continues to de-emphasize U.S. investment grade bonds, as duration risk within the asset class is not immaterial.
The Portfolio's performance figures for the periods ended December 31, 2019 as compared to its benchmark:
Annualized | Operating Expense* | ||||||||||||||||||||||||||||||
Inception Date | One Year | Three Years | Five Years | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | |||||||||||||||||||||||||||||||
Class II | October 31, 2013 | 15.22 | % | 6.14 | % | 2.92 | % | 2.84 | % | 1.22 | % | 1.22 | % | ||||||||||||||||||
S&P Global Managed Risk LargeMidCap Index - Moderate Conservative^ | 18.15 | % | 8.99 | % | 5.62 | % | 5.64 | % | |||||||||||||||||||||||
S&P Target Risk® Moderate Index (Total Return)+ | 15.71 | % | 7.58 | % | 5.44 | % | 5.42 | % |
The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Total returns would have been lower absent fee waivers by the Adviser. Performance figures for periods greater than one year are annualized. The returns shown do not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account.
* The estimated operating expense ratios for Class II shares, as disclosed in the most recent prospectus dated May 1, 2019. Ratios include Acquired Fund Fees and Expenses indirectly incurred by the Portfolio, if applicable. Gross operating expense ratio reflects the ratio of expenses absent waivers and/or reimbursements by the Adviser. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
^ Effective July 1, 2019, the Portfolio's benchmark is the S&P Global Managed Risk LargeMidCap Index - Moderate Conservative. The S&P Global Managed Risk LargeMidCap Index - Moderate Conservative is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 40% to the underlying bond index. Global Atlantic Investment Advisors, LLC believes that the new benchmark better reflects the Portfolio's investment strategy.
+ The S&P Target Risk® Moderate Index (Total Return) provides significant exposure to fixed income, while also providing increased opportunity for capital growth through equities. It is not possible to invest directly in an index.
13
Global Atlantic BlackRock Selects Managed Risk Portfolio
(formerly Global Atlantic BlackRock Global Allocation Managed Risk Portfolio)
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
Comparison of the Change in Value of a $10,000 Investment
Holdings by Asset Class | % of Net Assets | ||||||
Exchange Traded Funds | 73.4 | % | |||||
Variable Insurance Trusts | 21.2 | % | |||||
Short-Term Investments | 4.6 | % | |||||
Other Assets Less Liabilities - Net | 0.8 | % | |||||
100.0 | % |
Please refer to the Portfolio of Investments in this annual report for more information regarding the Portfolio's holdings as of December 31, 2019.
14
Global Atlantic BlackRock Selects Managed Risk Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
EXCHANGE TRADED FUNDS - 73.4% | |||||||||||
DEBT FUNDS - 25.3% | |||||||||||
275,289 | iShares 1-3 Year Treasury Bond ETF, Class 3 | $ | 23,297,708 | ||||||||
16,969 | iShares 20+ Year Treasury Bond ETF | 2,298,960 | |||||||||
111,154 | iShares 3-7 Year Treasury Bond ETF, Class 7 | 13,977,615 | |||||||||
72,691 | iShares iBoxx $ Investment Grade Corporate Bond ETF | 9,301,540 | |||||||||
52,923 | iShares iBoxx High Yield Corporate Bond ETF | 4,654,049 | |||||||||
73,784 | iShares Short Treasury Bond ETF | 8,150,181 | |||||||||
TOTAL DEBT FUNDS | 61,680,053 | ||||||||||
EQUITY FUNDS - 48.1% | |||||||||||
463,588 | iShares Core MSCI EAFE ETF | 30,244,481 | |||||||||
43,296 | iShares Core MSCI Emerging Markets ETF | 2,327,593 | |||||||||
376,962 | iShares Core S&P U.S. Growth ETF | 25,497,710 | |||||||||
405,950 | iShares Core S&P U.S. Value ETF | 25,582,969 | |||||||||
85,036 | iShares Edge MSCI Min Vol Global ETF | 8,149,000 | |||||||||
101,827 | iShares Edge MSCI USA Momentum Factor ETF | 12,785,398 | |||||||||
126,398 | iShares Edge MSCI USA Quality Factor ETF | 12,766,198 | |||||||||
TOTAL EQUITY FUNDS | 117,353,349 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $169,719,731) | 179,033,402 | ||||||||||
VARIABLE INSURANCE TRUSTS - 21.2% | |||||||||||
ASSET ALLOCATION FUND - 21.2% | |||||||||||
3,019,458 | BlackRock Global Allocation VI Fund, Class I (Cost - $45,361,468) | 51,693,125 |
Shares/ Principal | Fair Value | ||||||||||
SHORT-TERM INVESTMENTS - 4.6% | |||||||||||
MONEY MARKET FUNDS - 4.6% | |||||||||||
11,279,083 | Dreyfus Government Cash Management, 1.51% (a) | $ | 11,279,083 | ||||||||
1,881 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (a) | 1,881 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $11,280,964) | 11,280,964 | ||||||||||
TOTAL INVESTMENTS - 99.2% (Cost - $226,362,163) | $ | 242,007,491 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET - 0.8% | 1,845,375 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 243,852,866 |
(a) The rate shown is the annualized seven-day yield at period end.
See accompanying notes to financial statements.
15
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide capital appreciation and income while seeking to manage volatility.
Management Review
The capital appreciation and income component is managed by Franklin Advisers, Inc. ("Franklin Advisers"), while the managed risk component is sub-advised by Milliman Financial Risk Management LLC ("Milliman").
How did the Portfolio perform during the period?
During 2019, the Portfolio outperformed its reference benchmark, the S&P 500 Managed Risk Index – Moderate. The Portfolio posted a return of 20.40% compared to a benchmark return of 19.34% a difference of 106 basis points. The following discussion of relative performance pertains to this benchmark unless otherwise noted.
What factors and allocation decisions influenced the Portfolio's performance?
Franklin Advisers employs a bottom-up stock selection process for the equity sleeve of the Portfolio's capital appreciation and income component, whereby the portfolio managers invest in securities without regard to benchmark comparisons. As a result, the Portfolio frequently contains sector and security allocations that may be significantly different from those of its reference benchmark, the S&P 500® Index. With respect to the equity sleeve's performance versus the S&P 500® Index, the equity sleeve of the Portfolio's capital appreciation and income component underperformed the S&P 500® Index (net of fees), posting a return of 30.54% compared to an S&P 500® Index return of 31.49%, a difference of -95 basis points.
Relative to the Portfolio's benchmark, stock selection in the industrials sector aided Portfolio performance, as did stock selection in the consumer discretionary and health care sectors.
Among those holdings contributing to Portfolio performance in 2019 was jeweler Tiffany & Co. (1.03%), which saw its stock price climb following the takeover transaction by French luxury goods firm LVMH Moet Hennessey Louis Vuitton SE ("LVMH") (not a holding of the Portfolio). LVMH agreed in late November to acquire Tiffany & Co. for U.S. $16.2 billion. Technology-outsourcing firm Accenture plc (3.75%) also supported relative returns in 2019, as strong earnings growth boosted the stock price. Accenture plc's robust financial results have been driven by strong growth in digital, cloud and security-related services. Late in 2019, Accenture plc also boosted its full-year 2020 revenue growth forecast on strong consulting and outsourcing bookings growth. Strong earnings supported shares of electrical equipment company Dover Corporation ("Dover") (1.70%) during the year. Despite a weaker macroeconomic environment, Dover posted solid organic revenue growth and robust free cash flow in recent quarters. Order growth also improved, which the Franklin Advisers portfolio managers expect can bolster Dover's overall growth in 2020.
In contrast, stock selection in the energy sector hurt Portfolio results, as did underweight positioning in information technology and overweighting positioning in consumer staples.
Shares of Albemarle Corporation (2.44%), a specialty chemicals producer, declined amid concerns about lithium oversupply and pricing implications. In response, Albemarle has announced steps to curtail capital expenditures to moderate supply growth over the next few years. While lithium pricing may soften over the coming year, the company's leading resource base provides solid growth prospects as demand continues to accelerate. Shares of Occidental Petroleum Corporation (0.96%) also detracted from performance as concerns emerged about the financing to complete their acquisition of oil and gas exploration and production firm Anadarko Petroleum Corporation (not a holding of the Portfolio). The transaction would give Occidental Petroleum Corporation a greater presence in the U.S. shale- producing Permian Basin and allows the company to reduce costs and lessen concerns about rising debt levels and pressured share prices. Oil and gas exploration company EOG Resources Inc. ("EOG") (1.28%) curbed relative returns during the year, as the broader industry environment has remained challenging. EOG has continued to post strong financial results with solid free cash flow. Furthermore, the Franklin
16
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
Advisers portfolio managers view the company as one of the highest-quality names in the energy exploration and production industry.
During 2019, the fixed income sleeve of the Portfolio's capital appreciation and income component outperformed the Bloomberg Barclays U.S. Aggregate Bond Index (net of fees), posting a return of 9.67% compared to a Bloomberg Barclays U.S. Aggregate Bond Index return of 8.72%, a difference of 95 basis points. In terms of drivers of return, sector allocation contributed to outperformance on a duration-adjusted basis, driven primarily by the Portfolio's exposure to the credit sectors, including high yield bonds, bank loans and collateralized loan obligations ("CLOs"). The Portfolio's allocation to sovereign emerging market debt was another strong positive contributor. In contrast, security selection was negative for returns, particularly within the mortgage-backed securities and sovereign emerging market debt sectors. The Portfolio's underweight to the investment-grade corporate debt sector also detracted from returns, although this effect was partially offset by positive security selection within the sector. Relative to the benchmark, the Portfolio's underweight duration-positioning detracted from returns, while the performance of non-U.S. yield curve exposures also weighed on performance. The Portfolio's foreign currency exposure also contributed, as gains primarily in the Mexican peso, euro and Indonesian rupiah were partially offset by losses in the Japanese yen, Uruguayan peso and the Canadian dollar.
The managed risk component was a significant detractor to performance during 2019, with the majority of the drag occurring during the first quarter. Consistent with other global equity markets, the S&P 500® Index corrected -13.52% in the fourth quarter of 2018, then recovered rapidly, up 13.65% in the first quarter of 2019. To put this into historical context, since 1950, quarterly S&P 500® returns of this magnitude have occurred less than 5% of the time. This correction and rapid recovery in the equity markets resulted in the Portfolio being underweight equity, particularly during December 2018 and January 2019. As a result, while the managed risk component worked as designed to protect the Portfolio during the market correction, and was therefore a meaningful contributor to performance during this period, it was a meaningful detractor to performance in early 2019.
How was the Portfolio positioned at period end?
At year-end, the Portfolio's largest sector concentration was industrials, followed by health care and information technology. The Portfolio initiated new positions in railroad Norfolk Southern Railway (0.55%), drug manufacturer Pfizer Inc. (0.52%), and home improvement retailer Lowe's Companies, Inc. (0.78%). The Franklin Advisers portfolio managers disposed of positions in semiconductor company Versum Materials, Inc., drug maker Roche Holding AG, apparel retailer Gap, Inc., and quick-service restaurant chain Yum! Brands, Inc. The Franklin Advisers portfolio managers also added to the Portfolio's position in Boeing Company (1.12%), while trimming the Portfolio's exposure to jeweler Tiffany & Co.
At year-end the Portfolio remained overweight in the corporate credit sectors, particularly CLOs, bank loans and high yield bonds, although some exposures were reduced. In general, the Portfolio remained constructive on various pockets within the credit sector, due in part to the general strength of the U.S. economy and relatively strong fundamentals. With the rally in risk assets year-to-date, credit spreads moved close to their tightest levels over the past year. Against this backdrop, as part of risk reduction, the Franklin Advisers portfolio managers reduced the Portfolio's exposure to investment-grade corporates, ending the year underweight the sector relative to Bloomberg Barclays U.S. Aggregate Bond Index . Exposure to high-yield bonds was also reduced, although the Portfolio maintained a moderate allocation at year-end. Within the securitized sectors, the Portfolio remained overweight the residential mortgage-backed securities sector based on strong U.S. housing fundamentals and remained underweight commercial mortgage-backed securities and agency mortgage-backed securities sectors. Over the year, the Franklin Advisers portfolio management team added to the Portfolio's Treasury inflation-protected securities and municipal bond exposure and remained overweight to both sectors. In addition, as part of risk reduction, the Franklin Advisers portfolio management team slightly increased the Portfolio's exposure to U.S. Treasuries, but remained significantly underweight relative to the Bloomberg Barclays U.S. Aggregate Bond Index.
In U.S. dollar duration, the Portfolio was short versus the benchmark. The Franklin Advisers portfolio management team retained a yield curve flattener with a short concentration in the two-to-five-year part of the curve. In non-USD duration, the Portfolio remained slightly long Europe, Australia and China duration with marginal long exposures to select emerging market countries. In terms of currency exposure, on the long side, the Portfolio's largest currency position was the Japanese yen with other long positions that included the Norwegian krone and South African rand. The Portfolio remained short the euro, Canadian dollar and Australian dollar, among other currencies.
17
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
The Portfolio's performance figures for the periods ended December 31, 2019 as compared to its benchmark:
Annualized | Operating Expense* | ||||||||||||||||||||||||||||||
Inception Date | One Year | Three Years | Five Years | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | |||||||||||||||||||||||||||||||
Class II | April 30, 2014 | 20.40 | % | 9.33 | % | 5.94 | % | 6.18 | % | 1.21 | % | 1.16 | % | ||||||||||||||||||
S&P 500 Managed Risk Index - Moderate^ | 19.34 | % | 10.65 | % | 7.52 | % | 8.08 | % | |||||||||||||||||||||||
S&P Target Risk® Moderate Index (Total Return)+ | 15.71 | % | 7.58 | % | 5.44 | % | 5.24 | % |
The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Total returns would have been lower absent fee waivers by the Adviser. Performance figures for periods greater than one year are annualized. The returns shown do not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Prior to October 1, 2016, the Fixed Income Component of the Portfolio was managed by the Adviser without the use of a sub-adviser.
* The estimated operating expense ratios for Class II shares, as disclosed in the most recent prospectus dated May 1, 2019. Ratios include Acquired Fund Fees and Expenses indirectly incurred by the Portfolio, if applicable. Gross operating expense ratio reflects the ratio of expenses absent waivers and/or reimbursements by the Adviser. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
^ Effective July 1, 2019, the Portfolio's benchmark is the S&P 500 Managed Risk Index - Moderate. The S&P 500 Managed Risk Index - Moderate is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation to the underlying bond index. Global Atlantic Investment Advisors, LLC believes that the new benchmark better reflects the Portfolio's investment strategy.
+ The S&P Target Risk® Moderate Index (Total Return) provides significant exposure to fixed income, while also providing increased opportunity for capital growth through equities. It is not possible to invest directly in an index.
Comparison of the Change in Value of a $10,000 Investment
18
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
Holdings by Asset Class | % of Net Assets | ||||||
Common Stocks | 71.1 | % | |||||
Asset Backed and Commercial Backed Securities | 8.7 | % | |||||
Corporate Bonds and Notes | 5.5 | % | |||||
Agency Mortgage Backed Securities | 4.9 | % | |||||
U.S. Treasury Securities | 2.6 | % | |||||
Sovereign Debts | 1.3 | % | |||||
Term Loans | 1.1 | % | |||||
Municipal Bonds | 0.9 | % | |||||
Short-Term Investments | 5.7 | % | |||||
Other Assets Less Liabilities - Net | (1.8 | )% | |||||
100.0 | % |
Please refer to the Portfolio of Investments in this annual report for more information regarding the Portfolio's holdings as of December 31, 2019.
Derivative exposure is included in "Other Assets Less Liabilities - Net".
19
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
COMMON STOCKS - 71.1% | |||||||||||
AEROSPACE & DEFENSE - 4.5% | |||||||||||
7,200 | Boeing Co. (The) | $ | 2,345,472 | ||||||||
20,570 | General Dynamics Corp. | 3,627,520 | |||||||||
13,100 | Raytheon Co. | 2,878,594 | |||||||||
28,400 | United Technologies Corp. | 4,253,184 | |||||||||
13,104,770 | |||||||||||
AIR FREIGHT & LOGISTICS - 0.8% | |||||||||||
19,310 | United Parcel Service, Inc., Class B | 2,260,429 | |||||||||
BEVERAGES - 1.2% | |||||||||||
25,100 | PepsiCo, Inc. | 3,430,417 | |||||||||
BIOTECHNOLOGY - 0.5% | |||||||||||
18,160 | AbbVie, Inc. | 1,607,886 | |||||||||
BUILDING PRODUCTS - 1.0% | |||||||||||
71,875 | Johnson Controls International PLC | 2,926,031 | |||||||||
CHEMICALS - 7.7% | |||||||||||
29,900 | Air Products & Chemicals, Inc. | 7,026,201 | |||||||||
70,300 | Albemarle Corp. | 5,134,712 | |||||||||
13,100 | Ecolab, Inc. | 2,528,169 | |||||||||
36,450 | Linde PLC | 7,760,205 | |||||||||
22,449,287 | |||||||||||
COMMERCIAL SERVICES & SUPPLIES - 1.5% | |||||||||||
13,600 | Cintas Corp. | 3,659,488 | |||||||||
19,900 | Matthews International Corp., Class A | 759,583 | |||||||||
4,419,071 | |||||||||||
ELECTRICAL EQUIPMENT - 0.4% | |||||||||||
50,170 | nVent Electric PLC | 1,283,349 | |||||||||
ENERGY EQUIPMENT & SERVICES - 0.9% | |||||||||||
28,200 | Apergy Corp.* | 952,596 | |||||||||
37,600 | Schlumberger Ltd. | 1,511,520 | |||||||||
1,897 | Weatherford International PLC* | 53,021 | |||||||||
2,517,137 | |||||||||||
FOOD & STAPLES RETAILING - 1.0% | |||||||||||
25,700 | Walmart, Inc. | 3,054,188 | |||||||||
FOOD PRODUCTS - 1.8% | |||||||||||
35,200 | Bunge Ltd. | 2,025,760 | |||||||||
19,760 | McCormick & Co., Inc. | 3,353,865 | |||||||||
5,379,625 | |||||||||||
HEALTH CARE EQUIPMENT & SUPPLIES - 10.5% | |||||||||||
45,500 | Abbott Laboratories | 3,952,130 | |||||||||
26,500 | Becton Dickinson and Co. | 7,207,205 | |||||||||
24,800 | DENTSPLY SIRONA, Inc. | 1,403,432 | |||||||||
57,000 | Medtronic PLC | 6,466,650 | |||||||||
37,900 | Stryker Corp. | 7,956,726 | |||||||||
24,700 | West Pharmaceutical Services, Inc. | 3,713,151 | |||||||||
30,699,294 |
Shares/ Principal | Fair Value | ||||||||||
HEALTH CARE PROVIDERS & SERVICES - 0.6% | |||||||||||
22,590 | CVS Health Corp. | $ | 1,678,211 | ||||||||
HOTELS, RESTAURANTS & LEISURE - 1.2% | |||||||||||
17,870 | McDonald's Corp. | 3,531,291 | |||||||||
HOUSEHOLD PRODUCTS - 2.1% | |||||||||||
36,066 | Colgate-Palmolive Co. | 2,482,783 | |||||||||
28,800 | Procter & Gamble Co. (The) | 3,597,120 | |||||||||
6,079,903 | |||||||||||
INDUSTRIAL CONGLOMERATES - 7.5% | |||||||||||
17,780 | Carlisle Cos., Inc. | 2,877,515 | |||||||||
42,360 | Honeywell International, Inc. | 7,497,720 | |||||||||
32,340 | Roper Technologies, Inc. | 11,455,798 | |||||||||
21,831,033 | |||||||||||
INSURANCE - 0.9% | |||||||||||
29,700 | Aflac, Inc. | 1,571,130 | |||||||||
6,593 | Chubb Ltd. | 1,026,266 | |||||||||
2,597,396 | |||||||||||
IT SERVICES - 4.1% | |||||||||||
37,400 | Accenture PLC, Class A | 7,875,318 | |||||||||
21,490 | Visa, Inc., Class A | 4,037,971 | |||||||||
11,913,289 | |||||||||||
MACHINERY - 2.4% | |||||||||||
25,029 | Donaldson Co., Inc. | 1,442,171 | |||||||||
31,000 | Dover Corp. | 3,573,060 | |||||||||
45,070 | Pentair PLC | 2,067,361 | |||||||||
7,082,592 | |||||||||||
MEDIA - 0.1% | |||||||||||
4,240 | John Wiley & Sons, Inc., Class A | 205,725 | |||||||||
METALS & MINING - 0.3% | |||||||||||
18,510 | Nucor Corp. | 1,041,743 | |||||||||
MULTILINE RETAIL - 0.8% | |||||||||||
17,500 | Target Corp. | 2,243,675 | |||||||||
OIL, GAS & CONSUMABLE FUELS - 2.5% | |||||||||||
9,900 | Chevron Corp. | 1,193,049 | |||||||||
32,200 | EOG Resources, Inc. | 2,697,072 | |||||||||
22,200 | Exxon Mobil Corp. | 1,549,116 | |||||||||
48,800 | Occidental Petroleum Corp. | 2,011,048 | |||||||||
7,450,285 | |||||||||||
PHARMACEUTICALS - 2.1% | |||||||||||
28,600 | Johnson & Johnson | 4,171,882 | |||||||||
15,700 | Perrigo Co. PLC | 811,062 | |||||||||
27,800 | Pfizer, Inc. | 1,089,204 | |||||||||
6,072,148 |
See accompanying notes to financial statements.
20
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
ROAD & RAIL - 0.4% | |||||||||||
6,000 | Norfolk Southern Corp. | $ | 1,164,780 | ||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 4.5% | |||||||||||
55,371 | Analog Devices, Inc. | 6,580,290 | |||||||||
51,500 | Texas Instruments, Inc. | 6,606,935 | |||||||||
13,187,225 | |||||||||||
SOFTWARE - 4.8% | |||||||||||
89,410 | Microsoft Corp. | 14,099,957 | |||||||||
SPECIALTY RETAIL - 2.9% | |||||||||||
13,700 | Lowe's Cos., Inc. | 1,640,712 | |||||||||
39,200 | Ross Stores, Inc. | 4,563,664 | |||||||||
16,200 | Tiffany & Co. | 2,165,130 | |||||||||
8,369,506 | |||||||||||
TEXTILES, APPAREL & LUXURY GOODS - 1.5% | |||||||||||
42,040 | NIKE, Inc., Class B | 4,259,073 | |||||||||
TRADING COMPANIES & DISTRIBUTORS - 0.6% | |||||||||||
5,000 | WW Grainger, Inc. | 1,692,600 | |||||||||
TOTAL COMMON STOCKS (Cost - $130,224,891) | 207,631,916 | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 8.7% | |||||||||||
$ | 250,000 | Adagio CLO VIII DAC, 1.65%, (3 Month EUR Libor + 1.65%), 4/15/32 (a,b) | 280,696 | ||||||||
300,000 | Alinea CLO 2018-1 Ltd., 3.62%, (3 Month US Libor + 1.65%), 7/20/31 (a,b) | 297,391 | |||||||||
American Express Credit Account Master Trust | |||||||||||
580,000 | 2.87%, 10/15/24 | 592,402 | |||||||||
200,000 | 2.00%, 4/15/25 | 200,263 | |||||||||
407,000 | 2.06%, (1 Month US Libor + 0.32%), 10/15/25 (a) | 406,742 | |||||||||
300,000 | AMMC CLO 21 Ltd., 4.00%, (3 Month US Libor + 2.10%), 11/2/30 (a,b) | 288,072 | |||||||||
400,000 | AMMC CLO XI Ltd., 3.84%, (3 Month US Libor + 1.90%), 4/30/31 (a,b) | 379,520 | |||||||||
250,000 | Antares CLO 2018-1 Ltd., 3.62%, (3 Month US Libor + 1.65%), 4/20/31 (a,b) | 241,412 | |||||||||
250,000 | Ares European CLO VIII BV, 0.92%, (3 Month EUR Libor + 0.92%), 4/17/32 (a,b) | 279,794 | |||||||||
300,000 | Atrium XIV LLC, 3.45%, (3 Month US Libor + 1.45%), 8/23/30 (a,b) | 297,789 | |||||||||
250,000 | Avoca CLO XVII Designated Activity Co, 1.70%, (3 Month EUR Libor + 1.70%), 10/15/32 (a,b) | 279,309 | |||||||||
115,250 | Bellemeade Re 2018-1 Ltd., 3.39%, (1 Month US Libor + 1.60%), 4/25/28 (a,b) | 115,407 | |||||||||
250,000 | BlueMountain CLO 2014-2 Ltd., 3.37%, (3 Month US Libor + 1.40%), 10/20/30 (a,b) | 247,690 |
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 8.7% (Continued) | |||||||||||
Bluemountain Fuji Eur CLO V DAC | |||||||||||
$ | 300,000 | 0.91%, (3 Month EUR Libor + 0.91%), 1/15/33 (a,b) | $ | 334,494 | |||||||
250,000 | 1.55%, (3 Month EUR Libor + 1.55%), 1/15/33 (a,b) | 275,708 | |||||||||
200,000 | BlueMountain Fuji US CLO II Ltd., 4.12%, (3 Month US Libor + 2.15%), 10/20/30 (a,b) | 196,355 | |||||||||
135,674 | BRAVO Residential Funding Trust 2019-1, 3.50%, 3/25/58 (b) | 138,333 | |||||||||
172,286 | BRAVO Residential Funding Trust 2019-NQM2, 3.50%, 10/25/44 (a,b) | 174,930 | |||||||||
Capital One Multi-Asset Excecution Trust | |||||||||||
160,000 | 1.66%, 6/17/24 | 159,514 | |||||||||
380,000 | 2.84%, 12/15/24 | 387,895 | |||||||||
190,000 | 2.75%, 5/15/25 | 194,168 | |||||||||
250,000 | Carlyle Euro CLO 2019-2 DAC, 1.11%, (3 Month EUR Libor + 1.11%), 8/15/32 (a,b) | 282,110 | |||||||||
897,229 | Carlyle Global Market Strategies CLO 2015-2 Ltd., 2.72%, (3 Month US Libor + 0.78%), 4/27/27 (a,b) | 895,076 | |||||||||
250,000 | Carlyle GMS Finance MM CLO 2015-1 LLC, 4.20%, (3 Month US Libor + 2.20%), 10/15/31 (a,b) | 243,989 | |||||||||
200,000 | CARLYLE US CLO 2017-4 Ltd., 4.80%, (3 Month US Libor + 2.80%), 1/15/30 (a,b) | 187,877 | |||||||||
157,041 | CIM Trust 2018-INV1, 4.00%, 8/25/48 (a,b) | 164,183 | |||||||||
181,868 | CIM Trust 2019-INV1, 4.00%, 2/25/49 (a,b) | 187,385 | |||||||||
640,000 | Citibank Credit Card Issuance Trust, 2.09%, (1 Month US Libor + 0.33%), 1/20/25 (a) | 640,174 | |||||||||
160,000 | DBCG 2017-BBG Mortgage Trust, 2.44%, (1 Month US Libor + 0.70%), 6/15/34 (a,b) | 158,640 | |||||||||
Discover Card Execution Note Trust | |||||||||||
460,000 | 3.04%, 7/15/24 | 470,921 | |||||||||
320,000 | 1.89%, 10/15/24 | 319,662 | |||||||||
300,000 | Dryden 50 Senior Loan Fund, 4.25%, (3 Month US Libor + 2.25%), 7/15/30 (a,b) | 294,586 | |||||||||
250,000 | Eleven Madison Trust 2015-11MD Mortgage Trust, 3.55%, 9/10/35 (a,b) | 262,838 | |||||||||
250,000 | Ellington CLO III Ltd., 3.62%, (3 Month US Libor + 1.65%), 7/20/30 (a,b) | 246,295 | |||||||||
Fannie Mae Connecticut Avenue Securities | |||||||||||
170,138 | 7.04%, (1 Month US Libor + 5.25%), 10/25/23 (a) | 187,475 | |||||||||
237,603 | 6.19%, (1 Month US Libor + 4.40%), 1/25/24 (a) | 257,815 | |||||||||
279,509 | 4.39%, (1 Month US Libor + 2.60%), 5/25/24 (a) | 289,603 | |||||||||
257,696 | 4.39%, (1 Month US Libor + 2.60%), 5/25/24 (a) | 268,459 | |||||||||
238,358 | 4.69%, (1 Month US Libor + 2.90%), 7/25/24 (a) | 248,106 | |||||||||
386,326 | 4.79%, (1 Month US Libor + 3.00%), 7/25/24 (a) | 405,225 |
See accompanying notes to financial statements.
21
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 8.7% (Continued) | |||||||||||
$ | 287,860 | 6.69%, (1 Month US Libor + 4.90%), 11/25/24 (a) | $ | 315,877 | |||||||
133,458 | 5.79%, (1 Month US Libor + 4.00%), 5/25/25 (a) | 138,250 | |||||||||
122,031 | 5.79%, (1 Month US Libor + 4.00%), 5/25/25 (a) | 129,205 | |||||||||
174,931 | 6.79%, (1 Month US Libor + 5.00%), 7/25/25 (a) | 189,424 | |||||||||
127,320 | 6.79%, (1 Month US Libor + 5.00%), 7/25/25 (a) | 133,493 | |||||||||
208,453 | 7.79%, (1 Month US Libor + 6.00%), 9/25/28 (a) | 227,806 | |||||||||
285,000 | 6.04%, (1 Month US Libor + 4.25%), 1/25/29 (a) | 303,238 | |||||||||
158,335 | 6.24%, (1 Month US Libor + 4.45%), 1/25/29 (a) | 167,481 | |||||||||
250,000 | 5.34%, (1 Month US Libor + 3.55%), 7/25/29 (a) | 263,415 | |||||||||
130,000 | 7.54%, (1 Month US Libor + 5.75%), 7/25/29 (a) | 154,290 | |||||||||
210,979 | Flagship CLO VIII Ltd., 2.85%, (3 Month US Libor + 0.85%), 1/16/26 (a,b) | 210,999 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | |||||||||||
357,007 | 5.79%, (1 Month US Libor + 4.00%), 8/25/24 (a) | 377,623 | |||||||||
164,914 | 5.94%, (1 Month US Libor + 4.15%), 1/25/25 (a) | 171,029 | |||||||||
202,569 | 5.59%, (1 Month US Libor + 3.80%), 3/25/25 (a) | 207,744 | |||||||||
350,000 | 5.04%, (1 Month US Libor + 3.25%), 5/25/25 (a) | 368,396 | |||||||||
300,000 | 5.69%, (1 Month US Libor + 3.90%), 12/25/27 (a) | 310,126 | |||||||||
466,536 | 6.44%, (1 Month US Libor + 4.65%), 10/25/28 (a) | 503,041 | |||||||||
250,000 | 6.49%, (1 Month US Libor + 4.70%), 4/25/28 (a) | 275,708 | |||||||||
650,000 | 7.34%, (1 Month US Libor + 5.55%), 7/25/28 (a) | 718,729 | |||||||||
250,000 | 6.94%, (1 Month US Libor + 5.15%), 11/25/28 (a) | 273,464 | |||||||||
280,000 | FREMF 2018-K72 Mortgage Trust, 3.99%, 12/25/50 (a,b) | 296,027 | |||||||||
170,000 | Halcyon Loan Advisors Funding 2018-1 Ltd., 3.77%, (3 Month US Libor + 1.80%), 7/21/31 (a,b) | 166,606 | |||||||||
200,000 | Hayfin Kingsland IX Ltd., 3.74%, (3 Month US Libor + 1.80%), 4/28/31 (a,b) | 197,983 | |||||||||
500,000 | Holland Park CLO DAC, 0.92%, (3 Month EUR Libor + 0.92%), 11/14/32 (a,b) | 558,282 | |||||||||
149,251 | Invitation Homes 2017-SFR2 Trust, 2.59%, (1 Month US Libor + 0.85%), 12/17/36 (a,b) | 148,202 |
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 8.7% (Continued) | |||||||||||
$ | 440,000 | LCM XXV Ltd., 4.27%, (3 Month US Libor + 2.30%), 7/20/30 (a,b) | $ | 427,160 | |||||||
Madison Park Euro Funding VIII DAC | |||||||||||
600,000 | 0.95%, (3 Month EUR Libor + 0.95%), 4/15/32 (a,b) | 669,796 | |||||||||
250,000 | 1.70%, (3 Month EUR Libor + 1.70%), 4/15/32 (a,b) | 278,390 | |||||||||
250,000 | Madison Park Euro Funding XIV DAC, 1.12%, (3 Month EUR Libor + 1.12%), 7/15/32 (a,b) | 280,905 | |||||||||
918,000 | Madison Park Funding XXVII Ltd., 3.10%, (3 Month US Libor + 1.13%), 4/20/30 (a,b) | 902,275 | |||||||||
143,912 | Mill City Mortgage Loan Trust 2016-1, 2.50%, 4/25/57 (a,b) | 143,652 | |||||||||
210,000 | Mill City Mortgage Loan Trust 2018-4, 3.50%, 4/25/66 (a,b) | 215,269 | |||||||||
300,000 | Neuberger Berman CLO XXII Ltd., 3.40%, (3 Month US Libor + 1.40%), 10/17/30 (a,b) | 299,267 | |||||||||
649,000 | Neuberger Berman Loan Advisers CLO 27 Ltd., 3.10%, (3 Month US Libor + 1.10%), 1/15/30 (a,b) | 630,544 | |||||||||
200,000 | NZCG Funding Ltd., 3.47%, (3 Month US Libor + 1.55%), 2/26/31 (a,b) | 196,113 | |||||||||
Octagon Investment Partners 33 Ltd. | |||||||||||
300,000 | 3.47%, (3 Month US Libor + 1.50%), 1/20/31 (a,b) | 296,251 | |||||||||
100,000 | 4.72%, (3 Month US Libor + 2.75%), 1/20/31 (a,b) | 94,322 | |||||||||
500,000 | OCTAGON INVESTMENT PARTNERS 35 Ltd., 3.07%, (3 Month US Libor + 1.10%), 1/20/31 (a,b) | 485,226 | |||||||||
250,000 | Octagon Investment Partners XXIII Ltd., 3.85%, (3 Month US Libor + 1.85%), 7/15/27 (a,b) | 245,483 | |||||||||
149,765 | Provident Funding Mortgage Trust 2019-1, 3.00%, 12/25/49 (a,b) | 150,654 | |||||||||
250,000 | Race Point X CLO Ltd., 3.59%, (3 Month US Libor + 1.65%), 7/25/31 (a,b) | 245,825 | |||||||||
67,214 | Radnor Re 2018-1 Ltd., 3.19%, (1 Month US Libor + 1.40%), 3/25/28 (a,b) | 67,293 | |||||||||
200,000 | Strata CLO I Ltd, 4.20%, (3 Month US Libor + 2.20%), 1/15/31 (a,b) | 196,432 | |||||||||
141,106 | Towd Point Mortgage Trust, 2.75%, 11/25/60 (a,b) | 140,067 | |||||||||
174,020 | Towd Point Mortgage Trust 2016-4, 2.25%, 7/25/56 (a,b) | 170,739 | |||||||||
129,552 | Towd Point Mortgage Trust 2017-1, 2.75%, 10/25/56 (a,b) | 130,350 | |||||||||
169,771 | Towd Point Mortgage Trust 2017-2, 2.75%, 4/25/57 (a,b) | 169,901 | |||||||||
117,224 | Towd Point Mortgage Trust 2017-3, 2.75%, 7/25/57 (a,b) | 117,889 | |||||||||
96,032 | Towd Point Mortgage Trust 2017-4, 2.75%, 6/25/57 (a,b) | 95,640 |
See accompanying notes to financial statements.
22
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 8.7% (Continued) | |||||||||||
$ | 200,000 | Voya CLO 2014-1 Ltd., 4.80%, (3 Month US Libor + 2.80%), 4/18/31 (a,b) | $ | 186,033 | |||||||
TOTAL ASSET BACKED AND COMMERCIAL BACKED SECURITIES (Cost - $25,677,724) | 25,420,217 | ||||||||||
CORPORATE BONDS AND NOTES - 5.5% | |||||||||||
AEROSPACE & DEFENSE - 0.1% | |||||||||||
300,000 | Lockheed Martin Corp., 4.70%, 5/15/46 | 381,471 | |||||||||
AGRICULTURE - 0.2% | |||||||||||
200,000 | Imperial Brands Finance PLC, 3.50%, 7/26/26 (b) | 201,169 | |||||||||
300,000 | Reynolds American, Inc., 5.70%, 8/15/35 | 348,795 | |||||||||
549,964 | |||||||||||
AUTO PARTS & EQUIPMENT - 0.1% | |||||||||||
100,000 | Adient US LLC, 6.19%, 5/15/26 (b) | 109,000 | |||||||||
200,000 | Aptiv Corp., 4.15%, 3/15/24 | 211,944 | |||||||||
320,944 | |||||||||||
BANKS - 0.7% | |||||||||||
300,000 | Banca Monte dei Paschi di Siena SpA, 2.13%, 11/26/25 | 361,799 | |||||||||
500,000 | Bank of America Corp., 3.50%, 4/19/26 | 531,776 | |||||||||
150,000 | BDO Unibank, Inc., 2.95%, 3/6/23 | 151,176 | |||||||||
500,000 | Goldman Sachs Group, Inc. (The), 3.75%, 2/25/26 | 529,258 | |||||||||
500,000 | Morgan Stanley, 3.88%, 1/27/26 | 537,047 | |||||||||
2,111,056 | |||||||||||
BIOTECHNOLOGY - 0.1% | |||||||||||
200,000 | Biogen, Inc., 5.20%, 9/15/45 | 241,550 | |||||||||
CHEMICALS - 0.1% | |||||||||||
200,000 | Braskem Netherlands Finance BV, 4.50%, 1/31/30 (b) | 199,100 | |||||||||
COMMERCIAL SERVICES - 0.0%† | |||||||||||
100,000 | Harsco Corp., 5.75%, 7/31/27 (b) | 106,627 | |||||||||
COSMETICS & PERSONAL CARE - 0.0%† | |||||||||||
135,000 | Avon Products, Inc., 7.00%, 3/15/23 | 146,812 | |||||||||
DIVERSIFIED FINANCIAL SERVICES - 0.3% | |||||||||||
300,000 | Capital One Financial Corp., 3.20%, 2/5/25 | 310,792 | |||||||||
1,030,000 | Jyske Realkredit A/S, 1.00%, 4/1/26 | 163,181 | |||||||||
Realkredit Danmark A/S | |||||||||||
1,170,000 | 1.00%, 4/1/27 | 185,651 | |||||||||
920,000 | 1.00%, 4/1/29 | 146,097 | |||||||||
805,721 |
Shares/ Principal | Fair Value | ||||||||||
ELECTRIC - 0.8% | |||||||||||
$ | 200,000 | Dominion Energy, Inc., 3.90%, 10/1/25 | $ | 214,890 | |||||||
100,000 | Duke Energy Carolinas LLC, 6.10%, 6/1/37 | 136,057 | |||||||||
100,000 | Duke Energy Indiana LLC, 3.75%, 7/15/20 | 101,023 | |||||||||
200,000 | EDP Finance BV, 3.63%, 7/15/24 (b) | 207,810 | |||||||||
400,000 | Electricite de France SA, 5.25%, (USD 10 Year Swap + 3.71%), 7/29/68 (a,b) | 420,000 | |||||||||
200,000 | Israel Electric Corp. Ltd., 4.25%, 8/14/28 (b) | 217,574 | |||||||||
100,000 | PacifiCorp, 6.10%, 8/1/36 | 135,006 | |||||||||
300,000 | Southern Co. (The), 3.25%, 7/1/26 | 312,568 | |||||||||
300,000 | State Grid Overseas Investment 2016 Ltd., 3.50%, 5/4/27 (b) | 314,097 | |||||||||
100,000 | Talen Energy Supply LLC, 7.25%, 5/15/27 (b) | 105,220 | |||||||||
200,000 | TNB Global Ventures Capital BHD, 3.24%, 10/19/26 | 200,667 | |||||||||
2,364,912 | |||||||||||
ENGINEERING & CONSTRUCTION - 0.1% | |||||||||||
200,000 | Mexico City Airport Trust, 5.50%, 7/31/47 (b) | 206,252 | |||||||||
ENTERTAINMENT - 0.0%† | |||||||||||
100,000 | Live Nation Entertainment, Inc., 4.75%, 10/15/27 (b) | 103,500 | |||||||||
FOOD - 0.3% | |||||||||||
200,000 | Cencosud SA, 4.38%, 7/17/27 (b) | 196,969 | |||||||||
300,000 | Kraft Heinz Foods Co., 3.00%, 6/1/26 | 300,087 | |||||||||
300,000 | Kroger Co. (The), 4.00%, 2/1/24 | 319,793 | |||||||||
816,849 | |||||||||||
HEALTHCARE-PRODUCTS - 0.1% | |||||||||||
200,000 | Edwards Lifesciences Corp., 4.30%, 6/15/28 | 222,399 | |||||||||
HEALTHCARE-SERVICES - 0.2% | |||||||||||
100,000 | Centene Corp., 4.25%, 12/15/27 (b) | 102,875 | |||||||||
100,000 | CHS/Community Health Systems, Inc., 6.25%, 3/31/23 | 101,500 | |||||||||
140,000 | Kaiser Foundation Hospitals, 3.27%, 11/1/49 | 140,517 | |||||||||
100,000 | MEDNAX, Inc., 6.25%, 1/15/27 (b) | 102,500 | |||||||||
35,000 | Orlando Health Obligated Group, 3.78%, 10/1/28 | 37,177 | |||||||||
40,000 | RWJ Barnabas Health, Inc., 3.48%, 7/1/49 | 39,532 | |||||||||
524,101 | |||||||||||
INSURANCE - 0.3% | |||||||||||
300,000 | Liberty Mutual Group, Inc., 4.57%, 2/1/29 (b) | 335,266 | |||||||||
400,000 | Teachers Insurance & Annuity Association of America, 4.90%, 9/15/44 (b) | 491,361 | |||||||||
826,627 | |||||||||||
INTERNET - 0.1% | |||||||||||
200,000 | Alibaba Group Holding Ltd., 4.40%, 12/6/57 | 229,956 |
See accompanying notes to financial statements.
23
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
MACHINERY-CONSTRUCTION & MINING - 0.0%† | |||||||||||
$ | 100,000 | Vertiv Group Corp., 9.25%, 10/15/24 (b) | $ | 107,500 | |||||||
MACHINERY-DIVERSIFIED - 0.0%† | |||||||||||
100,000 | CNH Industrial NV, 3.85%, 11/15/27 | 104,409 | |||||||||
MEDIA - 0.3% | |||||||||||
100,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 5.13%, 5/1/27 (b) | 105,500 | |||||||||
200,000 | Comcast Corp., 3.15%, 2/15/28 | 209,677 | |||||||||
200,000 | CSC Holdings LLC, 5.50%, 5/15/26 (b) | 211,748 | |||||||||
100,000 | Diamond Sports Group LLC / Diamond Sports Finance Co., 5.38%, 8/15/26 (b) | 101,155 | |||||||||
100,000 | Nexstar Broadcasting, Inc., 5.63%, 7/15/27 (b) | 105,380 | |||||||||
733,460 | |||||||||||
MINING - 0.1% | |||||||||||
200,000 | Glencore Finance Canada Ltd., 4.95%, 11/15/21 (b) | 209,154 | |||||||||
MULTI-NATIONAL - 0.1% | |||||||||||
200,000 | Banque Ouest Africaine de Developpement, 5.00%, 7/27/27 (b) | 211,980 | |||||||||
OIL & GAS - 0.1% | |||||||||||
100,000 | BP Capital Markets PLC, 3.54%, 11/4/24 | 106,509 | |||||||||
100,000 | Harvest Operations Corp., 4.20%, 6/1/23 (b) | 106,014 | |||||||||
212,523 | |||||||||||
OIL & GAS SERVICES - 0.0%† | |||||||||||
56,000 | Weatherford International Ltd., 11.00%, 12/1/24 (b) | 60,550 | |||||||||
PACKAGING & CONTAINERS - 0.1% | |||||||||||
100,000 | Mauser Packaging Solutions Holding Co., 7.25%, 4/15/25 (b) | 98,750 | |||||||||
100,000 | Plastipak Holdings, Inc., 6.25%, 10/15/25 (b) | 86,246 | |||||||||
184,996 | |||||||||||
PHARMACEUTICALS - 0.2% | |||||||||||
100,000 | AbbVie, Inc., 2.95%, 11/21/26 (b) | 101,816 | |||||||||
100,000 | Allergan Funding SCS, 4.55%, 3/15/35 | 109,322 | |||||||||
100,000 | Bausch Health Cos., Inc., 5.00%, 1/30/28 (b) | 102,639 | |||||||||
100,000 | Bayer US Finance II LLC, 4.38%, 12/15/28 (b) | 109,159 | |||||||||
100,000 | Cigna Corp., 4.13%, 11/15/25 | 108,524 | |||||||||
100,000 | CVS Health Corp., 4.30%, 3/25/28 | 109,244 | |||||||||
640,704 | |||||||||||
PIPELINES - 0.3% | |||||||||||
100,000 | Enable Midstream Partners LP, 4.95%, 5/15/28 | 101,296 | |||||||||
100,000 | Enterprise Products Operating LLC, 4.45%, 2/15/43 | 110,056 | |||||||||
100,000 | MPLX LP, 4.70%, 4/15/48 | 101,894 |
Shares/ Principal | Fair Value | ||||||||||
PIPELINES - 0.3% (Continued) | |||||||||||
$ | 400,000 | Sabine Pass Liquefaction LLC, 5.00%, 3/15/27 | $ | 440,316 | |||||||
200,000 | TransCanada PipeLines Ltd., 4.88%, 5/15/48 | 236,579 | |||||||||
990,141 | |||||||||||
REITS - 0.1% | |||||||||||
300,000 | National Retail Properties, Inc., 4.30%, 10/15/28 | 332,035 | |||||||||
RETAIL - 0.1% | |||||||||||
100,000 | Beacon Roofing Supply, Inc., 4.88%, 11/1/25(b) | 100,500 | |||||||||
300,000 | Dollar Tree, Inc., 4.00%, 5/15/25 | 320,966 | |||||||||
421,466 | |||||||||||
SOFTWARE - 0.1% | |||||||||||
200,000 | Fiserv, Inc., 3.85%, 6/1/25 | 213,418 | |||||||||
TELECOMMUNICATIONS - 0.3% | |||||||||||
100,000 | CommScope Technologies LLC, 5.00%, 3/15/27 (b) | 94,000 | |||||||||
200,000 | Intrado Corp., 8.50%, 10/15/25 (b) | 160,000 | |||||||||
200,000 | Juniper Networks, Inc., 4.35%, 6/15/25 | 215,217 | |||||||||
150,000 | Sprint Corp., 7.13%, 6/15/24 | 161,813 | |||||||||
200,000 | Verizon Communications, Inc., 2.63%, 8/15/26 | 203,119 | |||||||||
834,149 | |||||||||||
TRANSPORTATION - 0.2% | |||||||||||
100,000 | CSX Corp., 4.10%, 3/15/44 | 109,144 | |||||||||
FedEx Corp. | |||||||||||
200,000 | 3.25%, 4/1/26 | 208,168 | |||||||||
200,000 | 4.05%, 2/15/48 | 193,245 | |||||||||
200,000 | Russian Railways Via RZD Capital PLC, 5.70%, 4/5/22 | 214,747 | |||||||||
725,304 | |||||||||||
TOTAL CORPORATE BONDS AND NOTES (Cost - $15,542,256) | 16,139,630 | ||||||||||
AGENCY MORTGAGE BACKED SECURITIES - 4.9% | |||||||||||
FEDERAL HOME LOAN MORTGAGE CORPORATION - 1.0% | |||||||||||
Freddie Mac Gold Pool | |||||||||||
435,424 | 3.50%, 9/1/47 | 451,626 | |||||||||
1,496,891 | 3.50%, 4/1/48 | 1,555,244 | |||||||||
Freddie Mac Pool | |||||||||||
599,941 | 2.50%, 10/1/49 | 593,680 | |||||||||
299,034 | 3.00%, 12/1/49 | 303,348 | |||||||||
2,903,898 |
See accompanying notes to financial statements.
24
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.9% | |||||||||||
Fannie Mae Pool | |||||||||||
$ | 695,400 | 2.50%, 12/1/34 | $ | 701,824 | |||||||
1,400,225 | 3.50%, 9/1/47 | 1,454,481 | |||||||||
246,285 | 3.50%, 5/1/48 | 254,657 | |||||||||
1,123,411 | 3.00%, 9/1/48 | 1,151,913 | |||||||||
1,399,069 | 3.00%, 11/1/48 | 1,433,702 | |||||||||
414,834 | 3.00%, 10/1/49 | 420,871 | |||||||||
299,182 | 3.00%, 12/1/49 | 303,499 | |||||||||
Federal National Mortgage Association | |||||||||||
50,000 | 2.50%, 1/1/35 (c) | 50,453 | |||||||||
500,000 | 2.50%, 1/1/50 (c) | 494,453 | |||||||||
2,140,000 | 3.00%, 1/1/50 (c) | 2,170,094 | |||||||||
8,435,947 | |||||||||||
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 1.0% | |||||||||||
Ginnie Mae II Pool | |||||||||||
249,473 | 3.50%, 11/20/49 | 257,806 | |||||||||
270,000 | 3.50%, 12/20/49 | 279,019 | |||||||||
2,450,000 | Government National Mortgage Association, 3.50%, 1/20/50 (c) | 2,524,649 | |||||||||
3,061,474 | |||||||||||
TOTAL AGENCY MORTGAGE BACKED SECURITIES (Cost - $14,200,974) | 14,401,319 | ||||||||||
U.S. TREASURY SECURITIES - 2.6% | |||||||||||
U.S. Treasury Note | |||||||||||
500,000 | 2.38%, 8/15/24 | 515,312 | |||||||||
435,000 | 1.25%, 8/31/24 | 426,691 | |||||||||
110,000 | 2.00%, 8/15/25 | 111,508 | |||||||||
200,000 | 2.63%, 12/31/25 | 209,758 | |||||||||
650,000 | 2.00%, 11/15/26 | 657,541 | |||||||||
U.S. Treasury Bond | |||||||||||
165,000 | 3.50%, 2/15/39 | 198,058 | |||||||||
310,000 | 3.13%, 11/15/41 | 352,310 | |||||||||
325,000 | 2.50%, 2/15/46 | 332,630 | |||||||||
840,000 | 2.50%, 5/15/46 | 859,720 | |||||||||
805,000 | 2.25%, 8/15/46 | 784,309 | |||||||||
150,000 | 2.75%, 8/15/47 | 161,268 | |||||||||
230,000 | 2.75%, 11/15/47 | 247,277 | |||||||||
100,000 | 3.13%, 5/15/48 | 115,437 | |||||||||
150,000 | 3.00%, 8/15/48 | 169,365 | |||||||||
U.S. Treasury Inflation Indexed Note | |||||||||||
509,181 | 0.13%, 7/15/22 | 511,308 | |||||||||
596,096 | 0.13%, 7/15/24 | 599,645 | |||||||||
678,244 | 0.38%, 7/15/25 | 692,059 | |||||||||
683,820 | 0.38%, 7/15/27 | 697,518 | |||||||||
TOTAL U.S. TREASURY SECURITIES (Cost - $7,264,270) | 7,641,714 |
Shares/ Principal | Fair Value | ||||||||||
SOVEREIGN DEBTS - 1.3% | |||||||||||
$ | 200,000 | Angolan Government International Bond, 8.25%, 5/9/28 (b) | $ | 215,638 | |||||||
300,000 | Banque Centrale de Tunisie International Bond, 5.63%, 2/17/24 | 334,356 | |||||||||
Colombia Government International Bond | |||||||||||
400,000,000 | 9.85%, 6/28/27 | 152,881 | |||||||||
200,000 | 5.00%, 6/15/45 | 232,300 | |||||||||
8,000,000 | Dominican Republic International Bond, 8.90%, 2/15/23 (b) | 150,300 | |||||||||
200,000 | Gabon Government International Bond, 6.38%, 12/12/24 (b) | 208,837 | |||||||||
250,000 | Iraq International Bond, 5.80%, 1/15/28 (b) | 244,218 | |||||||||
200,000 | Kazakhstan Government International Bond, 4.88%, 10/14/44 (b) | 246,848 | |||||||||
300,000 | Mexico Government International Bond, 4.15%, 3/28/27 | 321,450 | |||||||||
200,000 | Republic of Belarus International Bond, 7.63%, 6/29/27 (b) | 227,250 | |||||||||
4,000,000 | Republic of South Africa Government Bond, 7.00%, 2/28/31 | 242,134 | |||||||||
500,000 | Spain Government Bond, 2.70%, 10/31/48 (b) | 744,751 | |||||||||
200,000 | Ukraine Government International Bond, 7.38%, 9/25/32 (b) | 213,237 | |||||||||
8,034,127 | Uruguay Government International Bond, 3.70%, 6/26/37 | 208,668 | |||||||||
TOTAL SOVEREIGN DEBTS (Cost - $3,535,680) | 3,742,868 | ||||||||||
TERM LOANS - 1.1% | |||||||||||
59,697 | 24 Hour Fitness Worldwide, Inc., 5.30%, 5/26/25 | 44,987 | |||||||||
59,700 | Adient US LLC, 6.14%, 5/6/24 | 59,984 | |||||||||
77,181 | Allegiant Travel Company, 6.39%, 2/5/24 | 77,663 | |||||||||
99,000 | American Airlines, Inc., 3.54%, 6/27/25 | 99,077 | |||||||||
88,582 | Aramark Services, Inc., 3.55%, 3/28/24 | 88,887 | |||||||||
219,392 | Avis Budget Car Rental LLC, 3.80%, 2/7/25 | 220,581 | |||||||||
27,149 | B&G Foods, Inc., 4.30%, 10/10/26 | 27,341 | |||||||||
17,000 | Bausch Health Companies Inc., 4.49%, 11/27/25 | 17,079 | |||||||||
41,636 | Bausch Health Companies, Inc., 4.74%, 6/2/25 | 41,844 | |||||||||
58,810 | Bowie Resource Holdings LLC, 7.66%, 8/17/20 | 57,192 | |||||||||
250,000 | Buckeye Partners LP, 4.44%, 11/1/26 | 251,980 | |||||||||
59,695 | Caesars Resort Collection LLC, 4.55%, 12/23/24 | 59,758 | |||||||||
99,245 | Charter Communications Operating LLC, 3.55%, 2/1/27 | 99,804 | |||||||||
195,000 | CSC Holdings LLC, 3.99%, 7/17/25 | 195,109 | |||||||||
74,813 | DaVita Inc., 4.05%, 8/12/26 | 75,333 | |||||||||
39,699 | Global Tel Link Corp., 6.05%, 11/29/25 | 35,948 | |||||||||
74,003 | Go Daddy Operating Company LLC, 3.55%, 2/15/24 | 74,373 | |||||||||
55,504 | Gray Television, Inc., 4.20%, 1/2/26 | 55,817 |
See accompanying notes to financial statements.
25
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
TERM LOANS - 1.1% (Continued) | |||||||||||
$ | 42,702 | HCA, Inc., 3.55%, 3/18/26 | $ | 42,910 | |||||||
95,202 | Hertz Corp., 4.55%, 6/30/23 | 95,698 | |||||||||
236,839 | Hilton Worldwide Finance LLC, 3.54%, 6/22/26 | 238,320 | |||||||||
96,835 | Horizon Therapeutics USA, Inc., 4.00%, 5/22/26 | 97,118 | |||||||||
111,756 | IQVIA, Inc., 3.69%, 1/17/25 | 112,203 | |||||||||
137,722 | JBS USA LUX SA, 3.80%, 5/1/26 | 138,525 | |||||||||
147,375 | KFC Holding Co., 3.49%, 4/3/25 | 147,743 | |||||||||
7,651 | Legalzoom.com, Inc., 6.30%, 11/21/24 | 7,670 | |||||||||
147,483 | Michaels Stores, Inc., 4.29%, 1/30/23 | 142,469 | |||||||||
26,858 | MKS Instruments, Inc., 3.55%, 2/2/26 | 26,938 | |||||||||
59,848 | Navistar, Inc., 5.24%, 11/6/24 | 59,598 | |||||||||
30,000 | PITNEY BOWES, Inc., 7.66%, 1/17/25 | 29,634 | |||||||||
98,228 | Sinclair Television Group, Inc., 4.05%, 1/3/24 | 97,941 | |||||||||
58,286 | Strike LLC, 10.06%, 11/30/22 | 57,849 | |||||||||
58,479 | Thor Industries, Inc., 5.50%, 2/2/26 | 58,625 | |||||||||
93,434 | United Rentals (North America), Inc., 3.55%, 10/31/25 | 93,952 | |||||||||
43,261 | Ventia Finco Pty Ltd., 5.44%, 5/21/26 | 43,423 | |||||||||
TOTAL TERM LOANS (Cost - $3,078,052) | 3,073,373 | ||||||||||
MUNICIPAL BONDS - 0.9% | |||||||||||
California Health Facilities Financing Authority | |||||||||||
45,000 | 2.93%, 6/1/32 | 44,847 | |||||||||
40,000 | 2.98%, 6/1/33 | 39,680 | |||||||||
30,000 | 3.03%, 6/1/34 | 29,743 | |||||||||
20,000 | City & County Honolulu HI Wastewater System Revenue, 2.59%, 7/1/28 | 20,295 | |||||||||
85,000 | City of Austin TX Electric Utility Revenue, 6.26%, 11/15/32 | 105,023 | |||||||||
165,000 | City of San Francisco CA Public Utilities Commission Water Revenue, 3.47%, 11/1/43 | 164,698 | |||||||||
110,000 | Foothill-Eastern Transportation Corridor Agency, 4.09%, 1/15/49 | 109,818 | |||||||||
95,000 | Gilroy Unified School District, 3.36%, 8/1/47 | 93,115 | |||||||||
85,000 | Massachusetts School Building Authority, 3.40%, 10/15/40 | 84,975 | |||||||||
70,000 | Metro Wastewater Reclamation District, 3.16%, 4/1/41 | 69,395 | |||||||||
205,000 | Metropolitan St Louis Sewer District, 3.26%, 5/1/45 | 205,072 | |||||||||
50,000 | New Jersey Transportation Trust Fund Authority, 4.13%, 6/15/42 | 49,596 |
Shares/ Principal | Fair Value | ||||||||||
MUNICIPAL BONDS - 0.9% (Continued) | |||||||||||
$ | 45,000 | New York State Dormitory Authority, 3.14%, 7/1/43 | $ | 44,615 | |||||||
280,000 | New York State Urban Development Corp., 2.97%, 3/15/34 | 279,238 | |||||||||
140,000 | Pennsylvania Turnpike Commission, 3.58%, 12/1/43 | 139,625 | |||||||||
115,000 | Permanent University Fund - Texas A&M University System, 3.10%, 7/1/49 | 111,997 | |||||||||
45,000 | Regional Transportation District Sales Tax Revenue, 3.26%, 11/1/38 | 45,034 | |||||||||
40,000 | Salt Lake City Corp., 3.10%, 4/1/38 | 39,113 | |||||||||
30,000 | San Bernardino Community College District, 3.27%, 8/1/39 | 29,657 | |||||||||
35,000 | San Diego County Regional Transportation Commission, 3.25%, 4/1/48 | 35,016 | |||||||||
90,000 | San Jose Redevelopment Agency Successor Agency, 3.23%, 8/1/27 | 94,476 | |||||||||
170,000 | State of New York, 3.20%, 2/15/39 | 170,053 | |||||||||
60,000 | State of Oregon Department of Transportation, 3.17%, 11/15/38 | 59,747 | |||||||||
85,000 | State of Texas, 3.21%, 4/1/44 | 85,848 | |||||||||
Texas State University System | |||||||||||
35,000 | 2.94%, 3/15/33 | 35,155 | |||||||||
30,000 | 3.29%, 3/15/40 | 29,674 | |||||||||
80,000 | University of Pittsburgh-of the Commonwealth System of Higher Education, 3.01%, 9/15/41 | 78,338 | |||||||||
60,000 | Utah Transit Authority, 3.44%, 12/15/42 | 60,916 | |||||||||
170,000 | Water Works Board of The City of Birmingham (The), 3.57%, 1/1/45 | 172,057 | |||||||||
TOTAL MUNICIPAL BONDS (Cost - $2,525,990) | 2,526,816 | ||||||||||
SHORT-TERM INVESTMENTS - 5.7% | |||||||||||
MONEY MARKET FUNDS - 5.7% | |||||||||||
11,572,120 | Dreyfus Government Cash Management, 1.51% (d) | 11,572,120 | |||||||||
5,206,023 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (d) | 5,206,023 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $16,778,143) | 16,778,143 | ||||||||||
TOTAL INVESTMENTS - 101.8% (Cost - $218,827,980) | $ | 297,355,996 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET - (1.8)% | (5,116,045) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 292,239,951 |
See accompanying notes to financial statements.
26
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Continued)
December 31, 2019
* Non-income producing security.
† Represents less than 0.05%.
(a) Variable rate security. The rate shown is the rate in effect at period end.
(b) 144A - Security was purchased pursuant to Rule 144a under the Securities Act of 1933 and may not be resold subject to that rule, except to qualified institutional buyers. As of December 31, 2019, these securities amounted to $22,905,944 or 7.8% of net assets.
(c) When-issued, or delayed delivery. All or a portion may be subject to dollar-roll transactions.
(d) The rate shown is the annualized seven-day yield at period end.
CLO - Collateralized Loan Obligation
GO - General Obligation
PLC - Public Limited Company
Libor - London Interbank Offered Rate
FUTURES CONTRACTS | |||||||||||||||||||||||
LONG FUTURES CONTRACTS | Counterparty | Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Australian 10 Year Bond Future | JP Morgan Securities LLC | 12 | 3/16/2020 | $ | 1,205,909 | $ | (17,119 | ) | |||||||||||||||
Australian 3 Year Bond Future | JP Morgan Securities LLC | 25 | 3/16/2020 | 2,021,222 | (10,588 | ) | |||||||||||||||||
Canadian 10 Year Bond Future | JP Morgan Securities LLC | 15 | 3/20/2020 | 1,590,283 | (29,497 | ) | |||||||||||||||||
Euro-BTP Future | JP Morgan Securities LLC | 7 | 3/6/2020 | 1,119,380 | 4,178 | ||||||||||||||||||
U.S. 10 Year Note Future | JP Morgan Securities LLC | 20 | 3/20/2020 | 2,568,438 | (22,187 | ) | |||||||||||||||||
U.S. 2 Year Note Future | JP Morgan Securities LLC | 18 | 3/31/2020 | 3,879,000 | 469 | ||||||||||||||||||
U.S. 5 Year Note Future | JP Morgan Securities LLC | 12 | 3/31/2020 | 1,423,313 | (4,500 | ) | |||||||||||||||||
U.S. Long Bond Future | JP Morgan Securities LLC | 10 | 3/20/2020 | 1,559,063 | (35,625 | ) | |||||||||||||||||
U.S. Ultra Bond Future | JP Morgan Securities LLC | 8 | 3/20/2020 | 1,453,250 | (42,859 | ) | |||||||||||||||||
(157,728 | ) | ||||||||||||||||||||||
SHORT FUTURES CONTRACTS | |||||||||||||||||||||||
Euro-OAT Future | JP Morgan Chase Bank | 5 | 3/6/2020 | 913,547 | 6,398 | ||||||||||||||||||
U.S. 10 Year Ultra Future | JP Morgan Securities LLC | 13 | 3/20/2020 | 1,829,141 | 22,750 | ||||||||||||||||||
29,148 | |||||||||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $ | (128,580 | ) |
INTEREST RATE SWAPS | |||||||||||||||||||||||||||||||||||
Counterparty | Payment Frequency | Fund Receives | Fund Pays | Expiration Date | Notional Amount | Fair Value | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
JP Morgan Chase Bank | At Maturity | US-CPI | 1.96 | % | 08/31/24 | $ | 900,000 | USD | $ | 1,384 | $ | - | $ | 1,384 | |||||||||||||||||||||
JP Morgan Chase Bank | At Maturity | US-CPI | 1.72 | % | 08/14/26 | 275,000 | USD | 3,380 | - | 3,380 | |||||||||||||||||||||||||
Deutsche Bank | Quarterly | 2.77 | % | China Fixing Repo Rates 7 Day | 08/26/24 | 2,350,000 | CNY | (2,116 | ) | - | (2,116 | ) | |||||||||||||||||||||||
Deutsche Bank | Quarterly | 2.77 | % | China Fixing Repo Rates 7 Day | 08/23/24 | 2,950,000 | CNY | (2,621 | ) | - | (2,621 | ) | |||||||||||||||||||||||
Deutsche Bank | Quarterly | 2.79 | % | China Fixing Repo Rates 7 Day | 08/30/24 | 3,700,000 | CNY | (3,019 | ) | (3,019 | ) | ||||||||||||||||||||||||
Deutsche Bank | Quarterly | 2.75 | % | China Fixing Repo Rates 7 Day | 09/06/24 | 2,450,000 | CNY | (2,680 | ) | - | (2,680 | ) | |||||||||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON INTEREST RATE SWAPS | $ | - | $ | (5,672 | ) | ||||||||||||||||||||||||||||||
CURRENCY SWAPS | |||||||||||||||||||||||||||||||||||
Counterparty | Payment Frequency | Fund Receives | Fund Pays | Expiration Date | Notional Amount | Fair Value | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
Citibank NA | Quarterly | 3 Month US Libor | 2.5 | % | 05/04/21 | $ | 232,400 | $ | 6,898 | $ | - | $ | 6,898 | ||||||||||||||||||||||
Citibank NA | Quarterly | 3 Month US Libor | 3 Month Euribor | 07/10/21 | 280,000 | 600 | - | 600 | |||||||||||||||||||||||||||
JP Morgan Chase Bank | Quarterly | 3 Month US Libor | 3 Month Euribor | 08/20/21 | 276,750 | (2,709 | ) | - | (2,709 | ) | |||||||||||||||||||||||||
Citibank NA | Quarterly | 3 Month US Libor | 3 Month Euribor | 10/15/21 | 275,000 | (4,093 | ) | - | (4,093 | ) | |||||||||||||||||||||||||
Citibank NA | Quarterly | 3 Month US Libor | 3 Month Euribor | 10/30/21 | 555,000 | (3,608 | ) | - | (3,608 | ) | |||||||||||||||||||||||||
Citibank NA | Quarterly | 3 Month US Libor | 3 Month Euribor | 11/22/21 | 552,500 | (6,517 | ) | - | (6,517 | ) | |||||||||||||||||||||||||
Citibank NA | Quarterly | 3 Month US Libor | 3 Month Euribor | 12/20/21 | 943,500 | (9,209 | ) | - | (9,209 | ) | |||||||||||||||||||||||||
Citibank NA | Quarterly | 3 Month US Libor | 3 Month Euribor | 12/12/21 | 610,500 | (6,181 | ) | - | (6,181 | ) | |||||||||||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON CURRENCY SWAPS | $ | - | $ | (24,819 | ) |
See accompanying notes to financial statements.
27
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Continued)
December 31, 2019
CREDIT DEFAULT SWAPS | |||||||||||||||||||||||||||||||||||||||||||
Counterparty | Index | Payment Frequency | Buy/Sell Protection | Fixed Rate Received | Fixed Rate Paid | Expiration Date | Notional Amount | Fair Value | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||||||
JP Morgan | Italy Government Int'l Bond | Quarterly | Sell | - | 1.00 | % | 06/20/23 | $ | 170,000 | $ | (281 | ) | $ | 1,390 | $ | (1,671 | ) | ||||||||||||||||||||||||||
JP Morgan | Italy Government Int'l Bond | Quarterly | Buy | 1.00 | % | - | 06/20/23 | 170,000 | 282 | (5,734 | ) | 6,016 | |||||||||||||||||||||||||||||||
Citibank NA | Nabors Industries, Inc. | Quarterly | Sell | - | 1.00 | % | 12/20/21 | 170,000 | 5,911 | 4,863 | 1,048 | ||||||||||||||||||||||||||||||||
Citibank NA | Nabors Industries, Inc. | Quarterly | Buy | 1.00 | % | - | 12/20/23 | 170,000 | (22,931 | ) | �� | (20,183 | ) | (2,748 | ) | ||||||||||||||||||||||||||||
Citibank NA | MCDX.NA.31 | Quarterly | Buy | 1.00 | % | - | 12/20/23 | 1,050,000 | 20,635 | 8,448 | 12,187 | ||||||||||||||||||||||||||||||||
JP Morgan | Ally Financials, Inc. | Quarterly | Sell | - | 5.00 | % | 12/20/24 | 350,000 | (71,002 | ) | (65,016 | ) | (5,986 | ) | |||||||||||||||||||||||||||||
JP Morgan | Goldman Sachs Group | Quarterly | Buy | 1.00 | % | - | 12/20/24 | 350,000 | 8,148 | 5,992 | 2,156 | ||||||||||||||||||||||||||||||||
JP Morgan | Morgan Stanley | Quarterly | Buy | 1.00 | % | - | 12/20/24 | 350,000 | 8,670 | 6,576 | 2,094 | ||||||||||||||||||||||||||||||||
Citibank NA | Indonesia Republic | Quarterly | Buy | 1.00 | % | - | 12/20/24 | 255,000 | 4,578 | 1,660 | 2,918 | ||||||||||||||||||||||||||||||||
Citibank NA | Spain Government Int'l Bond | Quarterly | Buy | 1.00 | % | - | 12/20/24 | 200,000 | 5,652 | 5,663 | (11 | ) | |||||||||||||||||||||||||||||||
Citibank NA | Russian Foreign Bond | Quarterly | Buy | 1.00 | % | - | 12/20/24 | 140,000 | 3,010 | 1,382 | 1,628 | ||||||||||||||||||||||||||||||||
Citibank NA | Avon Products, Inc. | Quarterly | Sell | - | 5.00 | % | 03/20/23 | 135,000 | (18,644 | ) | (12,643 | ) | (6,001 | ) | |||||||||||||||||||||||||||||
Citibank NA | Republic of Argentina | Quarterly | Buy | 5.00 | % | - | 12/20/21 | 195,000 | (105,884 | ) | (100,232 | ) | (5,652 | ) | |||||||||||||||||||||||||||||
Citibank NA | Republic of Argentina | Quarterly | Buy | 5.00 | % | - | 12/20/21 | 75,000 | (40,725 | ) | (40,444 | ) | (281 | ) | |||||||||||||||||||||||||||||
TOTAL NET UNREALIZED APPRECIATION ON CREDIT DEFAULT SWAPS | $ | (208,278 | ) | $ | 5,697 |
FORWARD FOREIGN CURRENCY CONTRACTS | |||||||||||||||||||
Settlement Date | Counterparty | Currency Units to Receive | In Exchange For | Unrealized Appreciation (Depreciation) | |||||||||||||||
01/09/20 | JP Morgan Chase Bank | 357,636 | USD | 530,000 | AUD | $ | (15,015 | ) | |||||||||||
01/28/20 | JP Morgan Chase Bank | 102,263 | USD | 150,000 | AUD | (3,253 | ) | ||||||||||||
01/29/20 | JP Morgan Chase Bank | 20,500,000 | JPY | 195,099 | USD | (6,159 | ) | ||||||||||||
01/29/20 | JP Morgan Chase Bank | 15,000,000 | JPY | 140,315 | USD | (2,066 | ) | ||||||||||||
01/29/20 | JP Morgan Chase Bank | 37,000,000 | JPY | 351,594 | USD | (10,580 | ) | ||||||||||||
01/29/20 | JP Morgan Chase Bank | 36,100,000 | JPY | 341,302 | USD | (8,583 | ) | ||||||||||||
01/30/20 | JP Morgan Chase Bank | 1,000,000 | EUR | 1,112,748 | USD | 11,932 | |||||||||||||
01/30/20 | JP Morgan Chase Bank | 1,355,000 | NOK | 152,790 | USD | 1,432 | |||||||||||||
01/30/20 | JP Morgan Chase Bank | 1,910,000 | NOK | 209,569 | USD | 7,821 | |||||||||||||
01/30/20 | JP Morgan Chase Bank | 143,162 | USD | 190,000 | CAD | (3,382 | ) | ||||||||||||
01/30/20 | JP Morgan Chase Bank | 155,719 | USD | 1,033,509 | DKK | 140 | |||||||||||||
01/30/20 | JP Morgan Chase Bank | 368,058 | USD | 2,441,514 | DKK | 524 | |||||||||||||
01/30/20 | JP Morgan Chase Bank | 335,011 | USD | 298,355 | EUR | (542 | ) | ||||||||||||
01/30/20 | JP Morgan Chase Bank | 334,260 | USD | 295,000 | EUR | 2,480 | |||||||||||||
01/30/20 | JP Morgan Chase Bank | 553,473 | USD | 500,000 | EUR | (8,869 | ) | ||||||||||||
01/30/20 | JP Morgan Chase Bank | 20,636 | USD | 18,274 | EUR | 83 | |||||||||||||
01/30/20 | JP Morgan Chase Bank | 769,361 | USD | 681,312 | EUR | 3,103 | |||||||||||||
02/24/20 | JP Morgan Chase Bank | 333,840 | USD | 2,370,000 | CNY | (5,853 | ) | ||||||||||||
03/13/20 | JP Morgan Chase Bank | 37,600,000 | JPY | 353,771 | USD | (6,345 | ) | ||||||||||||
03/16/20 | JP Morgan Chase Bank | 3,590,000 | NOK | 400,893 | USD | 7,744 | |||||||||||||
03/16/20 | JP Morgan Chase Bank | 2,570,000 | SEK | 262,206 | USD | 13,344 | |||||||||||||
03/16/20 | Citibank, NA | 166,157 | USD | 220,000 | CAD | �� | (3,544 | ) | |||||||||||
03/16/20 | Deutsche Bank | 30,245 | USD | 40,000 | CAD | (610 | ) | ||||||||||||
03/16/20 | JP Morgan Chase Bank | 99,076 | USD | 131,000 | CAD | (1,973 | ) | ||||||||||||
03/16/20 | JP Morgan Chase Bank | 237,047 | USD | 310,000 | CAD | (2,078 | ) | ||||||||||||
03/16/20 | Deutsche Bank | 513,441 | USD | 458,000 | EUR | (3,114 | ) | ||||||||||||
03/16/20 | JP Morgan Chase Bank | 244,265 | USD | 220,000 | EUR | (3,862 | ) | ||||||||||||
03/16/20 | JP Morgan Chase Bank | 447,439 | USD | 399,001 | EUR | (2,573 | ) | ||||||||||||
03/16/20 | JP Morgan Chase Bank | 270,202 | USD | 2,570,000 | SEK | (5,348 | ) | ||||||||||||
03/25/20 | JP Morgan Chase Bank | 200,050 | USD | 238,000,000 | KRW | (6,190 | ) | ||||||||||||
04/15/20 | JP Morgan Chase Bank | 655,000 | TRY | 103,861 | USD | 3,300 | |||||||||||||
06/15/20 | JP Morgan Chase Bank | 2,000,000,000 | IDR | 139,742 | USD | 2,060 | |||||||||||||
06/15/20 | JP Morgan Chase Bank | 480,000,000 | IDR | 33,513 | USD | 520 | |||||||||||||
06/16/20 | JP Morgan Chase Bank | 1,950,000 | MXN | 98,721 | USD | 2,028 | |||||||||||||
06/16/20 | JP Morgan Chase Bank | 1,330,000 | MXN | 67,643 | USD | 1,073 | |||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON FORWARD FOREIGN CURRENCY CONTRACTS | $ | (42,355 | ) |
See accompanying notes to financial statements.
28
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide capital appreciation and income while seeking to manage volatility.
Management Review
The Portfolio is sub-advised by Goldman Sachs Asset Management, L.P. ("GSAM").
How did the Portfolio perform during the period?
During 2019, the Portfolio underperformed its reference benchmark, the S&P Global Managed Risk LargeMidCap Index – Conservative. The Portfolio posted a return of 14.21% compared to a benchmark return of 16.55%, a difference of -234 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
Using a momentum-based methodology to dynamically allocate across global asset classes, the Portfolio seeks to manage risk and enhance long-term returns in changing market environments. Momentum investing seeks growth of capital by gaining exposure to asset classes that have exhibited trends in price performance over selected time periods.
During 2019, the Portfolio's trend-based strategy contributed to performance. The allocation to U.S. large-cap equity was the largest contributor to performance, followed by U.S. Treasuries, European equities, Japanese equities, U.S. mid-cap equities, U.S. small-cap equities and U.K. equities. The Portfolio's de-risking strategy, where the Portfolio de-risks a portion of individual equity sleeves to cash during periods of heightened volatility in those markets, detracted from returns, as U.S. and Japanese equities rallied in January 2019 following earlier periods of volatility in the fourth quarter of 2018.
How was the Portfolio positioned at period end?
During the fourth quarter, the Portfolio increased its allocation to U.S. large cap, mid-cap, and small-cap equities, as well as Japanese equities. Positions in European and U.K. equities, as well as U.S. Treasuries were reduced. As a result, at the end of the year, the Portfolio had approximately 60% of its assets tactically allocated to equities. Regionally, the Portfolio had a tactical 41.2% allocation to U.S. equities, due to positive momentum. U.S. large-cap equities represented 35.0% of the Portfolio, while U.S. small-cap and U.S. mid-cap equities each represented 3.1%. Within international equity, the Portfolio held a tactical allocation of 9.4% to European equities and 9.4% to Japanese equities given equity market momentum in these markets. The Portfolio had no allocation to UK equities due to relatively poor trends.
In general, the Portfolio seeks to maintain between 40-60% of its assets in developed equity investments and 40-60% of its assets in U.S. fixed income investments. The Portfolio may make allocations at the higher-end of asset allocation ranges to those asset classes with strong momentum, and at the lower-end to those asset classes with weak momentum.
The Portfolio's performance figures for the periods ended December 31, 2019 as compared to its benchmark:
Annualized | Operating Expense* | ||||||||||||||||||||||||||
Inception Date | One Year | Three Years | Since Inception | Gross Ratio | Net Ratio | ||||||||||||||||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | |||||||||||||||||||||||||||
Class II | April 30, 2015 | 14.21 | % | 5.17 | % | 3.01 | % | 1.32 | % | 1.24 | % | ||||||||||||||||
S&P Global Managed Risk LargeMidCap Index - Conservative^ | 16.55 | % | 8.15 | % | 4.97 | % | |||||||||||||||||||||
S&P Target Risk® Conservative Index (Total Return)+ | 13.99 | % | 6.75 | % | 4.78 | % |
29
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Total returns would have been lower absent fee waivers by the Adviser. Performance figures for periods greater than one year are annualized. The returns shown do not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account.
* The estimated operating expense ratios for Class II shares, as disclosed in the most recent prospectus dated May 1, 2019. Ratios include Acquired Fund Fees and Expenses indirectly incurred by the Portfolio, if applicable. Gross operating expense ratio reflects the ratio of expenses absent waivers and/or reimbursements by the Adviser. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
^ Effective July 1, 2019, the Portfolio's benchmark is the S&P Global Managed Risk LargeMidCap Index - Conservative. The S&P Global Managed Risk LargeMidCap Index - Conservative is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 50% to the underlying bond index. Global Atlantic Investment Advisors, LLC believes that the new benchmark better reflects the Portfolio's investment strategy.
+ The S&P Target Risk® Conservative Index (Total Return) provides significant exposure to fixed income in order to produce a consistent income stream and avoid excessive volatility of returns. It is not possible to invest directly in an index.
Comparison of the Change in Value of a $10,000 Investment
Holdings by Asset Class | % of Net Assets | ||||||
U.S. Treasury Securities | 51.1 | % | |||||
Exchange Traded Funds | 36.3 | % | |||||
Short-Term Investments | 10.2 | % | |||||
Other Assets Less Liabilities - Net | 2.4 | % | |||||
100.0 | % |
Please refer to the Portfolio of Investments in this annual report for more information regarding the Portfolio's holdings as of December 31, 2019.
Derivative exposure is included in "Other Assets Less Liabilities - Net".
30
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
U.S. TREASURY SECURITIES - 51.1% | |||||||||||
$ | 15,610,000 | U.S. Treasury Note, 2.75%, 2/15/28 (Cost - $16,886,392) | $ | 16,642,333 | |||||||
EXCHANGE TRADED FUNDS - 36.3% | |||||||||||
DEBT FUNDS - 7.7% | |||||||||||
25,057 | iShares Short Maturity Bond ETF | 1,259,114 | |||||||||
13,750 | SPDR Bloomberg Barclays 1-3 Month T-Bill ETF | 1,257,163 | |||||||||
TOTAL DEBT FUNDS | 2,516,277 | ||||||||||
EQUITY FUNDS - 28.6% | |||||||||||
9,636 | iShares Core S&P 500 ETF | 3,114,741 | |||||||||
9,563 | SPDR S&P 500 ETF Trust | 3,077,947 | |||||||||
10,537 | Vanguard S&P 500 ETF | 3,116,844 | |||||||||
TOTAL EQUITY FUNDS | 9,309,532 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $9,233,661) | 11,825,809 |
Shares/ Principal | Fair Value | ||||||||||
SHORT-TERM INVESTMENTS - 10.2% | |||||||||||
MONEY MARKET FUNDS - 10.2% | |||||||||||
3,336,862 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (a) (Cost - $3,336,862) | $ | 3,336,862 | ||||||||
TOTAL INVESTMENTS - 97.6% (Cost - $29,456,915) | $ | 31,805,004 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET - 2.4% | 770,965 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 32,575,969 |
(a) The rate shown is the annualized seven-day yield at period end.
FUTURES CONTRACTS | |||||||||||||||||||||||
LONG FUTURES CONTRACTS | Counterparty | Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Euro Stoxx 50 Index Future | JP Morgan Securities LLC | 98 | 3/20/2020 | $ | 4,102,086 | $ | (1,411 | ) | |||||||||||||||
Nikkei 225 (OSE) Future | Societe Generale | 10 | 3/12/2020 | 2,175,293 | 20,474 | ||||||||||||||||||
S&P 500 E-Mini Future | JP Morgan Securities LLC | 7 | 3/20/2020 | 1,130,885 | 10,209 | ||||||||||||||||||
TOTAL NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $ | 29,272 |
See accompanying notes to financial statements.
31
Global Atlantic Growth Managed Risk Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide capital appreciation and income while seeking to manage volatility.
Management Review
The capital appreciation and income component is sub-advised by BlackRock Financial Management, Inc. ("BFM"), while the managed risk component is sub-advised by Milliman Financial Risk Management LLC ("Milliman").
How did the Portfolio perform during the period?
During 2019, the Portfolio underperformed its reference benchmark, the S&P Global Managed Risk LargeMidCap Index – Moderate Aggressive. The Portfolio posted a return of 17.11% compared to a benchmark return of 21.30%, a difference of -419 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
Much of the positive equity performance this year reflected improving investor sentiment, as global trade tensions have generally eased, and central banks globally have shifted to a more dovish stance in the face of slowing growth. Though growth has been moderating, the near-term risk of a U.S. recession is low. With corporate earnings growth slowing but still solid, equity valuations back in line with post-crisis averages, and few signs of overheating in the U.S. economy, the Portfolio remained positioned to take advantage of late-cycle equity gains.
Within equities, the Portfolio maintained an overweight to the U.S. relative to international markets, which also proved beneficial to Portfolio performance. The Portfolio added minimum volatility factor exposure in the second half of the year. The allocation was additive to returns in the third quarter of 2019, but it was a detractor in the fourth quarter of 2019 as equity markets rallied into year-end as U.S. and China reached an agreement for a Phase 1 trade deal. The Portfolio was also overweight U.S. Mid-cap stocks, which underperformed the Portfolio's U.S. equity benchmark.
Within fixed income, the Portfolio maintained an overweight to credit relative to treasuries for the first six months of the year, which had a positive impact on performance. The Portfolio's duration positioning was slightly short throughout the first half of the year, which contributed negatively to performance as interest rates rallied. The Portfolio increased duration and shifted from credit toward treasuries in the second half of the year. This defensive posture was a headwind for fixed income performance as interest rates rose toward the end of the year.
The managed risk component was a significant detractor to performance during 2019, with the majority of the drag occurring during the first quarter. Consistent with other global equity markets, the S&P 500® Index corrected -13.52% in the fourth quarter of 2018, then recovered rapidly, up 13.65% in the first quarter of 2019. To put this into historical context, since 1950, quarterly S&P 500® returns of this magnitude have occurred less than 5% of the time. This correction and rapid recovery in the equity markets resulted in the Portfolio being underweight equity, particularly during December 2018 and January 2019. As a result, while the managed risk component worked as designed to protect the Portfolio during the market correction, and was therefore a meaningful contributor to performance during this period, it was a meaningful detractor to performance in early 2019.
How was the Portfolio positioned at period end?
A supportive policy mix and the prospect of an extended cycle underpin BFM's positive view on equities. The BFM investment team continues to favor U.S. equities over other developed markets. From an equity factors perspective, the Portfolio remains defensively positioned, with a preference for minimum volatility exposure and quality stocks. From a fixed income perspective, the trend of credit spread compression may not imminently reverse, but the BFM investment team expects further gains to be incremental. The Portfolio maintains an overweight to U.S. Treasuries relative to credit assets into year-end.
32
Global Atlantic Growth Managed Risk Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
The Portfolio's performance figures for the periods ended December 31, 2019 as compared to its benchmark:
Annualized | Operating Expense* | ||||||||||||||||||||||||||||||
Inception Date | One Year | Three Years | Five Years | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||||||||
Global Atlantic Growth Managed Risk Portfolio | |||||||||||||||||||||||||||||||
Class II | April 30, 2014 | 17.11 | % | 8.47 | % | 4.34 | % | 4.69 | % | 0.99 | % | 0.96 | % | ||||||||||||||||||
S&P Global Managed Risk LargeMidCap Index - Moderate Aggressive^ | 21.30 | % | 10.65 | % | 6.15 | % | 5.89 | % | |||||||||||||||||||||||
S&P Target Risk® Growth Index (Total Return)+ | 19.20 | % | 9.23 | % | 6.63 | % | 6.56 | % |
The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Total returns would have been lower absent fee waivers by the Adviser. Performance figures for periods greater than one year are annualized. The returns shown do not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Prior to October 1, 2016, the Capital Appreciation and Income Component of the Portfolio were managed by the Adviser without the use of a sub-adviser. The performance prior to that date is attributable to the Adviser's asset allocation decisions.
* The estimated operating expense ratios for Class II shares, as disclosed in the most recent prospectus dated May 1, 2019. Ratios include Acquired Fund Fees and Expenses indirectly incurred by the Portfolio, if applicable. Gross operating expense ratio reflects the ratio of expenses absent waivers and/or reimbursements by the Adviser. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
^ Effective July 1, 2019, the Portfolio's benchmark is the S&P Global Managed Risk LargeMidCap Index - Moderate Aggressive. The S&P Global Managed Risk LargeMidCap Index - Moderate Aggressive is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 20% to the underlying bond index. Global Atlantic Investment Advisors, LLC believes that the new benchmark better reflects the Portfolio's investment strategy.
+ The S&P Target Risk® Growth Index (Total Return) which offers increased exposure to equities, while also using some fixed income exposure to diversify risk. It is not possible to invest directly in an index.
33
Global Atlantic Growth Managed Risk Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
Comparison of the Change in Value of a $10,000 Investment
Holdings by Asset Class | % of Net Assets | ||||||
Exchange Traded Funds | 95.2 | % | |||||
Short-Term Investments | 4.9 | % | |||||
Other Assets Less Liabilities - Net | (0.1 | )% | |||||
100.0 | % |
Please refer to the Portfolio of Investments in this annual report for more information regarding the Portfolio's holdings as of December 31, 2019.
34
Global Atlantic Growth Managed Risk Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
EXCHANGE TRADED FUNDS - 95.2% | |||||||||||
DEBT FUNDS - 14.7% | |||||||||||
43,702 | iShares 20+ Year Treasury Bond ETF | $ | 5,920,747 | ||||||||
158,615 | iShares Floating Rate Bond ETF | 8,076,676 | |||||||||
37,462 | iShares MBS ETF | 4,048,144 | |||||||||
1,745,691 | iShares U.S. Treasury Bond ETF | 45,283,224 | |||||||||
TOTAL DEBT FUNDS | 63,328,791 | ||||||||||
EQUITY FUNDS - 80.5% | |||||||||||
486,321 | iShares Core MSCI EAFE ETF | 31,727,582 | |||||||||
486,783 | iShares Core S&P 500 ETF | 157,347,737 | |||||||||
210,590 | iShares Core S&P Mid-Cap ETF | 43,343,634 | |||||||||
171,661 | iShares Core S&P Small-Cap ETF | 14,393,775 | |||||||||
134,520 | iShares Edge MSCI Min Vol EAFE ETF | 10,027,121 | |||||||||
211,054 | iShares Edge MSCI Min Vol Emerging Markets ETF | 12,380,428 | |||||||||
874,171 | iShares Edge MSCI Min Vol USA ETF | 57,345,617 | |||||||||
116,156 | iShares Russell 1000 ETF | 20,724,553 | |||||||||
TOTAL EQUITY FUNDS | 347,290,447 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $326,856,934) | 410,619,238 |
Shares/ Principal | Fair Value | ||||||||||
SHORT-TERM INVESTMENTS - 4.9% | |||||||||||
MONEY MARKET FUNDS - 4.9% | |||||||||||
21,083,151 | Dreyfus Government Cash Management, 1.51% (a) | $ | 21,083,151 | ||||||||
119,432 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (a) | 119,432 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $21,202,583) | 21,202,583 | ||||||||||
TOTAL INVESTMENTS - 100.1% (Cost - $348,059,517) | $ | 431,821,821 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET - (0.1)% | (264,365) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 431,557,456 |
(a) The rate shown is the annualized seven-day yield at period end.
See accompanying notes to financial statements.
35
Global Atlantic Moderate Growth Managed Risk Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide capital appreciation and income while seeking to manage volatility.
Management Review
The capital appreciation and income component is sub-advised by BlackRock Financial Management, Inc. ("BFM"), while the managed risk component is sub-advised by Milliman Financial Risk Management LLC ("Milliman").
How did the Portfolio perform during the period?
During 2019, the Portfolio underperformed its reference benchmark, the S&P Global Managed Risk LargeMidCap Index – Moderate Conservative. The Portfolio posted a return of 15.94% compared to a benchmark return of 18.15%, a difference of -221 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
Much of the positive equity performance this year reflected improving investor sentiment, as global trade tensions have generally eased, and central banks globally have shifted to a more dovish stance in the face of slowing growth. Though growth has been moderating, the near-term risk of a U.S. recession is low. With corporate earnings growth slowing but still solid, equity valuations back in line with post-crisis averages, and few signs of overheating in the U.S. economy, the Portfolio remained positioned to take advantage of late-cycle equity gains.
Within equities, the Portfolio maintained an overweight to the U.S. relative to international markets, which also proved beneficial to Portfolio performance. The Portfolio added minimum volatility factor exposure in the second half of the year. The allocation was additive to returns in the third quarter of 2019, but it was a detractor in the fourth quarter of 2019 as equity markets rallied into year-end as U.S. and China reached an agreement for a Phase 1 trade deal.
Within fixed income, the Portfolio maintained an overweight to credit relative to treasuries for the first six months of the year, which had a positive impact on performance. The Portfolio's duration positioning was slightly short throughout the first half of the year, which contributed negatively to performance as interest rates rallied. The Portfolio increased duration and shifted from credit toward treasuries in the second half of the year. This defensive posture was a headwind for fixed income performance as interest rates rose toward the end of the year.
The managed risk component was a significant detractor to performance during 2019, with the majority of the drag occurring during the first quarter. Consistent with other global equity markets, the S&P 500® Index corrected -13.52% in the fourth quarter of 2018, then recovered rapidly, up 13.65% in the first quarter of 2019. To put this into historical context, since 1950, quarterly S&P 500® returns of this magnitude have occurred less than 5% of the time. This correction and rapid recovery in the equity markets resulted in the Portfolio being underweight equity, particularly during December 2018 and January 2019. As a result, while the managed risk component worked as designed to protect the Portfolio during the market correction, and was therefore a meaningful contributor to performance during this period, it was a meaningful detractor to performance in early 2019.
How was the Portfolio positioned at period end?
A supportive policy mix and the prospect of an extended cycle underpin BFM's positive view on equities. The BFM investment team continues to favor U.S. equities over other developed markets. From an equity factors perspective, the Portfolio remains defensively positioned, with a preference for minimum volatility exposure and quality stocks. From a fixed income perspective, the trend of credit spread compression may not imminently reverse, but the investment team expects further gains to be incremental. The Portfolio maintains an overweight to U.S. Treasuries relative to credit assets into year-end.
36
Global Atlantic Moderate Growth Managed Risk Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
The Portfolio's performance figures for the periods ended December 31, 2019 as compared to its benchmark:
Annualized | Operating Expense* | ||||||||||||||||||||||||||||||
Inception Date | One Year | Three Years | Five Years | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | |||||||||||||||||||||||||||||||
Class II | April 30, 2014 | 15.94 | % | 7.46 | % | 4.70 | % | 5.03 | % | 1.00 | % | 1.00 | % | ||||||||||||||||||
S&P Global Managed Risk LargeMidCap Index - Moderate Conservative^ | 18.15 | % | 8.99 | % | 5.62 | % | 5.43 | % | |||||||||||||||||||||||
S&P Target Risk® Moderate Index (Total Return)+ | 15.71 | % | 7.58 | % | 5.44 | % | 5.24 | % |
The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Total returns would have been lower absent fee waivers by the Adviser. Performance figures for periods greater than one year are annualized. The returns shown do not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Prior to October 1, 2016, the Capital Appreciation and Income Component of the Portfolio were managed by the Adviser without the use of a sub-adviser. The performance prior to that date is attributable to the Adviser's asset allocation decisions.
* The estimated operating expense ratios for Class II shares, as disclosed in the most recent prospectus dated May 1, 2019. Ratios include Acquired Fund Fees and Expenses indirectly incurred by the Portfolio, if applicable. Gross operating expense ratio reflects the ratio of expenses absent waivers and/or reimbursements by the Adviser. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
^ Effective July 1, 2019, the Portfolio's benchmark is the S&P Global Managed Risk LargeMidCap Index - Moderate Conservative. The S&P Global Managed Risk LargeMidCap Index - Moderate Conservative is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 40% to the underlying bond index. Global Atlantic Investment Advisors, LLC believes that the new benchmark better reflects the Portfolio's investment strategy.
+ The S&P Target Risk® Moderate Index (Total Return) provides significant exposure to fixed income, while also providing increased opportunity for capital growth through equities. It is not possible to invest directly in an index.
37
Global Atlantic Moderate Growth Managed Risk Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
Comparison of the Change in Value of a $10,000 Investment
Holdings by Asset Class | % of Net Assets | ||||||
Exchange Traded Funds | 95.3 | % | |||||
Short-Term Investments | 4.8 | % | |||||
Other Assets Less Liabilities - Net | (0.1 | )% | |||||
100.0 | % |
Please refer to the Portfolio of Investments in this annual report for more information regarding the Portfolio's holdings as of December 31, 2019.
38
Global Atlantic Moderate Growth Managed Risk Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
EXCHANGE TRADED FUNDS - 95.3% | |||||||||||
DEBT FUNDS - 31.2% | |||||||||||
19,424 | iShares 20+ Year Treasury Bond ETF | $ | 2,631,564 | ||||||||
107,699 | iShares Core U.S. Aggregate Bond ETF | 12,102,137 | |||||||||
52,875 | iShares Floating Rate Bond ETF | 2,692,395 | |||||||||
63,975 | iShares Intermediate-Term Corporate Bond ETF | 3,709,270 | |||||||||
12,488 | iShares MBS ETF | 1,349,453 | |||||||||
853,502 | iShares U.S. Treasury Bond ETF | 22,139,842 | |||||||||
TOTAL DEBT FUNDS | 44,624,661 | ||||||||||
EQUITY FUNDS - 64.1% | |||||||||||
99,362 | iShares Core MSCI EAFE ETF | 6,482,377 | |||||||||
140,920 | iShares Core S&P 500 ETF | 45,550,981 | |||||||||
43,458 | iShares Core S&P Mid-Cap ETF | 8,944,525 | |||||||||
44,962 | iShares Core S&P Small-Cap ETF | 3,770,064 | |||||||||
31,390 | iShares Edge MSCI Min Vol EAFE ETF | 2,339,810 | |||||||||
58,630 | iShares Edge MSCI Min Vol Emerging Markets ETF | 3,439,236 | |||||||||
239,371 | iShares Edge MSCI Min Vol USA ETF | 15,702,738 | |||||||||
30,977 | iShares Russell 1000 ETF | 5,526,916 | |||||||||
TOTAL EQUITY FUNDS | 91,756,647 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $112,022,384) | 136,381,308 |
Shares/ Principal | Fair Value | ||||||||||
SHORT-TERM INVESTMENTS - 4.8% | |||||||||||
MONEY MARKET FUNDS - 4.8% | |||||||||||
6,908,367 | Dreyfus Government Cash Management, 1.51% (a) | $ | 6,908,367 | ||||||||
4,695 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (a) | 4,695 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $6,913,062) | 6,913,062 | ||||||||||
TOTAL INVESTMENTS - 100.1% (Cost - $118,935,446) | $ | 143,294,370 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET - (0.1)% | (73,293) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 143,221,077 |
(a) The rate shown is the annualized seven-day yield at period end.
See accompanying notes to financial statements.
39
Global Atlantic PIMCO Tactical Allocation Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide capital appreciation and income while seeking to manage volatility.
Management Review
The Portfolio is sub-advised by Pacific Investment Management Company LLC ("PIMCO").
How did the Portfolio perform during the period?
During 2019, the Portfolio underperformed its reference benchmark, the S&P Global Managed Risk LargeMidCap Index – Moderate. The Portfolio posted a return of 18.37% compared to a benchmark return of 19.68%, a difference of -131 basis points. The following discussion of relative performance pertains to this benchmark unless otherwise noted.
What factors and allocation decisions influenced the Portfolio's performance?
Following a turbulent end of 2018, 2019 was highlighted by strong returns for both equities and bonds, spurred by global central bank easing led by the U.S Federal Reserve's dovish pivot early in 2019. Throughout the middle of the year, investors weighed trade tensions and disappointing economic data against more accommodative global central bank policies leading to volatile risk sectors and periods of volatility in equity markets. Markets rebounded through the end of the year, as positive trade development and tentative signs of global growth stabilization supported risk assets with equities reaching an all-time high. The Portfolio adjusted equity exposure higher amid the market rally in the first half of the year, spending a larger portion of the time at maximum equity exposure, which contributed to performance. Dynamic equity exposure detracted during the V-shaped bouts of volatility driven by flaring trade tensions, while an overweight equity position during the end-of-year rally contributed.
The Portfolio's fixed income allocation contributed to performance. An underweight to duration overall, sourced primarily from tactical short exposure to duration in the U.K. and Japan detracted from performance, as rates in these countries rallied across the yield curve. Within spread sectors, an allocation to investment grade credit contributed to performance as risk assets rallied but was offset by positioning in agency mortgage backed securities which detracted from performance as a rally in rates led to an increase in prepayments.
How was the Portfolio positioned at period end?
The Portfolio ended the year near maximum equity exposure as the market rallied to close out the year. Within fixed income, the Portfolio remained neutral duration overall with a preference for U.S. duration against rate exposure in other developed regions, including in the U.K. and Japan. PIMCO believes that the intermediate portion of the curve continues to offer attractive characteristics given the potential for longer-term rates to rise as term premiums return. PIMCO finds attractive opportunities in specific credits that benefit from U.S. growth and a resurgent housing sector, though the Portfolio overall remains underweight investment grade credit.
The Portfolio's performance figures for the periods ended December 31, 2019 as compared to its benchmark:
Annualized | Operating Expense* | ||||||||||||||||||||||||||
Inception Date | One Year | Three Years | Since Inception | Gross Ratio | Net Ratio | ||||||||||||||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | |||||||||||||||||||||||||||
Class II | April 30, 2015 | 18.37 | % | 8.32 | % | 5.00 | % | 1.32 | % | 1.21 | % | ||||||||||||||||
S&P Global Managed Risk LargeMidCap Index - Moderate^ | 19.68 | % | 9.82 | % | 5.34 | % | |||||||||||||||||||||
S&P Target Risk® Moderate Index (Total Return)+ | 15.71 | % | 7.58 | % | 5.31 | % |
40
Global Atlantic PIMCO Tactical Allocation Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Total returns would have been lower absent fee waivers by the Adviser. Performance figures for periods greater than one year are annualized. The returns shown do not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account.
* The estimated operating expense ratios for Class II shares, as disclosed in the most recent prospectus dated May 1, 2019. Ratios include Acquired Fund Fees and Expenses indirectly incurred by the Portfolio, if applicable. Gross operating expense ratio reflects the ratio of expenses absent waivers and/or reimbursements by the Adviser. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
^ Effective July 1, 2019, the Portfolio's benchmark is the S&P Global Managed Risk LargeMidCap Index - Moderate. The S&P Global Managed Risk LargeMidCap Index - Moderate is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 30% to the underlying bond index. Global Atlantic Investment Advisors, LLC believes that the new benchmark better reflects the Portfolio's investment strategy.
+ The S&P Target Risk® Moderate Index (Total Return) provides significant exposure to fixed income, while also providing increased opportunity for capital growth through equities. It is not possible to invest directly in an index.
Comparison of the Change in Value of a $10,000 Investment
Holdings by Asset Class | % of Net Assets | ||||||
U.S. Treasury Securities | 35.8 | % | |||||
Exchange Traded Funds | 30.4 | % | |||||
Agency Mortgage Backed Securities | 23.7 | % | |||||
Corporate Bonds and Notes | 13.3 | % | |||||
Asset Backed and Commercial Backed Securities | 5.7 | % | |||||
Sovereign Debts | 1.6 | % | |||||
Municipal Bonds | 0.1 | % | |||||
Short-Term Investments | 8.0 | % | |||||
Other Assets Less Liabilities - Net | (18.6 | )% | |||||
100.0 | % |
Please refer to the Portfolio of Investments in this annual report for more information regarding the Portfolio's holdings as of December 31, 2019.
Derivative exposure is included in "Other Assets Less Liabilities - Net".
41
Global Atlantic PIMCO Tactical Allocation Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
U.S. TREASURY SECURITIES - 35.8% | |||||||||||
U.S. Treasury Note | |||||||||||
$ | 700,000 | 1.13%, 8/31/21 | $ | 694,613 | |||||||
100,000 | 2.00%, 12/31/21 | 100,801 | |||||||||
1,500,000 | 1.88%, 3/31/22 | 1,509,551 | |||||||||
500,000 | 1.88%, 4/30/22 | 503,242 | |||||||||
100,000 | 1.88%, 7/31/22 | 100,707 | |||||||||
100,000 | 1.38%, 10/15/22 | 99,391 | |||||||||
205,000 | 2.00%, 11/30/22 | 207,314 | |||||||||
400,000 | 2.50%, 8/15/23 | 411,984 | |||||||||
200,000 | 2.63%, 12/31/23 | 207,461 | |||||||||
400,000 | 2.00%, 6/30/24 | 405,547 | |||||||||
110,000 | 2.13%, 5/15/25 | 112,269 | |||||||||
100,000 | 1.63%, 5/15/26 | 98,988 | |||||||||
500,000 | 2.00%, 11/15/26 | 505,801 | |||||||||
U.S. Treasury Bond | |||||||||||
520,000 | 6.25%, 5/15/30 | 731,758 | |||||||||
230,000 | 4.25%, 5/15/39 | 303,151 | |||||||||
100,000 | 4.50%, 8/15/39 | 135,926 | |||||||||
340,000 | 4.25%, 11/15/40 | 450,726 | |||||||||
100,000 | 4.38%, 5/15/41 | 135,035 | |||||||||
80,000 | 3.13%, 11/15/41 | 90,919 | |||||||||
80,000 | 3.13%, 2/15/42 | 90,925 | |||||||||
110,000 | 2.88%, 5/15/43 | 120,093 | |||||||||
200,000 | 3.75%, 11/15/43 | 250,617 | |||||||||
100,000 | 3.38%, 5/15/44 | 118,594 | |||||||||
480,000 | 3.13%, 8/15/44 | 547,219 | |||||||||
80,000 | 3.00%, 11/15/44 | 89,375 | |||||||||
200,000 | 3.00%, 5/15/45 | 223,789 | |||||||||
100,000 | 2.88%, 11/15/46 | 109,961 | |||||||||
25,000 | 2.75%, 11/15/47 | 26,878 | |||||||||
140,000 | 3.13%, 5/15/48 | 161,612 | |||||||||
U.S. Treasury Inflation Indexed Note | |||||||||||
162,458 | 0.63%, 1/15/26 | 167,436 | |||||||||
21,041 | 0.38%, 7/15/27 | 21,462 | |||||||||
417,320 | 0.50%, 1/15/28 | 428,104 | |||||||||
102,522 | 0.75%, 7/15/28 | 107,855 | |||||||||
81,534 | 0.88%, 1/15/29 | 86,581 | |||||||||
U.S. Treasury Inflation Indexed Bond | |||||||||||
127,611 | 2.38%, 1/15/27 | 147,294 | |||||||||
104,359 | 1.00%, 2/15/48 | 115,470 | |||||||||
TOTAL U.S. TREASURY SECURITIES (Cost - $9,207,773) | 9,618,449 | ||||||||||
EXCHANGE TRADED FUNDS - 30.4% | |||||||||||
EQUITY FUNDS - 30.4% | |||||||||||
58,741 | iShares MSCI EAFE ETF | 4,078,975 | |||||||||
12,682 | SPDR S&P 500 ETF Trust | 4,081,829 | |||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $5,959,761) | 8,160,804 |
Shares/ Principal | Fair Value | ||||||||||
AGENCY MORTGAGE BACKED SECURITIES - 23.7% | |||||||||||
FEDERAL HOME LOAN BANKS - 1.1% | |||||||||||
$ | 300,000 | Federal Home Loan Bank Discount Notes, 1.60%, 3/6/20 (a) | $ | 299,168 | |||||||
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 18.4% | |||||||||||
Federal National Mortgage Association | |||||||||||
100,000 | 4.50%, 1/1/50 (b) | 105,266 | |||||||||
4,700,000 | 3.50%, 2/1/50 (b) | 4,833,289 | |||||||||
4,938,555 | |||||||||||
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 4.2% | |||||||||||
1,100,000 | Government National Mortgage Association, 3.50%, 1/20/50 (b) | 1,133,515 | |||||||||
TOTAL AGENCY MORTGAGE BACKED SECURITIES (Cost - $6,370,579) | 6,371,238 | ||||||||||
CORPORATE BONDS AND NOTES - 13.3% | |||||||||||
AEROSPACE & DEFENSE - 0.2% | |||||||||||
50,000 | Spirit AeroSystems Inc, 3.95%, 6/15/23 | 51,550 | |||||||||
AIRLINES - 0.6% | |||||||||||
23,295 | American Airlines 2013-1 Class A Pass Through Trust, 4.00%, 7/15/25 | 24,515 | |||||||||
10,000 | American Airlines 2019-1 Class A Pass Through Trust, 3.50%, 2/15/32 | 10,284 | |||||||||
38,258 | Spirit Airlines Pass Through Trust 2015-1A, 4.10%, 4/1/28 | 39,872 | |||||||||
89,447 | United Airlines 2016-1 Class AA Pass Through Trust, 3.10%, 7/7/28 | 91,406 | |||||||||
166,077 | |||||||||||
AUTO MANUFACTURERS - 0.1% | |||||||||||
30,000 | Nissan Motor Acceptance Corp., 2.80%, 1/13/22 (c) | 30,196 | |||||||||
BANKS - 5.5% | |||||||||||
100,000 | Banco La Hipotecaria SA, 4.75%, 11/15/22 (c) | 101,696 | |||||||||
Bank of America Corp. | |||||||||||
100,000 | 3.09%, (3 Month US Libor + 1.09%), 10/1/25 (d) | 103,209 | |||||||||
11,000 | 3.42%, (3 Month US Libor + 1.04%), 12/20/28 (d) | 11,551 | |||||||||
200,000 | Barclays PLC, 4.61%, (3 Month US Libor + 1.40%), 2/15/23 (d) | 208,900 | |||||||||
30,000 | CIT Group, Inc., 4.13%, 3/9/21 | 30,566 | |||||||||
50,000 | Citigroup, Inc., 2.65%, 10/26/20 | 50,273 | |||||||||
15,000 | Goldman Sachs Group, Inc. (The), 6.00%, 6/15/20 | 15,265 | |||||||||
100,000 | Lloyds Bank Corporate Markets PLC/ New York NY, 2.38%, (3 Month US Libor + 0.50%), 10/26/20 (d) | 100,201 |
See accompanying notes to financial statements.
42
Global Atlantic PIMCO Tactical Allocation Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
BANKS - 5.5% (continued) | |||||||||||
$ | 100,000 | Mitsubishi UFJ Financial Group, Inc., 3.41%, 3/7/24 | $ | 104,285 | |||||||
100,000 | Morgan Stanley, 3.12%, (3 Month US Libor + 1.22%), 5/8/24 (d) | 101,785 | |||||||||
100,000 | Royal Bank of Scotland Group PLC, 2.88%, (1 Year ICE GBP Swap + 1.49%), 9/19/26 (d) | 137,949 | |||||||||
200,000 | Santander UK PLC, 2.57%, (3 Month US Libor + 0.66%), 11/15/21 (d) | 200,974 | |||||||||
200,000 | UBS Group AG, 2.65%, 2/1/22 (c) | 202,057 | |||||||||
100,000 | Wells Fargo & Co., 3.16%, (3 Month US Libor + 1.23%), 10/31/23 (d) | 101,779 | |||||||||
1,470,490 | |||||||||||
CHEMICALS - 0.1% | |||||||||||
30,000 | Huntsman International LLC, 4.50%, 5/1/29 | 31,882 | |||||||||
COMPUTERS - 0.4% | |||||||||||
100,000 | Dell International LLC / EMC Corp., 5.30%, 10/1/29 (c) | 112,759 | |||||||||
DIVERSIFIED FINANCIAL SERVICES - 0.6% | |||||||||||
40,000 | Avolon Holdings Funding Ltd., 4.38%, 5/1/26 (c) | 42,252 | |||||||||
100,000 | ORIX Corp., 4.05%, 1/16/24 | 106,439 | |||||||||
148,691 | |||||||||||
ELECTRIC - 0.3% | |||||||||||
Southern California Edison Co. | |||||||||||
20,000 | 4.65%, 10/1/43 | 22,692 | |||||||||
�� | 50,000 | 4.00%, 4/1/47 | 52,643 | ||||||||
75,335 | |||||||||||
ELECTRONICS - 0.1% | |||||||||||
30,000 | Flex Ltd., 4.88%, 6/15/29 | 32,592 | |||||||||
GAS - 0.1% | |||||||||||
30,000 | Washington Gas Light Co., 3.80%, 9/15/46 | 31,297 | |||||||||
HEALTHCARE-SERVICES - 0.2% | |||||||||||
40,000 | Adventist Health System/West, 2.43%, 9/1/24 | 40,072 | |||||||||
10,000 | Centene Corp., 4.75%, 1/15/25 (c) | 10,387 | |||||||||
50,459 | |||||||||||
LODGING - 0.1% | |||||||||||
30,000 | Las Vegas Sands Corp., 2.90%, 6/25/25 | 30,319 | |||||||||
MACHINERY-DIVERSIFIED - 0.2% | |||||||||||
40,000 | Westinghouse Air Brake Technologies Corp., 4.40%, 3/15/24 | 42,473 | |||||||||
MEDIA - 0.4% | |||||||||||
100,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.75%, 2/15/28 | 103,731 |
Shares/ Principal | Fair Value | ||||||||||
OIL & GAS - 0.1% | |||||||||||
$ | 30,000 | Diamondback Energy, Inc., 2.88%, 12/1/24 | $ | 30,350 | |||||||
PHARMACEUTICALS - 0.8% | |||||||||||
10,000 | AbbVie Inc, 2.60%, 11/21/24 (c) | 10,081 | |||||||||
100,000 | Bayer US Finance II LLC, 2.75%, 7/15/21 (c) | 100,608 | |||||||||
100,000 | Shire Acquisitions Investments Ireland DAC, 2.40%, 9/23/21 | 100,569 | |||||||||
211,258 | |||||||||||
PIPELINES - 0.9% | |||||||||||
23,000 | Energy Transfer Partners LP / Regency Energy Finance Corp., 4.50%, 11/1/23 | 24,370 | |||||||||
100,000 | ONEOK Inc, 4.35%, 3/15/29 | 108,318 | |||||||||
100,000 | Sabine Pass Liquefaction LLC, 5.75%, 5/15/24 | 111,570 | |||||||||
244,258 | |||||||||||
REITS - 1.6% | |||||||||||
100,000 | American Tower Corp., 2.25%, 1/15/22 | 100,325 | |||||||||
40,000 | CubeSmart LP, 3.00%, 2/15/30 | 39,553 | |||||||||
10,000 | Equinix, Inc., 2.63%, 11/18/24 | 10,019 | |||||||||
40,000 | GLP Capital LP / GLP Financing II Inc, 5.38%, 4/15/26 | 44,216 | |||||||||
10,000 | Host Hotels & Resorts LP, 4.00%, 6/15/25 | 10,710 | |||||||||
100,000 | Hudson Pacific Properties LP, 4.65%, 4/1/29 | 110,089 | |||||||||
100,000 | Ventas Realty LP, 4.88%, 4/15/49 | 117,779 | |||||||||
432,691 | |||||||||||
SEMICONDUCTORS - 0.5% | |||||||||||
100,000 | Broadcom, Inc., 3.13%, 4/15/21 (c) | 101,214 | |||||||||
20,000 | Marvell Technology Group Ltd., 4.20%, 6/22/23 | 21,121 | |||||||||
122,335 | |||||||||||
SOFTWARE - 0.1% | |||||||||||
30,000 | Fair Isaac Corp., 4.00%, 6/15/28 (c) | 30,225 | |||||||||
TELECOMMUNICATIONS - 0.3% | |||||||||||
30,000 | AT&T, Inc., 4.10%, 2/15/28 | 32,645 | |||||||||
30,000 | Sprint Corp., 7.25%, 9/15/21 | 31,725 | |||||||||
20,000 | Vodafone Group PLC, 3.75%, 1/16/24 | 21,156 | |||||||||
85,526 | |||||||||||
TRUCKING & LEASING - 0.1% | |||||||||||
30,000 | Aviation Capital Group LLC, 4.13%, 8/1/25 (c) | 31,371 | |||||||||
TOTAL CORPORATE BONDS AND NOTES (Cost - $3,442,536) | 3,565,865 | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 5.7% | |||||||||||
182,449 | Aames Mortgage Investment Trust 2006-1, 2.27%, (1 Month US Libor + 0.48%), 4/25/36 (d) | 172,137 |
See accompanying notes to financial statements.
43
Global Atlantic PIMCO Tactical Allocation Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 5.7% (continued) | |||||||||||
$ | 10,684 | ACE Securities Corp Home Equity Loan Trust Series 2002-HE2, 3.07%, (1 Month US Libor + 1.28%), 8/25/32 (d) | $ | 10,658 | |||||||
9,766 | ACE Securities Corp Home Equity Loan Trust Series 2006-OP1, 1.94%, (1 Month US Libor + 0.15%), 4/25/36 (d) | 9,667 | |||||||||
52,786 | Alternative Loan Trust 2005-14, 2.00%, (1 Month US Libor + 0.21%), 5/25/35 (d) | 48,864 | |||||||||
23,589 | Alternative Loan Trust 2005-J12, 2.33%, (1 Month US Libor + 0.54%), 8/25/35 (d) | 14,909 | |||||||||
15,047 | Alternative Loan Trust 2006-OA9, 1.97%, (1 Month US Libor + 0.21%), 7/20/46 (d) | 10,274 | |||||||||
24,454 | American Home Mortgage Assets Trust 2006-2, 1.98%, (1 Month US Libor + 0.19%), 9/25/46 (d) | 22,795 | |||||||||
48,468 | Avery Point III CLO Ltd, 3.12%, (3 Month US Libor + 1.12%), 1/18/25 (c,d) | 48,476 | |||||||||
10,076 | Bear Stearns ALT-A Trust 2005-8, 4.16%, 10/25/35 (d) | 9,370 | |||||||||
25,301 | ChaseFlex Trust Series 2007-2, 2.07%, (1 Month US Libor + 0.28%), 5/25/37 (d) | 23,262 | |||||||||
11,410 | Chevy Chase Funding LLC Mortgage- Backed Certificates Series 2004-3, 2.04%, (1 Month US Libor + 0.25%), 8/25/35 (c,d) | 10,955 | |||||||||
12,765 | Chevy Chase Funding LLC Mortgage- Backed Certificates Series 2004-4, 2.02%, (1 Month US Libor + 0.23%), 10/25/35 (c,d) | 12,279 | |||||||||
114,070 | CHL Mortgage Pass-Through Trust 2006-6, 6.00%, 4/25/36 | 90,804 | |||||||||
100,000 | Citigroup COmmercial Mortgage Trust 2019-SMRT, 4.15%, 1/10/36 (c) | 106,452 | |||||||||
27,602 | Citigroup Mortgage Loan Trust 2007- AMC1, 1.95%, (1 Month US Libor + 0.16%), 12/25/36 (c,d) | 18,478 | |||||||||
Countrywide Asset-Backed Certificates | |||||||||||
123,137 | 2.16%, (1 Month US Libor + 0.37%), 4/25/36 (d) | 118,341 | |||||||||
15,128 | 1.92%, (1 Month US Libor + 0.13%), 12/25/36 (d) | 14,273 | |||||||||
45,868 | 1.94%, (1 Month US Libor + 0.15%), 5/25/37 (d) | 44,472 | |||||||||
21,452 | 1.93%, (1 Month US Libor + 0.14%), 6/25/47 (d) | 18,849 | |||||||||
6,195 | Credit Suisse First Boston Mortgage Securities Corp, 4.50%, 7/25/20 | 6,134 | |||||||||
9,521 | CWABS Asset-Backed Certificates Trust 2006-17, 1.94%, (1 Month US Libor + 0.15%), 3/25/47 (d) | 8,988 | |||||||||
22,482 | Encore Credit Receivables Trust 2005-1, 2.45%, (1 Month US Libor + 0.66%), 7/25/35 (d) | 21,085 | |||||||||
26,290 | FBR Securitization Trust, 2.47%, (1 Month US Libor + 0.68%), 10/25/35 (d) | 25,581 |
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 5.7% (continued) | |||||||||||
$ | 22,913 | Freddie Mac Multifamily Structured Pass Through Certificates, 2.40%, (1 Month US Libor + 0.70%), 9/25/22 (d) | $ | 22,891 | |||||||
Government National Mortgage Association | |||||||||||
73,745 | 2.37%, (1 Month US Libor + 0.60%), 5/20/65 (d) | 73,462 | |||||||||
77,768 | 2.39%, (1 Month US Libor + 0.62%), 8/20/65 (d) | 77,506 | |||||||||
2,329 | 2.47%, (1 Month US Libor + 0.70%), 10/20/65 (d) | 2,336 | |||||||||
74,952 | 2.77%, (1 Month US Libor + 1.00%), 12/20/65 (d) | 75,754 | |||||||||
26,679 | Great Hall Mortgages No 1 PLC, 2.03%, (3 Month US Libor + 0.13%), 6/18/39 (c,d) | 25,957 | |||||||||
23,691 | GreenPoint Mortgage Funding Trust 2006-AR2, 4.24%, (1 Year CMT + 2.00%), 3/25/36 (d) | 23,632 | |||||||||
17,728 | GSAMP Trust 2006-HE4, 1.93%, (1 Month US Libor + 0.14%), 6/25/36 (d) | 17,094 | |||||||||
8,494 | GSR Mortgage Loan Trust 2005-AR6, 4.27%, 9/25/35 (d) | 8,427 | |||||||||
9,805 | Impac CMB Trust Series 2005-8, 2.49%, (1 Month US Libor + 0.70%), 2/25/36 (d) | 9,204 | |||||||||
15,792 | IndyMac INDX Mortgage Loan Trust 2006-AR4, 2.00%, (1 Month US Libor + 0.21%), 5/25/46 (d) | 15,148 | |||||||||
1,562 | JP Morgan Mortgage Trust 2006-S2, 5.88%, 6/25/21 | 1,553 | |||||||||
6,804 | Long Beach Mortgage Loan Trust 2004-2, 3.41%, (1 Month US Libor + 1.62%), 6/25/34 (d) | 6,768 | |||||||||
24,262 | Long Beach Mortgage Loan Trust 2005-3, 2.31%, (1 Month US Libor + 0.52%), 8/25/45 (d) | 22,852 | |||||||||
28,063 | Long Beach Mortgage Loan Trust 2006-7, 1.95%, (1 Month US Libor + 0.16%), 8/25/36 (d) | 16,468 | |||||||||
8,838 | MortgageIT Trust 2005-4, 2.07%, (1 Month US Libor + 0.28%), 10/25/35 (d) | 8,477 | |||||||||
97,443 | New Residential Mortgage Loan Trust 2019-RPL3, 2.75%, 7/25/59 (c,d) | 97,478 | |||||||||
18,722 | RASC Series 2004-KS10 Trust, 3.52%, (1 Month US Libor + 1.73%), 11/25/34 (d) | 18,273 | |||||||||
10,064 | Reperforming Loan REMIC Trust 2006-R1, 2.13%, (1 Month US Libor + 0.34%), 1/25/36 (c,d) | 9,234 | |||||||||
23,351 | SLC Student Loan Trust 2006-2, 1.99%, (3 Month US Libor + 0.10%), 9/15/26 (d) | 23,291 | |||||||||
5,857 | SLM Student Loan Trust 2005-3, 2.03%, (3 Month US Libor + 0.09%), 10/25/24 (d) | 5,849 | |||||||||
16,809 | Soundview Home Loan Trust 2007-WMC1, 1.90%, (1 Month US Libor + 0.11%), 2/25/37 (d) | 6,084 |
See accompanying notes to financial statements.
44
Global Atlantic PIMCO Tactical Allocation Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 5.7% (continued) | |||||||||||
Structured Adjustable Rate Mortgage Loan Trust | |||||||||||
$ | 6,026 | 4.39%, 2/25/34 (d) | $ | 5,871 | |||||||
5,712 | 4.14%, 9/25/34 (d) | 5,608 | |||||||||
9,202 | Structured Adjustable Rate Mortgage Loan Trust Series 2005-19XS, 2.09%, (1 Month US Libor + 0.30%), 10/25/35 (d) | 9,061 | |||||||||
5,903 | Structured Asset Investment Loan Trust 2004-7, 2.84%, (1 Month US Libor + 1.05%), 8/25/34 (d) | 5,722 | |||||||||
16,630 | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC2, 1.94%, (1 Month US Libor + 0.15%), 9/25/36 (d) | 15,183 | |||||||||
40,599 | WaMu Mortgage Pass-Through Certificates Series 2006-AR9 Trust, 2.63%, (COFI + 1.50%), 8/25/46 (d) | 40,473 | |||||||||
14,278 | WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust, 3.50%, 4/25/37 (d) | 12,509 | |||||||||
TOTAL ASSET BACKED AND COMMERCIAL BACKED SECURITIES (Cost - $1,510,040) | 1,529,268 | ||||||||||
SOVEREIGN DEBTS - 1.6% | |||||||||||
200,000 | Development Bank of Japan, Inc., 1.63%, 9/1/21 (c) | 199,057 | |||||||||
200,000 | Japan Finance Organization for Municipalities, 2.13%, 10/25/23 (c) | 200,536 | |||||||||
100,000 | Peruvian Government International Bond, 8.20%, 8/12/26 (c) | 38,428 | |||||||||
TOTAL SOVEREIGN DEBTS (Cost - $436,239) | 438,021 | ||||||||||
MUNICIPAL BONDS - 0.1% | |||||||||||
30,000 | New Jersey Transportation Trust Fund Authority, 2.55%, 6/15/23 (Cost - $30,000) | 30,090 |
Shares/ Principal | Fair Value | ||||||||||
SHORT-TERM INVESTMENTS - 8.0% | |||||||||||
U.S. TREASURY SECURITIES - 7.8% | |||||||||||
U.S. Treasury Bill | |||||||||||
$ | 100,000 | 1.73%, 1/2/20 (a) | $ | 100,000 | |||||||
200,000 | 1.57%, 1/14/20 (a) | 199,902 | |||||||||
200,000 | 1.60%, 1/28/20 (a) | 199,789 | |||||||||
200,000 | 1.58%, 1/30/20 (a) | 199,773 | |||||||||
800,000 | 1.60%, 2/11/20 (a) | 798,678 | |||||||||
200,000 | 1.57%, 2/13/20 (a) | 199,653 | |||||||||
200,000 | 1.56%, 3/12/20 (a) | 199,416 | |||||||||
200,000 | 1.57%, 3/26/20 (a) | 199,296 | |||||||||
TOTAL U.S. TREASURY SECURITIES (Cost - $2,096,310) | 2,096,507 | ||||||||||
MONEY MARKET FUNDS - 0.2% | |||||||||||
60,963 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (e) (Cost - $60,963) | 60,963 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $2,157,273) | 2,157,470 | ||||||||||
TOTAL INVESTMENTS - 118.6% (Cost - $29,114,201) | $ | 31,871,205 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET - (18.6)% | (4,982,585) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 26,888,620 |
(a) Rate shown represents discount rate at the time of purchase.
(b) When-issued, or delayed delivery. All or a portion may be subject to dollar-roll transactions.
(c) 144A - Security was purchased pursuant to Rule 144a under the Securities Act of 1933 and may not be resold subject to that rule, except to qualified institutional buyers. As of December 31, 2019, these securities amounted to $1,540,176 or 5.7% of net assets.
(d) Variable rate security. The rate shown is the rate in effect at period end.
(e) The rate shown is the annualized seven-day yield at period end.
CLO - Collateralized Loan Obligation
PLC - Public Limited Company
REMIC - Real Estate Mortgage Investment Conduit
Libor - London Interbank Offered Rate
ICE GBP Swap - ICE Swap Rate
CMT - Treasury Constant Maturity Rate
COFI - 11th District Monthly Weighted Average Cost of Funds Index
See accompanying notes to financial statements.
45
Global Atlantic PIMCO Tactical Allocation Portfolio
Portfolio of Investments (Continued)
December 31, 2019
FUTURES CONTRACTS | |||||||||||||||||||||||
LONG FUTURES CONTRACTS | Counterparty | Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Euro-BTP Future | Goldman Sachs & Co. | 3 | 3/6/2020 | $ | 479,734 | $ | (5,489 | ) | |||||||||||||||
S&P 500 E-Mini Future | Goldman Sachs & Co. | 75 | 3/20/2020 | 12,116,625 | 246,207 | ||||||||||||||||||
U.S. 10 Year Note Future | Goldman Sachs & Co. | 4 | 3/20/2020 | 513,688 | (5,750 | ) | |||||||||||||||||
U.S. 10 Year Ultra Future | Goldman Sachs & Co. | 4 | 3/20/2020 | 562,813 | (8,469 | ) | |||||||||||||||||
226,499 | |||||||||||||||||||||||
SHORT FUTURES CONTRACTS | |||||||||||||||||||||||
Euro-Bund Future | Goldman Sachs & Co. | 2 | 3/6/2020 | 382,750 | 6,600 | ||||||||||||||||||
Euro-OAT Future | Goldman Sachs & Co. | 1 | 3/6/2020 | 182,709 | 2,402 | ||||||||||||||||||
Long Gilt Future | Goldman Sachs & Co. | 6 | 3/27/2020 | 1,044,274 | 9,181 | ||||||||||||||||||
U.S. Long Bond Future | Goldman Sachs & Co. | 8 | 3/20/2020 | 1,247,250 | 28,937 | ||||||||||||||||||
U.S. Ultra Bond Future | Goldman Sachs & Co. | 2 | 3/20/2020 | 363,313 | 10,251 | ||||||||||||||||||
57,371 | |||||||||||||||||||||||
TOTAL NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $ | 283,870 |
INTEREST RATE SWAPS | |||||||||||||||||||||||||||||||||||
Counterparty | Payment Frequency | Fund Receives | Fund Pays | Expiration Date | Notional Amount | Fair Value | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
Goldman Sachs & Co. | Quarterly | 1.25 | % | 3 Month US Libor | 06/17/30 | 400,000 | USD | $ | 24,185 | $ | 22,579 | $ | 1,606 | ||||||||||||||||||||||
Goldman Sachs & Co. | Semi-Annually | 0.15 | % | 6 Month Euribor | 06/17/30 | 100,000 | EUR | (1,264 | ) | 80 | (1,344 | ) | |||||||||||||||||||||||
TOTAL NET UNREALIZED APPRECIATION ON INTEREST RATE SWAPS | $ | 22,659 | $ | 262 |
CREDIT DEFAULT SWAPS | |||||||||||||||||||||||||||||||||||||||||||
Counterparty | Index | Payment Frequency | Buy/Sell Protection | Fixed Rate Received | Fixed Rate Paid | Expiration Date | Notional Amount | Fair Value | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||||||
Citibank NA | CDX.NA.HY.32 | Quarterly | Buy | 5.00 | % | - | 06/20/24 | 196,000 | USD | $ | 19,699 | $ | 10,318 | $ | 9,381 | ||||||||||||||||||||||||||||
JPMorgan | CDX IG33 | Quarterly | Buy | 1.00 | % | - | 12/20/24 | 1,900,000 | USD | 49,893 | 37,160 | 12,732 | |||||||||||||||||||||||||||||||
TOTAL NET UNREALIZED APPRECIATION ON CREDIT DEFAULT SWAPS | $ | 47,478 | $ | 22,113 |
FORWARD FOREIGN CURRENCY CONTRACTS | |||||||||||||||||||
Settlement Date | Counterparty | Currency Units to Receive | In Exchange For | Unrealized Appreciation (Depreciation) | |||||||||||||||
01/10/20 | Barclays Bank PLC | 41,000 | EUR | 45,280 | USD | $ | 771 | ||||||||||||
01/10/20 | Barclays Bank PLC | 13,000 | GBP | 17,113 | USD | 114 | |||||||||||||
01/10/20 | Barclays Bank PLC | 31,030 | USD | 24,000 | GBP | (773 | ) | ||||||||||||
01/15/20 | Barclays Bank PLC | 37,585 | USD | 126,985 | PEN | (747 | ) | ||||||||||||
01/16/20 | Barclays Bank PLC | 1,223,000 | MXN | 62,004 | USD | 2,606 | |||||||||||||
02/14/20 | Barclays Bank PLC | 46,916,160 | COP | 13,564 | USD | 706 | |||||||||||||
02/14/20 | Barclays Bank PLC | 20,400,000 | JPY | 188,907 | USD | (714 | ) | ||||||||||||
03/18/20 | Barclays Bank PLC | 237,608,000 | IDR | 16,694 | USD | 299 | |||||||||||||
03/18/20 | Barclays Bank PLC | 1,135,712 | INR | 15,672 | USD | 111 | |||||||||||||
TOTAL NET UNREALIZED APPRECIATION ON FORWARD FOREIGN CURRENCY CONTRACTS | $ | 2,373 |
See accompanying notes to financial statements.
46
Global Atlantic Select Advisor Managed Risk Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide capital appreciation and income while seeking to manage volatility.
Management Review
The capital appreciation and income component is sub-advised by Wilshire Associates Incorporated ("Wilshire"), while the managed risk component is sub-advised by Milliman Financial Risk Management LLC ("Milliman").
How did the Portfolio perform during the period?
During 2019, the Portfolio outperformed its reference benchmark, the S&P Global Managed Risk LargeMidCap Index – Moderate. The Portfolio posted a return of 19.96% compared to a benchmark return of 19.68%, a difference of 28 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
The Portfolio was overweight equities versus fixed income during the first six months of 2019, which contributed to performance. The Portfolio was impacted by both dynamic asset allocation tilts as well as manager selection during 2019. An overweight to U.S. value equities generally weighed on relative performance, though absolute returns from U.S. value equities were strong. Wilshire's overweight to U.S. value equities is driven by what Wilshire considers to be a combination of highly attractive relative valuations, lower beta, and potential mean reversion.
Exposure to U.S. small cap equities was increased modestly in order to take advantage of relatively more attractive valuations vis-a-vis large cap. The combination of being overweight value and small cap equities was a detractor to performance. In the first quarter of 2019, the Portfolio reduced its allocation to the iShares Short-Term Corporate Bond ETF in order to reduce the underweight to fixed income duration. This change was made in conjunction with Wilshire's view that the likelihood of a dramatic rise in interest rates was reduced going forward. The underweight to duration was a detractor to performance. The Portfolio was overweight foreign, developed and emerging markets equities during the year. Although those markets produced strong absolute returns, the decision to overweight exposure to those markets was a mild performance detractor.
Manager selection was a positive during the year, more than offsetting the drag from asset allocation, with outperformance of the underlying funds estimated to have added +1.96% to Portfolio returns for the year. The Portfolio had several underlying funds and ETFs generate stand-alone returns in excess of 25% for the year, but the two strongest performing stand-alone allocations were MFS® VIT Mid Cap Growth Series and MFS® VIT Growth Series, which returned 38.66% and 38.15%, respectively as domestic growth equities generally outpaced all other major asset classes. Putnam VT Equity Income Fund was the strongest contributor of alpha by posting a return of 30.73% versus 26.54% for the Russell 1000 Value TR Index and contributing an estimated +0.54% to manager selection alpha.
The managed risk component was a significant detractor to performance during 2019, with the majority of the drag occurring during the first quarter. Consistent with other global equity markets, the S&P 500® Index corrected -13.52% in the fourth quarter of 2018, then recovered rapidly, up 13.65% in the first quarter of 2019. To put this into historical context, since 1950, quarterly S&P 500® returns of this magnitude have occurred less than 5% of the time. This correction and rapid recovery in the equity markets resulted in the Portfolio being underweight equity, particularly during December 2018 and January 2019. As a result, while the managed risk component worked as designed to protect the Portfolio during the market correction, and was therefore a meaningful contributor to performance during this period, it was a meaningful detractor to performance in early 2019.
How was the Portfolio positioned at period end?
Wilshire's overweight to U.S. value equities is driven by what Whilshire considers to be a combination of highly attractive relative valuations, lower beta, and potential mean reversion. Value equities are trading 2.6 standard deviations cheaper than
47
Global Atlantic Select Advisor Managed Risk Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
average, relative to growth equities, when measured over the past 15 years. That level of relative valuation dispersion implies that value equities (compared to growth) are currently cheaper than they will be 99.5% of the time. Earnings remain strong for many value sectors, while price-to-earnings expansion in recent years has not kept pace with growth equities.
Foreign equities, relative to domestic equities, remains another area of focus and the Portfolio is overweight foreign equities. Although earnings growth and manufacturing PMI within Europe has tailed off recently, the potential for outperformance exists. Reduced trade tensions provide the opportunity for improved global trade activity and positive economic growth in developed and emerging markets. Returns could also benefit from the U.S. dollar weakening and providing a tailwind to foreign equity results.
The Portfolio remains overweight domestic small cap equities. In Wilshire's opinion, small caps exhibit attractive valuations relative to large caps and there is more risk to large cap earnings, which have significant international revenue exposure. While late cycle risks may be presented to small cap companies, Wilshire believes that that small caps may have already priced in the late cycle risk and are poised to outperform in a recessionary environment and/or a cyclical recovery.
The Portfolio's performance figures for the periods ended December 31, 2019 as compared to its benchmark:
Annualized | Operating Expense* | ||||||||||||||||||||||||||||||
Inception Date | One Year | Three Years | Five Years | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | |||||||||||||||||||||||||||||||
Class II | October 31, 2013 | 19.96 | % | 9.04 | % | 5.78 | % | 6.25 | % | 1.84 | % | 1.22 | % | ||||||||||||||||||
S&P Global Managed Risk LargeMidCap Index - Moderate^ | 19.68 | % | 9.82 | % | 5.86 | % | 5.90 | % | |||||||||||||||||||||||
S&P Target Risk® Moderate Index (Total Return)+ | 15.71 | % | 7.58 | % | 5.44 | % | 5.42 | % |
The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Total returns would have been lower absent fee waivers by the Adviser. Performance figures for periods greater than one year are annualized. The returns shown do not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Prior to October 1, 2016, the Capital Appreciation and Income Component of the Portfolio were managed by the Adviser without the use of a sub-adviser. The performance prior to that date is attributable to the Adviser's asset allocation decisions.
* The estimated operating expense ratios for Class II shares, as disclosed in the most recent prospectus dated May 1, 2019. Ratios include Acquired Fund Fees and Expenses indirectly incurred by the Portfolio, if applicable. Gross operating expense ratio reflects the ratio of expenses absent waivers and/or reimbursements by the Adviser. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
^ Effective July 1, 2019, the Portfolio's benchmark is the S&P Global Managed Risk LargeMidCap Index - Moderate. The S&P Global Managed Risk LargeMidCap Index - Moderate is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 30% to the underlying bond index. Global Atlantic Investment Advisors, LLC believes that the new benchmark better reflects the Portfolio's investment strategy.
+ The S&P Target Risk® Moderate Index (Total Return) provides significant exposure to fixed income, while also providing increased opportunity for capital growth through equities. It is not possible to invest directly in an index.
48
Global Atlantic Select Advisor Managed Risk Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
Comparison of the Change in Value of a $10,000 Investment
Holdings by Asset Class | % of Net Assets | ||||||
Variable Insurance Trusts | 78.0 | % | |||||
Exchange Traded Funds | 17.2 | % | |||||
Short-Term Investments | 4.8 | % | |||||
Other Assets Less Liabilities - Net | 0.0 | %† | |||||
100.0 | % |
Please refer to the Portfolio of Investments in this annual report for more information regarding the Portfolio's holdings as of December 31, 2019.
† Represents less than 0.05%.
49
Global Atlantic Select Advisor Managed Risk Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
VARIABLE INSURANCE TRUSTS - 78.0% | |||||||||||
DEBT FUNDS - 18.1% | |||||||||||
1,537,362 | MFS Total Return Bond Series, Class I | $ | 20,723,641 | ||||||||
TOTAL DEBT FUNDS | 20,723,641 | ||||||||||
EQUITY FUNDS - 59.9% | |||||||||||
262,703 | American Century VP MID Capital Value, Class I | 5,432,689 | |||||||||
831,912 | American Century VP Value Fund, Class I | 9,750,008 | |||||||||
111,531 | Invesco VI International Growth Fund, Class I | 4,355,290 | |||||||||
255,963 | MFS Growth Series | 15,204,182 | |||||||||
400,624 | MFS VIT II - International Intrinsic Value Portfolio, Class I | 11,994,694 | |||||||||
82,026 | MFS VIT II Blended Research Core Equity Portfolio, Class I | 4,352,304 | |||||||||
328,539 | MFS VIT MID Capital Growth Series | 3,272,244 | |||||||||
520,735 | Putnam VT Equity Income | 14,148,358 | |||||||||
TOTAL EQUITY FUNDS | 68,509,769 | ||||||||||
TOTAL VARIABLE INSURANCE TRUST (Cost - $72,736,576) | 89,233,410 | ||||||||||
EXCHANGE TRADED FUNDS - 17.2% | |||||||||||
DEBT FUNDS - 5.8% | |||||||||||
62,818 | iShares Core Total USD Bond Market ETF | 3,273,446 | |||||||||
61,106 | iShares Short-Term Corporate Bond ETF, Class 3 | 3,277,115 | |||||||||
TOTAL DEBT FUNDS | 6,550,561 |
Shares/ Principal | Fair Value | ||||||||||
EQUITY FUNDS - 11.4% | |||||||||||
40,578 | iShares Core MSCI Emerging Markets ETF | $ | 2,181,473 | ||||||||
65,484 | iShares MSCI EAFE Value ETF | 3,269,616 | |||||||||
12,336 | iShares Russell 1000 Growth ETF | 2,170,149 | |||||||||
32,720 | iShares Russell 2000 ETF | 5,420,723 | |||||||||
TOTAL EQUITY FUNDS | 13,041,961 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $16,856,571) | 19,592,522 | ||||||||||
SHORT-TERM INVESTMENTS - 4.8% | |||||||||||
MONEY MARKET FUNDS - 4.8% | |||||||||||
5,514,465 | Dreyfus Government Cash Management, 1.51% (a) | 5,514,465 | |||||||||
5,983 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (a) | 5,983 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $5,520,448) | 5,520,448 | ||||||||||
TOTAL INVESTMENTS - 100.0% (Cost - $95,113,595) | $ | 114,346,380 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET - 0.0%† | 24,122 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 114,370,502 |
† Represents less than 0.05%.
(a) The rate shown is the annualized seven-day yield at period end.
See accompanying notes to financial statements.
50
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide capital appreciation and income while seeking to manage volatility.
Management Review
The capital appreciation and income component is sub-advised by Wellington Management Company LLP ("Wellington Management") while the managed risk component is sub-advised by Milliman Financial Risk Management LLC ("Milliman").
How did the Portfolio perform during the period?
During 2019, the Portfolio outperformed its reference benchmark, the S&P 500 Managed Risk Index – Moderate Conservative. The Portfolio posted a return of 19.32% compared to a benchmark return of 18.19%, a difference of 113 basis points. The following discussion of relative performance pertains to this benchmark unless otherwise noted.
What factors and allocation decisions influenced the Portfolio's performance?
The equity portion of the Capital Appreciation and Income Component of the Portfolio outperformed the S&P 500® Index, net of fees, during the year, returning 32.08%, versus the benchmark return of 31.49%, a difference of 106 basis points. Relative equity outperformance was driven by strong security selection within the information technology and real estate sectors, partially offset by weaker security selection within the consumer discretionary and consumer staples sectors.
Top relative contributors of the equity portion of the Portfolio during the year included an overweight to Advanced Micro Devices, Inc. (0.53%), not holding S&P 500® Index constituent Berkshire Hathaway Inc. (financials), and an out of benchmark position in Burlington Stores (0.27%). Advanced Micro Devices, Inc., a semiconductor manufacturer, was the largest contributor to relative performance. Shares rose as Advanced Micro Devices, Inc. continues to grow market share across desktop, mobile, and server CPUs. Not holding Berkshire Hathaway, Inc., a US-based financial services holding company, benefited relative performance over the year. Shares of the company fell after shares of one of Berkshire's top holdings, Kraft Heinz Company, fell on news of a dividend cut and a pending SEC investigation. Burlington Stores, a U.S.-based department store retailer, contributed to relative returns. Shares of Burlington Stores rose following several consecutive positive earnings releases that beat estimates while raising guidance.
Top relative detractors of the equity portion of the Portfolio during the year included an underweight to Apple Inc. ("Apple") (2.33%), and out of benchmark positions in TD Ameritrade (0.27%) and Teva Pharmaceutical Industries Ltd. ("Teva Pharmaceuticals") (0.0%). The Portfolio's underweight to Apple, the U.S.-based leader in mobile services and digital content distribution markets, was the top detractor of the equity portion during the year. Shares of Apple rose after several positive earnings releases that were above expectations. Recently, Apple benefited from a surge in sales in its wearable market. Sales of the Apple Watch, AirPods and Beats headphones nearly tripled year-over-year. The Portfolio's out of benchmark position in TD Ameritrade, an online brokerage company, also detracted from relative results. Shares of TD Ameritrade fell sharply in September after market leader Charles Schwab Corporation ("Schwab") announced plans to eliminate commissions on U.S. stocks, ETFs and options. The escalating price war among online brokerages directly affects TD Ameritrade, as a significant portion of its revenue comes from commissions and fees. Shares later rebounded in response to news that Schwab had agreed to acquire TD Ameritrade for a premium. The Portfolio's out of benchmark position in Teva Pharmaceutical, an Israeli-based pharmaceutical company that develops, manufactures, and distributes generic and specialty medicines, also detracted from relative performance during the year. Shares of Teva Pharmaceuticals fell during the year in response to the expansion of a 2016 lawsuit alleging industry price-fixing. The stock also experienced weakness after the announcement of an unexpected cash settlement over the company's role in the production and manufacturing of opioids.
The fixed income portion of the Capital Appreciation and Income Component of the Portfolio outperformed the Bloomberg Barclays U.S. Aggregate Bond Index, net of fees, during the year, returning 9.07% versus the benchmark return of 8.72%, a difference of 75 basis points. Sector allocation and security selection contributed positively to relative results in the fixed income portion of the Portfolio. An overweight to, and security selection within, investment grade credit contributed the
51
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
most to results, particularly positioning within financials (banking) and taxable municipals. A positive impact from security selection within industrials was partially offset by a negative impact from being underweight to the sector. An underweight to sovereigns and lack of exposure to supranational detracted from results. Within the securitized sectors, an overweight to commercial mortgage backed securities ("CMBS"), and out of benchmark allocations to non-agency mortgage backed securities and collateralized loan obligations ("CLOs") all contributed positively to results. Agency mortgage backed securities ("MBS") detracted from results overall: a negative impact from an underweight to, and security selection within, MBS passthroughs was partially offset by a positive impact from an out-of-benchmark allocation to collateralized mortgage obligations ("CMOs"). Inflation positioning via Treasury inflation protected securities contributed modestly to performance. A relatively neutral duration/yield curve positioning during the year also benefited results.
The managed risk component was a significant detractor to performance during 2019, with the majority of the drag occurring during the first quarter. Consistent with other global equity markets, the S&P 500® Index corrected -13.52% in the fourth quarter of 2018, then recovered rapidly, up 13.65% in the first quarter of 2019. To put this into historical context, since 1950, quarterly S&P 500® returns of this magnitude have occurred less than 5% of the time. This correction and rapid recovery in the equity markets resulted in the Portfolio being underweight equity, particularly during December 2018 and January 2019. As a result, while the managed risk component worked as designed to protect the Portfolio during the market correction, and was therefore a meaningful contributor to performance during this period, it was a meaningful detractor to performance in early 2019.
How was the Portfolio positioned at period end?
The equity portion of the Portfolio is managed in an industry-neutral structure by Wellington Management's US Research Equity Team, and is designed to add value through fundamental, bottom-up stock selection. The equity portion of the Portfolio consists of multiple sub-portfolios, with each sub-portfolio actively managed by one or more of Wellington Management's Global Industry Analysts. The allocation of assets to each sub-portfolio corresponds to the relative weight of the analysts' coverage universe within the S&P 500® Index. However, within an industry, an analyst's stock selection may result in an overweight or underweight to certain sub-industries in his or her area of coverage. Wellington Management's Global Industry Analysts remain focused on fundamental, bottom-up stock selection with an eye on how the macro-economic outlook will affect the companies in which they invest.
Wellington Management's US Research Equity Team continues to believe the broad health care sector is attractive with several important themes driving structural growth longer term: demographic trends (aging population), spending (secular growth in expenditures), and innovation. The equity portion of the Portfolio's top active positions include Anthem, Inc., AstraZeneca plc, and Abbott Laboratories. The Wellington Management team's outlook for medical devices also remains strong.
Within information technology, Wellington Management's US Research Equity Team continues to see major themes pertaining to cloud computing growth, "software as a service," and the ongoing transition to electronic payments. Among Wellington Management's top active positions is Global Payments Inc., a payment technology/software solutions company that helps merchants accept various payment types and improve efficiency.
At the end of the year, the fixed income portion of the Portfolio was modestly pro-cyclically positioned in credit markets with a moderately long duration posture. At year-end, the fixed income portion of the Portfolio was most overweight corporate bonds and securitized debt, and most underweight U.S. government securities relative to the Bloomberg Barclays U.S. Aggregate Bond Index. Going forward, the Wellington Management fixed income investment team expects to incrementally reduce corporate exposure in favor of higher quality and less volatile sectors. Within securitized, the fixed income portion of the Portfolio was positioned with an overweight to asset backed securities, particularly high quality CLOs, and to CMOs and CMBS. The fixed income portion of the Portfolio was also overweight taxable municipals, which the Wellington Management fixed income team believes offers diversification benefits relative to corporate bonds.
52
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
The Portfolio's performance figures for the periods ended December 31, 2019 as compared to its benchmark:
Annualized | Operating Expense* | ||||||||||||||||||||||||||||||
Inception Date | One Year | Three Years | Five Years | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | |||||||||||||||||||||||||||||||
Class II | October 31, 2013 | 19.32 | % | 8.89 | % | 6.37 | % | 7.19 | % | 1.22 | % | 1.22 | % | ||||||||||||||||||
S&P 500 Managed Risk Index - Moderate Conservative^ | 18.19 | % | 9.79 | % | 7.09 | % | 7.93 | % | |||||||||||||||||||||||
S&P Target Risk® Moderate Index (Total Return)+ | 15.71 | % | 7.58 | % | 5.44 | % | 5.42 | % |
The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Total returns would have been lower absent fee waivers by the Adviser. Performance figures for periods greater than one year are annualized. The returns shown do not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account.
* The estimated operating expense ratios for Class II shares, as disclosed in the most recent prospectus dated May 1, 2019. Ratios include Acquired Fund Fees and Expenses indirectly incurred by the Portfolio, if applicable. Gross operating expense ratio reflects the ratio of expenses absent waivers and/or reimbursements by the Adviser. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
^ Effective July 1, 2019, the Portfolio's benchmark is the S&P 500 Managed Risk Index - Moderate Conservative. The S&P 500 Managed Risk Index - Moderate Conservative is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation to the underlying bond index. Global Atlantic Investment Advisors, LLC believes that the new benchmark better reflects the Portfolio's investment strategy.
+ The S&P Target Risk® Moderate Index (Total Return) provides significant exposure to fixed income, while also providing increased opportunity for capital growth through equities. It is not possible to invest directly in an index.
Comparison of the Change in Value of a $10,000 Investment
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Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
Holdings by Asset Class | % of Net Assets | ||||||
Common Stocks | 63.4 | % | |||||
Corporate Bonds and Notes | 12.8 | % | |||||
Agency Mortgage Backed Securities | 8.0 | % | |||||
Asset Backed and Commercial Backed Securities | 5.6 | % | |||||
U.S. Treasury Securities | 4.6 | % | |||||
Municipal Bonds | 0.8 | % | |||||
Sovereign Debts | 0.3 | % | |||||
Short-Term Investments | 5.1 | % | |||||
Other Assets Less Liabilities - Net | (0.6 | )% | |||||
100.0 | % |
Please refer to the Portfolio of Investments in this annual report for more information regarding the Portfolio's holdings as of December 31, 2019.
Derivative exposure is included in "Other Assets Less Liabilities - Net".
54
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
COMMON STOCKS - 63.4% | |||||||||||
AEROSPACE & DEFENSE - 2.2% | |||||||||||
6,961 | Boeing Co. (The) | $ | 2,267,615 | ||||||||
8,712 | Lockheed Martin Corp. | 3,392,279 | |||||||||
27,937 | United Technologies Corp. | 4,183,845 | |||||||||
9,843,739 | |||||||||||
AIR FREIGHT & LOGISTICS - 0.2% | |||||||||||
4,805 | FedEx Corp. | 726,564 | |||||||||
BANKS - 2.1% | |||||||||||
198,202 | Bank of America Corp. | 6,980,675 | |||||||||
12,178 | JPMorgan Chase & Co. | 1,697,613 | |||||||||
2,805 | SVB Financial Group* | 704,167 | |||||||||
9,382,455 | |||||||||||
BEVERAGES - 1.3% | |||||||||||
108,659 | Coca-Cola Co. (The) | 6,014,276 | |||||||||
BIOTECHNOLOGY - 1.3% | |||||||||||
5,600 | 89bio, Inc.* | 147,224 | |||||||||
1,173 | Alnylam Pharmaceuticals, Inc.* | 135,094 | |||||||||
2,411 | Apellis Pharmaceuticals, Inc.* | 73,825 | |||||||||
3,036 | Assembly Biosciences, Inc.* | 62,117 | |||||||||
3,737 | Atreca, Inc., Class A* | 57,811 | |||||||||
1,386 | Audentes Therapeutics, Inc.* | 82,938 | |||||||||
2,339 | Biogen, Inc.* | 694,051 | |||||||||
5,052 | Biohaven Pharmaceutical Holding Co. Ltd.* | 275,031 | |||||||||
2,000 | Bluebird Bio, Inc.* | 175,500 | |||||||||
12,210 | Coherus Biosciences, Inc.* | 219,841 | |||||||||
2,300 | Constellation Pharmaceuticals, Inc.* | 108,353 | |||||||||
11,167 | Forty Seven, Inc.* | 439,645 | |||||||||
5,541 | G1 Therapeutics, Inc.* | 146,449 | |||||||||
2,826 | Global Blood Therapeutics, Inc.* | 224,639 | |||||||||
7,464 | GlycoMimetics, Inc.* | 39,485 | |||||||||
4,129 | Heron Therapeutics, Inc.* | 97,031 | |||||||||
2,317 | Incyte Corp.* | 202,320 | |||||||||
2,000 | Kodiak Sciences, Inc.* | 143,900 | |||||||||
1,353 | Madrigal Pharmaceuticals, Inc.* | 123,272 | |||||||||
7,973 | Medicines Co. (The)* | 677,227 | |||||||||
6,300 | Momenta Pharmaceuticals, Inc.* | 124,299 | |||||||||
8,561 | Myovant Sciences Ltd.* | 132,867 | |||||||||
3,000 | PhaseBio Pharmaceuticals, Inc.* | 18,330 | |||||||||
9,827 | Portola Pharmaceuticals, Inc.* | 234,669 | |||||||||
4,524 | Radius Health, Inc.* | 91,204 | |||||||||
15,838 | Rigel Pharmaceuticals, Inc.* | 33,893 | |||||||||
2,804 | Seattle Genetics, Inc.* | 320,385 | |||||||||
7,774 | Syndax Pharmaceuticals, Inc.* | 68,256 | |||||||||
2,210 | Vertex Pharmaceuticals, Inc.* | 483,879 | |||||||||
5,633,535 |
Shares/ Principal | Fair Value | ||||||||||
CAPITAL MARKETS - 1.8% | |||||||||||
30,493 | Ares Management Corp., Class A | $ | 1,088,295 | ||||||||
38,252 | Blackstone Group, Inc. (The), Class A | 2,139,817 | |||||||||
38,787 | Blucora, Inc.* | 1,013,892 | |||||||||
13,772 | Hamilton Lane, Inc., Class A | 820,811 | |||||||||
7,146 | Raymond James Financial, Inc. | 639,281 | |||||||||
4,927 | S&P Global, Inc. | 1,345,318 | |||||||||
23,911 | TD Ameritrade Holding Corp. | 1,188,377 | |||||||||
8,235,791 | |||||||||||
CHEMICALS - 1.5% | |||||||||||
21,755 | Cabot Corp. | 1,033,798 | |||||||||
6,491 | Celanese Corp. | 799,172 | |||||||||
10,848 | FMC Corp. | 1,082,847 | |||||||||
8,466 | Ingevity Corp.* | 739,759 | |||||||||
7,747 | Linde PLC | 1,649,336 | |||||||||
12,921 | Livent Corp.* | 110,475 | |||||||||
10,949 | PPG Industries, Inc. | 1,461,582 | |||||||||
6,876,969 | |||||||||||
COMMUNICATIONS EQUIPMENT - 0.2% | |||||||||||
13,901 | Lumentum Holdings, Inc.* | 1,102,349 | |||||||||
CONSTRUCTION & ENGINEERING - 0.1% | |||||||||||
8,124 | Dycom Industries, Inc.* | 383,046 | |||||||||
CONSUMER FINANCE - 0.5% | |||||||||||
12,701 | American Express Co. | 1,581,148 | |||||||||
18,481 | OneMain Holdings, Inc. | 778,974 | |||||||||
2,360,122 | |||||||||||
CONTAINERS & PACKAGING - 0.5% | |||||||||||
21,697 | Ball Corp. | 1,403,145 | |||||||||
16,998 | International Paper Co. | 782,758 | |||||||||
2,185,903 | |||||||||||
DIVERSIFIED CONSUMER SERVICES - 0.1% | |||||||||||
42,794 | Houghton Mifflin Harcourt Co.* | 267,462 | |||||||||
DIVERSIFIED FINANCIAL SERVICES - 0.5% | |||||||||||
56,917 | AXA Equitable Holdings, Inc. | 1,410,403 | |||||||||
16,128 | Voya Financial, Inc. | 983,486 | |||||||||
2,393,889 | |||||||||||
DIVERSIFIED TELECOMMUNICATION - 0.9% | |||||||||||
68,072 | Verizon Communications, Inc. | 4,179,621 | |||||||||
ELECTRIC UTILITIES - 1.5% | |||||||||||
9,996 | Avangrid, Inc. | 511,395 | |||||||||
13,528 | Duke Energy Corp. | 1,233,889 | |||||||||
8,539 | Edison International | 643,926 | |||||||||
61,328 | Exelon Corp. | 2,795,943 | |||||||||
36,987 | PPL Corp. | 1,327,094 | |||||||||
6,512,247 |
See accompanying notes to financial statements.
55
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
ELECTRICAL EQUIPMENT - 0.2% | |||||||||||
2,127 | AMETEK, Inc. | $ | 212,147 | ||||||||
17,610 | nVent Electric PLC | 450,464 | |||||||||
421 | Rockwell Automation, Inc. | 85,324 | |||||||||
747,935 | |||||||||||
ENERGY EQUIPMENT & SERVICES - 0.3% | |||||||||||
34,856 | Schlumberger Ltd. | 1,401,211 | |||||||||
ENTERTAINMENT - 1.4% | |||||||||||
22,560 | Electronic Arts, Inc.* | 2,425,425 | |||||||||
8,522 | Liberty Media Corp.-Liberty Formula One, Class C* | 391,714 | |||||||||
4,730 | Netflix, Inc.* | 1,530,486 | |||||||||
2,429 | Spotify Technology SA* | 363,257 | |||||||||
11,597 | Walt Disney Co. (The) | 1,677,274 | |||||||||
6,388,156 | |||||||||||
EQUITY REAL ESTATE INVESTMENT - 2.1% | |||||||||||
8,074 | Alexandria Real Estate Equities, Inc. | 1,304,597 | |||||||||
14,022 | American Tower Corp. | 3,222,536 | |||||||||
9,230 | Camden Property Trust | 979,303 | |||||||||
4,623 | Equinix, Inc. | 2,698,445 | |||||||||
22,286 | Healthpeak Properties, Inc. | 768,198 | |||||||||
14,506 | STORE Capital Corp. | 540,204 | |||||||||
9,513,283 | |||||||||||
FOOD & STAPLES RETAILING - 0.3% | |||||||||||
22,000 | Performance Food Group Co.* | 1,132,560 | |||||||||
FOOD PRODUCTS - 0.8% | |||||||||||
63,486 | Mondelez International, Inc., Class A | 3,496,809 | |||||||||
GAS UTILITIES - 0.1% | |||||||||||
13,932 | UGI Corp. | 629,169 | |||||||||
HEALTH CARE EQUIPMENT & SUPPLIES - 2.3% | |||||||||||
45,149 | Abbott Laboratories | 3,921,642 | |||||||||
21,169 | Baxter International, Inc. | 1,770,152 | |||||||||
13,337 | Danaher Corp. | 2,046,963 | |||||||||
7,065 | Edwards Lifesciences Corp.* | 1,648,194 | |||||||||
5,812 | Envista Holdings Corp.* | 172,268 | |||||||||
16,482 | Shockwave Medical, Inc.* | 723,889 | |||||||||
10,283,108 | |||||||||||
HEALTH CARE PROVIDERS & SERVICES - 1.9% | |||||||||||
14,163 | Anthem, Inc. | 4,277,651 | |||||||||
9,101 | HCA Healthcare, Inc. | 1,345,219 | |||||||||
9,899 | UnitedHealth Group, Inc. | 2,910,108 | |||||||||
8,532,978 | |||||||||||
HOTELS, RESTAURANTS & LEISURE - 2.0% | |||||||||||
17,267 | Hyatt Hotels Corp., Class A | 1,549,023 | |||||||||
37,081 | McDonald's Corp. | 7,327,576 | |||||||||
8,876,599 |
Shares/ Principal | Fair Value | ||||||||||
HOUSEHOLD PRODUCTS - 1.3% | |||||||||||
46,850 | Procter & Gamble Co. (The) | $ | 5,851,565 | ||||||||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS - 0.4% | |||||||||||
40,064 | NRG Energy, Inc. | 1,592,544 | |||||||||
INDUSTRIAL CONGLOMERATES - 0.2% | |||||||||||
3,964 | 3M Co. | 699,329 | |||||||||
32,909 | General Electric Co. | 367,264 | |||||||||
1,066,593 | |||||||||||
INSURANCE - 2.5% | |||||||||||
38,799 | American International Group, Inc. | 1,991,553 | |||||||||
9,670 | Assurant, Inc. | 1,267,544 | |||||||||
33,108 | Assured Guaranty Ltd. | 1,622,954 | |||||||||
25,822 | Athene Holding Ltd., Class A* | 1,214,409 | |||||||||
23,712 | Hartford Financial Services Group, Inc. (The) | 1,440,978 | |||||||||
14,952 | Marsh & McLennan Cos., Inc. | 1,665,802 | |||||||||
12,121 | Progressive Corp. (The) | 877,439 | |||||||||
5,031 | Prudential Financial, Inc. | 471,606 | |||||||||
13,391 | Trupanion, Inc.* | 501,627 | |||||||||
11,053,912 | |||||||||||
INTERACTIVE MEDIA & SERVICES - 3.3% | |||||||||||
7,514 | Alphabet, Inc., Class A* | 10,064,176 | |||||||||
23,927 | Facebook, Inc., Class A* | 4,911,017 | |||||||||
14,975,193 | |||||||||||
INTERNET & DIRECT MARKETING RETAIL - 2.3% | |||||||||||
5,604 | Amazon.com, Inc.* | 10,355,295 | |||||||||
IT SERVICES - 3.3% | |||||||||||
5,363 | FleetCor Technologies, Inc.* | 1,543,042 | |||||||||
24,524 | Genpact Ltd. | 1,034,177 | |||||||||
18,770 | Global Payments, Inc. | 3,426,651 | |||||||||
11,805 | GoDaddy, Inc., Class A* | 801,796 | |||||||||
14,797 | PayPal Holdings, Inc.* | 1,600,591 | |||||||||
8,245 | VeriSign, Inc.* | 1,588,647 | |||||||||
20,451 | Visa, Inc., Class A | 3,842,743 | |||||||||
4,275 | WEX, Inc.* | 895,442 | |||||||||
14,733,089 | |||||||||||
LIFE SCIENCES TOOLS & SERVICES - 0.6% | |||||||||||
8,830 | Thermo Fisher Scientific, Inc. | 2,868,602 | |||||||||
MACHINERY - 1.5% | |||||||||||
17,863 | Fortive Corp. | 1,364,555 | |||||||||
41,961 | Gardner Denver Holdings, Inc.* | 1,539,129 | |||||||||
5,614 | Greenbrier Cos., Inc. (The) | 182,062 | |||||||||
5,355 | Illinois Tool Works, Inc. | 961,919 | |||||||||
10,960 | Ingersoll-Rand PLC | 1,456,803 | |||||||||
7,323 | PACCAR, Inc. | 579,249 | |||||||||
5,382 | Rexnord Corp.* | 175,561 | |||||||||
6,200 | Westinghouse Air Brake Technologies Corp. | 482,360 | |||||||||
6,741,638 |
See accompanying notes to financial statements.
56
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
MEDIA - 1.4% | |||||||||||
4,297 | Charter Communications, Inc., Class A* | $ | 2,084,389 | ||||||||
89,017 | Comcast Corp., Class A | 4,003,094 | |||||||||
4,421 | New York Times Co. (The), Class A | 142,224 | |||||||||
6,229,707 | |||||||||||
MULTI-UTILITIES - 0.8% | |||||||||||
12,014 | National Grid PLC, ADR | 752,918 | |||||||||
17,609 | Sempra Energy | 2,667,411 | |||||||||
3,420,329 | |||||||||||
OIL, GAS & CONSUMABLE FUELS - 2.8% | |||||||||||
18,747 | BP PLC, ADR | 707,512 | |||||||||
17,016 | Chevron Corp. | 2,050,598 | |||||||||
5,480 | Concho Resources, Inc. | 479,884 | |||||||||
6,298 | Diamondback Energy, Inc. | 584,832 | |||||||||
109,370 | Encana Corp. | 512,945 | |||||||||
58,702 | Exxon Mobil Corp. | 4,096,226 | |||||||||
24,192 | Marathon Petroleum Corp. | 1,457,568 | |||||||||
27,730 | Noble Energy, Inc. | 688,813 | |||||||||
3,223 | Pioneer Natural Resources Co. | 487,865 | |||||||||
24,167 | TC Energy Corp. | 1,288,343 | |||||||||
12,354,586 | |||||||||||
PHARMACEUTICALS - 3.1% | |||||||||||
4,678 | Aerie Pharmaceuticals, Inc.* | 113,067 | |||||||||
68,515 | AstraZeneca PLC, ADR | 3,416,158 | |||||||||
38,152 | Bristol-Myers Squibb Co. | 2,448,977 | |||||||||
19,813 | Dermira, Inc.* | 300,365 | |||||||||
15,807 | Eli Lilly & Co. | 2,077,514 | |||||||||
4,088 | MyoKardia, Inc.* | 297,954 | |||||||||
10,775 | Nektar Therapeutics* | 232,578 | |||||||||
4,992 | Odonate Therapeutics, Inc.* | 161,991 | |||||||||
102,181 | Pfizer, Inc. | 4,003,452 | |||||||||
696 | Reata Pharmaceuticals, Inc., Class A* | 142,283 | |||||||||
15,979 | Revance Therapeutics, Inc.* | 259,339 | |||||||||
2,200 | Satsuma Pharmaceuticals, Inc.* | 43,296 | |||||||||
5,685 | Tricida, Inc.* | 214,552 | |||||||||
4,595 | WaVe Life Sciences Ltd.* | 36,829 | |||||||||
13,748,355 | |||||||||||
PROFESSIONAL SERVICES - 0.7% | |||||||||||
3,619 | Equifax, Inc. | 507,095 | |||||||||
21,975 | IHS Markit Ltd.* | 1,655,816 | |||||||||
5,203 | TransUnion | 445,429 | |||||||||
13,466 | TriNet Group, Inc.* | 762,310 | |||||||||
3,370,650 | |||||||||||
ROAD & RAIL - 0.7% | |||||||||||
10,363 | JB Hunt Transport Services, Inc. | 1,210,191 | |||||||||
1,794 | Norfolk Southern Corp. | 348,269 | |||||||||
53,123 | Uber Technologies, Inc.* | 1,579,878 | |||||||||
3,138,338 |
Shares/ Principal | Fair Value | ||||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 2.7% | |||||||||||
51,347 | Advanced Micro Devices, Inc.* | $ | 2,354,774 | ||||||||
3,496 | First Solar, Inc.* | 195,636 | |||||||||
16,192 | Intel Corp. | 969,091 | |||||||||
7,170 | KLA Corp. | 1,277,479 | |||||||||
48,380 | Lattice Semiconductor Corp.* | 925,993 | |||||||||
48,070 | Marvell Technology Group Ltd. | 1,276,739 | |||||||||
28,444 | Micron Technology, Inc.* | 1,529,718 | |||||||||
16,973 | Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 986,131 | |||||||||
10,844 | Teradyne, Inc. | 739,453 | |||||||||
14,124 | Texas Instruments, Inc. | 1,811,968 | |||||||||
12,066,982 | |||||||||||
SOFTWARE - 4.7% | |||||||||||
2,966 | Adobe, Inc.* | 978,216 | |||||||||
2,457 | Ceridian HCM Holding, Inc.* | 166,781 | |||||||||
3,395 | Guidewire Software, Inc.* | 372,669 | |||||||||
78,730 | Microsoft Corp. | 12,415,721 | |||||||||
12,276 | salesforce.com, Inc.* | 1,996,569 | |||||||||
1,711 | ServiceNow, Inc.* | 483,049 | |||||||||
9,847 | Slack Technologies, Inc., Class A* | 221,361 | |||||||||
2,807 | Splunk, Inc.* | 420,404 | |||||||||
33,579 | SS&C Technologies Holdings, Inc. | 2,061,751 | |||||||||
52,646 | SVMK, Inc.* | 940,784 | |||||||||
5,100 | Workday, Inc., Class A* | 838,695 | |||||||||
20,896,000 | |||||||||||
SPECIALTY RETAIL - 1.5% | |||||||||||
5,260 | Burlington Stores, Inc.* | 1,199,438 | |||||||||
11,160 | Lowe's Cos., Inc. | 1,336,521 | |||||||||
69,263 | TJX Cos., Inc. (The) | 4,229,199 | |||||||||
6,765,158 | |||||||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS - 2.5% | |||||||||||
35,494 | Apple, Inc. | 10,422,813 | |||||||||
15,719 | Western Digital Corp. | 997,685 | |||||||||
11,420,498 | |||||||||||
TEXTILES, APPAREL & LUXURY GOODS - 0.9% | |||||||||||
117,712 | Under Armour, Inc., Class A* | 2,542,579 | |||||||||
79,367 | Under Armour, Inc., Class C* | 1,522,259 | |||||||||
4,064,838 | |||||||||||
TRADING COMPANIES & DISTRIBUTORS - 0.1% | |||||||||||
9,372 | Triton International Ltd./Bermuda | 376,754 | |||||||||
TOTAL COMMON STOCKS (Cost - $201,420,309) | 284,190,402 |
See accompanying notes to financial statements.
57
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
CORPORATE BONDS AND NOTES - 12.8% | |||||||||||
AEROSPACE & DEFENSE - 0.3% | |||||||||||
$ | 100,000 | BAE Systems Holdings, Inc., 3.85%, 12/15/25 (a) | $ | 106,152 | |||||||
115,000 | Boeing Co. (The), 2.70%, 2/1/27 | 116,599 | |||||||||
Lockheed Martin Corp. | |||||||||||
125,000 | 6.15%, 9/1/36 | 171,086 | |||||||||
50,000 | 4.85%, 9/15/41 | 60,141 | |||||||||
100,000 | 4.07%, 12/15/42 | 114,199 | |||||||||
United Technologies Corp. | |||||||||||
150,000 | 3.95%, 8/16/25 | 163,587 | |||||||||
350,000 | 4.13%, 11/16/28 | 393,783 | |||||||||
1,125,547 | |||||||||||
AGRICULTURE - 0.3% | |||||||||||
100,000 | Altria Group, Inc., 5.80%, 2/14/39 | 117,652 | |||||||||
895,000 | BAT Capital Corp., 3.56%, 8/15/27 | 913,818 | |||||||||
20,000 | BAT International Finance PLC, 3.50%, 6/15/22 (a) | 20,549 | |||||||||
475,000 | Imperial Brands Finance PLC, 3.75%, 7/21/22 (a) | 489,081 | |||||||||
1,541,100 | |||||||||||
AIRLINES - 0.0%† | |||||||||||
32,159 | United Airlines 2018-1 Class B Pass Through Trust, 4.60%, 3/1/26 | 33,182 | |||||||||
AUTO MANUFACTURERS - 0.5% | |||||||||||
Daimler Finance North America LLC | |||||||||||
315,000 | 2.20%, 5/5/20 (a) | 315,159 | |||||||||
280,000 | 2.30%, 2/12/21 (a) | 280,529 | |||||||||
Ford Motor Credit Co. LLC | |||||||||||
475,000 | 3.10%, 5/4/23 | 474,645 | |||||||||
400,000 | 3.82%, 11/2/27 | 387,900 | |||||||||
General Motors Financial Co., Inc. | |||||||||||
600,000 | 3.70%, 5/9/23 | 618,594 | |||||||||
120,000 | 3.95%, 4/13/24 | 125,455 | |||||||||
2,202,282 | |||||||||||
BANKS - 3.5% | |||||||||||
200,000 | Banco Santander SA, 3.13%, 2/23/23 | 204,151 | |||||||||
Bank of America Corp. | |||||||||||
640,000 | 2.63%, 10/19/20 | 643,664 | |||||||||
160,000 | 4.20%, 8/26/24 | 171,810 | |||||||||
345,000 | 3.59%, (3 Month US Libor + 1.37%), 7/21/28 (b) | 365,727 | |||||||||
225,000 | 3.97%, (3 Month US Libor + 1.21%), 2/7/30 (b) | 247,020 | |||||||||
180,000 | 3.19%, (3 Month US Libor + 1.18%), 7/23/30 (b) | 186,225 | |||||||||
380,000 | Bank of New York Mellon Corp. (The), 2.99%, (3 Month US Libor + 1.05%), 10/30/23 (b) | 386,627 | |||||||||
300,000 | Banque Federative du Credit Mutuel SA, 2.75%, 10/15/20 (a) | 301,819 |
Shares/ Principal | Fair Value | ||||||||||
BANKS - 3.5% (Continued) | |||||||||||
$ | 100,000 | Barclays Bank PLC, 5.14%, 10/14/20 | $ | 102,092 | |||||||
355,000 | Barclays PLC, 3.93%, (3 Month US Libor + 1.61%), 5/7/25 (b) | 373,194 | |||||||||
BNP Paribas SA | |||||||||||
200,000 | 3.38%, 1/9/25 (a) | 207,727 | |||||||||
200,000 | 2.82%, (3 Month US Libor + 1.11%), 11/19/25 (a,b) | 202,375 | |||||||||
BPCE SA | |||||||||||
275,000 | 5.70%, 10/22/23 (a) | 303,713 | |||||||||
600,000 | 5.15%, 7/21/24 (a) | 658,469 | |||||||||
305,000 | 3.50%, 10/23/27 (a) | 315,183 | |||||||||
Citigroup, Inc. | |||||||||||
50,000 | 4.05%, 7/30/22 | 52,258 | |||||||||
300,000 | 3.50%, 5/15/23 | 312,251 | |||||||||
70,000 | 3.30%, 4/27/25 | 73,518 | |||||||||
55,000 | 5.50%, 9/13/25 | 62,892 | |||||||||
200,000 | Credit Agricole SA, 4.38%, 3/17/25 (a) | 214,415 | |||||||||
Credit Agricole SA/London | |||||||||||
250,000 | 3.75%, 4/24/23 (a) | 261,526 | |||||||||
250,000 | 3.25%, 10/4/24 (a) | 259,148 | |||||||||
50,000 | Credit Suisse AG/New York NY, 5.40%, 1/14/20 | 50,047 | |||||||||
Credit Suisse Group AG | |||||||||||
285,000 | 3.57%, 1/9/23 (a) | 292,852 | |||||||||
260,000 | 3.13%, (3 Month US Libor + 1.24%), 6/12/24 (a,b) | 263,113 | |||||||||
Credit Suisse Group Funding Guernsey Ltd. | |||||||||||
250,000 | 3.13%, 12/10/20 | 252,229 | |||||||||
395,000 | 3.80%, 9/15/22 | 411,253 | |||||||||
Danske Bank A/S | |||||||||||
200,000 | 5.00%, 1/12/22 (a) | 210,079 | |||||||||
200,000 | 3.88%, 9/12/23 (a) | 207,696 | |||||||||
200,000 | 5.38%, 1/12/24 (a) | 218,927 | |||||||||
100,000 | Deutsche Bank AG/New York NY, 4.25%, 10/14/21 | 102,852 | |||||||||
525,000 | Discover Bank, 3.10%, 6/4/20 | 526,954 | |||||||||
Goldman Sachs Group, Inc. (The) | |||||||||||
130,000 | 2.63%, 4/25/21 | 131,135 | |||||||||
200,000 | 3.50%, 1/23/25 | 209,963 | |||||||||
460,000 | 3.27%, (3 Month US Libor + 1.20%), 9/29/25 (b) | 476,240 | |||||||||
50,000 | 6.75%, 10/1/37 | 69,457 | |||||||||
HSBC Holdings PLC | |||||||||||
200,000 | 3.60%, 5/25/23 | 208,657 | |||||||||
200,000 | 4.04%, (3 Month US Libor + 1.55%), 3/13/28 (b) | 213,994 | |||||||||
250,000 | Huntington Bancshares, Inc., 3.15%, 3/14/21 | 253,102 | |||||||||
200,000 | ING Groep NV, 3.95%, 3/29/27 | 215,670 | |||||||||
JPMorgan Chase & Co. | |||||||||||
400,000 | 2.95%, 10/1/26 | 412,239 | |||||||||
305,000 | 4.45%, (3 Month US Libor + 1.33%), 12/5/29 (b) | 347,118 |
See accompanying notes to financial statements.
58
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
BANKS - 3.5% (Continued) | |||||||||||
$ | 300,000 | Macquarie Group Ltd., 4.15%, (3 Month US Libor + 1.33%), 3/27/24 (a,b) | $ | 315,293 | |||||||
Morgan Stanley | |||||||||||
110,000 | 3.88%, 4/29/24 | 116,939 | |||||||||
455,000 | 4.35%, 9/8/26 | 497,717 | |||||||||
225,000 | 3.63%, 1/20/27 | 239,583 | |||||||||
900,000 | NBK SPC Ltd., 2.75%, 5/30/22 (a) | 906,005 | |||||||||
50,000 | PNC Financial Services Group, Inc. (The), 3.90%, 4/29/24 | 53,205 | |||||||||
Santander Holdings USA, Inc. | |||||||||||
120,000 | 2.65%, 4/17/20 | 120,136 | |||||||||
465,000 | 3.70%, 3/28/22 | 477,951 | |||||||||
75,000 | 3.40%, 1/18/23 | 76,901 | |||||||||
200,000 | Skandinaviska Enskilda Banken AB, 2.45%, 5/27/20 (a) | 200,313 | |||||||||
250,000 | Synchrony Bank, 3.65%, 5/24/21 | 255,267 | |||||||||
350,000 | Truist Financial Corp., 3.20%, 9/3/21 | 356,725 | |||||||||
UBS Group AG | |||||||||||
250,000 | 2.95%, 9/24/20 (a) | 251,748 | |||||||||
225,000 | 3.00%, 4/15/21 (a) | 227,931 | |||||||||
200,000 | 3.13%, (3 Month US Libor + 1.47%), 8/13/30 (a,b) | 203,454 | |||||||||
Wells Fargo & Co. | |||||||||||
150,000 | 3.00%, 2/19/25 | 154,788 | |||||||||
195,000 | 4.75%, 12/7/46 | 234,175 | |||||||||
15,667,512 | |||||||||||
BEVERAGES - 0.4% | |||||||||||
260,000 | Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc., 3.65%, 2/1/26 | 277,306 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. | |||||||||||
305,000 | 3.50%, 1/12/24 | 321,424 | |||||||||
445,000 | 4.75%, 1/23/29 | 515,830 | |||||||||
60,000 | 4.38%, 4/15/38 | 67,403 | |||||||||
55,000 | 3.75%, 7/15/42 | 56,871 | |||||||||
550,000 | Molson Coors Beverage Co., 3.00%, 7/15/26 | 556,847 | |||||||||
1,795,681 | |||||||||||
BIOTECHNOLOGY - 0.2% | |||||||||||
740,000 | Amgen, Inc., 2.65%, 5/11/22 | 751,085 | |||||||||
130,000 | Biogen, Inc., 2.90%, 9/15/20 | 130,956 | |||||||||
882,041 | |||||||||||
CHEMICALS - 0.1% | |||||||||||
575,000 | CNAC HK Synbridge Co Ltd, 5.00%, 5/5/20 | 579,473 | |||||||||
COMMERCIAL SERVICES - 0.1% | |||||||||||
500,000 | ERAC USA Finance LLC, 3.30%, 10/15/22 (a) | 514,443 | |||||||||
COMPUTERS - 0.1% | |||||||||||
Apple, Inc. | |||||||||||
120,000 | 3.00%, 2/9/24 | 124,627 | |||||||||
105,000 | 3.25%, 2/23/26 | 111,203 | |||||||||
235,830 |
Shares/ Principal | Fair Value | ||||||||||
DIVERSIFIED FINANCIAL SERVICES - 0.1% | |||||||||||
$ | 105,000 | Capital One Financial Corp., 4.20%, 10/29/25 | $ | 113,346 | |||||||
120,000 | GTP Acquisition Partners I LLC, 2.35%, 6/15/20 (a) | 120,044 | |||||||||
205,000 | Synchrony Financial, 3.75%, 8/15/21 | 209,665 | |||||||||
443,055 | |||||||||||
ELECTRIC - 1.7% | |||||||||||
200,000 | Appalachian Power Co., 3.40%, 6/1/25 | 207,913 | |||||||||
Cleco Corporate Holdings LLC | |||||||||||
280,000 | 3.74%, 5/1/26 | 289,347 | |||||||||
140,000 | 3.38%, 9/15/29 (a) | 140,603 | |||||||||
195,000 | 4.97%, 5/1/46 | 216,405 | |||||||||
510,000 | Cleveland Electric Illuminating Co. (The), 3.50%, 4/1/28 (a) | 531,226 | |||||||||
Dominion Energy South Carolina, Inc. | |||||||||||
80,000 | 6.63%, 2/1/32 | 108,516 | |||||||||
50,000 | 4.60%, 6/15/43 | 59,379 | |||||||||
150,000 | 5.10%, 6/1/65 | 195,120 | |||||||||
Dominion Energy, Inc. | |||||||||||
195,000 | 2.58%, 7/1/20 | 195,406 | |||||||||
230,000 | 4.10%, 4/1/21 (c) | 235,731 | |||||||||
65,000 | 2.72%, 8/15/21 (c) | 65,498 | |||||||||
450,000 | 2.45%, 1/15/23 (a) | 451,573 | |||||||||
175,000 | Duke Energy Carolinas LLC, 6.10%, 6/1/37 | 238,100 | |||||||||
Duke Energy Corp. | |||||||||||
225,000 | 3.75%, 4/15/24 | 238,481 | |||||||||
70,000 | 2.65%, 9/1/26 | 70,341 | |||||||||
55,000 | Emera US Finance LP, 2.70%, 6/15/21 | 55,512 | |||||||||
140,000 | Entergy Louisiana LLC, 3.12%, 9/1/27 | 145,299 | |||||||||
250,000 | Evergy, Inc., 2.90%, 9/15/29 | 248,826 | |||||||||
175,000 | Eversource Energy, 2.90%, 10/1/24 | 178,898 | |||||||||
265,000 | Fortis, Inc./Canada, 3.06%, 10/4/26 | 270,678 | |||||||||
Georgia Power Co. | |||||||||||
65,000 | 4.75%, 9/1/40 | 73,731 | |||||||||
48,000 | 4.30%, 3/15/42 | 52,671 | |||||||||
200,000 | Infraestructura Energetica Nova SAB de CV, 4.88%, 1/14/48 (a) | 190,500 | |||||||||
NextEra Energy Capital Holdings, Inc. | |||||||||||
50,000 | 3.25%, 4/1/26 | 52,088 | |||||||||
75,000 | 3.50%, 4/1/29 | 79,842 | |||||||||
115,000 | 2.75%, 11/1/29 | 115,613 | |||||||||
250,000 | Niagara Mohawk Power Corp., 4.28%, 12/15/28 (a) | 278,908 | |||||||||
Oglethorpe Power Corp. | |||||||||||
100,000 | 6.19%, 1/1/31 (a) | 117,325 | |||||||||
200,000 | 5.25%, 9/1/50 | 240,385 | |||||||||
Oncor Electric Delivery Co. LLC | |||||||||||
160,000 | 4.10%, 6/1/22 | 167,285 | |||||||||
51,000 | 2.95%, 4/1/25 | 52,166 | |||||||||
PPL Capital Funding, Inc. | |||||||||||
50,000 | 3.50%, 12/1/22 | 51,746 | |||||||||
430,000 | 3.10%, 5/15/26 | 437,795 |
See accompanying notes to financial statements.
59
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
ELECTRIC - 1.7% (Continued) | |||||||||||
SCANA Corp. | |||||||||||
$ | 132,000 | 6.25%, 4/1/20 | $ | 133,002 | |||||||
306,000 | 4.75%, 5/15/21 | 312,881 | |||||||||
144,000 | 4.13%, 2/1/22 | 147,988 | |||||||||
75,000 | Sempra Energy, 3.40%, 2/1/28 | 77,751 | |||||||||
45,000 | Southern California Edison Co., 3.70%, 8/1/25 | 47,666 | |||||||||
Southern Co. (The) | |||||||||||
225,000 | 2.75%, 6/15/20 | 225,536 | |||||||||
290,000 | 2.95%, 7/1/23 | 297,485 | |||||||||
200,000 | 4.40%, 7/1/46 | 221,813 | |||||||||
7,517,029 | |||||||||||
FOOD - 0.3% | |||||||||||
Conagra Brands, Inc. | |||||||||||
100,000 | 4.60%, 11/1/25 | 110,482 | |||||||||
75,000 | 5.30%, 11/1/38 | 89,072 | |||||||||
200,000 | Danone SA, 2.95%, 11/2/26 (a) | 204,319 | |||||||||
75,000 | Kraft Heinz Foods Co., 4.38%, 6/1/46 | 73,933 | |||||||||
375,000 | Kroger Co. (The), 2.95%, 11/1/21 | 381,064 | |||||||||
240,000 | Sigma Alimentos SA de CV, 4.13%, 5/2/26 (a) | 251,102 | |||||||||
1,109,972 | |||||||||||
GAS - 0.2% | |||||||||||
60,000 | Boston Gas Co., 3.15%, 8/1/27 (a) | 62,048 | |||||||||
149,000 | CenterPoint Energy Resources Corp., 4.50%, 1/15/21 | 151,883 | |||||||||
Dominion Energy Gas Holdings LLC | |||||||||||
125,000 | 3.60%, 12/15/24 | 131,261 | |||||||||
250,000 | 3.00%, 11/15/29 | 249,158 | |||||||||
275,000 | KeySpan Gas East Corp., 2.74%, 8/15/26 (a) | 275,679 | |||||||||
870,029 | |||||||||||
HEALTHCARE-PRODUCTS - 0.1% | |||||||||||
Boston Scientific Corp. | |||||||||||
325,000 | 3.38%, 5/15/22 | 335,647 | |||||||||
30,000 | 4.00%, 3/1/29 | 33,202 | |||||||||
368,849 | |||||||||||
HEALTHCARE-SERVICES - 0.5% | |||||||||||
210,000 | Aetna, Inc., 2.80%, 6/15/23 | 213,413 | |||||||||
Anthem, Inc. | |||||||||||
75,000 | 3.50%, 8/15/24 | 78,636 | |||||||||
45,000 | 4.10%, 3/1/28 | 48,897 | |||||||||
150,000 | 4.65%, 8/15/44 | 170,033 | |||||||||
65,000 | 4.38%, 12/1/47 | 71,768 | |||||||||
CommonSpirit Health | |||||||||||
191,000 | 2.95%, 11/1/22 | 194,616 | |||||||||
105,000 | 4.20%, 8/1/23 | 110,924 | |||||||||
95,000 | 4.35%, 11/1/42 | 97,578 | |||||||||
45,000 | 4.19%, 10/1/49 | 44,992 |
Shares/ Principal | Fair Value | ||||||||||
HEALTHCARE-SERVICES - 0.5% (Continued) | |||||||||||
Dignity Health | |||||||||||
$ | 92,000 | 3.81%, 11/1/24 | $ | 97,136 | |||||||
270,000 | 4.50%, 11/1/42 | 280,775 | |||||||||
100,000 | HCA, Inc., 5.25%, 6/15/49 | 111,793 | |||||||||
270,000 | Mercy Health, 3.56%, 8/1/27 | 279,398 | |||||||||
UnitedHealth Group, Inc. | |||||||||||
45,000 | 3.35%, 7/15/22 | 46,612 | |||||||||
300,000 | 2.88%, 3/15/23 | 308,197 | |||||||||
75,000 | 3.75%, 7/15/25 | 81,019 | |||||||||
2,235,787 | |||||||||||
INSURANCE - 0.3% | |||||||||||
American International Group, Inc. | |||||||||||
50,000 | 4.88%, 6/1/22 | 53,381 | |||||||||
160,000 | 4.25%, 3/15/29 | 178,116 | |||||||||
275,000 | Jackson National Life Global Funding, 3.25%, 1/30/24 (a) | 285,335 | |||||||||
155,000 | Marsh & McLennan Cos., Inc., 4.38%, 3/15/29 | 176,722 | |||||||||
Metropolitan Life Global Funding I | |||||||||||
195,000 | 2.65%, 4/8/22 (a) | 197,891 | |||||||||
250,000 | 3.00%, 9/19/27 (a) | 259,369 | |||||||||
30,000 | Northwestern Mutual Life Insurance Co. (The), 3.63%, 9/30/59 (a) | 30,088 | |||||||||
150,000 | Principal Financial Group, Inc., 3.40%, 5/15/25 | 157,202 | |||||||||
1,338,104 | |||||||||||
INTERNET - 0.1% | |||||||||||
270,000 | Alibaba Group Holding Ltd., 3.40%, 12/6/27 | 281,317 | |||||||||
100,000 | Amazon.com, Inc., 4.80%, 12/5/34 | 126,193 | |||||||||
215,000 | Tencent Holdings Ltd., 3.60%, 1/19/28 (a) | 224,756 | |||||||||
632,266 | |||||||||||
MEDIA - 0.5% | |||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | |||||||||||
175,000 | 4.46%, 7/23/22 | 183,955 | |||||||||
15,000 | 6.48%, 10/23/45 | 18,596 | |||||||||
45,000 | 5.38%, 5/1/47 | 50,486 | |||||||||
90,000 | 4.80%, 3/1/50 | 94,905 | |||||||||
Comcast Corp. | |||||||||||
255,000 | 3.95%, 10/15/25 | 278,310 | |||||||||
130,000 | 4.60%, 10/15/38 | 154,995 | |||||||||
138,000 | 4.00%, 11/1/49 | 153,034 | |||||||||
Cox Communications, Inc. | |||||||||||
275,000 | 4.80%, 2/1/35 (a) | 304,632 | |||||||||
15,000 | 6.45%, 12/1/36 (a) | 19,132 | |||||||||
15,000 | 4.60%, 8/15/47 (a) | 16,657 | |||||||||
80,000 | Fox Corp., 4.03%, 1/25/24 (a) | 85,253 | |||||||||
100,000 | NBCUniversal Media LLC, 2.88%, 1/15/23 | 102,772 | |||||||||
250,000 | Sky Ltd., 3.75%, 9/16/24 (a) | 267,808 |
See accompanying notes to financial statements.
60
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
MEDIA - 0.5% (Continued) | |||||||||||
ViacomCBS, Inc. | |||||||||||
$ | 475,000 | 4.25%, 9/1/23 | $ | 505,910 | |||||||
120,000 | 3.70%, 6/1/28 | 125,843 | |||||||||
50,000 | Walt Disney Co. (The), 3.70%, 9/15/24 | 53,517 | |||||||||
2,415,805 | |||||||||||
MINING - 0.1% | |||||||||||
275,000 | Glencore Finance Canada Ltd., 4.25%, 10/25/22 (a) | 287,932 | |||||||||
OIL & GAS - 0.3% | |||||||||||
200,000 | BG Energy Capital PLC, 4.00%, 10/15/21 (a) | 206,613 | |||||||||
452,000 | Cimarex Energy Co., 4.38%, 6/1/24 | 477,443 | |||||||||
280,000 | Hess Corp., 7.30%, 8/15/31 | 356,860 | |||||||||
Occidental Petroleum Corp. | |||||||||||
192,000 | 4.85%, 3/15/21 | 197,776 | |||||||||
42,000 | 7.50%, 5/1/31 | 54,650 | |||||||||
200,000 | Saudi Arabian Oil Co., 3.50%, 4/16/29 (a) | 207,356 | |||||||||
1,500,698 | |||||||||||
PHARMACEUTICALS - 0.7% | |||||||||||
AbbVie, Inc. | |||||||||||
105,000 | 4.05%, 11/21/39 (a) | 110,361 | |||||||||
175,000 | 4.25%, 11/21/49 (a) | 185,818 | |||||||||
Allergan Funding SCS | |||||||||||
20,000 | 3.45%, 3/15/22 | 20,459 | |||||||||
50,000 | 3.85%, 6/15/24 | 52,522 | |||||||||
550,000 | 3.80%, 3/15/25 | 577,999 | |||||||||
100,000 | Allergan Sales LLC, 5.00%, 12/15/21 (a) | 104,593 | |||||||||
265,000 | Bayer US Finance II LLC, 4.25%, 12/15/25 (a) | 286,001 | |||||||||
470,000 | Bayer US Finance LLC, 3.38%, 10/8/24 (a) | 484,490 | |||||||||
70,000 | Bristol-Myers Squibb Co., 3.55%, 8/15/22 (a) | 72,751 | |||||||||
210,000 | Cigna Corp., 4.38%, 10/15/28 | 232,657 | |||||||||
CVS Health Corp. | |||||||||||
530,000 | 4.10%, 3/25/25 | 569,042 | |||||||||
55,000 | 4.88%, 7/20/35 | 63,262 | |||||||||
170,000 | 5.13%, 7/20/45 | 201,674 | |||||||||
95,000 | EMD Finance LLC, 2.95%, 3/19/22 (a) | 96,289 | |||||||||
3,057,918 | |||||||||||
PIPELINES - 0.6% | |||||||||||
175,000 | Columbia Pipeline Group, Inc., 4.50%, 6/1/25 | 192,019 | |||||||||
90,000 | Energy Transfer Operating LP, 7.60%, 2/1/24 | 104,345 | |||||||||
30,000 | Energy Transfer Partners LP / Regency Energy Finance Corp., 4.50%, 11/1/23 | 31,787 | |||||||||
515,000 | EQM Midstream Partners LP, 4.75%, 7/15/23 | 516,644 | |||||||||
MPLX LP | |||||||||||
290,000 | 4.13%, 3/1/27 | 304,627 | |||||||||
110,000 | 4.00%, 3/15/28 | 113,935 | |||||||||
Phillips 66 Partners LP | |||||||||||
100,000 | 3.61%, 2/15/25 | 104,832 | |||||||||
400,000 | 3.75%, 3/1/28 | 416,660 |
Shares/ Principal | Fair Value | ||||||||||
PIPELINES - 0.6% (Continued) | |||||||||||
Sunoco Logistics Partners Operations LP | |||||||||||
$ | 55,000 | 4.40%, 4/1/21 | $ | 56,327 | |||||||
195,000 | 3.90%, 7/15/26 | 202,584 | |||||||||
300,000 | 5.35%, 5/15/45 | 322,633 | |||||||||
200,000 | Western Midstream Operating LP, 4.00%, 7/1/22 | 205,013 | |||||||||
2,571,406 | |||||||||||
REITS - 0.7% | |||||||||||
American Tower Corp. | |||||||||||
300,000 | 3.45%, 9/15/21 | 306,834 | |||||||||
31,000 | 5.00%, 2/15/24 | 34,096 | |||||||||
50,000 | AvalonBay Communities, Inc., 2.95%, 9/15/22 | 51,217 | |||||||||
385,000 | Brandywine Operating Partnership LP, 3.95%, 11/15/27 | 402,537 | |||||||||
Crown Castle International Corp. | |||||||||||
130,000 | 3.65%, 9/1/27 | 137,581 | |||||||||
105,000 | 3.80%, 2/15/28 | 111,929 | |||||||||
Healthpeak Properties, Inc. | |||||||||||
75,000 | 3.88%, 8/15/24 | 79,794 | |||||||||
200,000 | 4.00%, 6/1/25 | 215,044 | |||||||||
210,000 | 3.00%, 1/15/30 | 210,830 | |||||||||
SBA Tower Trust | |||||||||||
255,000 | 3.16%, 10/8/20 (a) | 255,084 | |||||||||
155,000 | 2.88%, 7/9/21 (a) | 155,866 | |||||||||
155,000 | 3.45%, 3/15/23 (a) | 159,692 | |||||||||
100,000 | 2.84%, 1/15/25 (a) | 101,019 | |||||||||
160,000 | Simon Property Group LP, 2.45%, 9/13/29 | 157,517 | |||||||||
48,000 | SITE Centers Corp., 4.63%, 7/15/22 | 50,066 | |||||||||
425,000 | WEA Finance LLC, 4.13%, 9/20/28 (a) | 460,244 | |||||||||
275,000 | WEA Finance LLC / Westfield UK & Europe Finance PLC, 3.25%, 10/5/20 (a) | 277,214 | |||||||||
3,166,564 | |||||||||||
RETAIL - 0.0%† | |||||||||||
125,000 | Lowe's Cos., Inc., 4.55%, 4/5/49 | 147,585 | |||||||||
SAVINGS & LOANS - 0.0%† | |||||||||||
200,000 | Nationwide Building Society, 3.62%, (3 Month US Libor + 1.18%), 4/26/23 (a,b) | 205,734 | |||||||||
SEMICONDUCTORS - 0.0%† | |||||||||||
170,000 | Microchip Technology, Inc., 3.92%, 6/1/21 | 173,856 | |||||||||
SOFTWARE - 0.3% | |||||||||||
170,000 | Fiserv, Inc., 3.20%, 7/1/26 | 176,060 | |||||||||
Microsoft Corp. | |||||||||||
335,000 | 2.88%, 2/6/24 | 347,616 | |||||||||
235,000 | 2.40%, 8/8/26 | 237,784 | |||||||||
120,000 | 3.70%, 8/8/46 | 135,690 | |||||||||
230,000 | Oracle Corp., 3.25%, 11/15/27 | 243,771 | |||||||||
1,140,921 |
See accompanying notes to financial statements.
61
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
TELECOMMUNICATIONS - 0.5% | |||||||||||
AT&T, Inc. | |||||||||||
$ | 30,000 | 3.95%, 1/15/25 | $ | 32,157 | |||||||
375,000 | 3.60%, 7/15/25 | 396,957 | |||||||||
200,000 | 4.13%, 2/17/26 | 216,787 | |||||||||
200,000 | British Telecommunications PLC, 3.25%, 11/8/29 (a) | 199,853 | |||||||||
150,000 | Crown Castle Towers LLC, 3.22%, 5/15/22 (a) | 151,766 | |||||||||
410,000 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC, 4.74%, 3/20/25 (a) | 434,182 | |||||||||
265,000 | Telefonica Emisiones SA, 5.21%, 3/8/47 | 314,530 | |||||||||
Verizon Communications, Inc. | |||||||||||
509,000 | 4.52%, 9/15/48 | 610,772 | |||||||||
53,000 | 4.67%, 3/15/55 | 65,486 | |||||||||
2,422,490 | |||||||||||
TRANSPORTATION - 0.1% | |||||||||||
FedEx Corp. | |||||||||||
35,000 | 4.10%, 2/1/45 | 33,970 | |||||||||
91,000 | 4.75%, 11/15/45 | 95,835 | |||||||||
45,000 | 4.55%, 4/1/46 | 46,288 | |||||||||
13,000 | 4.05%, 2/15/48 | 12,561 | |||||||||
91,000 | 4.95%, 10/17/48 | 99,487 | |||||||||
288,141 | |||||||||||
TRUCKING & LEASING - 0.2% | |||||||||||
Penske Truck Leasing Co. LP / PTL Finance Corp. | |||||||||||
150,000 | 3.20%, 7/15/20 (a) | 150,644 | |||||||||
200,000 | 3.38%, 2/1/22 (a) | 204,257 | |||||||||
50,000 | 4.88%, 7/11/22 (a) | 53,185 | |||||||||
110,000 | 2.70%, 11/1/24 (a) | 110,787 | |||||||||
345,000 | 3.95%, 3/10/25 (a) | 366,558 | |||||||||
885,431 | |||||||||||
WATER - 0.0%† | |||||||||||
120,000 | American Water Capital Corp., 2.95%, 9/1/27 | 122,667 | |||||||||
TOTAL CORPORATE BONDS AND NOTES (Cost - $54,949,205) | 57,479,330 | ||||||||||
AGENCY MORTGAGE BACKED SECURITIES - 8.0% | |||||||||||
FEDERAL HOME LOAN MORTGAGE CORPORATION - 5.1% | |||||||||||
Freddie Mac Gold Pool | |||||||||||
7,638 | 3.00%, 9/1/28 | 7,902 | |||||||||
14,244 | 2.50%, 10/1/28 | 14,437 | |||||||||
75,460 | 2.50%, 12/1/31 | 76,795 | |||||||||
81,925 | 3.50%, 11/1/34 | 85,406 | |||||||||
34,102 | 3.00%, 2/1/43 | 34,799 | |||||||||
25,892 | 3.50%, 10/1/43 | 27,252 |
Shares/ Principal | Fair Value | ||||||||||
FEDERAL HOME LOAN MORTGAGE CORPORATION - 5.1% (Continued) | |||||||||||
$ | 17,877 | 4.00%, 8/1/44 | $ | 19,018 | |||||||
1,561,805 | 3.00%, 9/1/46 | 1,599,435 | |||||||||
1,162,129 | 3.00%, 11/1/46 | 1,188,742 | |||||||||
319,497 | 3.00%, 12/1/46 | 326,824 | |||||||||
2,487,867 | 3.00%, 12/1/46 | 2,547,848 | |||||||||
153,635 | 3.00%, 1/1/47 | 157,464 | |||||||||
643,447 | 3.00%, 2/1/47 | 659,492 | |||||||||
1,994,736 | 3.50%, 8/1/47 | 2,068,964 | |||||||||
1,327,180 | 3.50%, 10/1/47 | 1,376,594 | |||||||||
227,312 | 4.00%, 8/1/48 | 237,223 | |||||||||
3,005,894 | 3.50%, 9/1/48 | 3,122,062 | |||||||||
235,141 | 4.00%, 9/1/48 | 245,393 | |||||||||
24,284 | 4.00%, 10/1/48 | 25,244 | |||||||||
465,140 | 3.50%, 11/1/48 | 483,116 | |||||||||
93,711 | 4.00%, 11/1/48 | 97,797 | |||||||||
Freddie Mac Pool | |||||||||||
1,363,911 | 2.50%, 11/1/49 | 1,352,633 | |||||||||
374,324 | 2.50%, 11/1/49 | 369,024 | |||||||||
1,449,124 | 3.00%, 11/1/49 | 1,470,032 | |||||||||
2,203,981 | 2.50%, 12/1/49 | 2,180,050 | |||||||||
932,180 | 3.00%, 12/1/49 | 945,630 | |||||||||
25,819 | 4.00%, 12/1/49 | 27,036 | |||||||||
1,989,808 | 3.00%, 1/1/50 | 2,018,518 | |||||||||
22,764,730 | |||||||||||
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.4% | |||||||||||
Fannie Mae Pool | |||||||||||
70,000 | 3.07%, 2/1/25 | 73,066 | |||||||||
144,971 | 2.47%, 5/1/25 | 147,467 | |||||||||
310,000 | 2.68%, 5/1/25 | 318,445 | |||||||||
400,000 | 2.81%, 7/1/25 | 413,689 | |||||||||
106,404 | 2.99%, 10/1/25 | 110,845 | |||||||||
51,240 | 3.09%, 10/1/25 | 53,506 | |||||||||
150,000 | 2.78%, 6/1/26 | 155,331 | |||||||||
19,545 | 2.50%, 4/1/28 | 19,790 | |||||||||
12,336 | 3.00%, 10/1/28 | 12,741 | |||||||||
42,336 | 2.50%, 2/1/30 | 42,934 | |||||||||
82,559 | 2.50%, 6/1/30 | 83,727 | |||||||||
196,402 | 2.50%, 10/1/31 | 199,214 | |||||||||
148,371 | 2.50%, 12/1/31 | 150,383 | |||||||||
69,195 | 3.00%, 7/1/43 | 71,131 | |||||||||
31,228 | 4.00%, 11/1/43 | 33,001 | |||||||||
1,522,914 | 3.00%, 1/1/46 | 1,560,353 | |||||||||
527,250 | 4.00%, 1/1/46 | 555,888 | |||||||||
542,221 | 4.00%, 2/1/46 | 571,648 | |||||||||
1,482,585 | 3.00%, 10/1/46 | 1,505,461 | |||||||||
889,649 | 3.50%, 12/1/47 | 923,375 | |||||||||
1,615,530 | 3.50%, 4/1/48 | 1,670,553 |
See accompanying notes to financial statements.
62
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.4% (Continued) | |||||||||||
Federal National Mortgage Association | |||||||||||
$ | 500,000 | 2.50%, 1/1/35 (d) | $ | 504,531 | |||||||
316,000 | 3.00%, 1/1/35 (d) | 323,851 | |||||||||
300,000 | 3.50%, 1/1/50 (d) | 308,578 | |||||||||
850,000 | 4.50%, 1/1/50 (d) | 894,758 | |||||||||
10,704,266 | |||||||||||
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.5% | |||||||||||
Ginnie Mae II Pool | |||||||||||
34,292 | 3.00%, 12/20/42 | 35,506 | |||||||||
36,736 | 3.50%, 7/20/43 | 38,627 | |||||||||
13,286 | 4.00%, 12/20/44 | 13,846 | |||||||||
69,394 | 4.00%, 8/20/48 | 72,171 | |||||||||
154,974 | 4.00%, 9/20/48 | 160,705 | |||||||||
68,801 | 4.00%, 10/20/48 | 71,170 | |||||||||
Government National Mortgage Association | |||||||||||
1,610,000 | 4.00%, 1/20/50 (d) | 1,666,098 | |||||||||
350,000 | 4.50%, 1/20/50 (d) | 365,805 | |||||||||
2,423,928 | |||||||||||
TOTAL AGENCY MORTGAGE BACKED SECURITIES (Cost - $35,308,842) | 35,892,924 | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 5.6% | |||||||||||
252,537 | AASET 2018-2 US Ltd, 4.45%, 11/18/38 (a) | 257,382 | |||||||||
387,159 | Ajax Mortgage Loan Trust 2017-B, 3.16%, 9/25/56 (a,b) | 386,367 | |||||||||
125,019 | Angel Oak Mortgage Trust 2019-6, 2.62%, 11/25/59 (a,b) | 124,805 | |||||||||
135,721 | Angel Oak Mortgage Trust I LLC 2019-2, 3.63%, 3/25/49 (a,b) | 137,257 | |||||||||
33,656 | Angel Oak Mortgage Trust LLC, 2.71%, 11/25/47 (a,b) | 33,589 | |||||||||
350,000 | Apidos CLO XXII, 4.02%, (3 Month US Libor + 2.05%), 10/20/27 (a,b) | 350,030 | |||||||||
16,121 | ARI Fleet Lease Trust 2017-A, 1.91%, 4/15/26 (a) | 16,109 | |||||||||
58,620 | ARI Fleet Lease Trust 2018-A, 2.55%, 10/15/26 (a) | 58,675 | |||||||||
116,174 | ARI Fleet Lease Trust 2018-B, 3.22%, 8/16/27 (a) | 117,198 | |||||||||
345,000 | Atlas Senior Loan Fund Ltd, 3.30%, (3 Month US Libor + 1.30%), 1/16/30 (a,b) | 344,637 | |||||||||
320,000 | Avery Point IV CLO Ltd, 3.54%, (3 Month US Libor + 1.60%), 4/25/26 (a,b) | 320,071 | |||||||||
185,000 | BAMLL Commercial Mortgage Securities Trust 2018-PARK, 4.09%, 8/10/38 (a,b) | 203,618 | |||||||||
155,000 | Banc of America Commercial Mortgage Trust 2015-UBS7, 3.71%, 9/15/48 | 164,911 | |||||||||
178,001 | Bayview Koitere Fund Trust 2017-RT4, 3.50%, 7/28/57 (a,b) | 180,970 |
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 5.6% (Continued) | |||||||||||
$ | 116,561 | Bayview Opportunity Master Fund IVa Trust 2017-SPL1, 4.00%, 10/28/64 (a,b) | $ | 118,881 | |||||||
116,775 | Bayview Opportunity Master Fund IVa Trust 2017-SPL5, 3.50%, 6/28/57 (a,b) | 118,224 | |||||||||
85,998 | Bayview Opportunity Master Fund IVb Trust 2017-SPL3, 4.00%, 11/28/53 (a,b) | 87,933 | |||||||||
85,817 | Bayview Opportunity Master Fund IVb Trust 2017-SPL4, 3.50%, 1/28/55 (a,b) | 86,597 | |||||||||
275,000 | BlueMountain CLO 2012-2 Ltd, 3.35%, (3 Month US Libor + 1.45%), 11/20/28 (a,b) | 274,872 | |||||||||
Canadian Pacer Auto Receivables Trust 2018-2 | |||||||||||
34,257 | 3.00%, 6/21/21 (a) | 34,324 | |||||||||
25,000 | 3.27%, 12/19/22 (a) | 25,360 | |||||||||
31,669 | Canadian Pacer Auto Receivables Trust2017-1, 2.05%, 3/19/21 (a) | 31,663 | |||||||||
235,079 | Castlelake Aircraft Structured Trust 2019-1, 3.97%, 4/15/39 (a) | 238,242 | |||||||||
195,000 | CD 2017-CD4 Mortgage Trust, 3.51%, 5/10/50 (b) | 206,721 | |||||||||
Chesapeake Funding II LLC | |||||||||||
86,763 | 2.19%, (1 Month US Libor + 0.45%), 5/15/29 (a,b) | 86,738 | |||||||||
93,344 | 1.91%, 8/15/29 (a) | 93,276 | |||||||||
192,022 | 3.23%, 8/15/30 (a) | 195,295 | |||||||||
525,000 | Citigroup Commercial Mortgage Trust 2015-GC35, 3.82%, 11/10/48 | 562,180 | |||||||||
50,214 | COLT 2018-1 Mortgage Loan Trust, 2.93%, 2/25/48 (a,b) | 50,309 | |||||||||
64,769 | COLT 2018-3 Mortgage Loan Trust, 3.69%, 10/26/48 (a,b) | 65,109 | |||||||||
69,008 | COLT 2019-2 Mortgage Loan Trust, 3.34%, 5/25/49 (a,b) | 69,686 | |||||||||
70,601 | COMM 2013-CCRE8 Mortgage Trust, 3.33%, 6/10/46 | 72,770 | |||||||||
405,000 | CSMC Trust 2017-LSTK, 2.76%, 4/5/33 (a) | 405,915 | |||||||||
DB Master Finance LLC | |||||||||||
69,650 | 3.79%, 5/20/49 (a) | 71,100 | |||||||||
64,675 | 4.02%, 5/20/49 (a) | 66,338 | |||||||||
71,341 | Deephave Residential Mortgage Trust 2019-2, 3.56%, 4/25/59 (a,b) | 72,301 | |||||||||
14,582 | Deephaven Residential Mortgage Trust 2017-1, 2.73%, 12/26/46 (a,b) | 14,541 | |||||||||
43,511 | Deephaven Residential Mortgage Trust 2017-2, 2.45%, 6/25/47 (a,b) | 43,403 | |||||||||
36,508 | Deephaven Residential Mortgage Trust 2017-3, 2.58%, 10/25/47 (a,b) | 36,456 | |||||||||
64,336 | Deephaven Residential Mortgage Trust 2018-1, 2.98%, 12/25/57 (a,b) | 64,187 | |||||||||
190,000 | Enterprise Fleet Financing 2019-1 LLC, 2.98%, 10/20/24 (a) | 191,804 | |||||||||
Enterprise Fleet Financing LLC | |||||||||||
36,034 | 1.97%, 1/20/23 (a) | 36,018 | |||||||||
78,692 | 2.13%, 5/22/23 (a) | 78,683 | |||||||||
465,000 | Fannie Mae Multifamily Remic Trust 2015-M12, 2.80%, 5/25/25 (b) | 476,648 |
See accompanying notes to financial statements.
63
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 5.6% (Continued) | |||||||||||
Fannie Mae REMICS | |||||||||||
$ | 262,718 | 3.50%, 6/25/44 | $ | 275,229 | |||||||
516,637 | 3.00%, 1/25/45 | 531,111 | |||||||||
1,491,995 | 3.00%, 10/25/45 | 1,532,506 | |||||||||
435,362 | 3.00%, 12/25/45 | 447,923 | |||||||||
930,888 | 3.50%, 1/25/47 | 979,361 | |||||||||
322,872 | 3.50%, 12/25/47 | 343,109 | |||||||||
573,450 | 3.50%, 2/25/48 | 605,578 | |||||||||
350,770 | 2.50%, 3/25/53 | 352,549 | |||||||||
979,009 | 3.00%, 12/25/54 | 999,442 | |||||||||
795,523 | 3.50%, 11/25/57 | 823,450 | |||||||||
101,204 | 3.50%, 12/25/58 | 107,083 | |||||||||
531,868 | 3.50%, 6/25/59 | 557,817 | |||||||||
Fannie Mae-Aces | |||||||||||
22,292 | 2.34%, (3 Month US Libor + 0.49%), 4/25/24 (b) | 22,328 | |||||||||
96,213 | 2.25%, (1 Month US Libor + 0.40%), 10/25/24 (b) | 96,130 | |||||||||
106,958 | Finance of America Structured Securities Trust 2018-HB1, 3.38%, 9/25/28 (a,b) | 106,948 | |||||||||
70,540 | First Investors Auto Owner Trust 2016-1, 3.41%, 4/18/22 (a) | 70,667 | |||||||||
Ford Credit Floorplan Master Owner Trust A | |||||||||||
100,000 | 2.09%, 3/15/22 (a) | 99,992 | |||||||||
125,000 | 2.44%, 9/15/26 | 125,315 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates | |||||||||||
120,000 | 2.28%, 7/25/26 | 119,947 | |||||||||
202,731 | 2.16%, 5/25/29 | 199,076 | |||||||||
Freddie Mac REMICS | |||||||||||
549,239 | 1.75%, 9/15/42 | 536,395 | |||||||||
732,767 | 3.00%, 6/15/45 | 755,327 | |||||||||
458,114 | 3.00%, 7/15/47 | 472,478 | |||||||||
105,000 | FREMF 2010-K7 Mortgage Trust, 5.52%, 4/25/20 (a,b) | 105,479 | |||||||||
35,000 | FREMF 2013-K24 Mortgage Trust, 3.50%, 11/25/45 (a,b) | 35,966 | |||||||||
45,000 | FREMF 2013-K713 Mortgage Trust, 3.17%, 4/25/46 (a,b) | 45,039 | |||||||||
65,000 | FREMF 2015-K44 Mortgage Trust, 3.68%, 1/25/48 (a,b) | 66,676 | |||||||||
35,000 | FREMF 2015-K46 Mortgage Trust, 3.69%, 4/25/48 (a,b) | 36,284 | |||||||||
45,000 | FREMF 2015-K50 Mortgage Trust, 3.78%, 10/25/48 (a,b) | 46,628 | |||||||||
55,000 | FREMF 2016-K55 Mortgage Trust, 4.16%, 4/25/49 (a,b) | 57,994 | |||||||||
35,000 | FREMF 2017-K725 Mortgage Trust, 3.88%, 2/25/50 (a,b) | 35,982 | |||||||||
230,000 | FREMF 2018-K733 Mortgage Trust, 4.08%, 9/25/25 (a,b) | 239,333 |
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 5.6% (Continued) | |||||||||||
$ | 175,000 | FREMF 2019-K99 Mortgage Trust, 3.77%, 9/25/29 (a,b) | $ | 175,981 | |||||||
168,310 | GreatAmerica Leasing Receivables Funding LLC Series 2017-1, 2.36%, 1/20/23 (a) | 168,506 | |||||||||
GreatAmerica Leasing Receivables Funding LLC Series 2018-1 | |||||||||||
84,701 | 2.60%, 6/15/21 (a) | 84,905 | |||||||||
100,000 | 2.83%, 6/17/24 (a) | 100,769 | |||||||||
370,000 | Hertz Fleet Lease Funding LP, 2.70%, 1/10/33 (a) | 372,804 | |||||||||
248,512 | Horizon Aircraft Finance III Ltd, 3.43%, 11/15/39 (a) | 247,049 | |||||||||
250,000 | KKR Clo 16 Ltd, 3.22%, (3 Month US Libor + 1.25%), 1/20/29 (a,b) | 249,997 | |||||||||
300,000 | Madison Park Funding XI Ltd, 3.09%, (3 Month US Libor + 1.16%), 7/23/29 (a,b) | 300,000 | |||||||||
250,000 | Madison Park Funding XV Ltd, 3.44%, (3 Month US Libor + 1.50%), 1/27/26 (a,b) | 250,009 | |||||||||
565,000 | Madison Park Funding XVIII Ltd, 3.16%, (3 Month US Libor + 1.19%), 10/21/30 (a,b) | 565,068 | |||||||||
535,000 | Magnetite VII Ltd, 2.80%, (3 Month US Libor + 0.80%), 1/15/28 (a,b) | 533,519 | |||||||||
360,000 | Magnetite XVIII Ltd, 3.41%, (3 Month US Libor + 1.50%), 11/15/28 (a,b) | 359,270 | |||||||||
124,442 | METLIFE SECURITIZATION TRUST, 3.00%, 4/25/55 (a,b) | 125,631 | |||||||||
35,978 | Mill City Mortgage Loan Trust 2016-1, 2.50%, 4/25/57 (a,b) | 35,913 | |||||||||
130,015 | Mill City Mortgage Loan Trust 2017-3, 2.75%, 1/25/61 (a,b) | 129,621 | |||||||||
140,000 | MMAF Equipment Finance LLC 2016-A, 2.21%, 12/15/32 (a) | 140,091 | |||||||||
135,720 | MMAF Equipment Finance LLC 2017-B, 2.21%, 10/17/22 (a) | 135,841 | |||||||||
150,545 | New Residential Mortgage Loan Trust 2017-3, 4.00%, 4/25/57 (a,b) | 159,868 | |||||||||
11,317 | OneMain Direct Auto Receivables Trust 2017-2, 2.31%, 12/14/21 (a) | 11,314 | |||||||||
380,000 | OneMain Direct Auto Receivables Trust 2018-1, 3.43%, 12/16/24 (a) | 384,968 | |||||||||
15,192 | OneMain Financial Issuance Trust 2016-1, 3.66%, 2/20/29 (a) | 15,222 | |||||||||
81,142 | OneMain Financial Issuance Trust 2017-1, 2.37%, 9/14/32 (a) | 81,139 | |||||||||
236,386 | Seasoned Credit Risk Transfer Trust Series 2019-3, 3.50%, 10/25/58 | 243,220 | |||||||||
34,960 | Securitized Term Auto Receivables Trust 2017-2, 2.04%, 4/26/21 (a) | 34,958 | |||||||||
100,000 | SFAVE Commercial Mortgage Securities Trust 2015-5AVE, 4.14%, 1/5/43 (a,b) | 103,787 | |||||||||
325,000 | Shackleton 2015-VIII CLO Ltd, 2.89%, (3 Month US Libor + 0.92%), 10/20/27 (a,b) | 324,999 |
See accompanying notes to financial statements.
64
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 5.6% (Continued) | |||||||||||
$ | 4,600 | SoFi Consumer Loan Program 2018-2 Trust, 2.93%, 4/26/27 (a) | $ | 4,601 | |||||||
194,519 | SoFi Consumer Loan Program 2018-4 Trust, 3.54%, 11/26/27 (a) | 196,092 | |||||||||
500,000 | SOUND POINT CLO III-R LTD, 2.95%, (3 Month US Libor + 0.95%), 4/15/29 (a,b) | 493,013 | |||||||||
39,991 | Springleaf Funding Trust 2016-A, 2.90%, 11/15/29 (a) | 40,036 | |||||||||
80,576 | Towd Point Mortgage Trust 2016-3, 2.25%, 4/25/56 (a,b) | 80,092 | |||||||||
155,462 | Towd Point Mortgage Trust 2017-1, 2.75%, 10/25/56 (a,b) | 156,420 | |||||||||
52,237 | Towd Point Mortgage Trust 2017-2, 2.75%, 4/25/57 (a,b) | 52,277 | |||||||||
162,614 | Towd Point Mortgage Trust 2017-4, 2.75%, 6/25/57 (a,b) | 161,950 | |||||||||
70,153 | Towd Point Mortgage Trust 2018-1, 3.00%, 1/25/58 (a,b) | 70,837 | |||||||||
Vantage Data Centers Issuer LLC | |||||||||||
157,067 | 4.07%, 2/16/43 (a) | 163,497 | |||||||||
79,733 | 3.19%, 7/15/44 (a) | 80,236 | |||||||||
149,529 | Verus Securitization Trust 2019-2, 3.21%, 5/25/59 (a,b) | 151,063 | |||||||||
27,100 | Volvo Financial Equipment LLC Series 2017-1, 1.92%, 3/15/21 (a) | 27,093 | |||||||||
250,000 | Wells Fargo Commercial Mortgage Trust 2015-NXS1, 3.15%, 5/15/48 | 259,328 | |||||||||
400,000 | Wells Fargo Commercial Mortgage Trust 2017-C38, 3.45%, 7/15/50 | 424,108 | |||||||||
23,471 | Wheels SPV 2 LLC, 1.88%, 4/20/26 (a) | 23,441 | |||||||||
TOTAL ASSET BACKED AND COMMERCIAL BACKED SECURITIES (Cost - $24,867,368) | 25,218,868 | ||||||||||
U.S. TREASURY SECURITIES - 4.6% | |||||||||||
U.S. Treasury Note | |||||||||||
935,000 | 1.50%, 10/31/24 | 927,220 | |||||||||
2,530,000 | 1.63%, 10/31/26 | 2,498,474 | |||||||||
590,000 | 2.88%, 8/15/28 | 636,324 | |||||||||
3,005,000 | 2.38%, 5/15/29 | 3,125,552 | |||||||||
1,495,000 | 1.75%, 11/15/29 | 1,473,626 | |||||||||
U.S. Treasury Bond | |||||||||||
1,320,000 | 3.38%, 5/15/44 | 1,565,437 | |||||||||
610,000 | 3.00%, 11/15/44 | 681,484 | |||||||||
3,815,000 | 2.50%, 2/15/45 | 3,901,732 | |||||||||
545,000 | 2.88%, 8/15/45 | 597,158 | |||||||||
805,000 | 2.50%, 5/15/46 | 823,899 | |||||||||
595,000 | 3.00%, 5/15/47 | 670,142 | |||||||||
910,000 | 2.75%, 8/15/47 | 978,357 | |||||||||
1,097,000 | 2.75%, 11/15/47 | 1,179,404 | |||||||||
1,010,000 | 3.00%, 8/15/48 | 1,140,393 | |||||||||
155,000 | 2.88%, 5/15/49 | 171,305 | |||||||||
450,000 | 2.25%, 8/15/49 | 437,766 | |||||||||
TOTAL U.S. TREASURY SECURITIES (Cost - $19,574,457) | 20,808,273 |
Shares/ Principal | Fair Value | ||||||||||
MUNICIPAL BONDS - 0.8% | |||||||||||
$ | 50,000 | Chicago O'hare International Airport, 6.40%, 1/1/40 | $ | 71,890 | |||||||
Chicago Transit Authority | |||||||||||
60,000 | 6.30%, 12/1/21 | 63,178 | |||||||||
40,000 | 6.30%, 12/1/21 | 42,118 | |||||||||
120,000 | 6.90%, 12/1/40 | 162,110 | |||||||||
80,000 | 6.90%, 12/1/40 | 108,074 | |||||||||
40,000 | County of Broward FL Airport System Revenue, 3.48%, 10/1/43 | 40,178 | |||||||||
315,000 | County of Sacramento CA, 5.73%, 8/15/23 | 347,032 | |||||||||
Foothill-Eastern Transportation Corridor Agency | |||||||||||
40,000 | 4.09%, 1/15/49 | 39,934 | |||||||||
135,000 | 3.92%, 1/15/53 | 133,183 | |||||||||
195,000 | Illinois Municipal Electric Agency, 6.83%, 2/1/35 | 252,708 | |||||||||
120,000 | Kansas Development Finance Authority, 5.37%, 5/1/26 | 132,236 | |||||||||
120,000 | Long Island Power Authority, 3.88%, 9/1/24 | 127,828 | |||||||||
65,000 | Massachusetts School Building Authority, 3.40%, 10/15/40 | 64,981 | |||||||||
80,000 | Metropolitan Transportation Authority, 6.67%, 11/15/39 | 113,545 | |||||||||
Municipal Electric Authority of Georgia | |||||||||||
381,000 | 6.64%, 4/1/57 | 513,009 | |||||||||
70,000 | 6.66%, 4/1/57 | 96,419 | |||||||||
400,000 | New York State Urban Development Corp., 2.10%, 3/15/22 | 400,872 | |||||||||
270,000 | Philadelphia Authority for Industrial Development, 6.55%, 10/15/28 | 336,925 | |||||||||
285,000 | Sales Tax Securitization Corp., 4.79%, 1/1/48 | 331,099 | |||||||||
State of California | |||||||||||
45,000 | 7.35%, 11/1/39 | 69,125 | |||||||||
20,000 | 7.60%, 11/1/40 | 33,014 | |||||||||
230,000 | State of Illinois, 5.10%, 6/1/33 | 247,947 | |||||||||
TOTAL MUNICIPAL BONDS (Cost - $3,462,238) | 3,727,405 | ||||||||||
SOVEREIGN DEBTS - 0.3% | |||||||||||
204,000 | Japan Bank for International Cooperation, 2.13%, 6/1/20 | 204,160 | |||||||||
Qatar Government International Bond | |||||||||||
200,000 | 3.38%, 3/14/24 (a) | 209,250 | |||||||||
346,000 | 4.00%, 3/14/29 (a) | 386,137 | |||||||||
330,000 | Saudi Government International Bond, 2.88%, 3/4/23 (a) | 335,802 | |||||||||
TOTAL SOVEREIGN DEBTS (Cost - $1,086,981) | 1,135,349 |
See accompanying notes to financial statements.
65
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
SHORT-TERM INVESTMENTS - 5.1% | |||||||||||
MONEY MARKET FUNDS - 5.1% | |||||||||||
17,525,739 | Dreyfus Government Cash Management, 1.51% (e) | $ | 17,525,739 | ||||||||
5,253,623 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (e) | 5,253,623 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $22,779,362) | 22,779,362 | ||||||||||
TOTAL INVESTMENTS - 100.6% (Cost - $363,448,762) | $ | 451,231,913 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET - (0.6)% | (2,677,905) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 448,554,008 |
* Non-income producing security.
† Represents less than 0.05%.
(a) 144A - Security was purchased pursuant to Rule 144a under the Securities Act of 1933 and may not be resold subject to that rule, except to qualified institutional buyers. As of December 31, 2019, these securities amounted to $31,248,253 or 7.0% of net assets.
(b) Variable rate security. The rate shown is the rate in effect at period end.
(c) Step coupon.
(d) When-issued, or delayed delivery. All or a portion may be subject to dollar-roll transactions.
(e) The rate shown is the annualized seven-day yield at period end.
ADR - American Depositary Receipt
CLO - Collateralized Loan Obligation
PLC - Public Limited Company
REMIC - Real Estate Mortgage Investment Conduit
FUTURES CONTRACTS | |||||||||||||||||||||||
LONG FUTURES CONTRACTS | Counterparty | Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Morgan Stanley & U.S. 5 Year Note Future | Company LLC | 38 | 3/31/2020 | $ | 4,507,156 | $ | (14,984 | ) | |||||||||||||||
SHORT FUTURES CONTRACTS | |||||||||||||||||||||||
Morgan Stanley & U.S. Ultra Bond Future | Company LLC | 1 | 3/20/2020 | 181,656 | 3,719 | ||||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $ | (11,265 | ) |
See accompanying notes to financial statements.
66
Global Atlantic Portfolios
Statements of Assets and Liabilities
December 31, 2019
Assets: | Global Atlantic American Funds® Managed Risk Portfolio | Global Atlantic Balanced Managed Risk Portfolio | Global Atlantic BlackRock Selects Managed Risk Portfolio | Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | |||||||||||||||
Investments in securities, at cost | $ | 209,870,923 | $ | 71,777,196 | $ | 226,362,163 | $ | 218,827,980 | |||||||||||
Investments in securities, at fair value | $ | 231,069,711 | $ | 83,682,185 | $ | 242,007,491 | $ | 297,355,996 | |||||||||||
Cash | 102 | - | 1,878,410 | 17,557 | |||||||||||||||
Foreign cash (cost $-, $-, $- and $800, respectively) | - | - | - | 579 | |||||||||||||||
Deposits with broker + | 41,879 | 45,405 | 45,989 | 423,296 | |||||||||||||||
Segregated cash for derivatives | - | - | - | 200,544 | |||||||||||||||
Receivable for portfolio shares sold | - | - | 78,176 | 5,108 | |||||||||||||||
Interest and dividends receivable | 14,484 | 5,113 | 14,608 | 721,115 | |||||||||||||||
Prepaid expenses | 8,012 | 2,935 | 8,539 | 10,156 | |||||||||||||||
Total Assets | 231,134,188 | 83,735,638 | 244,033,213 | 298,734,351 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Due to custodian | - | 5 | - | - | |||||||||||||||
Premiums received on open swap contracts | - | - | - | 208,278 | |||||||||||||||
Unrealized depreciation on futures contracts | - | - | - | 128,580 | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | - | - | - | 42,355 | |||||||||||||||
Unrealized depreciation on swap contracts | - | - | - | 24,794 | |||||||||||||||
Payable for securities purchased | - | - | - | 5,814,756 | |||||||||||||||
Payable for portfolio shares redeemed | 51,072 | 263,199 | - | - | |||||||||||||||
Accrued distribution (12b-1) fees | 48,611 | 17,727 | 51,627 | 61,598 | |||||||||||||||
Accrued investment advisory fees | 97,222 | 38,326 | 113,579 | 195,901 | |||||||||||||||
Administrative service fees payable | 11,829 | 4,345 | 12,616 | 14,990 | |||||||||||||||
Accrued expenses and other liabilities | 9,117 | 825 | 2,525 | 3,148 | |||||||||||||||
Total Liabilities | 217,851 | 324,427 | 180,347 | 6,494,400 | |||||||||||||||
Net Assets | $ | 230,916,337 | $ | 83,411,211 | $ | 243,852,866 | $ | 292,239,951 | |||||||||||
Composition of Net Assets: | |||||||||||||||||||
Paid-in capital | $ | 203,932,869 | $ | 68,873,156 | $ | 239,980,226 | $ | 219,994,827 | |||||||||||
Total distributable earnings | 26,983,468 | 14,538,055 | 3,872,640 | 72,245,124 | |||||||||||||||
Net Assets: | $ | 230,916,337 | $ | 83,411,211 | $ | 243,852,866 | $ | 292,239,951 | |||||||||||
Class II Shares: | |||||||||||||||||||
Net assets | $ | 230,916,337 | $ | 83,411,211 | $ | 243,852,866 | $ | 292,239,951 | |||||||||||
Total shares outstanding at end of period ($0 par value, unlimited shares authorized) | 19,176,390 | 6,667,149 | 23,240,896 | 21,729,397 | |||||||||||||||
Net asset value, offering and redemption price per share (Net assets ÷ Total shares of beneficial interest outstanding) | $ | 12.04 | $ | 12.51 | $ | 10.49 | $ | 13.45 |
+ Collateral for futures, forward foreign currency contracts, and swap contracts.
See accompanying notes to financial statements.
67
Global Atlantic Portfolios
Statements of Assets and Liabilities (Continued)
December 31, 2019
Assets: | Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | Global Atlantic Growth Managed Risk Portfolio | Global Atlantic Moderate Growth Managed Risk Portfolio | Global Atlantic PIMCO Tactical Allocation Portfolio | |||||||||||||||
Investments in securities, at cost | $ | 29,456,915 | $ | 348,059,517 | $ | 118,935,446 | $ | 29,114,201 | |||||||||||
Investments in securities, at fair value | $ | 31,805,004 | $ | 431,821,821 | $ | 143,294,370 | $ | 31,871,205 | |||||||||||
Cash | - | - | - | 164,203 | |||||||||||||||
Foreign cash (cost $140,215, $-, $-, $37,673, respectively) | 141,430 | - | - | 37,705 | |||||||||||||||
Deposits with broker + | 373,698 | 42,706 | 42,533 | 365,691 | |||||||||||||||
Premiums paid on open swap contracts | - | - | - | 70,137 | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts | - | - | - | 2,373 | |||||||||||||||
Unrealized appreciation on futures contracts | 29,272 | - | - | 283,870 | |||||||||||||||
Unrealized appreciation on swap contracts | - | - | - | 22,375 | |||||||||||||||
Receivable for securities sold | 64,255 | - | - | 4,830,021 | |||||||||||||||
Receivable for portfolio shares sold | 11,605 | - | - | 74,527 | |||||||||||||||
Interest and dividends receivable | 181,532 | 26,438 | 8,749 | 106,980 | |||||||||||||||
Prepaid expenses | 1,151 | 15,024 | 5,001 | 925 | |||||||||||||||
Total Assets | 32,607,947 | 431,905,989 | 143,350,653 | 37,830,012 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Due to custodian | 41 | 25 | 8 | - | |||||||||||||||
Payable for securities purchased | - | - | - | 10,918,712 | |||||||||||||||
Payable for portfolio shares redeemed | - | 48,004 | 23,819 | - | |||||||||||||||
Accrued distribution (12b-1) fees | 6,918 | 91,006 | 30,271 | 5,626 | |||||||||||||||
Accrued investment advisory fees | 22,998 | 182,727 | 66,595 | 16,254 | |||||||||||||||
Administrative service fees payable | 1,700 | 22,177 | 7,389 | - | |||||||||||||||
Accrued expenses and other liabilities | 321 | 4,594 | 1,494 | 800 | |||||||||||||||
Total Liabilities | 31,978 | 348,533 | 129,576 | 10,941,392 | |||||||||||||||
Net Assets | $ | 32,575,969 | $ | 431,557,456 | $ | 143,221,077 | $ | 26,888,620 | |||||||||||
Composition of Net Assets: | |||||||||||||||||||
Paid-in capital | $ | 28,964,335 | $ | 353,763,818 | $ | 115,758,892 | $ | 22,824,797 | |||||||||||
Total distributable earnings | 3,611,634 | 77,793,638 | 27,462,185 | 4,063,823 | |||||||||||||||
Net Assets: | $ | 32,575,969 | $ | 431,557,456 | $ | 143,221,077 | $ | 26,888,620 | |||||||||||
Class II Shares: | |||||||||||||||||||
Net assets | $ | 32,575,969 | $ | 431,557,456 | $ | 143,221,077 | $ | 26,888,620 | |||||||||||
Total shares outstanding at end of period ($0 par value, unlimited shares authorized) | 3,008,741 | 35,022,016 | 11,393,744 | 2,316,090 | |||||||||||||||
Net asset value, offering and redemption price per share (Net assets ÷ Total shares of beneficial interest outstanding) | $ | 10.83 | $ | 12.32 | $ | 12.57 | $ | 11.61 |
+ Collateral for futures, forward foreign currency contracts, and swap contracts.
See accompanying notes to financial statements.
68
Global Atlantic Portfolios
Statements of Assets and Liabilities (Continued)
December 31, 2019
Assets: | Global Atlantic Select Advisor Managed Risk Portfolio | Global Atlantic Wellington Research Managed Risk Portfolio | |||||||||
Investments in securities, at cost | $ | 95,113,595 | $ | 363,448,762 | |||||||
Investments in securities, at fair value | $ | 114,346,380 | $ | 451,231,913 | |||||||
Cash | - | 110,352 | |||||||||
Deposits with broker + | 41,941 | 55,785 | |||||||||
Receivable for securities sold | - | 1,604,642 | |||||||||
Interest and dividends receivable | 63,974 | 1,113,642 | |||||||||
Prepaid expenses | 3,980 | 15,541 | |||||||||
Total Assets | 114,456,275 | 454,131,875 | |||||||||
Liabilities: | |||||||||||
Due to custodian | 2 | - | |||||||||
Unrealized depreciation on futures contracts | - | 11,265 | |||||||||
Payable for securities purchased | - | 5,055,752 | |||||||||
Payable for portfolio shares redeemed | 32,947 | 73,486 | |||||||||
Accrued distribution (12b-1) fees | 24,146 | 94,544 | |||||||||
Accrued investment advisory fees | 21,605 | 315,048 | |||||||||
Administrative service fees payable | 5,879 | 22,993 | |||||||||
Accrued expenses and other liabilities | 1,194 | 4,779 | |||||||||
Total Liabilities | 85,773 | 5,577,867 | |||||||||
Net Assets | $ | 114,370,502 | $ | 448,554,008 | |||||||
Composition of Net Assets: | |||||||||||
Paid-in capital | $ | 90,949,914 | $ | 352,587,063 | |||||||
Total distributable earnings | 23,420,588 | 95,966,945 | |||||||||
Net Assets: | $ | 114,370,502 | $ | 448,554,008 | |||||||
Class II Shares: | |||||||||||
Net assets | $ | 114,370,502 | $ | 448,554,008 | |||||||
Total shares outstanding at end of period ($0 par value, unlimited shares authorized) | 8,644,253 | 32,033,130 | |||||||||
Net asset value, offering and redemption price per share (Net assets ÷ Total shares of beneficial interest outstanding) | $ | 13.23 | $ | 14.00 |
+ Collateral for futures.
See accompanying notes to financial statements.
69
Global Atlantic Portfolios
Statements of Operations
For the Year Ended December 31, 2019
Global Atlantic American Funds® Managed Risk Portfolio | Global Atlantic Balanced Managed Risk Portfolio | Global Atlantic BlackRock Selects Managed Risk Portfolio | Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income* | $ | 4,907,324 | $ | 1,999,469 | $ | 5,327,879 | $ | 3,910,455 | |||||||||||
Interest income | 186,053 | 69,186 | 222,524 | 2,835,631 | |||||||||||||||
Total Investment Income | 5,093,377 | 2,068,655 | 5,550,403 | 6,746,086 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees | 2,023,283 | 464,886 | 1,630,013 | 2,394,859 | |||||||||||||||
Distribution fees (12b-1) - Class II Shares | 561,951 | 210,484 | 611,280 | 704,344 | |||||||||||||||
Administrative service fees | 143,382 | 57,923 | 157,623 | 183,215 | |||||||||||||||
Legal fees | 59,787 | 22,403 | 64,541 | 74,587 | |||||||||||||||
Trustees' fees | 21,077 | 8,253 | 23,853 | 23,810 | |||||||||||||||
Custody fees | 1,580 | 580 | 1,685 | 3,052 | |||||||||||||||
Miscellaneous expenses | 16,756 | 5,904 | 17,151 | 24,684 | |||||||||||||||
Total Expenses | 2,827,816 | 770,433 | 2,506,146 | 3,408,551 | |||||||||||||||
Expenses waived | (899,121 | ) | (1,317 | ) | (557,576 | ) | (143,809 | ) | |||||||||||
Net Expenses | 1,928,695 | 769,116 | 1,948,570 | 3,264,742 | |||||||||||||||
Net Investment Income | 3,164,682 | 1,299,539 | 3,601,833 | 3,481,344 | |||||||||||||||
Net Realized and Change in Unrealized Gain/(Loss) | |||||||||||||||||||
Net realized gain/(loss) on: | |||||||||||||||||||
Investments | 10,198,238 | 2,947,928 | (3,300,395 | ) | 6,607,553 | ||||||||||||||
Futures contracts | (1,902,154 | ) | (656,352 | ) | (2,060,319 | ) | (3,332,680 | ) | |||||||||||
Swap contracts | - | - | - | 95,179 | |||||||||||||||
Forward foreign currency contracts | - | - | - | 12,169 | |||||||||||||||
Foreign currency translations | - | - | - | (6,865 | ) | ||||||||||||||
8,296,084 | 2,291,576 | (5,360,714 | ) | 3,375,356 | |||||||||||||||
Net change in unrealized appreciation/(depreciation) on: | |||||||||||||||||||
Investments | 24,195,620 | 8,003,408 | 36,952,070 | 47,678,152 | |||||||||||||||
Futures contracts | (941,660 | ) | (370,729 | ) | (593,206 | ) | (2,750,651 | ) | |||||||||||
Swap contracts | - | - | - | 159,547 | |||||||||||||||
Forward foreign currency contracts | - | - | - | (84,783 | ) | ||||||||||||||
Foreign currency translations | - | - | - | (7,671 | ) | ||||||||||||||
23,253,960 | 7,632,679 | 36,358,864 | 44,994,594 | ||||||||||||||||
Net Realized and Change in Unrealized Gain | 31,550,044 | 9,924,255 | 30,998,150 | 48,369,950 | |||||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 34,714,726 | $ | 11,223,794 | $ | 34,599,983 | $ | 51,851,294 | |||||||||||
* Foreign taxes withheld | $ | - | $ | - | $ | - | $ | 1,288 |
See accompanying notes to financial statements.
70
Global Atlantic Portfolios
Statements of Operations (Continued)
For the Year Ended December 31, 2019
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | Global Atlantic Growth Managed Risk Portfolio | Global Atlantic Moderate Growth Managed Risk Portfolio | Global Atlantic PIMCO Tactical Allocation Portfolio | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income* | $ | 292,298 | $ | 9,368,439 | $ | 3,217,777 | $ | 217,399 | |||||||||||
Interest income | 390,599 | 366,991 | 118,561 | 450,891 | |||||||||||||||
Total Investment Income | 682,897 | 9,735,430 | 3,336,338 | 668,290 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees | 272,939 | 2,362,534 | 775,814 | 220,394 | |||||||||||||||
Distribution fees (12b-1) - Class II Shares | 80,276 | 1,073,879 | 352,643 | 64,822 | |||||||||||||||
Administrative service fees | 26,567 | 271,919 | 93,316 | 27,509 | |||||||||||||||
Legal fees | 8,597 | 112,908 | 37,242 | 6,872 | |||||||||||||||
Trustees' fees | 3,216 | 41,712 | 13,744 | 2,602 | |||||||||||||||
Custody fees | 688 | 2,963 | 987 | 513 | |||||||||||||||
Miscellaneous expenses | 2,419 | 31,640 | 9,990 | 2,055 | |||||||||||||||
Total Expenses | 394,702 | 3,897,555 | 1,283,736 | 324,767 | |||||||||||||||
Expenses waived | (19,389 | ) | (76,229 | ) | - | (26,831 | ) | ||||||||||||
Net Expenses | 375,313 | 3,821,326 | 1,283,736 | 297,936 | |||||||||||||||
Net Investment Income | 307,584 | 5,914,104 | 2,052,602 | 370,354 | |||||||||||||||
Net Realized and Change in Unrealized Gain/(Loss) | |||||||||||||||||||
Net realized gain/(loss) on: | |||||||||||||||||||
Investments | 1,684,576 | 29,719,979 | 5,542,063 | 246,118 | |||||||||||||||
Futures contracts | 871,492 | (8,958,102 | ) | (1,604,465 | ) | 1,586,848 | |||||||||||||
Swap contracts | - | - | - | (456,672 | ) | ||||||||||||||
Forward foreign currency contracts | - | - | - | (20,052 | ) | ||||||||||||||
Foreign currency translations | (1,518 | ) | - | - | (862 | ) | |||||||||||||
2,554,550 | 20,761,877 | 3,937,598 | 1,355,380 | ||||||||||||||||
Net change in unrealized appreciation/(depreciation) on: | |||||||||||||||||||
Investments | 1,206,661 | 48,075,656 | 16,063,559 | 2,164,773 | |||||||||||||||
Short sales | - | - | - | 317 | |||||||||||||||
Futures contracts | 136,830 | (6,694,944 | ) | (1,247,489 | ) | 331,837 | |||||||||||||
Swap contracts | - | - | - | 145,949 | |||||||||||||||
Forward foreign currency contracts | - | - | - | (407 | ) | ||||||||||||||
Foreign currency translations | 12,922 | - | - | (745 | ) | ||||||||||||||
1,356,413 | 41,380,712 | 14,816,070 | 2,641,724 | ||||||||||||||||
Net Realized and Change in Unrealized Gain | 3,910,963 | 62,142,589 | 18,753,668 | 3,997,104 | |||||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 4,218,547 | $ | 68,056,693 | $ | 20,806,270 | $ | 4,367,458 | |||||||||||
* Foreign taxes withheld | $ | - | $ | - | $ | - | $ | 86 |
See accompanying notes to financial statements.
71
Global Atlantic Portfolios
Statements of Operations (Continued)
For the Year Ended December 31, 2019
Global Atlantic Select Advisor Managed Risk Portfolio | Global Atlantic Wellington Research Managed Risk Portfolio | ||||||||||
Investment Income: | |||||||||||
Dividend income* | $ | 2,504,719 | $ | 4,359,458 | |||||||
Interest income | 93,364 | 4,971,178 | |||||||||
Total Investment Income | 2,598,083 | 9,330,636 | |||||||||
Expenses: | |||||||||||
Investment advisory fees | 1,009,967 | 3,717,169 | |||||||||
Distribution fees (12b-1) - Class II Shares | 280,555 | 1,093,285 | |||||||||
Administrative service fees | 82,226 | 279,414 | |||||||||
Legal fees | 29,779 | 116,570 | |||||||||
Trustees' fees | 10,953 | 41,381 | |||||||||
Custody fees | 785 | 3,428 | |||||||||
Miscellaneous expenses | 7,943 | 30,935 | |||||||||
Total Expenses | 1,422,208 | 5,282,182 | |||||||||
Expenses waived | (707,442 | ) | (13,260 | ) | |||||||
Net Expenses | 714,766 | 5,268,922 | |||||||||
Net Investment Income | 1,883,317 | 4,061,714 | |||||||||
Net Realized and Change in Unrealized Gain/(Loss) | |||||||||||
Net realized gain/(loss) on: | |||||||||||
Investments | 5,761,871 | 13,505,170 | |||||||||
Futures contracts | (1,434,672 | ) | (4,433,250 | ) | |||||||
Forward foreign currency contracts | - | (23 | ) | ||||||||
Foreign currency translations | - | (26 | ) | ||||||||
4,327,199 | 9,071,871 | ||||||||||
Net change in unrealized appreciation/(depreciation) on: | |||||||||||
Investments | 15,161,135 | 67,861,699 | |||||||||
Futures contracts | (1,028,337 | ) | (3,844,629 | ) | |||||||
Foreign currency translations | - | 185 | |||||||||
14,132,798 | 64,017,255 | ||||||||||
Net Realized and Change in Unrealized Gain | 18,459,997 | 73,089,126 | |||||||||
Net Increase in Net Assets Resulting from Operations | $ | 20,343,314 | $ | 77,150,840 | |||||||
* Foreign taxes withheld | $ | - | $ | 11,581 |
See accompanying notes to financial statements.
72
Global Atlantic Portfolios
Statements of Changes in Net Assets
Global Atlantic American Funds® Managed Risk Portfolio | Global Atlantic Balanced Managed Risk Portfolio | ||||||||||||||||||
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | ||||||||||||||||
Increase/(Decrease) in Net Assets: | |||||||||||||||||||
From Operations: | |||||||||||||||||||
Net investment income | $ | 3,164,682 | $ | 3,918,100 | $ | 1,299,539 | $ | 1,303,948 | |||||||||||
Net realized gain | 8,296,084 | 6,935,049 | 2,291,576 | 655,458 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | 23,253,960 | (21,692,206 | ) | 7,632,679 | (6,966,614 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 34,714,726 | (10,839,057 | ) | 11,223,794 | (5,007,208 | ) | |||||||||||||
From Distributions to Shareholders: | |||||||||||||||||||
Total distributions paid | (12,587,121 | ) | (9,463,958 | ) | (2,374,674 | ) | (1,095,287 | ) | |||||||||||
From Shares of Beneficial Interest: | |||||||||||||||||||
Proceeds from shares sold | 2,058,524 | 6,381,998 | 2,627,522 | 3,826,912 | |||||||||||||||
Reinvestment of distributions | 12,587,121 | 9,463,958 | 2,374,674 | 1,095,287 | |||||||||||||||
Cost of shares redeemed | (22,759,006 | ) | (19,055,559 | ) | (12,187,819 | ) | (12,964,740 | ) | |||||||||||
Net decrease in net assets from share transactions of beneficial interest | (8,113,361 | ) | (3,209,603 | ) | (7,185,623 | ) | (8,042,541 | ) | |||||||||||
Total increase (decrease) in net assets | 14,014,244 | (23,512,618 | ) | 1,663,497 | (14,145,036 | ) | |||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of year | 216,902,093 | 240,414,711 | 81,747,714 | 95,892,750 | |||||||||||||||
End of year | $ | 230,916,337 | $ | 216,902,093 | $ | 83,411,211 | $ | 81,747,714 | |||||||||||
Share Activity: | |||||||||||||||||||
Shares sold | 176,242 | 526,903 | 218,761 | 318,366 | |||||||||||||||
Shares reinvested | 1,095,485 | 848,785 | 194,965 | 95,243 | |||||||||||||||
Shares redeemed | (1,941,635 | ) | (1,594,889 | ) | (1,007,569 | ) | (1,083,588 | ) | |||||||||||
Net decrease in shares of beneficial interest outstanding | (669,908 | ) | (219,201 | ) | (593,843 | ) | (669,979 | ) |
See accompanying notes to financial statements.
73
Global Atlantic Portfolios
Statements of Changes in Net Assets (Continued)
Global Atlantic BlackRock Selects Managed Risk Portfolio | Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | ||||||||||||||||||
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | ||||||||||||||||
Increase/(Decrease) in Net Assets: | |||||||||||||||||||
From Operations: | |||||||||||||||||||
Net investment income | $ | 3,601,833 | $ | 1,190,132 | $ | 3,481,344 | $ | 3,596,649 | |||||||||||
Net realized gain (loss) | (5,360,714 | ) | 6,438,516 | 3,375,356 | (4,630,621 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation) | 36,358,864 | (28,428,728 | ) | 44,994,594 | (15,375,409 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 34,599,983 | (20,800,080 | ) | 51,851,294 | (16,409,381 | ) | |||||||||||||
From Distributions to Shareholders: | |||||||||||||||||||
Total distributions paid | (1,190,659 | ) | (4,664,325 | ) | (3,469,959 | ) | (2,765,677 | ) | |||||||||||
From Shares of Beneficial Interest: | |||||||||||||||||||
Proceeds from shares sold | 1,178,519 | 4,655,484 | 7,007,097 | 7,274,247 | |||||||||||||||
Reinvestment of distributions | 1,190,658 | 4,664,325 | 3,469,959 | 2,765,677 | |||||||||||||||
Cost of shares redeemed | (33,726,968 | ) | (27,923,437 | ) | (30,901,938 | ) | (29,188,638 | ) | |||||||||||
Net decrease in net assets from share transactions of beneficial interest | (31,357,791 | ) | (18,603,628 | ) | (20,424,882 | ) | (19,148,714 | ) | |||||||||||
Total increase (decrease) in net assets | 2,051,533 | (44,068,033 | ) | 27,956,453 | (38,323,772 | ) | |||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of year | 241,801,333 | 285,869,366 | 264,283,498 | 302,607,270 | |||||||||||||||
End of year | $ | 243,852,866 | $ | 241,801,333 | $ | 292,239,951 | $ | 264,283,498 | |||||||||||
Share Activity: | |||||||||||||||||||
Shares sold | 120,144 | 460,536 | 553,225 | 599,363 | |||||||||||||||
Shares reinvested | 117,654 | 499,927 | 269,197 | 236,181 | |||||||||||||||
Shares redeemed | (3,415,816 | ) | (2,809,982 | ) | (2,453,893 | ) | (2,430,085 | ) | |||||||||||
Net decrease in shares of beneficial interest outstanding | (3,178,018 | ) | (1,849,519 | ) | (1,631,471 | ) | (1,594,541 | ) |
See accompanying notes to financial statements.
74
Global Atlantic Portfolios
Statements of Changes in Net Assets (Continued)
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | Global Atlantic Growth Managed Risk Portfolio | ||||||||||||||||||
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | ||||||||||||||||
Increase/(Decrease) in Net Assets: | |||||||||||||||||||
From Operations: | |||||||||||||||||||
Net investment income | $ | 307,584 | $ | 308,922 | $ | 5,914,104 | $ | 5,899,230 | |||||||||||
Net realized gain (loss) | 2,554,550 | (1,638,965 | ) | 20,761,877 | 2,680,594 | ||||||||||||||
Net change in unrealized appreciation (depreciation) | 1,356,413 | (531,432 | ) | 41,380,712 | (42,363,431 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 4,218,547 | (1,861,475 | ) | 68,056,693 | (33,783,607 | ) | |||||||||||||
From Distributions to Shareholders: | |||||||||||||||||||
Total distributions paid | (299,239 | ) | (1,408,378 | ) | (5,900,880 | ) | (4,869,325 | ) | |||||||||||
From Shares of Beneficial Interest: | |||||||||||||||||||
Proceeds from shares sold | 1,128,661 | 1,881,962 | 2,050,159 | 10,622,373 | |||||||||||||||
Reinvestment of distributions | 299,239 | 1,408,378 | 5,900,880 | 4,869,325 | |||||||||||||||
Cost of shares redeemed | (3,511,557 | ) | (3,906,173 | ) | (62,184,439 | ) | (42,651,050 | ) | |||||||||||
Net decrease in net assets from share transactions of beneficial interest | (2,083,657 | ) | (615,833 | ) | (54,233,400 | ) | (27,159,352 | ) | |||||||||||
Total increase (decrease) in net assets | 1,835,651 | (3,885,686 | ) | 7,922,413 | (65,812,284 | ) | |||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of year | 30,740,318 | 34,626,004 | 423,635,043 | 489,447,327 | |||||||||||||||
End of year | $ | 32,575,969 | $ | 30,740,318 | $ | 431,557,456 | $ | 423,635,043 | |||||||||||
Share Activity: | |||||||||||||||||||
Shares sold | 108,623 | 181,300 | 174,949 | 915,294 | |||||||||||||||
Shares reinvested | 28,283 | 146,859 | 498,807 | 442,264 | |||||||||||||||
Shares redeemed | (339,093 | ) | (375,772 | ) | (5,341,292 | ) | (3,725,752 | ) | |||||||||||
Net decrease in shares of beneficial interest outstanding | (202,187 | ) | (47,613 | ) | (4,667,536 | ) | (2,368,194 | ) |
See accompanying notes to financial statements.
75
Global Atlantic Portfolios
Statements of Changes in Net Assets (Continued)
Global Atlantic Moderate Growth Managed Risk Portfolio | Global Atlantic PIMCO Tactical Allocation Portfolio | ||||||||||||||||||
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | ||||||||||||||||
Increase/(Decrease) in Net Assets: | |||||||||||||||||||
From Operations: | |||||||||||||||||||
Net investment income | $ | 2,052,602 | $ | 2,016,474 | $ | 370,354 | $ | 338,850 | |||||||||||
Net realized gain (loss) | 3,937,598 | 612,635 | 1,355,380 | (539,247 | ) | ||||||||||||||
Net change in unrealized appreciation (depreciation) | 14,816,070 | (12,231,915 | ) | 2,641,724 | (1,512,558 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 20,806,270 | (9,602,806 | ) | 4,367,458 | (1,712,955 | ) | |||||||||||||
From Distributions to Shareholders: | |||||||||||||||||||
Total distributions paid | (2,016,802 | ) | (1,615,979 | ) | (266,882 | ) | (1,184,226 | ) | |||||||||||
From Shares of Beneficial Interest: | |||||||||||||||||||
Proceeds from shares sold | 1,038,647 | 5,064,466 | 1,322,912 | 3,840,031 | |||||||||||||||
Reinvestment of distributions | 2,016,802 | 1,615,979 | 266,882 | 1,184,226 | |||||||||||||||
Cost of shares redeemed | (14,568,694 | ) | (12,694,376 | ) | (3,140,638 | ) | (3,284,139 | ) | |||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | (11,513,245 | ) | (6,013,931 | ) | (1,550,844 | ) | 1,740,118 | ||||||||||||
Total increase (decrease) in net assets | 7,276,223 | (17,232,716 | ) | 2,549,732 | (1,157,063 | ) | |||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of year | 135,944,854 | 153,177,570 | 24,338,888 | 25,495,951 | |||||||||||||||
End of year | $ | 143,221,077 | $ | 135,944,854 | $ | 26,888,620 | $ | 24,338,888 | |||||||||||
Share Activity: | |||||||||||||||||||
Shares sold | 88,015 | 425,832 | 123,677 | 349,837 | |||||||||||||||
Shares reinvested | 165,855 | 143,007 | 24,087 | 116,788 | |||||||||||||||
Shares redeemed | (1,220,660 | ) | (1,076,572 | ) | (288,931 | ) | (302,738 | ) | |||||||||||
Net increase (decrease) in shares of beneficial interest outstanding | (966,790 | ) | (507,733 | ) | (141,167 | ) | 163,887 |
See accompanying notes to financial statements.
76
Global Atlantic Portfolios
Statements of Changes in Net Assets (Continued)
Global Atlantic Select Advisor Managed Risk Portfolio | Global Atlantic Wellington Research Managed Risk Portfolio | ||||||||||||||||||
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | ||||||||||||||||
Increase/(Decrease) in Net Assets: | |||||||||||||||||||
From Operations: | |||||||||||||||||||
Net investment income | $ | 1,883,317 | $ | 1,267,963 | $ | 4,061,714 | $ | 4,107,161 | |||||||||||
Net realized gain | 4,327,199 | 1,920,178 | 9,071,871 | 14,828,027 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | 14,132,798 | (10,086,959 | ) | 64,017,255 | (41,210,016 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 20,343,314 | (6,898,818 | ) | 77,150,840 | (22,274,828 | ) | |||||||||||||
From Distributions to Shareholders: | |||||||||||||||||||
Total distributions paid | (4,750,990 | ) | (2,557,493 | ) | (22,747,730 | ) | (11,630,527 | ) | |||||||||||
From Shares of Beneficial Interest: | |||||||||||||||||||
Proceeds from shares sold | 628,496 | 5,072,636 | 3,555,936 | 3,233,092 | |||||||||||||||
Reinvestment of distributions | 4,750,990 | 2,557,493 | 22,747,730 | 11,630,527 | |||||||||||||||
Cost of shares redeemed | (14,474,991 | ) | (10,294,914 | ) | (46,883,300 | ) | (45,039,857 | ) | |||||||||||
Net decrease in net assets from share transactions of beneficial interest | (9,095,505 | ) | (2,664,785 | ) | (20,579,634 | ) | (30,176,238 | ) | |||||||||||
Total increase (decrease) in net assets | 6,496,819 | (12,121,096 | ) | 33,823,476 | (64,081,593 | ) | |||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of year | 107,873,683 | 119,994,779 | 414,730,532 | 478,812,125 | |||||||||||||||
End of year | $ | 114,370,502 | $ | 107,873,683 | $ | 448,554,008 | $ | 414,730,532 | |||||||||||
Share Activity: | |||||||||||||||||||
Shares sold | 50,365 | 400,416 | 265,518 | 237,591 | |||||||||||||||
Shares reinvested | 375,572 | 215,822 | 1,698,860 | 915,069 | |||||||||||||||
Shares redeemed | (1,138,107 | ) | (824,645 | ) | (3,443,607 | ) | (3,362,647 | ) | |||||||||||
Net decrease in shares of beneficial interest outstanding | (712,170 | ) | (208,407 | ) | (1,479,229 | ) | (2,209,987 | ) |
See accompanying notes to financial statements.
77
Global Atlantic Portfolios
Financial Highlights
Global Atlantic American Funds® Managed Risk Portfolio
Selected data for a Class II share outstanding throughout each year
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||||||
Net asset value, beginning of year | $ | 10.93 | $ | 11.98 | $ | 10.64 | $ | 10.57 | $ | 10.86 | |||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income (a,b) | 0.17 | 0.20 | 0.15 | 0.15 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.62 | (0.76 | ) | 1.35 | 0.45 | (0.38 | ) | ||||||||||||||||
Total income (loss) from investment operations | 1.79 | (0.56 | ) | 1.50 | 0.60 | (0.20 | ) | ||||||||||||||||
Less distributions from: | |||||||||||||||||||||||
Net investment income | (0.21 | ) | (0.15 | ) | (0.14 | ) | (0.14 | ) | (0.09 | ) | |||||||||||||
Net realized gain | (0.47 | ) | (0.34 | ) | (0.02 | ) | (0.39 | ) | - | ||||||||||||||
Total distributions | (0.68 | ) | (0.49 | ) | (0.16 | ) | (0.53 | ) | (0.09 | ) | |||||||||||||
Net asset value, end of year | $ | 12.04 | $ | 10.93 | $ | 11.98 | $ | 10.64 | $ | 10.57 | |||||||||||||
Total return (c) | 16.72 | % | (4.75 | )% | 14.16 | % | 5.72 | % | (1.84 | )% | |||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||
Net assets, end of each year (in 000's) | $ | 230,916 | $ | 216,902 | $ | 240,415 | $ | 217,525 | $ | 191,162 | |||||||||||||
Ratio of net expenses to average net assets (d) | 0.86 | % | 0.86 | % | 0.86 | % | 0.86 | % | 0.86 | % | |||||||||||||
Ratio of gross expenses to average net assets (d,e) | 1.26 | % | 1.24 | % | 1.27 | % | 1.27 | % | 1.27 | % | |||||||||||||
Ratio of net investment income to average net assets (b,d) | 1.41 | % | 1.66 | % | 1.29 | % | 1.37 | % | 1.69 | % | |||||||||||||
Portfolio turnover rate | 30 | % | 34 | % | 43 | % | 35 | % | 23 | % |
(a) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(b) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(c) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gain distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns would have been lower absent fee waivers by the Adviser.
(d) Does not include the expenses of the investment companies in which the Portfolio invests.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
See accompanying notes to financial statements.
78
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Balanced Managed Risk Portfolio
Selected data for a Class II share outstanding throughout each year
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||||||
Net asset value, beginning of year | $ | 11.26 | $ | 12.09 | $ | 10.95 | $ | 10.66 | $ | 10.82 | |||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income (a,b) | 0.19 | 0.17 | 0.13 | 0.13 | 0.13 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.42 | (0.85 | ) | 1.16 | 0.25 | (0.25 | ) | ||||||||||||||||
Total income (loss) from investment operations | 1.61 | (0.68 | ) | 1.29 | 0.38 | (0.12 | ) | ||||||||||||||||
Less distributions from: | |||||||||||||||||||||||
Net investment income | (0.20 | ) | (0.15 | ) | (0.15 | ) | (0.09 | ) | (0.04 | ) | |||||||||||||
Net realized gain | (0.16 | ) | - | - | - | - | |||||||||||||||||
Total distributions | (0.36 | ) | (0.15 | ) | (0.15 | ) | (0.09 | ) | (0.04 | ) | |||||||||||||
Net asset value, end of year | $ | 12.51 | $ | 11.26 | $ | 12.09 | $ | 10.95 | $ | 10.66 | |||||||||||||
Total return (c) | 14.34 | % | (5.66 | )% | 11.80 | % | 3.55 | % | (1.10 | )% | |||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||
Net assets, end of each year (in 000's) | $ | 83,411 | $ | 81,748 | $ | 95,893 | $ | 101,046 | $ | 83,310 | |||||||||||||
Ratio of net expenses to average net assets (d) | 0.91 | % | 0.91 | % (f) | 0.91 | % | 0.91 | % | 0.91 | % | |||||||||||||
Ratio of gross expenses to average net assets (d) | 0.91 | % (e) | 0.91 | % | 0.91 | % (e) | 0.92 | % (e) | 0.92 | % (e) | |||||||||||||
Ratio of net investment income to average net assets (b,d) | 1.54 | % | 1.42 | % | 1.14 | % | 1.23 | % | 1.16 | % | |||||||||||||
Portfolio turnover rate | 107 | % | 75 | % | 49 | % | 51 | % | 32 | % |
(a) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(b) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(c) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gain distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns would have been lower absent fee waivers by the Adviser.
(d) Does not include the expenses of the investment companies in which the Portfolio invests.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Represents the ratio of expenses to average net assets inclusive of the Advisor's recapture of waived/reimbursed fees from prior periods.
See accompanying notes to financial statements.
79
Global Atlantic Portfolios
Financial Highlights
Global Atlantic BlackRock Selects Managed Risk Portfolio
Selected data for a Class II share outstanding throughout each year
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||||||
Net asset value, beginning of year | $ | 9.15 | $ | 10.11 | $ | 9.04 | $ | 9.35 | $ | 10.27 | |||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income (a,b) | 0.15 | 0.04 | 0.16 | 0.06 | 0.16 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.24 | (0.82 | ) | 0.97 | (0.06 | ) | (0.52 | ) | |||||||||||||||
Total income (loss) from investment operations | 1.39 | (0.78 | ) | 1.13 | 0.00 | (f) | (0.36 | ) | |||||||||||||||
Less distributions from: | |||||||||||||||||||||||
Net investment income | (0.05 | ) | (0.18 | ) | (0.06 | ) | (0.12 | ) | (0.16 | ) | |||||||||||||
Net realized gain | - | - | - | (0.19 | ) | (0.40 | ) | ||||||||||||||||
Total distributions | (0.05 | ) | (0.18 | ) | (0.06 | ) | (0.31 | ) | (0.56 | ) | |||||||||||||
Net asset value, end of year | $ | 10.49 | $ | 9.15 | $ | 10.11 | $ | 9.04 | $ | 9.35 | |||||||||||||
Total return (c) | 15.22 | % | (7.78 | )% | 12.54 | % | 0.02 | % | (3.44 | )% | |||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||
Net assets, end of each year (in 000's) | $ | 243,853 | $ | 241,801 | $ | 285,869 | $ | 274,284 | $ | 272,598 | |||||||||||||
Ratio of net expenses to average net assets (d) | 0.80 | % | 0.57 | % | 0.57 | % | 0.57 | % | 0.57 | % | |||||||||||||
Ratio of gross expenses to average net assets (d,e) | 1.02 | % | 1.24 | % | 1.26 | % | 1.27 | % | 1.26 | % | |||||||||||||
Ratio of net investment income to average net assets (b,d) | 1.47 | % | 3.87 | % | 1.66 | % | 0.64 | % | 1.61 | % | |||||||||||||
Portfolio turnover rate | 154 | % | 7 | % | 1 | % | 7 | % | 1 | % |
(a) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(b) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(c) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gain distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns would have been lower absent fee waivers by the Adviser.
(d) Does not include the expenses of the investment companies in which the Portfolio invests.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Less than $0.005 per share.
See accompanying notes to financial statements.
80
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Selected data for a Class II share outstanding throughout each year
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||||||
Net asset value, beginning of year | $ | 11.31 | $ | 12.13 | $ | 10.64 | $ | 9.78 | $ | 10.57 | |||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income (a,b) | 0.16 | 0.15 | 0.12 | 0.13 | 0.12 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 2.14 | (0.85 | ) | 1.48 | 0.81 | (0.87 | ) | ||||||||||||||||
Total income (loss) from investment operations | 2.30 | (0.70 | ) | 1.60 | 0.94 | (0.75 | ) | ||||||||||||||||
Less distributions from: | |||||||||||||||||||||||
Net investment income | (0.16 | ) | (0.12 | ) | (0.11 | ) | (0.08 | ) | (0.04 | ) | |||||||||||||
Net asset value, end of year | $ | 13.45 | $ | 11.31 | $ | 12.13 | $ | 10.64 | $ | 9.78 | |||||||||||||
Total return (c) | 20.40 | % | (5.82 | )% | 15.14 | % | 9.60 | % | (7.09 | )% | |||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||
Net assets, end of each year (in 000's) | $ | 292,240 | $ | 264,283 | $ | 302,607 | $ | 236,401 | $ | 162,144 | |||||||||||||
Ratio of net expenses to average net assets (d) | 1.16 | % | 1.15 | % | 1.13 | % | 1.08 | % | 1.08 | % | |||||||||||||
Ratio of gross expenses to average net assets (d,e) | 1.21 | % | 1.19 | % | 1.24 | % | 1.22 | % | 1.21 | % | |||||||||||||
Ratio of net investment income to average net assets (b,d) | 1.24 | % | 1.24 | % | 1.04 | % | 1.22 | % | 1.13 | % | |||||||||||||
Portfolio turnover rate | 20 | % (f) | 24 | % (f) | 43 | % (f) | 3 | % | 3 | % |
(a) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(b) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(c) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gain distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns would have been lower absent fee waivers by the Adviser.
(d) Does not include the expenses of the investment companies or fees on swaps in which the Portfolio invests.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) The portfolio turnover rate excludes mortgage dollar roll transactions for the years ended December 31, 2019, December 31, 2018 and December 31, 2017. If these were included in the calculation, the turnover percentage would be 55%, 48% and 55%, respectively.
See accompanying notes to financial statements.
81
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
Selected data for a Class II share outstanding throughout each period indicated.
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | Period Ended December 31, 2015 (a) | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.57 | $ | 10.63 | $ | 9.87 | $ | 9.48 | $ | 10.00 | |||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income (b,c) | 0.10 | 0.10 | 0.04 | 0.04 | 0.01 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.26 | (0.71 | ) | 0.75 | 0.35 | (0.53 | ) | ||||||||||||||||
Total income (loss) from investment operations | 1.36 | (0.61 | ) | 0.79 | 0.39 | (0.52 | ) | ||||||||||||||||
Less distributions from: | |||||||||||||||||||||||
Net investment income | (0.10 | ) | (0.05 | ) | (0.03 | ) | (0.00 | )(d) | 0.00 | (d) | |||||||||||||
Net realized gain | - | (0.40 | ) | - | - | - | |||||||||||||||||
Total distributions | (0.10 | ) | (0.45 | ) | (0.03 | ) | (0.00 | )(d) | 0.00 | (d) | |||||||||||||
Net asset value, end of period | $ | 10.83 | $ | 9.57 | $ | 10.63 | $ | 9.87 | $ | 9.48 | |||||||||||||
Total return (e) | 14.21 | % | (5.74 | )% | 8.04 | % | 4.12 | % | (5.17 | )% | |||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||
Net assets, end of period (in 000's) | $ | 32,576 | $ | 30,740 | $ | 34,626 | $ | 30,792 | $ | 16,249 | |||||||||||||
Ratio of net expenses to average net assets (f) | 1.17 | % | 1.16 | % | 1.16 | % | 1.16 | % | 1.16 | % (g) | |||||||||||||
Ratio of gross expenses to average net assets (f,h) | 1.23 | % | 1.20 | % | 1.21 | % | 1.21 | % | 1.22 | % (g) | |||||||||||||
Ratio of net investment income to average net assets (c,f) | 0.96 | % | 0.94 | % | 0.37 | % | 0.43 | % | 0.10 | % (g) | |||||||||||||
Portfolio turnover rate | 220 | % | 142 | % | 241 | % | 101 | % | 14 | % (i) |
(a) Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio commenced operations on April 30, 2015.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(c) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(d) Less than $0.005 per share.
(e) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gain distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(f) Does not include the expenses of the investment companies in which the Portfolio invests.
(g) Annualized.
(h) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(i) Not annualized.
See accompanying notes to financial statements.
82
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Growth Managed Risk Portfolio
Selected data for a Class II share outstanding throughout each year
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||||||
Net asset value, beginning of year | $ | 10.67 | $ | 11.64 | $ | 10.03 | $ | 9.91 | $ | 10.49 | |||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income (a,b) | 0.16 | 0.14 | 0.11 | 0.13 | 0.13 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.66 | (0.99 | ) | 1.65 | 0.09 | (0.68 | ) | ||||||||||||||||
Total income (loss) from investment operations | 1.82 | (0.85 | ) | 1.76 | 0.22 | (0.55 | ) | ||||||||||||||||
Less distributions from: | |||||||||||||||||||||||
Net investment income | (0.17 | ) | (0.12 | ) | (0.15 | ) | (0.10 | ) | (0.03 | ) | |||||||||||||
Net asset value, end of year | $ | 12.32 | $ | 10.67 | $ | 11.64 | $ | 10.03 | $ | 9.91 | |||||||||||||
Total return (c) | 17.11 | % | (7.33 | )% | 17.61 | % | 2.23 | % | (5.23 | )% | |||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||
Net assets, end of each year (in 000's) | $ | 431,557 | $ | 423,635 | $ | 489,447 | $ | 467,767 | $ | 461,355 | |||||||||||||
Ratio of net expenses to average net assets (d) | 0.89 | % | 0.91 | % (f) | 0.91 | % | 0.91 | % | 0.91 | % | |||||||||||||
Ratio of gross expenses to average net assets (d) | 0.91 | % (e) | 0.89 | % | 0.91 | % (e) | 0.92 | % (e) | 0.92 | % (e) | |||||||||||||
Ratio of net investment income to average net assets (b,d) | 1.38 | % | 1.24 | % | 1.04 | % | 1.32 | % | 1.22 | % | |||||||||||||
Portfolio turnover rate | 69 | % | 53 | % | 51 | % | 59 | % | 23 | % |
(a) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(b) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(c) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gain distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns would have been lower absent fee waivers by the Adviser.
(d) Does not include the expenses of the investment companies in which the Portfolio invests.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Represents the ratio of expenses to average net assets inclusive of the Adviser's recapture of waived/reimbursed fees from prior periods.
See accompanying notes to financial statements.
83
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Moderate Growth Managed Risk Portfolio
Selected data for a Class II share outstanding throughout each year
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||||||
Net asset value, beginning of year | $ | 11.00 | $ | 11.90 | $ | 10.52 | $ | 10.20 | $ | 10.50 | |||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income (a,b) | 0.17 | 0.16 | 0.12 | 0.13 | 0.13 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.58 | (0.93 | ) | 1.40 | 0.28 | (0.40 | ) | ||||||||||||||||
Total income (loss) from investment operations | 1.75 | (0.77 | ) | 1.52 | 0.41 | (0.27 | ) | ||||||||||||||||
Less distributions from: | |||||||||||||||||||||||
Net investment income | (0.18 | ) | (0.13 | ) | (0.14 | ) | (0.09 | ) | (0.03 | ) | |||||||||||||
Net asset value, end of year | $ | 12.57 | $ | 11.00 | $ | 11.90 | $ | 10.52 | $ | 10.20 | |||||||||||||
Total return (c) | 15.94 | % | (6.50 | )% | 14.47 | % | 4.05 | % | (2.57 | )% | |||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||
Net assets, end of each year (in 000's) | $ | 143,221 | $ | 135,945 | $ | 153,178 | $ | 142,389 | $ | 127,725 | |||||||||||||
Ratio of net expenses to average net assets (d) | 0.91 | % | 0.91 | % (f) | 0.91 | % | 0.91 | % | 0.91 | % | |||||||||||||
Ratio of gross expenses to average net assets (d) | 0.91 | % (e) | 0.89 | % | 0.91 | % (e) | 0.92 | % (e) | 0.92 | % (e) | |||||||||||||
Ratio of net investment income to average net assets (b,d) | 1.46 | % | 1.35 | % | 1.09 | % | 1.26 | % | 1.21 | % | |||||||||||||
Portfolio turnover rate | 91 | % | 65 | % | 52 | % | 59 | % | 21 | % |
(a) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(b) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(c) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gain distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns would have been lower absent fee waivers by the Adviser.
(d) Does not include the expenses of the investment companies in which the Portfolio invests.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Represents the ratio of expenses to average net assets inclusive of the Adviser's recapture of waived/reimbursed fees from prior periods.
See accompanying notes to financial statements.
84
Global Atlantic Portfolios
Financial Highlights
Global Atlantic PIMCO Tactical Allocation Portfolio
Selected data for a Class II share outstanding throughout each period indicated.
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | Period Ended December 31, 2015 (a) | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.90 | $ | 11.12 | $ | 9.73 | $ | 9.45 | $ | 10.00 | |||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income (b,c) | 0.16 | 0.14 | 0.09 | 0.11 | 0.04 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.67 | (0.87 | ) | 1.34 | 0.26 | (0.51 | ) | ||||||||||||||||
Total income (loss) from investment operations | 1.83 | (0.73 | ) | 1.43 | 0.37 | (0.47 | ) | ||||||||||||||||
Less distributions from: | |||||||||||||||||||||||
Net investment income | (0.12 | ) | (0.11 | ) | (0.04 | ) | (0.09 | ) | (0.08 | ) | |||||||||||||
Net realized gain | - | (0.38 | ) | - | - | - | |||||||||||||||||
Total distributions | (0.12 | ) | (0.49 | ) | (0.04 | ) | (0.09 | ) | (0.08 | ) | |||||||||||||
Net asset value, end of period | $ | 11.61 | $ | 9.90 | $ | 11.12 | $ | 9.73 | $ | 9.45 | |||||||||||||
Total return (d) | 18.37 | % | (6.65 | )% | 14.66 | % | 3.91 | % | (4.72 | )% | |||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||
Net assets, end of period (in 000's) | $ | 26,889 | $ | 24,339 | $ | 25,496 | $ | 20,356 | $ | 13,215 | |||||||||||||
Ratio of net expenses to average net assets (e) | 1.15 | % | 1.14 | % | 1.14 | % | 1.14 | % | 1.14 | % (f) | |||||||||||||
Ratio of gross expenses to average net assets (e,g) | 1.25 | % | 1.20 | % | 1.21 | % | 1.21 | % | 1.22 | % (f) | |||||||||||||
Ratio of net investment income to average net assets (c,e) | 1.43 | % | 1.29 | % | 0.83 | % | 1.15 | % | 0.61 | % (f) | |||||||||||||
Portfolio turnover rate | 782 | % (i) | 207 | % (i) | 403 | % (i) | 66 | % (i) | 128 | % (h,i) |
(a) Global Atlantic PIMCO Tactical Allocation Portfolio commenced operations on April 30, 2015.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(c) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(d) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gain distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(e) Does not include the expenses of the investment companies or fees on swaps in which the Portfolio invests.
(f) Annualized.
(g) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(h) Not annualized.
(i) The portfolio turnover rates excludes mortgage dollar roll transactions for the years ended December 31, 2019, December 31, 2018, December 31, 2017, December 31, 2016, and the period ended December 31, 2015. If these were included in the calculation, the turnover percentage would be 891%, 376%, 455%, 304%, and 220%, respectively.
See accompanying notes to financial statements.
85
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Select Advisor Managed Risk Portfolio
Selected data for a Class II share outstanding throughout each year
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||||||
Net asset value, beginning of year | $ | 11.53 | $ | 12.55 | $ | 11.04 | $ | 10.62 | $ | 10.97 | |||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income (a,b) | 0.21 | 0.13 | 0.11 | 0.14 | 0.15 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 2.05 | (0.87 | ) | 1.55 | 0.40 | (0.46 | ) | ||||||||||||||||
Total income (loss) from investment operations | 2.26 | (0.74 | ) | 1.66 | 0.54 | (0.31 | ) | ||||||||||||||||
Less distributions from: | |||||||||||||||||||||||
Net investment income | (0.15 | ) | (0.12 | ) | (0.15 | ) | (0.12 | ) | (0.04 | ) | |||||||||||||
Net realized gain | (0.41 | ) | (0.16 | ) | - | - | - | ||||||||||||||||
Total distributions | (0.56 | ) | (0.28 | ) | (0.15 | ) | (0.12 | ) | (0.04 | ) | |||||||||||||
Net asset value, end of year | $ | 13.23 | $ | 11.53 | $ | 12.55 | $ | 11.04 | $ | 10.62 | |||||||||||||
Total return (c) | 19.96 | % | (5.99 | )% | 15.06 | % | 5.10 | % | (2.81 | )% | |||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||
Net assets, end of each year (in 000's) | $ | 114,371 | $ | 107,874 | $ | 119,955 | $ | 110,443 | $ | 105,716 | |||||||||||||
Ratio of net expenses to average net assets (d) | 0.64 | % | 0.63 | % | 0.63 | % | 0.63 | % | 0.63 | % | |||||||||||||
Ratio of gross expenses to average net assets (d,e) | 1.27 | % | 1.24 | % | 1.26 | % | 1.27 | % | 1.26 | % | |||||||||||||
Ratio of net investment income to average net assets (b,d) | 1.68 | % | 1.07 | % | 0.95 | % | 1.26 | % | 1.42 | % | |||||||||||||
Portfolio turnover rate | 22 | % | 32 | % | 36 | % | 45 | % | 21 | % |
(a) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(b) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(c) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gain distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns would have been lower absent fee waivers by the Adviser.
(d) Does not include the expenses of the investment companies in which the Portfolio invests.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
See accompanying notes to financial statements.
86
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Wellington Research Managed Risk Portfolio
Selected data for a Class II share outstanding throughout each year
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | |||||||||||||||||||
Net asset value, beginning of year | $ | 12.38 | $ | 13.40 | $ | 11.82 | $ | 11.32 | $ | 11.25 | |||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income (a,b) | 0.13 | 0.12 | 0.09 | 0.08 | 0.06 | ||||||||||||||||||
Net realized and unrealized gain (loss | 2.23 | (0.79 | ) | 1.56 | 0.42 | 0.03 | (c) | ||||||||||||||||
Total income (loss) from investment operations | 2.36 | (0.67 | ) | 1.65 | 0.50 | 0.09 | |||||||||||||||||
Less distributions from: | |||||||||||||||||||||||
Net investment income | (0.13 | ) | (0.09 | ) | (0.07 | ) | - | (0.01 | ) | ||||||||||||||
Net realized gain | (0.61 | ) | (0.26 | ) | - | - | (0.01 | ) | |||||||||||||||
Total distributions | (0.74 | ) | (0.35 | ) | (0.07 | ) | - | (0.02 | ) | ||||||||||||||
Net asset value, end of year | $ | 14.00 | $ | 12.38 | $ | 13.40 | $ | 11.82 | $ | 11.32 | |||||||||||||
Total return (d) | 19.32 | % | (5.07 | )% | 13.99 | % | 4.68 | % | 0.75 | % | |||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||
Net assets, end of each year (in 000's) | $ | 448,554 | $ | 414,731 | $ | 478,812 | $ | 415,607 | $ | 335,250 | |||||||||||||
Ratio of net expenses to average net assets (e) | 1.20 | % | 1.20 | % (h) | 1.20 | % | 1.20 | % | 1.20 | % | |||||||||||||
Ratio of gross expenses to average net assets (e) | 1.21 | % (f) | 1.19 | % | 1.21 | % (f) | 1.21 | % (f) | 1.21 | % (f) | |||||||||||||
Ratio of net investment income to average net assets (b,e) | 0.93 | % | 0.89 | % | 0.68 | % | 0.65 | % | 0.49 | % | |||||||||||||
Portfolio turnover rate | 53 | % (g) | 66 | % (g) | 67 | % (g) | 71 | % (g) | 91 | % (g) |
(a) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(b) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(c) Realized and unrealized 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 aggregate gains and losses in the statement of operations due to the share transactions for the period.
(d) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gain distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns would have been lower absent fee waivers by the Adviser.
(e) Does not include the expenses of the investment companies in which the Portfolio invests.
(f) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(g) The portfolio turnover rates excludes mortgage dollar roll transactions for the years ended December 31, 2019, December 31, 2018, December 31, 2017, December 31, 2016 and December 31, 2015. If these were included in the calculation the turnover percentage would be 70%, 92%, 106%, 120%, and 175%, respectively.
(h) Represents the ratio of expenses to average net assets inclusive of the Adviser's recapture of waived/reimbursed fees from prior periods.
See accompanying notes to financial statements.
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Notes to Financial Statements
December 31, 2019
1. ORGANIZATION
The Global Atlantic Portfolios (each, a "Portfolio" and collectively, the "Portfolios") are comprised of twenty-three different actively managed portfolios, ten of which are discussed in this report. Each Portfolio is a series of shares of beneficial interest of Forethought Variable Insurance Trust (the "Trust"), a statutory trust organized under the laws of the State of Delaware, and registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company.
Commencement Date | Investment Objective | ||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | October 31, 2013 | Capital appreciation and income while seeking to manage volatility. | |||||||||
Global Atlantic Balanced Managed Risk Portfolio | October 31, 2013 | Capital appreciation and income while seeking to manage volatility. | |||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio (formerly Global Atlantic BlackRock Global Allocation Managed Risk Portfolio) | October 31, 2013 | Capital appreciation and income while seeking to manage volatility. | |||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | April 30, 2014 | Capital appreciation and income while seeking to manage volatility. | |||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | April 30, 2015 | Capital appreciation and income while seeking to manage volatility. | |||||||||
Global Atlantic Growth Managed Risk Portfolio | April 30, 2014 | Capital appreciation and income while seeking to manage volatility. | |||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | April 30, 2014 | Capital appreciation and income while seeking to manage volatility. | |||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | April 30, 2015 | Capital appreciation and income while seeking to manage volatility. | |||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | October 31, 2013 | Capital appreciation and income while seeking to manage volatility. | |||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | October 31, 2013 | Capital appreciation and income while seeking to manage volatility. |
Each of the Portfolios in this report is diversified. Certain of the Portfolios operate as "fund of funds." A "fund of funds" typically invests in multiple underlying funds and the level of its interest in any particular underlying fund may fluctuate. The Portfolios are intended to be funding vehicles for variable annuity contracts offered by the separate accounts of Forethought Life Insurance Company. The assets of each Portfolio are segregated and a shareholder's interest is limited to the Portfolio in which shares are held. Each Portfolio pays its own expenses.
The Portfolios currently offer Class II shares at net asset value.
References herein to a Portfolio's investment in a particular instrument include direct investments and indirect investments through investment companies such as open-end funds (mutual funds), exchange-traded funds and closed-end funds, as applicable.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the Portfolios in preparation of their financial statements. The policies are in conformity with U.S. generally accepted accounting principles ("US GAAP"). The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. Each Portfolio is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standard Codification Topic 946 "Financial Services – Investment Companies".
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December 31, 2019
Securities Valuation – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the primary exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ at the NASDAQ Official Closing Price. In the absence of a sale such securities shall be valued at the mean between the current bid and ask prices on the day of valuation. Futures and future options are valued at the final settle price or, in the absence of a settle price, at the last sale price on the day of valuation. Debt securities are valued on the basis of valuations provided by dealers or by an independent pricing service which take into account appropriate factors such as trading activity, readily available market quotations (including broker quotes), yield, quality, coupon rate, maturity, type of issue, trading characteristic, call features, credit ratings and other data. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost to the extent it is determined that amortized cost approximates fair value.
Valuation of Investment Companies – The Portfolios may invest in one or more portfolios of open-end investment companies (the "Underlying Fund" or "Underlying Funds"). Each Underlying Fund is valued at its respective net asset value as reported by such investment company (except exchange-traded funds ("ETFs")). ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Each Underlying Fund values securities in its portfolio for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value based on the methods established by each Underlying Fund's board(s) of trustees.
Exchange-Traded Funds – The Portfolios may invest in passive ETFs. An ETF is a type of index fund that is bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities designed to track the performance and dividend yield of a particular domestic or foreign market index. A Portfolio may purchase an ETF to temporarily gain exposure to a portion of the U.S. or a foreign market while awaiting an opportunity to purchase securities directly. The risks of owning an ETF generally reflect the risks of owning the underlying securities it is designed to track, although the lack of liquidity in an ETF could result in it being more volatile than the underlying securities, which may result in a Portfolio paying significantly more or receiving significantly less for ETF shares than the value of the relevant underlying securities. Additionally, an ETF has fees and expenses that increase the cost of investing in the ETF versus the costs of owning the underlying securities directly.
Illiquid Securities – The Portfolios may hold securities, such as private placements, interests in commodity pools, other non-traded securities or temporarily illiquid securities, for which market quotations are not readily available or are determined to be unreliable. These securities will be valued at their fair market value as determined using the valuation procedures approved by the Board of Trustees (the "Board"). The Board has delegated execution of these procedures to a Fair Value Committee composed of one or more representatives from the (i) Trust and (ii) Global Atlantic Investment Advisors, LLC (the "Adviser") and/or Sub-Adviser. The Fair Value Committee may also include the Trust's Chief Compliance Officer and may enlist third party consultants or advisers (such as an accounting firm or fair value pricing specialist) on an as-needed basis to assist in determining a security-specific fair value or valuation method. The Board reviews and approves the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results.
Fair Value Committee and Valuation Process – The Fair Value Committee is composed of one or more representatives from the (i) Trust and (ii) Adviser and/or Sub-Adviser. The applicable investments are valued collectively via inputs from each of these groups. For example, fair value determinations are required for the following securities: (i) securities for which market quotations are not readily available 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); (ii) securities for which, in the opinion of the Adviser or relevant Sub-Adviser, the prices or values available do not represent the fair value of the instrument (factors which may cause the Adviser or Sub-Adviser to make such a judgment include, but are not limited to, the following: the availability of only a bid price or an ask price; the spread between bid and ask prices; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets or regulators, such as the suspension or limitation of trading); (iii) securities determined to be illiquid; (iv) securities with respect to which an event that will affect the value thereof has occurred (a "significant event") subsequent to the determination of the closing price reported on the principal exchange on which the securities are traded, but prior to the relevant Portfolio's calculation of its net asset value ("NAV"); and (v) mutual funds that do not provide timely NAV information. Specifically, interests in commodity pools or managed futures pools are valued on a daily basis by reference to the closing market prices of each futures contract or other asset held by a pool, as adjusted for pool expenses. Restricted or illiquid securities, such as private placements or non-traded securities are valued via inputs from the Adviser or Sub-Adviser valuation based upon the current bid for the security from two or more
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independent dealers or other parties reasonably familiar with the facts and circumstances of the security (who should take into consideration all relevant factors as may be appropriate under the circumstances). If the Adviser or Sub-Adviser is unable to obtain a current bid from such independent dealers or other independent parties, the fair value team shall determine the fair value of restricted or illiquid securities using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of the Portfolio's holdings; (iv) the discount from market value of unrestricted securities of the same class at the time of purchase and subsequent thereto; (v) information as to any transactions or offers with respect to the security; (vi) the nature and duration of restrictions on disposition of the security and the existence of any registration rights, as well as any estimation of the cost of registration or otherwise qualifying the security for public sale, including commissions; (vii) how the yield of the security compares to similar securities of companies of similar or equal creditworthiness; (viii) the level of recent trades of similar or comparable securities; (ix) the liquidity characteristics of the security; (x) current market conditions; (xi) the market value of any securities into which the security is convertible or exchangeable; (xii) the security's embedded option values; and (xiii) information about the financial condition of the issuer and its prospects.
Each Portfolio utilizes various methods to measure the fair value of all of its investments on a recurring basis. US GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:
Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Portfolio has the ability to access.
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument in an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Portfolio's own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of December 31, 2019 for each Portfolio's investments measured at fair value:
Global Atlantic American Funds® Managed Risk Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Variable Insurance Trusts | $ | 219,848,055 | $ | - | $ | - | $ | 219,848,055 | |||||||||||
Short-Term Investments | 11,221,656 | - | - | 11,221,656 | |||||||||||||||
Total | $ | 231,069,711 | $ | - | $ | - | $ | 231,069,711 |
Global Atlantic Balanced Managed Risk Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Exchange Traded Funds | $ | 79,688,604 | $ | - | $ | - | $ | 79,688,604 | |||||||||||
Short-Term Investments | 3,993,581 | - | - | 3,993,581 | |||||||||||||||
Total | $ | 83,682,185 | $ | - | $ | - | $ | 83,682,185 |
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December 31, 2019
Global Atlantic BlackRock Selects Managed Risk Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Exchange Traded Funds | $ | 179,033,402 | $ | - | $ | - | $ | 179,033,402 | |||||||||||
Variable Insurance Trusts | 51,693,125 | - | - | 51,693,125 | |||||||||||||||
Short-Term Investments | 11,280,964 | - | - | 11,280,964 | |||||||||||||||
Total | $ | 242,007,491 | $ | - | $ | - | $ | 242,007,491 |
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 207,631,916 | $ | - | $ | - | $ | 207,631,916 | |||||||||||
Asset Backed and Commercial Backed Securities | - | 25,420,217 | - | 25,420,217 | |||||||||||||||
Corporate Bonds and Notes | - | 16,139,630 | - | 16,139,630 | |||||||||||||||
Agency Mortgage Backed Securities | - | 14,401,319 | - | 14,401,319 | |||||||||||||||
U.S. Treasury Securities | - | 7,641,714 | - | 7,641,714 | |||||||||||||||
Sovereign Debts | - | 3,742,868 | - | 3,742,868 | |||||||||||||||
Term Loans | - | 3,073,373 | - | 3,073,373 | |||||||||||||||
Municipal Bonds | - | 2,526,816 | - | 2,526,816 | |||||||||||||||
Short-Term Investments | 16,778,143 | - | - | 16,778,143 | |||||||||||||||
Futures Contracts* | 33,795 | - | - | 33,795 | |||||||||||||||
Swap Contracts* | - | 40,310 | - | 40,310 | |||||||||||||||
Forward Foreign Currency Contracts* | - | 57,584 | - | 57,584 | |||||||||||||||
Total | $ | 224,443,854 | $ | 73,043,831 | $ | - | $ | 297,487,685 | |||||||||||
Liabilities | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures Contracts* | $ | 162,375 | $ | - | $ | - | $ | 162,375 | |||||||||||
Swap Contracts* | - | 65,104 | - | 65,104 | |||||||||||||||
Forward Foreign Currency Contracts* | - | 99,939 | - | 99,939 | |||||||||||||||
Total | $ | 162,375 | $ | 165,043 | $ | - | $ | 327,418 |
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
U.S. Treasury Securities | $ | - | $ | 16,642,333 | $ | - | $ | 16,642,333 | |||||||||||
Exchange Traded Funds | 11,825,809 | - | - | 11,825,809 | |||||||||||||||
Short-Term Investments | 3,336,862 | - | - | 3,336,862 | |||||||||||||||
Futures Contracts* | 30,683 | - | - | 30,683 | |||||||||||||||
Total | $ | 15,193,354 | $ | 16,642,333 | $ | - | $ | 31,835,687 | |||||||||||
Liabilities | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures Contracts* | $ | 1,411 | $ | - | $ | - | $ | 1,411 | |||||||||||
Total | $ | 1,411 | $ | - | $ | - | $ | 1,411 |
Global Atlantic Growth Managed Risk Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Exchange Traded Funds | $ | 410,619,238 | $ | - | $ | - | $ | 410,619,238 | |||||||||||
Short-Term Investments | 21,202,583 | - | - | 21,202,583 | |||||||||||||||
Total | $ | 431,821,821 | $ | - | $ | - | $ | 431,821,821 |
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December 31, 2019
Global Atlantic Moderate Growth Managed Risk Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Exchange Traded Funds | $ | 136,381,308 | $ | - | $ | - | $ | 136,381,308 | |||||||||||
Short-Term Investments | 6,913,062 | - | - | 6,913,062 | |||||||||||||||
Total | $ | 143,294,370 | $ | - | $ | - | $ | 143,294,370 |
Global Atlantic PIMCO Tactical Allocation Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
U.S. Treasury Securities | $ | - | $ | 9,618,449 | $ | - | $ | 9,618,449 | |||||||||||
Exchange Traded Funds | 8,160,804 | - | - | 8,160,804 | |||||||||||||||
Agency Mortgage Backed Securities | - | 6,371,238 | - | 6,371,238 | |||||||||||||||
Corporate Bonds and Notes | - | 3,565,865 | - | 3,565,865 | |||||||||||||||
Asset Backed and Commercial Backed Securities | - | 1,529,268 | - | 1,529,268 | |||||||||||||||
Sovereign Debts | - | 438,021 | - | 438,021 | |||||||||||||||
Municipal Bonds | - | 30,090 | - | 30,090 | |||||||||||||||
Short-Term Investments | 60,963 | 2,096,507 | - | 2,157,470 | |||||||||||||||
Futures Contracts* | 303,578 | - | - | 303,578 | |||||||||||||||
Swap Contracts* | - | 23,719 | - | 23,719 | |||||||||||||||
Forward Foreign Currency Contracts* | - | 4,607 | - | 4,607 | |||||||||||||||
Total | $ | 8,525,345 | $ | 23,677,764 | $ | - | $ | 32,203,109 | |||||||||||
Liabilities | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures Contracts* | $ | 19,708 | $ | - | $ | - | $ | 19,708 | |||||||||||
Swap Contracts* | - | 1,344 | - | 1,344 | |||||||||||||||
Forward Foreign Currency Contracts* | - | 2,234 | - | 2,234 | |||||||||||||||
Total | $ | 19,708 | $ | 3,578 | $ | - | $ | 23,286 |
Global Atlantic Select Advisor Managed Risk Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Variable Insurance Trusts | $ | 70,729,762 | $ | 18,503,648 | $ | - | $ | 89,233,410 | |||||||||||
Exchange Traded Funds | 19,592,522 | - | - | 19,592,522 | |||||||||||||||
Short-Term Investments | 5,520,448 | - | - | 5,520,448 | |||||||||||||||
Total | $ | 95,842,732 | $ | 18,503,648 | $ | - | $ | 114,346,380 |
Global Atlantic Wellington Research Managed Risk Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 284,190,402 | $ | - | $ | - | $ | 284,190,402 | |||||||||||
Corporate Bonds & Notes | - | 57,479,330 | - | 57,479,330 | |||||||||||||||
Agency and Mortgage Backed Securities | - | 35,892,924 | - | 35,892,924 | |||||||||||||||
Asset Backed and Commercial Backed Securities | - | 25,218,868 | - | 25,218,868 | |||||||||||||||
U.S. Treasury Securities | - | 20,808,273 | - | 20,808,273 | |||||||||||||||
Municipal Bonds | - | 3,727,405 | - | 3,727,405 | |||||||||||||||
Sovereign Debts | - | 1,135,349 | - | 1,135,349 | |||||||||||||||
Short-Term Investments | 22,779,362 | - | - | 22,779,362 | |||||||||||||||
Futures Contracts* | 3,719 | - | - | 3,719 | |||||||||||||||
Total | $ | 306,973,483 | $ | 144,262,149 | $ | - | $ | 451,235,632 |
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December 31, 2019
Global Atlantic Wellington Research Managed Risk Portfolio (Continued)
Liabilities | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures Contracts* | $ | 14,984 | $ | - | $ | - | $ | 14,984 | |||||||||||
Total | $ | 14,984 | $ | - | $ | - | $ | 14,984 |
* Net unrealized appreciation/(depreciation) as presented in the Portfolio of Investments.
The Portfolios did not hold any Level 3 securities during the period.
Security Transactions and Related Income – Security transactions are accounted for on a trade date basis. Interest income is recognized on an accrual basis. Discounts are accreted and premiums are amortized on securities purchased over the lives of the respective securities. Dividend income is recorded on the ex-dividend date. Realized gains or losses from sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds.
Dividends and Distributions to Shareholders – Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid annually. Dividends and distributions to shareholders are recorded on ex-date and are determined in accordance with Federal income tax regulations, which may differ from US GAAP. These "book/tax" differences are considered either temporary (e.g., deferred losses, capital loss carryforwards) or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their Federal tax-basis treatment; temporary differences do not require reclassification. These reclassifications have no effect on net assets, results from operations or net asset values per share of the Portfolios.
Cash and Cash Equivalents – Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. The Portfolios maintain deposits with a financial institution which are generally an amount that is in excess of federally insured limits. The Portfolios have not experienced any losses on their accounts.
Federal Income Tax – It is each Portfolio's policy to qualify as a regulated investment company by complying with the provisions of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of their taxable income and net realized gains to shareholders. Therefore, no Federal income tax provision is required.
Each Portfolio will recognize the tax benefits of uncertain tax positions only where the position is "more likely than not" to be sustained assuming examination by tax authorities. Management has analyzed each Portfolio's tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken in each Portfolio's 2017 and 2018 tax returns, or is expected to be taken in each Portfolio's December 31, 2019 tax return. Each Portfolio identified its major tax jurisdictions as U.S. Federal and foreign jurisdictions where the Portfolios make significant investments; however, the Portfolios are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
Foreign Currency Translation – The accounting records of the Portfolios are maintained in U.S. dollars. Foreign currencies, as well as investment securities and other assets and liabilities denominated in foreign currencies, are translated into U.S. dollars using exchange rates deemed appropriate by the investment adviser. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars on the respective dates of such transactions.
Net realized gains and losses on foreign currency transactions represent net gains and losses from currency realized between the trade and settlement dates on securities transactions and the difference between income accrued versus income received. The effects of changes in foreign currency exchange rates on investments in securities are included with the net realized and unrealized gain or loss on investments.
Forward Foreign Currency Contracts – As foreign securities are purchased, a Portfolio may enter into forward currency contracts in order to hedge against foreign currency exchange rate risks. A forward involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. The market value of the contract fluctuates with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by a Portfolio as an
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December 31, 2019
unrealized gain or loss. As foreign securities are sold, a portion of the contract is generally closed and a Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses from contract transactions are included as a component of net realized gains/(losses) from forward foreign currency contracts in the Statements of Operations.
For the year ended December 31, 2019, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on forward foreign currency contracts subject to currency risk, as disclosed in the Statements of Operations, is as follows:
Realized Gain/(Loss) | Change in Unrealized Appreciation/(Depreciation) | ||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | - | $ | - | |||||||
Global Atlantic Balanced Managed Risk Portfolio | - | - | |||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | - | - | |||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 12,169 | (84,783 | ) | ||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | - | - | |||||||||
Global Atlantic Growth Managed Risk Portfolio | - | - | |||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | - | - | |||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | (20,052 | ) | (407 | ) | |||||||
Global Atlantic Select Advisor Managed Risk Portfolio | - | - | |||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | (23 | ) | - |
Options Transactions – Certain Portfolios are subject to equity price risk, interest rate risk and foreign currency risk in the normal course of pursuing their investment objectives and may purchase or sell options to help hedge against this risk.
A Portfolio may purchase and write (i.e., sell) put and call options. Such options may relate to particular securities or securities indices, including ETFs, and may or may not be listed on a domestic or foreign securities exchange and may or may not be issued by the Options Clearing Corporation. Options trading is a highly specialized activity that entails greater than ordinary investment risk. Options may be more volatile than the underlying instruments, and therefore, on a percentage basis, an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves. A call option for a particular security gives the purchaser of the option, in return for a premium, the right to buy, and the writer (seller) the obligation to sell, the underlying security at the stated exercise price at any time prior to the expiration of the option for American options or only at expiration for European options, regardless of the market price of the security. The premium paid to the writer is in consideration for undertaking the obligation under the option contract. A put option for a particular security gives the purchaser the right to sell the security at the stated exercise price at any time prior to the expiration date of the option for American options or only at expiration for European options, regardless of the market price of the security.
Securities index options are put options and call options on various securities indices. In most respects, they are identical to listed options on common stocks. The primary difference between stock options and index options occurs when index options are exercised. In the case of stock options, the underlying security, common stock, is delivered. However, upon the exercise of an index option, settlement does not occur by delivery of the securities comprising the index. The option holder who exercises the index option receives an amount of cash if the closing level of the securities index upon which the option is based is greater than, in the case of a call, or less than, in the case of a put, the exercise price of the option. This amount of cash is equal to the difference between the closing price of the securities index and the exercise price of the option expressed in dollars times a specified multiple. A securities index fluctuates with changes in the market value of the stocks included in the index.
The Portfolios may purchase and sell options on the same types of futures in which it may invest. Options on futures are similar to options on underlying instruments except that options on futures give the purchaser the right, in return for the premium paid, to assume a position in a futures contract (a long position if the option is a call and a short position if the option is a put), rather than to purchase or sell the futures contract, at a specified exercise price at any time during the period of the option. Upon exercise of the option, the delivery of the futures position by the writer of the option to the holder of the option will be accompanied by the delivery of the accumulated balance in the writer's futures margin account which represents the amount by which the market price of the futures contract, at exercise, exceeds (in the case of a call) or is less than (in the case of a put) the exercise price of the option on the futures contract. Purchasers of options who fail to exercise their options prior to the exercise date suffer a loss of the premium paid. There were no options transactions for the fiscal year ended December 31, 2019.
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Futures Contracts – The Portfolios are subject to equity price risk in the normal course of pursuing their investment objectives. The Portfolios may sell futures contracts to hedge against market risk, foreign currency exchange rate risks, and to reduce return volatility. Futures are standardized, exchange-traded contracts that provide for the future sale by one party and purchase by another party of a specified amount of a specific financial instrument (e.g., units of a securities index) for a specified price, date, time and place designated at the time the contract is made. Brokerage fees are incurred when a futures contract is bought or sold and initial and variation margin deposits must be maintained. Entering into a contract to buy is commonly referred to as buying or purchasing a contract or holding a long position. Entering into a contract to sell is commonly referred to as selling a contract or holding a short position. The Portfolios may also buy or sell hedge instruments based on one or more market indices in an attempt to maintain the Portfolios' volatility at a targeted level. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Portfolio's agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by "marking to market" on a daily basis to reflect the market value of the contracts at the end of each day's trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, a Portfolio recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Portfolio's basis in the contract. If a Portfolio were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Portfolio would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Each Portfolio segregates liquid securities having a value at least equal to the amount of the current obligation under any open futures contract. These amounts are disclosed on the Statements of Assets and Liabilities as Deposits with Brokers when applicable. Risks may exceed amounts recognized in the Statements of Assets and Liabilities. With futures, there is minimal counterparty credit risk to a Portfolio since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
For the year ended December 31, 2019, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on futures contracts, as disclosed in the Statements of Operations, is as follows:
Risk Type | Realized Gain/(Loss) | Change in Unrealized Appreciation/(Depreciation) | |||||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | Equity | $ | (1,902,154 | ) | $ | (941,660 | ) | ||||||||
Global Atlantic Balanced Managed Risk Portfolio | Equity | (656,352 | ) | (370,729 | ) | ||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | Equity | (2,060,319 | ) | (593,206 | ) | ||||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | Equity | (3,785,645 | ) | (136,168 | ) | ||||||||||
Interest Rate | 452,965 | (2,614,483 | ) | ||||||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | Equity | 871,492 | 136,830 | ||||||||||||
Global Atlantic Growth Managed Risk Portfolio | Equity | (8,958,102 | ) | (6,694,944 | ) | ||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | Equity | (1,604,465 | ) | (1,247,489 | ) | ||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | Equity | - | 246,207 | ||||||||||||
Interest Rate | 1,586,848 | 85,630 | |||||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | Equity | (1,434,672 | ) | (1,028,337 | ) | ||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | Equity | (4,404,304 | ) | (3,898,770 | ) | ||||||||||
Interest Rate | (28,946 | ) | 54,141 |
Swap Agreements – Certain Portfolios are subject to equity price risk and/or interest rate risk in the normal course of pursuing their investment objectives. These Portfolios may enter into various swap transactions for investment purposes or to manage interest rate, equity, foreign exchange (currency), or credit risk. These are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined investments or instruments. In a standard over-the-counter ("OTC") swap, two parties agree to exchange the returns, differentials in rates of return or some other amount earned or realized on the "notional amount" (i.e., the return or increase in value of a particular dollar amount invested in a "basket" of securities, representing a particular index or industry sectors) of predetermined investments or instruments.
Certain Portfolios may enter into credit default swaps ("CDS"). CDS are two-party contracts that transfer credit exposure between the parties. One party (the "buyer") receives credit protection and the other party (the "seller") takes on credit risk. The buyer typically makes predetermined periodic payments to the seller in exchange for the seller's commitment to
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December 31, 2019
purchase the underlying reference obligation if a defined credit event occurs, such as a default, bankruptcy or failure to pay interest or principal on a reference debt instrument, with respect to a specified issuer or one of the reference issuers in a CDS portfolio. If the defined credit event occurs, the seller must pay the agreed-upon value of a reference obligation to the counterparty or perform pursuant to the agreement. The buyer must then surrender the reference obligation to the seller. As a seller of credit protection in a CDS, a Portfolio would be liable for the notional amount of the swap.
The swaps in which a Portfolio may invest may be centrally-cleared or bi-laterally traded. The gross returns to be exchanged or "swapped" between the parties are calculated with respect to a notional amount. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statements of Operations by "marking to market" on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of a swap agreement are reflected as such on the Statements of Assets and Liabilities and may be referred to as upfront payments. A Portfolio amortizes upfront payments and/or accrues for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statements of Operations. Realized gains and losses from the decrease in notional value of the swap are recognized on trade date. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statements of Operations. A Portfolio segregates cash or liquid securities having a value at least equal to the amount of its current obligation under any swap transaction. Swap agreements involve, to varying degrees, lack of liquidity and elements of credit, market and counterparty risk in excess of amounts recognized on the Statements of Assets and Liabilities. Each Portfolio's maximum risk of loss from the counterparty credit risk is the discounted net value of the cash flow to be received from the counterparty over the contract's remaining life, to be the extent that amount is positive.
Swaps may involve greater risks than direct investments in securities because swaps may be leveraged and, when traded in the OTC markets, are subject to counterparty risk, credit risk and pricing risk, each of which individually and collectively, may have a considerable impact on the performance of a Portfolio. CDS in particular may involve greater risks than investing in a referenced instrument directly. Swaps, especially those that are not exchange-traded, may also be considered illiquid. It may not be possible for a Portfolio to liquidate a swap position at an advantageous time or price, which may result in significant losses. Although central clearing and exchange-trading of swaps may decrease counterparty risk and increase market liquidity, exchange-trading and clearing does not make the contracts risk free, but rather, the primary credit risk on such contracts is the creditworthiness of the clearing broker or the clearinghouse.
The Portfolios use cash and certain securities as collateral to swap agreements as indicated on the Portfolio of Investments and Statements of Assets and Liabilities. Such collateral is held for the benefit of the counterparty in a segregated account to prevent non-payment by the Portfolios. If the counterparty defaults, a Portfolio may seek return of this collateral and incur certain costs exercising their rights to the collateral.
For the year ended December 31, 2019, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on swap agreements, as disclosed in the Statements of Operations, is as follows:
Risk Type | Realized Gain/(Loss) | Change in Unrealized Appreciation/(Depreciation) | |||||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | N/A | $ | - | $ | - | ||||||||||
Global Atlantic Balanced Managed Risk Portfolio | N/A | - | - | ||||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | N/A | - | - | ||||||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | Interest Rate | 95,179 | (4,275 | ) | |||||||||||
Equity | - | 124,312 | |||||||||||||
Credit | - | 69,876 | |||||||||||||
Currency | - | (30,366 | ) | ||||||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | N/A | - | - | ||||||||||||
Global Atlantic Growth Managed Risk Portfolio | N/A | - | - | ||||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | N/A | - | - | ||||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | Interest Rate | (452,075 | ) | 45,835 | |||||||||||
Credit | (4,597 | ) | 100,114 | ||||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | N/A | - | - | ||||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | N/A | - | - |
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December 31, 2019
Repurchase and Reverse Repurchase Agreements Risk – Repurchase and reverse repurchase agreements involve the purchase or sale of securities held by the Portfolio with an agreement to resell or repurchase the securities at an agreed-upon price, date and interest payment. Repurchase transactions are subject to credit risk and counterparty risk. They also carry the risk that the market value of the securities may increase above the resell value or decline below the repurchase price. The Portfolio could also lose money if it is unable to recover the securities and the value of the collateral held by the Portfolio is less than the value of securities. Reverse repurchase agreements are a type of borrowing that may increase the possibility of fluctuation in the Portfolio's net asset value.
Offsetting of Financial Assets/Liabilities and Derivative Assets/Liabilities – The following table presents certain of the Portfolios' asset/liability derivatives available for offset under a master netting arrangement net of collateral pledged as of December 31, 2019.
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Broker | Gross Amounts of Recognized Assets (1) | Financial Instruments and Derivatives Available for Offset | Net Amount of Assets Presented in the Statements of Assets & Liabilities | Collateral Received (2) | Net Amount of Recognized Assets | Gross Amounts of Recognized Liabilities (1) | Financial Instruments and Derivatives Available for Offset | Net Amount of Liabilities Presented in the Statements of Assets & Liabilities | Collateral Pledged (2) | Net Amount of Recognized Liabilities | |||||||||||||||||||||||||||||||||
Citibank NA | $ | 25,279 | $ | (25,279 | ) | $ | - | $ | - | $ | - | $ | 47,845 | $ | (25,279 | ) | $ | 22,566 | $ | (22,566 | ) | $ | - | ||||||||||||||||||||
Deutsche Bank | 4,088 | (4,088 | ) | - | - | - | 14,160 | (4,088 | ) | 10,072 | (10,072 | ) | - | ||||||||||||||||||||||||||||||
JP Morgan Chase Bank | 102,321 | (102,321 | ) | - | - | - | 265,412 | (102,321 | ) | 163,091 | (163,091 | ) | - | ||||||||||||||||||||||||||||||
Total | $ | 131,688 | $ | (131,688 | ) | $ | - | $ | - | $ | - | $ | 327,417 | $ | (131,688 | ) | $ | 195,729 | $ | (195,729 | ) | $ | - |
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
Broker | Gross Amounts of Recognized Assets (1) | Financial Instruments and Derivatives Available for Offset | Net Amount of Assets Presented in the Statements of Assets & Liabilities | Collateral Received (2) | Net Amount of Recognized Assets | Gross Amounts of Recognized Liabilities (1) | Financial Instruments and Derivatives Available for Offset | Net Amount of Liabilities Presented in the Statements of Assets & Liabilities | Collateral Pledged (2) | Net Amount of Recognized Liabilities | |||||||||||||||||||||||||||||||||
JP Morgan Securities LLC | $ | 10,209 | $ | (1,411 | ) | $ | 8,798 | $ | - | $ | 8,798 | $ | 1,411 | $ | (1,411 | ) | $ | - | $ | - | $ | - | |||||||||||||||||||||
Societe Generale | 20,474 | - | 20,474 | - | 20,474 | - | - | - | - | - | |||||||||||||||||||||||||||||||||
Total | $ | 30,683 | $ | (1,411 | ) | $ | 29,272 | $ | - | $ | 29,272 | $ | 1,411 | $ | (1,411 | ) | $ | - | $ | - | $ | - |
Global Atlantic PIMCO Tactical Allocation Portfolio
Broker | Gross Amounts of Recognized Assets (1) | Financial Instruments and Derivatives Available for Offset | Net Amount of Assets Presented in the Statements of Assets & Liabilities | Collateral Received (2) | Net Amount of Recognized Assets | Gross Amounts of Recognized Liabilities (1) | Financial Instruments and Derivatives Available for Offset | Net Amount of Liabilities Presented in the Statements of Assets & Liabilities | Collateral Pledged (2) | Net Amount of Recognized Liabilities | |||||||||||||||||||||||||||||||||
Barclays Bank PLC | $ | 4,607 | $ | (2,234 | ) | $ | 2,373 | $ | - | $ | 2,373 | $ | 2,234 | $ | (2,234 | ) | $ | - | $ | - | $ | - | |||||||||||||||||||||
Citibank NA | 9,381 | - | 9,381 | - | 9,381 | - | - | - | - | - | |||||||||||||||||||||||||||||||||
Goldman Sach & Co. | 305,184 | (21,052 | ) | 284,132 | - | 284,132 | 21,052 | (21,052 | ) | - | - | - | |||||||||||||||||||||||||||||||
JPMorgan | 12,732 | - | 12,732 | - | 12,732 | - | - | - | - | - | |||||||||||||||||||||||||||||||||
Total | $ | 331,904 | $ | (23,286 | ) | $ | 308,618 | $ | - | $ | 308,618 | $ | 23,286 | $ | (23,286 | ) | $ | - | $ | - | $ | - |
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Global Atlantic Wellington Research Managed Risk Portfolio
Broker | Gross Amounts of Recognized Assets (1) | Financial Instruments and Derivatives Available for Offset | Net Amount of Assets Presented in the Statements of Assets & Liabilities | Collateral Received (2) | Net Amount of Recognized Assets | Gross Amounts of Recognized Liabilities (1) | Financial Instruments and Derivatives Available for Offset | Net Amount of Liabilities Presented in the Statements of Assets & Liabilities | Collateral Pledged (2) | Net Amount of Recognized Liabilities | |||||||||||||||||||||||||||||||||
Morgan Stanley & Company LLC | $ | 3,719 | $ | (3,719 | ) | $ | - | $ | - | $ | - | $ | 14,984 | $ | (3,719 | ) | $ | 11,265 | $ | (11,265 | ) | $ | - | ||||||||||||||||||||
Total | $ | 3,719 | $ | (3,719 | ) | $ | - | $ | - | $ | - | $ | 14,984 | $ | (3,719 | ) | $ | 11,265 | $ | (11,265 | ) | $ | - |
(1) Gross unrealized appreciation/(depreciation) as presented in the Portfolio of Investments.
(2) The amount is limited to the net derivative balance and, accordingly, may not include collateral or excess collateral received or pledged.
Impact of Derivatives on the Statements of Assets and Liabilities – The following table presents a summary of the location of derivative investments categorized by primary risk exposure on the Portfolios' Statements of Assets and Liabilities as of December 31, 2019:
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Equity | Interest Rate Contracts | Credit Contracts | Currency Contracts | Total | |||||||||||||||||||
Assets | |||||||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||
Unrealized appreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized appreciation on Forward Foreign Currency Contracts | - | - | - | - | - | ||||||||||||||||||
Liabilities | |||||||||||||||||||||||
Unrealized depreciation on Futures Contracts | - | (128,580 | ) | - | - | (128,580 | ) | ||||||||||||||||
Unrealized depreciation on Swap Contracts | - | (5,672 | ) | 5,697 | (24,819 | ) | (24,794 | ) | |||||||||||||||
Unrealized depreciation on Forward Foreign Currency Contracts | - | - | - | (42,355 | ) | (42,355 | ) | ||||||||||||||||
Total | $ | - | $ | (134,252 | ) | $ | 5,697 | $ | (67,174 | ) | $ | (195,729 | ) |
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
Equity | Interest Rate Contracts | Credit Contracts | Currency Contracts | Total | |||||||||||||||||||
Assets | |||||||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | 29,272 | $ | - | $ | - | $ | - | $ | 29,272 | |||||||||||||
Unrealized appreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized appreciation on Forward Foreign Currency Contracts | - | - | - | - | - |
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Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio (Continued)
Equity | Interest Rate Contracts | Credit Contracts | Currency Contracts | Total | |||||||||||||||||||
Liabilities | |||||||||||||||||||||||
Unrealized depreciation on Futures Contracts | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||
Unrealized depreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized depreciation on Forward Foreign Currency Contracts | - | - | - | - | - | ||||||||||||||||||
Total | $ | 29,272 | $ | - | $ | - | $ | - | $ | 29,272 |
Global Atlantic PIMCO Tactical Allocation Portfolio
Equity | Interest Rate Contracts | Credit Contracts | Currency Contracts | Total | |||||||||||||||||||
Assets | |||||||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | 246,207 | $ | 37,663 | $ | - | $ | - | $ | 283,870 | |||||||||||||
Unrealized appreciation on Swap Contracts | - | 262 | 22,113 | - | 22,375 | ||||||||||||||||||
Unrealized appreciation on Forward Foreign Currency Contracts | - | - | - | 2,373 | 2,373 | ||||||||||||||||||
Liabilities | |||||||||||||||||||||||
Unrealized depreciation on Futures Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized depreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized depreciation on Forward Foreign Currency Contracts | - | - | - | - | - | ||||||||||||||||||
Total | $ | 246,207 | $ | 37,925 | $ | 22,113 | $ | 2,373 | $ | 308,618 |
Global Atlantic Wellington Research Managed Risk Portfolio
Equity | Interest Rate Contracts | Credit Contracts | Currency Contracts | Total | |||||||||||||||||||
Assets | |||||||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||
Unrealized appreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized appreciation on Forward Foreign Currency Contracts | - | - | - | - | - |
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Global Atlantic Wellington Research Managed Risk Portfolio (Continued)
Equity | Interest Rate Contracts | Credit Contracts | Currency Contracts | Total | |||||||||||||||||||
Liabilities | |||||||||||||||||||||||
Unrealized depreciation on Futures Contracts | $ | - | $ | (11,265 | ) | $ | - | $ | - | $ | (11,265 | ) | |||||||||||
Unrealized depreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized depreciation on Forward Foreign Currency Contracts | - | - | - | - | - | ||||||||||||||||||
Total | $ | - | $ | (11,265 | ) | $ | - | $ | - | $ | (11,265 | ) |
The notional value of the derivative instruments outstanding as of December 31, 2019, as disclosed in the Portfolios of Investments, and the amounts of realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed above and within in the Statements of Operations serve as indicators of the volume of derivative activity for the Portfolios.
Short Sales – A Portfolio may make short sales of securities: (i) to offset potential declines in long positions in similar securities; (ii) to increase the flexibility of the Portfolio; (iii) for investment return; (iv) as part of a risk arbitrage strategy; and (v) as part of its overall portfolio management strategies involving the use of derivative instruments. A short sale is a transaction in which a Portfolio sells a security it does not own or have the right to acquire (or that it owns but does not wish to deliver) in anticipation that the market price of that security will decline.
When a Portfolio makes a short sale, the broker-dealer through which the short sale is made must borrow the security sold short and deliver it to the party purchasing the security. The Portfolio is required to make a margin deposit in connection with such short sales; the Portfolio may have to pay a fee to borrow particular securities and will often be obligated to pay over any dividends and accrued interest on borrowed securities.
If the price of the security sold short increases between the time of the short sale and the time a Portfolio covers its short position, the Portfolio will incur a loss; conversely, if the price declines, the Portfolio will realize a capital gain. Any gain will be decreased, and any loss increased, by the transaction costs described above. The successful use of short selling may be adversely affected by imperfect correlation between movements in the price of the security sold short and the securities being hedged.
To the extent a Portfolio sells securities short, it will provide collateral to the broker-dealer and (except in the case of short sales "against the box") will maintain additional asset coverage in the form of cash, U.S. government securities or other liquid securities with its custodian in a segregated account in an amount at least equal to the difference between the current market value of the securities sold short and any amounts required to be deposited as collateral with the selling broker (not including the proceeds of the short sale). A Portfolio does not intend to enter into short sales (other than short sales "against the box") if immediately after such sales the aggregate of the value of all collateral plus the amount in such segregated account exceeds 10% of the value of the Portfolio's net assets. This percentage may be varied by action of the Board of Trustees. A short sale is "against the box" to the extent a Portfolio contemporaneously owns, or has the right to obtain at no added cost, securities identical to those sold short.
When-Issued and Delayed-Delivery Transactions – The Portfolios may engage in when-issued or delayed-delivery transactions. The Portfolios record when-issued securities on the trade date and maintain security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.
Real Estate Investment Trusts – Certain Portfolios may invest in real estate investment trusts ("REITs"). REITs are pooled investment vehicles that own, and typically operate, income-producing real estate. If a REIT meets certain requirements, including distributing to shareholders substantially all of its taxable income (other than net capital gains), then
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it is not taxed on the income distributed to shareholders. REITs are subject to management fees and other expenses, and so a Portfolio that invests in REITs will bear its proportionate share of the costs of the REITs' operations. Along with the risks common to different types of real estate-related securities, such as loss to casualty or condemnation, increases in property taxes and operating expenses, zoning law amendments, changes in interest rates, overbuilding and increased competition, variations in market value, and possible environmental liabilities, REITs involve additional risk factors. These include poor performance by the REIT's manager, changes to the tax laws, and failure by the REIT to qualify for tax free distribution of income or exemption under the 1940 Act. In addition, REITs are not diversified and are heavily dependent on cash flow.
Distributions from a Portfolio's investments in REITs may be characterized as ordinary income, a net capital gain or a return of capital. The Portfolios record distributions that represent a net capital gain as a realized gain and distributions that represent a return of capital as a reduction of the cost of investment. REITs report information on the source of their distributions annually in the following calendar year. As a result, a Portfolio estimates the source of REIT distributions for accounting purposes and then makes adjustments when the actual source information is reported by the REIT. These estimates are based on the most recent REIT distribution information available.
Mortgage Dollar Roll Transactions – A mortgage dollar roll transaction involves a sale by a Portfolio of mortgage related securities that it holds with an agreement by the Portfolio to repurchase similar securities at an agreed upon price and date. The securities purchased will bear the same interest rate as those sold, but generally will be collateralized by pools of mortgages with different prepayment histories than those securities sold. The Portfolios account for mortgage dollar rolls as purchases and sales transactions.
Credit Risk – There is a risk that security issuers will not make interest and/or principal payments on their securities. In addition, the credit quality of securities may be lowered if an issuer's financial condition changes. Lower credit quality will lead to greater volatility in the price of a security and in shares of a Portfolio or an underlying fund. Lower credit quality also will affect liquidity and make it difficult to sell the security. This means that, compared to issuers of higher rated securities, issuers of lower rated securities are less likely to have the capacity to pay interest and repay principal when due in the event of adverse business, financial or economic conditions and/or may be in default or not current in the payment of interest or principal. Default, or the market's perception that an issuer is likely to default, tends to reduce the value and liquidity of fixed income securities, thereby reducing the value of your investment in Portfolio shares. In addition, default may cause a Portfolio to directly or indirectly incur expenses in seeking recovery of principal or interest.
A Portfolio could lose money on a debt security if an issuer or borrower is unable or fails to meet its obligations, including failing to make interest payments and/or to repay principal when due. Changes in an issuer's financial strength, the market's perception of the issuer's financial strength or in a security's credit rating, which reflects a third party's assessment of the credit risk presented by a particular issuer, may affect debt securities' value. A Portfolio may incur substantial losses on debt securities that are inaccurately perceived to present a different amount of credit risk by the market, the Sub-Adviser and/or Underlying Fund manager or the rating agencies than such securities actually do.
Derivatives Risk – The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. The use of derivatives may increase costs, reduce a Portfolio's returns and/or increase volatility. Volatility is defined as the characteristic of a security, an index or a market to fluctuate significantly in price within a short time period. Many types of derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. A risk of a Portfolio's use of derivatives is that the fluctuations in their values may not correlate perfectly with, and may be more sensitive to market events than, the overall securities markets. The possible lack of a liquid secondary market for derivatives and the resulting inability to sell or otherwise close-out a derivatives position at an advantageous time or price could expose a Portfolio to losses and could make derivatives more difficult to value accurately. Derivatives typically give rise to a form of leverage and may expose a Portfolio to greater risk and increase its costs. The Dodd-Frank Wall Street Reform and Consumer Protection Act (the "Dodd-Frank Act") and related regulatory developments require the clearing and exchange-trading of many standardized over-the-counter ("OTC") derivative instruments deemed to be "swaps." The Commodity Futures Trading Commission ("CFTC") has implemented mandatory exchange-trading and clearing requirements under the Dodd-Frank Act and the CFTC continues to approve contracts for central clearing. Uncleared swaps are subject to margin requirements that are being implemented on a phase-in basis. The regulation of the derivatives markets has increased over the past several years, and there can be no assurance that any new governmental regulation will not adversely affect a Portfolio's ability to achieve its investment result.
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December 31, 2019
Market Risk – The market prices of securities may go up or down, sometimes rapidly or unpredictably, due to general market conditions, such as real or perceived adverse economic or political conditions, inflation, changes in interest rates or currency rates, limited dealer capacity, lack of liquidity in the markets or adverse investor sentiment. Each Portfolio has exposure to instruments that may be more volatile and carry more risk than some other forms of investment. Adverse market conditions may be prolonged and may not have the same impact on all types of securities. Market prices of securities also may go down due to events or conditions that affect particular sectors, industries or issuers. When market prices fall, the value of your investment will go down.
A Portfolio may experience a substantial or complete loss on any individual security. Since the global financial crisis that began in 2008, the U.S. and many foreign economies continue to experience its after-effects, which have resulted, and may continue to result, in slower growth and an unusually high degree of volatility in the financial markets, both domestic and foreign. Additionally, the U.S. and foreign governmental market support activities implemented since the financial crisis may be reduced. Any reduction or withdrawal of Federal Reserve or other U.S. or non-U.S. governmental support could negatively affect the markets generally and increase market volatility. These and other changes in market conditions could reduce the value and liquidity of the securities in which a Portfolio invests. This environment could make identifying investment risks and opportunities especially difficult.
Policy and legislative changes in the U.S. and abroad affect many aspects of financial regulation and may, in some cases, contribute to decreased liquidity and increased volatility in the financial markets. Economies and financial markets around the world are becoming increasingly interconnected. As a result, whether or not a Portfolio has exposure to securities of issuers located in or with significant exposure to countries experiencing economic and financial difficulties, the value and liquidity of the Portfolio's investments may be negatively affected.
In addition, market prices of securities in broad market segments may be adversely affected by a prominent issuer having experienced losses or by the lack of earnings or such an issuer's failure to meet the market's expectations with respect to new products or services, or even by factors wholly unrelated to the value or condition of the issuer, such as changes in interest rates. An increase in interest rates or other adverse conditions (e.g., inflation/deflation, increased selling of fixed income investments across other pooled investment vehicles or accounts, changes in investor perception or changes in government intervention in the markets) may lead to increased redemptions and increased portfolio turnover, which could reduce liquidity for certain Portfolio investments, adversely affect values of portfolio holdings and increase a Portfolio's costs. If dealer capacity in fixed income markets is insufficient for market conditions, this has the potential to further inhibit liquidity and increase volatility in the fixed income markets.
Expenses – Expenses of the Trust that are directly identifiable to a specific Portfolio are charged to that Portfolio. Expenses, which are not readily identifiable to a specific Portfolio, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the Portfolios in the Trust.
Indemnification – The Trust indemnifies its officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Portfolios enter into contracts that contain a variety of representations and warranties and which provide general indemnities. Each Portfolio's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Portfolios that have not yet occurred. However, the Portfolios expect the risk of loss due to these warranties and indemnities to be remote.
3. INVESTMENT TRANSACTIONS
For the year ended December 31, 2019, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments, were as follows:
Purchases | Sales | ||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | 64,399,800 | $ | 75,892,069 | |||||||
Global Atlantic Balanced Managed Risk Portfolio | 85,412,333 | 94,913,896 | |||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 357,228,191 | 390,023,179 | |||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 148,160,702 | 179,698,185 | |||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 66,196,989 | 70,298,664 |
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Notes to Financial Statements (Continued)
December 31, 2019
Purchases | Sales | ||||||||||
Global Atlantic Growth Managed Risk Portfolio | $ | 281,182,756 | $ | 349,720,374 | |||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 121,740,675 | 137,084,711 | |||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 282,719,147 | 285,256,607 | |||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 23,016,575 | 33,590,181 | |||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 293,122,926 | 342,092,148 |
4. INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES
The Adviser serves as the Portfolios' investment adviser. The Adviser has engaged the following sub-advisers for the Portfolios:
Sub-Adviser | |||||||
Global Atlantic American Funds® Managed Risk Portfolio | Wilshire Associates Incorporated Milliman Financial Risk Management, LLC | ||||||
Global Atlantic Balanced Managed Risk Portfolio | BlackRock Investment Management, LLC Milliman Financial Risk Management, LLC | ||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | BlackRock Investment Management, LLC* Milliman Financial Risk Management, LLC | ||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | Franklin Advisers, Inc.** Milliman Financial Risk Management, LLC | ||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | Goldman Sachs Asset Management, L.P. | ||||||
Global Atlantic Growth Managed Risk Portfolio | BlackRock Investment Management, LLC Milliman Financial Risk Management, LLC | ||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | BlackRock Investment Management, LLC Milliman Financial Risk Management, LLC | ||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | Pacific Investment Management Company LLC | ||||||
Global Atlantic Select Advisor Managed Risk Portfolio | Wilshire Associates Incorporated Milliman Financial Risk Management, LLC | ||||||
Global Atlantic Wellington Research Managed Risk Portfolio | Milliman Financial Risk Management, LLC Wellington Management Company LLP |
* BlackRock Investment Management, LLC became the sub-adviser of the Capital Appreciation and Income Component of the Portfolio effective May 1, 2019.
** The sub-adviser to the equity sleeve of the Capital Appreciation and Income Component of the Portfolio changed effective March 1, 2018 due to an organizational restructuring whereby all of the investment personnel responsible for the management of the equity sleeve transitioned from Franklin Advisory Services, LLC to Franklin Advisers, Inc.
The Bank of New York Mellon serves as the Administrator, Fund Accountant and Custodian for the Portfolios. BNY Mellon Investment Servicing (US) Inc. serves as the Transfer Agent for the Portfolios. The Bank of New York Mellon and BNY Mellon Investment Servicing (US) Inc. are collectively known as BNYM ("BNYM").
The Ultimus Group, LLC served as the Administrator, Fund Accountant and Transfer Agent for the Portfolios until replaced by BNYM on November 4, 2019.
MUFG Union Bank N.A. ("MUFG") served as Custodian for the Portfolios until replaced by BNYM on November 4, 2019.
Pursuant to an Investment Advisory Agreement with the Trust, on behalf of the Portfolios, the Adviser, under the oversight of the Board, directs the daily investment operations of the Portfolios and supervises the performance of administrative and professional services provided by others. As compensation for its services and the related expenses borne by the Adviser, the Portfolios pay the Adviser an advisory fee, computed on average daily net assets and accrued daily and paid monthly.
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December 31, 2019
The following chart details the annual advisory fee for each Portfolio.
Advisory Fee* | |||||||
Global Atlantic American Funds® Managed Risk Portfolio | 0.900% on first $500 million | ||||||
0.875% on next $500 million | |||||||
0.850% over $1 billion | |||||||
Global Atlantic Balanced Managed Risk Portfolio | 0.550% on first $500 million | ||||||
0.525% on next $500 million | |||||||
0.500% over $1 billion | |||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio1 | 0.550% on first $500 million | ||||||
0.525% on next $500 million | |||||||
0.500% over $1 billion | |||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 0.850% on first $500 million | ||||||
0.825% on next $500 million | |||||||
0.800% over $1 billion | |||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 0.850% on first $500 million | ||||||
0.825% on next $500 million | |||||||
0.800% over $1 billion | |||||||
Global Atlantic Growth Managed Risk Portfolio | 0.550% on first $500 million | ||||||
0.525% on next $500 million | |||||||
0.500% over $1 billion | |||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 0.550% on first $500 million | ||||||
0.525% on next $500 million | |||||||
0.500% over $1 billion | |||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 0.850% on first $500 million | ||||||
0.825% on next $500 million | |||||||
0.800% over $1 billion | |||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 0.900% on first $500 million | ||||||
0.875% on next $500 million | |||||||
0.850% over $1 billion | |||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 0.850% on first $500 million | ||||||
0.825% on next $500 million | |||||||
0.800% over $1 billion |
* Calculated daily based on the average daily net assets.
1 – Prior to May 1, 2019, the Portfolio's advisory fee was 0.90% on all asset levels.
Effective May 1, 2019, with respect to each Portfolio, the Adviser has contractually agreed to waive its fees and to reimburse expenses, at least until the expiration dates listed below, to ensure that total annual portfolio operating expenses after fee waiver and/or reimbursement (exclusive of any front-end or contingent deferred loads, brokerage fees and commissions, acquired fund fees and expenses, borrowing costs (such as interest and dividend expense on securities sold short), taxes and extraordinary expenses, such as litigation) will not exceed the average daily net asset percentages attributable to the Portfolio's shares listed below ("Waiver Agreements"). The expense reimbursement is subject to possible recoupment from the Portfolio in future years on a rolling three year basis (within the three years after the fees have been waived or reimbursed) if such recoupment can be achieved within the lesser of the expense limits listed below and any expense limits applicable at the time of recoupment. The agreements may be terminated only by the Portfolio's Board of Trustees, on 60 days' written notice to the Adviser.
Expense Limitation | Expiration Date | ||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | 0.87 | % | April 30, 2021 | ||||||||
Global Atlantic Balanced Managed Risk Portfolio | 0.92 | % | April 30, 2021 | ||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 0.94 | % | April 30, 2021 | ||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 1.16 | % | April 30, 2021 | ||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 1.17 | % | April 30, 2021 | ||||||||
Global Atlantic Growth Managed Risk Portfolio | 0.88 | % | April 30, 2021 |
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December 31, 2019
Expense Limitation | Expiration Date | ||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 0.92 | % | April 30, 2021 | ||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 1.15 | % | April 30, 2021 | ||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 0.64 | % | April 30, 2021 | ||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 1.21 | % | April 30, 2021 |
Prior to May 1, 2019, with respect to each Portfolio, the Adviser had contractually agreed to the Waiver Agreements listed below.
Expense Limitation | |||||||
Global Atlantic American Funds® Managed Risk Portfolio | 0.86 | % | |||||
Global Atlantic Balanced Managed Risk Portfolio | 0.91 | % | |||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 0.57 | % | |||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 1.15 | % | |||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 1.16 | % | |||||
Global Atlantic Growth Managed Risk Portfolio | 0.91 | % | |||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 0.91 | % | |||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 1.14 | % | |||||
Global Atlantic Select Advisor Managed Risk Portfolio | 0.63 | % | |||||
Global Atlantic Wellington Research Managed Risk Portfolio | 1.20 | % |
In addition, the Adviser has agreed to waive 0.40% of its fees for Global Atlantic American Funds® Managed Risk Portfolio and Global Atlantic Select Advisor Managed Risk Portfolio for as long as each Portfolio relies primarily on investments in underlying funds to achieve its principal investment strategy. The Adviser has also waived 0.40% of its fee for Global Atlantic BlackRock Selects Managed Risk Portfolio from January 1, 2019 to April 30, 2019. These waivers are not subject to recoupment.
The Adviser or its affiliates may receive compensation from managers of underlying funds in which certain Portfolios invest. This compensation may create a conflict of interest for the Adviser in the selection of underlying funds for investment by the Portfolio. However, the Adviser will voluntarily reduce the amount of its compensation under its Advisory Agreement with the Portfolio by the amount of compensation received from managers of underlying funds. The minimum amount of this waiver, until at least April 30, 2021 for each Portfolio is based on estimated amounts expected to be received during the current fiscal year. The actual amount of each waiver may be higher to the extent the payments exceed the Adviser's estimates, but it will not be lower. These waivers are not subject to recoupment by the Adviser. The waivers may be terminated only by the Portfolio's Board of Trustees, on 60 days' written notice to the Adviser.
For the year ended December 31, 2019, the Adviser waived fees as follows:
Waiver | |||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | 899,121 | |||||
Global Atlantic Balanced Managed Risk Portfolio | 1,317 | ||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 557,576 | ||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 143,809 | ||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 19,389 | ||||||
Global Atlantic Growth Managed Risk Portfolio | 76,229 | ||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | - | ||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 26,831 | ||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 707,442 | ||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 13,260 |
If the Adviser waives any fee or reimburses any expense pursuant to the Waiver Agreements, and the Portfolio's operating expenses are subsequently less than the expense limitation, the Adviser shall be entitled to reimbursement by the Portfolio for such waived fees or reimbursed expenses provided that such reimbursement does not cause the Portfolio's expenses to exceed the amount of the expense limitation. If Portfolio operating expenses subsequently exceed the expense limitation, the reimbursements shall be suspended. During the year ended December 31, 2019, the Adviser recaptured $265 from the
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Global Atlantic Portfolios
Notes to Financial Statements (Continued)
December 31, 2019
Global Atlantic Balanced Managed Risk Portfolio for prior period expense waivers/reimbursements, and no other expense waivers/reimbursements were recaptured from the other Portfolios.
The Adviser may recapture the following amounts by the following dates:
December 31, 2020 | December 31, 2021 | December 31, 2022 | |||||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | 15,466 | $ | - | $ | - | |||||||||
Global Atlantic Balanced Managed Risk Portfolio | 1,891 | - | 1,318 | ||||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 159,740 | 99,190 | 35,171 | ||||||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 299,243 | 105,768 | 143,809 | ||||||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 17,704 | 13,140 | 19,389 | ||||||||||||
Global Atlantic Growth Managed Risk Portfolio | 7,237 | - | 76,229 | ||||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | - | - | - | ||||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 17,007 | 15,100 | 26,831 | ||||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 45,736 | 15,417 | 38,360 | ||||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 60,904 | - | 13,260 |
The following amounts expired unrecouped as of the date listed below:
December 31, 2019 | |||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | 13,328 | |||||
Global Atlantic Balanced Managed Risk Portfolio | - | ||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 157,217 | ||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 260,257 | ||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 13,249 | ||||||
Global Atlantic Growth Managed Risk Portfolio | - | ||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | - | ||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 11,766 | ||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 56,283 | ||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 55,984 |
The Trust, on behalf of the Portfolios, has adopted a distribution and shareholder servicing plan (the "Plan") pursuant to Rule 12b-1 under the 1940 Act for Class II shares. The fee charged under the Plan is calculated at an annual rate of 0.25% of the average daily net assets attributable to each Portfolio's Class II shares and, for the year ended December 31, 2019, was paid to Global Atlantic Distributors, LLC ("GAD") to provide compensation for ongoing distribution-related activities or services and/or maintenance of the Portfolios' shareholder accounts, not otherwise required to be provided by the Adviser. GAD is an affiliate of the Adviser.
For the year ended December 31, 2019, the Portfolios expensed the following distribution fees:
Fees Paid | |||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | 561,951 | |||||
Global Atlantic Balanced Managed Risk Portfolio | 210,484 | ||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 611,280 | ||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 704,344 | ||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 80,276 | ||||||
Global Atlantic Growth Managed Risk Portfolio | 1,073,879 | ||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 352,643 | ||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 64,822 | ||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 280,555 | ||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 1,093,285 |
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Notes to Financial Statements (Continued)
December 31, 2019
For the year ended December 31, 2019, the Trustees received fees in the amounts as follows:
Fees Received | |||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | 21,077 | |||||
Global Atlantic Balanced Managed Risk Portfolio | 8,253 | ||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 23,853 | ||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 23,810 | ||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 3,216 | ||||||
Global Atlantic Growth Managed Risk Portfolio | 41,712 | ||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 13,744 | ||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 2,602 | ||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 10,953 | ||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 41,381 |
Certain affiliates of the prior Administrator have provided ancillary services to the Portfolios in the year ended December 31, 2019. Blu Giant, LLC ("Blu Giant") – Blu Giant, an affiliate of The Ultimus Group, LLC, had provided EDGAR conversion and filing services as well as print management services for the Portfolios on an ad-hoc basis. For the provision of these services, Blu Giant had received customary fees from the prior Administrator under the prior administrative servicing agreement. This provisioning agreement ceased upon the execution of the administrative servicing agreement between the Trust and BNYM, effective November 4, 2019.
5. CONTROL OWNERSHIP
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Portfolio creates a presumption of the control of the Portfolio, under section 2(a)(9) of the 1940 Act. As of December 31, 2019, Forethought Life Insurance Company Separate Account A owned 100% of the voting securities of each Portfolio. The Trust has no knowledge as to whether all or any portion of the shares owned of record are also owned beneficially.
Shareholder Concentration Risk – Forethought Life Insurance Company, certain accounts, or the Adviser's affiliates may from time to time own (beneficially or of record) or control a significant percentage of a Portfolio's shares. Redemptions by these entities of their holdings in a Portfolio may impact the Portfolio's liquidity and NAV. These redemptions may also force a Portfolio to sell securities.
6. AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS
As of December 31, 2019, the aggregate cost of investments for federal income tax purposes, the gross unrealized appreciation and depreciation and the aggregated net unrealized appreciation (depreciation) on investments were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | 215,032,697 | $ | 21,310,946 | $ | (5,273,932 | ) | $ | 16,037,014 | ||||||||||
Global Atlantic Balanced Managed Risk Portfolio | 72,076,501 | 12,097,525 | (491,841 | ) | 11,605,684 | ||||||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 229,051,575 | 15,743,108 | (2,787,192 | ) | 12,955,916 | ||||||||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 218,729,834 | 86,227,572 | (7,743,178 | ) | 78,484,394 | ||||||||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 29,514,795 | 2,596,801 | (297,794 | ) | 2,299,007 | ||||||||||||||
Global Atlantic Growth Managed Risk Portfolio | 348,938,832 | 84,181,695 | (1,298,706 | ) | 82,882,989 | ||||||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 119,807,409 | 24,593,156 | (1,106,195 | ) | 23,486,961 | ||||||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 29,463,474 | 2,792,770 | (91,754 | ) | 2,701,016 | ||||||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 96,096,632 | 19,256,531 | (1,006,783 | ) | 18,249,748 | ||||||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 364,460,586 | 90,663,814 | (3,903,752 | ) | 86,760,062 |
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Global Atlantic Portfolios
Notes to Financial Statements (Continued)
December 31, 2019
7. DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL
The tax character of fund distributions paid for the periods ended December 31, 2019 and 2018 were as follows:
For fiscal year ended 12/31/2019 | Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | |||||||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | 3,970,817 | $ | 8,616,304 | $ | - | $ | 12,587,121 | |||||||||||
Global Atlantic Balanced Managed Risk Portfolio | 1,305,626 | 1,069,048 | - | 2,374,674 | |||||||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 1,190,659 | - | - | 1,190,659 | |||||||||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 3,469,959 | - | - | 3,469,959 | |||||||||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 299,239 | - | - | 299,239 | |||||||||||||||
Global Atlantic Growth Managed Risk Portfolio | 5,900,880 | - | - | 5,900,880 | |||||||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 2,016,802 | - | - | 2,016,802 | |||||||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 266,882 | - | - | 266,882 | |||||||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 1,661,736 | 3,089,254 | - | 4,750,990 | |||||||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 4,985,508 | 17,762,222 | - | 22,747,730 | |||||||||||||||
For fiscal year ended 12/31/2018 | Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | |||||||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | 3,464,778 | $ | 5,999,180 | $ | - | $ | 9,463,958 | |||||||||||
Global Atlantic Balanced Managed Risk Portfolio | 1,095,287 | - | - | 1,095,287 | |||||||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 4,664,325 | - | - | 4,664,325 | |||||||||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 2,765,677 | - | - | 2,765,677 | |||||||||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 472,467 | 935,911 | - | 1,408,378 | |||||||||||||||
Global Atlantic Growth Managed Risk Portfolio | 4,869,325 | - | - | 4,869,325 | |||||||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 1,615,979 | - | - | 1,615,979 | |||||||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 446,951 | 737,275 | - | 1,184,226 | |||||||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 1,102,576 | 1,454,917 | - | 2,557,493 | |||||||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 4,399,662 | 7,230,865 | - | 11,630,527 |
As of December 31, 2019, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Post-October Loss and Late Year Loss | Capital Loss Carryforward | Unrealized Appreciation/ (Depreciation) | Total Accumulated Earnings/ (Deficits) | ||||||||||||||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | 3,161,493 | $ | 7,784,961 | $ | - | $ | - | $ | 16,037,014 | $ | 26,983,468 | |||||||||||||||
Global Atlantic Balanced Managed Risk Portfolio | 2,932,371 | - | - | - | 11,605,684 | 14,538,055 | |||||||||||||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 3,599,860 | - | - | (12,683,136 | ) | 12,955,916 | 3,872,640 | ||||||||||||||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 3,749,666 | - | - | (9,927,023 | ) | 78,422,481 | 72,245,124 | ||||||||||||||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 304,035 | 983,943 | - | - | 2,323,656 | 3,611,634 | |||||||||||||||||||||
Global Atlantic Growth Managed Risk Portfolio | 5,912,055 | - | - | (11,001,406 | ) | 82,882,989 | 77,793,638 | ||||||||||||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 3,975,224 | - | - | - | 23,486,961 | 27,462,185 | |||||||||||||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 484,378 | 863,986 | - | - | 2,715,459 | 4,063,823 | |||||||||||||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 1,879,213 | 3,291,627 | - | - | 18,249,748 | 23,420,588 | |||||||||||||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 4,763,809 | 4,443,049 | - | - | 86,760,087 | 95,966,945 |
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Global Atlantic Portfolios
Notes to Financial Statements (Continued)
December 31, 2019
The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed ordinary income (loss) and accumulated net realized gain (loss) from investments is primarily attributable to the tax deferral of losses on wash sales, and the mark-to-market on passive foreign investment companies and open 1256 options and futures contracts, forward foreign currency contracts and swaps. The unrealized appreciation (depreciation) in the table above includes unrealized foreign currency gains (losses) of $4,175, $(7,953), $(890) and $25 for Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio, Global Atlantic Franklin Dividend and Income Managed Risk Portfolio, Global Atlantic PIMCO Tactical Allocation Portfolio and Global Atlantic Wellington Research Managed Risk Portfolio, respectively.
At December 31, 2019, the Portfolios had capital loss carry forwards for federal income tax purposes available to offset future capital gains as follows:
Non-Expiring Short-Term | Non-Expiring Long-Term | Total | |||||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | - | $ | - | $ | - | |||||||||
Global Atlantic Balanced Managed Risk Portfolio | - | - | - | ||||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | (1,364,737 | ) | (11,318,399 | ) | (12,683,136 | ) | |||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | (5,933,840 | ) | (3,993,183 | ) | (9,927,023 | ) | |||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | - | - | - | ||||||||||||
Global Atlantic Growth Managed Risk Portfolio | - | (11,001,406 | ) | (11,001,406 | ) | ||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | - | - | - | ||||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | - | - | - | ||||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | - | - | - | ||||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | - | - | - |
During the year ended December 31, 2019, the following Funds utilized capital loss carryforwards:
Utilized | |||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | $ | 2,695,768 | |||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 1,402,601 | ||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 1,602,389 | ||||||
Global Atlantic Growth Managed Risk Portfolio | 11,742,655 | ||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 311,505 | ||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 721,654 |
Permanent book and tax differences, primarily attributable to the reclassification of Portfolio distributions, resulted in reclassifications for the Portfolios for the fiscal year ended December 31, 2019 as follows:
Paid-In Capital | Accumulated Earnings (Losses) | ||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | - | $ | - | |||||||
Global Atlantic Balanced Managed Risk Portfolio | - | - | |||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | - | - | |||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | - | - | |||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | - | - | |||||||||
Global Atlantic Growth Managed Risk Portfolio | - | - | |||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | - | - | |||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | - | - | |||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | - | - | |||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | (8,812 | ) | 8,812 |
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Global Atlantic Portfolios
Notes to Financial Statements (Continued)
December 31, 2019
8. BANK LINE OF CREDIT
The Trust had a line of credit secured by portfolio securities through MUFG Union Bank, N.A. in the amount of $100,000,000. From time to time, a Portfolio could borrow cash under this arrangement to fund redemptions subject to the limitations of the 1940 Act. Borrowings under this arrangement would bear interest at 5.5% per annum at the time of borrowing. During the year ended December 31, 2019, the Global Atlantic Growth Managed Risk Portfolio utilized the line of credit and paid $1,417 in interest on borrowings. The largest outstanding balance during the borrowing period was $3,640,000. The line of credit was closed when MUFG Union Bank, N.A. was replaced as custodian for the Portfolios by BNYM on November 4, 2019.
9. NEW ACCOUNTING PRONOUNCEMENTS
In August 2018, the FASB issued Accounting Standards Update ("ASU") No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the policy for the timing of transfers between levels. For investment companies, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. Early adoption is allowed. These amendments have been adopted effective with these financial statements.
10. LIQUIDITY RISK MANAGEMENT PROGRAM
The Trust has adopted a liquidity risk management program, the effectiveness of which will be reviewed annually and the results disclosed in the Portfolios' shareholder report.
11. BREXIT TRANSITION
Ongoing concerns regarding the economies of certain countries in Europe, as well as the possibility that one or more countries could leave the European Union (the "EU"), create risks for investing in the European markets. These risks may be heightened due to the June 2016 referendum in which the United Kingdom ("UK") voted to exit the EU (commonly known as "Brexit"). Although the full impact of Brexit is not yet known, the impact on the UK, EU and global markets could include increased volatility and illiquidity, potentially lower economic growth and decreased asset valuations, as well as significant economic, legal and political uncertainty as the UK navigates its exit from the EU.
12. LIBOR TRANSITION
Certain of a Portfolio's investments, payment obligations and financing terms may be based on floating rates, such as London Interbank Offered Rate ("LIBOR"), Euro Interbank Offered Rate and other similar types of reference rates (each, a "Reference Rate"). On July 27, 2017, the Chief Executive of the UK Financial Conduct Authority (FCA), which regulates LIBOR, announced that the FCA will no longer persuade nor compel banks to submit rates for the calculation of LIBOR and certain other Reference Rates after 2021. Such announcement indicates that the continuation of LIBOR and other Reference Rates on the current basis cannot and will not be guaranteed after 2021. This announcement and any additional regulatory or market changes may have an adverse impact on a Portfolio's investments, performance or financial condition.
13. SUBSEQUENT EVENTS
Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were available to be issued. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements.
110
Report of Independent Registered Public Accounting Firm
To the Board of Trustee of Forethought Variable Interest Trust
and the Shareholders of Each of the Separate Series of Forethought Variable Insurance Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Global Atlantic American Funds® Managed Risk Portfolio, Global Atlantic Balanced Managed Risk Portfolio, Global Atlantic BlackRock Selects Managed Risk Portfolio (formerly Global Atlantic BlackRock Global Allocation Managed Risk Portfolio), Global Atlantic Franklin Dividend and Income Managed Risk Portfolio, Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio, Global Atlantic Growth Managed Risk Portfolio, Global Atlantic Moderate Growth Managed Risk Portfolio, Global Atlantic PIMCO Tactical Allocation Portfolio, Global Atlantic Select Advisor Managed Risk Portfolio, and Global Atlantic Wellington Research Managed Risk Portfolio (collectively, the Portfolios) as of December 31, 2019, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, including the related notes, and the financial highlights for each of the periods presented (collectively, the financial statements). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolios as of December 31, 2019, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolios' management. Our responsibility is to express an opinion on the Portfolios' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Portfolios are not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Portfolios' internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodians and brokers or by other appropriate auditing procedures when replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
/s/ RSM US LLP
We have served as the auditor of one or more Global Atlantic Investment Advisors, LLC investment companies since 2013.
Denver, Colorado
February 24, 2020
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Global Atlantic Portfolios
Expense Examples
December 31, 2019 (Unaudited)
As a shareholder of the Portfolios, you incur ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in each Portfolio 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 from July 1, 2019 through December 31, 2019.
Actual Expenses
The "Actual" expenses set of columns in the table below provides information about actual account values and actual expenses. You may use the information below 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 table under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The "Hypothetical" expenses set of columns in the table below provides information about hypothetical account values and hypothetical expenses based on each Portfolio's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balances or expenses you paid for the period. You may use this information to compare this 5% hypothetical example for a specific Portfolio with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or redemption fees or other expenses charged by your insurance contract or separate account and do not include expenses of Underlying Funds in which the Portfolios invest. Therefore, the Hypothetical columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Actual | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||
Class II Shares | Portfolio's Annualized Expense Ratio | Beginning Account Value 7-1-19 | Ending Account Value 12-31-19 | Expenses Paid During Period* | Ending Account Value 12-31-19 | Expenses Paid During Period* | |||||||||||||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | 0.86 | % | $ | 1,000 | $ | 1,064.00 | $ | 4.47 | $ | 1,020.87 | $ | 4.38 | |||||||||||||||
Global Atlantic Balanced Managed Risk Portfolio | 0.91 | % | $ | 1,000 | $ | 1,046.80 | $ | 4.69 | $ | 1,020.62 | $ | 4.63 | |||||||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 0.91 | % | $ | 1,000 | $ | 1,057.40 | $ | 4.72 | $ | 1,020.62 | $ | 4.63 | |||||||||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 1.16 | % | $ | 1,000 | $ | 1,061.30 | $ | 6.03 | $ | 1,019.36 | $ | 5.90 | |||||||||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 1.17 | % | $ | 1,000 | $ | 1,045.00 | $ | 6.03 | $ | 1,019.31 | $ | 5.96 |
* Expenses are equal to the Portfolio's annualized expense ratio, multiplied by the number of days in the period (184) divided by the number of days in the fiscal year (365).
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Expense Examples (Continued)
December 31, 2019 (Unaudited)
Actual | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||
Class II Shares | Portfolio's Annualized Expense Ratio | Beginning Account Value 7-1-19 | Ending Account Value 12-31-19 | Expenses Paid During Period* | Ending Account Value 12-31-19 | Expenses Paid During Period* | |||||||||||||||||||||
Global Atlantic Growth Managed Risk Portfolio | 0.88 | % | $ | 1,000 | $ | 1,062.50 | $ | 4.57 | $ | 1,020.77 | $ | 4.48 | |||||||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 0.91 | % | $ | 1,000 | $ | 1,054.90 | $ | 4.71 | $ | 1,020.62 | $ | 4.63 | |||||||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 1.15 | % | $ | 1,000 | $ | 1,060.60 | $ | 5.97 | $ | 1,019.41 | $ | 5.85 | |||||||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 0.64 | % | $ | 1,000 | $ | 1,070.50 | $ | 3.34 | $ | 1,021.98 | $ | 3.26 | |||||||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 1.21 | % | $ | 1,000 | $ | 1,064.20 | $ | 6.30 | $ | 1,019.11 | $ | 6.16 |
* Expenses are equal to the Portfolio's annualized expense ratio, multiplied by the number of days in the period (184) divided by the number of days in the fiscal year (365).
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Global Atlantic Portfolios
Supplemental Information
December 31, 2019 (Unaudited)
Approval of Renewal of Investment Advisory Agreement and Sub-Advisory Agreements for Global Atlantic American Funds® Managed Risk Portfolio, Global Atlantic Balanced Managed Risk Portfolio, Global Atlantic BlackRock Selects Managed Risk Portfolio (formerly Global Atlantic BlackRock Global Allocation Managed Risk Portfolio), Global Atlantic Franklin Dividend and Income Managed Risk Portfolio, Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio, Global Atlantic Growth Managed Risk Portfolio, Global Atlantic Moderate Growth Managed Risk Portfolio, Global Atlantic PIMCO Tactical Allocation Portfolio, Global Atlantic Select Advisor Managed Risk Portfolio and Global Atlantic Wellington Research Managed Risk Portfolio.
At an in-person meeting held on November 18, 2019, the Board of Trustees (the "Trustees" or the "Board") of Forethought Variable Insurance Trust (the "Trust"), including a majority of the Trustees who are not "interested persons," as that term is defined in the Investment Company Act of 1940, as amended (the "Independent Trustees"), considered the renewal of: (i) an investment advisory agreement between Global Atlantic Investment Advisors, LLC (the "Adviser") and the Trust, on behalf of Global Atlantic American Funds® Managed Risk Portfolio ("GA American"), Global Atlantic Balanced Managed Risk Portfolio ("GA Balanced"), Global Atlantic BlackRock Selects Managed Risk Portfolio (formerly Global Atlantic BlackRock Global Allocation Managed Risk Portfolio) ("GA BlackRock Selects"), Global Atlantic Franklin Dividend and Income Managed Risk Portfolio ("GA Franklin"), Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio ("GA Goldman Dynamic"), Global Atlantic Growth Managed Risk Portfolio ("GA Growth"), Global Atlantic Moderate Growth Managed Risk Portfolio ("GA Moderate Growth"), Global Atlantic PIMCO Tactical Allocation Portfolio ("GA PIMCO"), Global Atlantic Select Advisor Managed Risk Portfolio ("GA Select Advisor") and Global Atlantic Wellington Research Managed Risk Portfolio ("GA Wellington") (each a "Fund" and collectively the "Funds") (the "Advisory Agreement"); (ii) a sub-advisory agreement between the Adviser, the Trust, on behalf of GA Balanced, GA Growth and GA Moderate Growth, and BlackRock Financial Management, Inc. ("BFM") (the "BFM Sub-Advisory Agreement"); (iii) a sub-advisory agreement between the Adviser, the Trust, on behalf of GA BlackRock Selects and BlackRock Investment Management, LLC ("BIM"); (iv) a sub-advisory agreement between the Adviser, the Trust, on behalf of GA Franklin, and Franklin Advisers, Inc. ("Franklin") (the "Franklin Sub-Advisory Agreement"); (v) a sub-advisory agreement between the Adviser, the Trust, on behalf of GA Goldman Dynamic, and Goldman Sachs Asset Management, L.P. ("GSAM") (the "GSAM Sub-Advisory Agreement"); (vi) a sub-advisory agreement between the Adviser, the Trust, on behalf of GA American, GA Balanced, GA BlackRock Selects, GA Franklin, GA Growth, GA Moderate Growth, GA Select Advisor and GA Wellington, and Milliman Financial Risk Management LLC ("Milliman") (the "Milliman Sub-Advisory Agreement"); (vii) a sub-advisory agreement between the Adviser, the Trust, on behalf of GA PIMCO, and Pacific Investment Management Company, LLC ("PIMCO") (the "PIMCO Sub-Advisory Agreement"); (viii) a sub-advisory agreement between the Adviser, the Trust, on behalf of GA Wellington, and Wellington Management Company LLP ("Wellington") (the "Wellington Sub-Advisory Agreement"); and (ix) a sub-advisory agreement between the Adviser, the Trust, on behalf of GA American and GA Select Advisor, and Wilshire Associates Incorporated ("Wilshire" and together with BFM, Franklin, GSAM, Milliman, PIMCO and Wellington, the "Sub-Advisers") (the "Wilshire Sub-Advisory Agreement" and collectively with the BFM Sub-Advisory Agreement, the Franklin Sub-Advisory Agreement, the GSAM Sub-Advisory Agreement, the Milliman Sub-Advisory Agreement, the PIMCO Sub-Advisory Agreement and the Wellington Sub-Advisory Agreement, the "Sub-Advisory Agreements").
To discuss and review the materials relating to the proposed renewal of the Advisory Agreement and Sub-Advisory Agreements in advance of the November 18, 2019 meeting, the Independent Trustees met in person on November 7, 2019 with independent counsel to the Independent Trustees ("Independent Counsel") with representatives of the Adviser in attendance and counsel to the Trust ("Trust Counsel") participating telephonically.
Prior to the meetings, the Trustees requested, received and reviewed written responses from the Adviser and the Sub-Advisers to questions posed to the Adviser and the Sub-Advisers by counsel, on behalf of the Trustees. Following the meeting on November 7, 2019, the Independent Trustees requested additional information on certain items and the Adviser responded to those items and made certain updates, which were discussed during the meeting on November 18, 2019. The Trustees also received a memorandum from Independent Counsel describing the legal standards for their consideration of the approval of the Advisory and Sub-Advisory Agreements. During the meetings, the Board and the Adviser discussed information relating to the Board's consideration of the Gartenberg factors with respect to each Fund. The Trustees also reviewed comparative information relating to advisory fees and total expenses and received in-person presentations concerning the services provided under the Advisory and Sub-Advisory Agreements from personnel of the Adviser at the November 18, 2019 Board meeting. Prior to voting on the renewal of the Advisory and Sub-Advisory Agreements, the Independent Trustees met in executive session with Independent Counsel present.
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Global Atlantic Portfolios
Supplemental Information (Continued)
December 31, 2019 (Unaudited)
The Trustees relied upon the advice of counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory and Sub-Advisory Agreements and the weight to be given to each such factor. The conclusions reached by the Trustees were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his or her conclusions with respect to the Advisory and Sub-Advisory Agreements.
Nature, Extent, and Quality of Services. The Trustees requested and considered information regarding the nature, extent, and quality of services provided by the Adviser and each Sub-Adviser, as well as their expertise, resources, and capabilities. The Trustees considered, among other things, the terms of the Investment Advisory and Sub-Advisory Agreements and the range of services provided by the Adviser and each Sub-Adviser, including the complexity of certain Funds' managed risk strategies. The Trustees also considered the financial industry experience as well as portfolio management, compliance, and operations experience of the Adviser's and Sub-Advisers' personnel. The Trustees reviewed the Adviser's practices for monitoring compliance with each Fund's investment limitations, noting that such practices continue to be adequate. The Trustees also considered information and representations regarding the financial condition of the Adviser and the Sub-Advisers related to their ongoing ability to provide services specified under the Investment Advisory Agreement and Sub-Advisory Agreements, respectively. Based on their analysis of the data presented, the Trustees concluded that they were generally satisfied with the nature and quality of the services being provided under the Investment Advisory and Sub-Advisory Agreements.
Performance. The Trustees requested and reviewed specific information regarding the investment performance of each Fund as compared to the performance of respective benchmark indices and certain Funds as compared to the respective peer groups for the 1-year, 3-year and since inception periods, as applicable. The Board noted that the performance of some Funds ranked in the first or second quartiles in comparison to their respective peer groups and exceeded the performance of their benchmarks for the 1-yearor since inception periods. The Board also noted that the performance of certain Funds ranked in the fourth quartile in comparison to their peer groups and trailed the performance of their benchmarks over certain time periods. The Board noted that (i) GA Balanced, GA Moderate Growth, GA Growth, GA BlackRock Selects, GA Wellington and GA Goldman Dynamic had underperformed their respective benchmarks for the 1-year, 3-year and since inception periods; (ii) GA Franklin and GA PIMCO had underperformed their respective benchmarks for the 3-year and since inception periods; and (iii) GA American and GA Select Advisor had underperformed their respective benchmarks for the 1-year and 3-year periods. The Trustees discussed with the Adviser the steps being taken to improve the Funds' performance and noted that the Adviser had worked throughout the year to make changes to certain Funds to improve their performance. The Trustees concluded that they were generally satisfied with the Adviser's and the Sub-Advisers' investment performance, and their efforts to improve performance, to date.
Fees and Expenses. The Trustees reviewed the Funds' fees and expenses, including the fees paid to the Adviser and the Sub-Advisers. The Trustees reviewed reports describing both the advisory fees charged by the Adviser and the total net expense ratios of each Fund in comparison to those of peer groups selected by the Adviser that were comprised of similarly situated funds. The Trustees considered the complexity of certain managed risk strategies. The Trustees also considered the "spread" between the advisory and sub-advisory fees at various asset levels. The Trustees noted the ongoing efforts of the Adviser to reduce expenses charged to shareholders by voluntarily waiving certain fees payable to the Adviser. The Trustees noted that the Adviser had agreed to contractually waive a portion of its advisory fee for GA American and GA Select Advisor for as long as each Fund relies primarily on investments in other underlying funds to achieve its principal investment strategy. The Trustees considered that the Adviser had agreed to contractually waive a portion of its advisory fee for GA Select Advisor which correspond to payments the Adviser or its affiliates may receive from managers of Underlying Funds or their affiliates in which the Fund may invest for certain administrative, distribution and/or marketing-related services. The Trustees also considered that the Adviser had agreed to limit each Fund's total annual operating expenses by waiving a portion of its advisory fee and/or reimbursing a Fund to the extent that its expenses exceed a specified amount. Based on their review, the Trustees concluded that the advisory fee charged to each Fund and the sub-advisory fee paid by the Adviser to each Sub-Adviser were not unreasonable in light of the services provided to each respective Fund. The Trustees also considered the information provided by the Sub-Advisers, as applicable, regarding fees charged to other clients, the Funds' advisory and sub-advisory fees and the Funds' total expense ratios relative to their peer groups.
Profitability. The Trustees reviewed information regarding the Adviser's cost to provide investment advisory and related services to each Fund and the Adviser's profitability, both overall and with respect to each Fund. The Trustees also reviewed information about the profitability to the Adviser from all services provided to each Fund. The Trustees concluded that the
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Global Atlantic Portfolios
Supplemental Information (Continued)
December 31, 2019 (Unaudited)
profitability levels for the Adviser were not excessive. The Trustees were not provided with information regarding the Sub-Advisers' profitability with respect to managing each relevant Fund. The Trustees considered, however, that the sub-advisory fees were negotiated by the Adviser at arm's length.
Economies of Scale. The Trustees considered information regarding the Adviser's and Sub-Advisers' realization of economies of scale with respect to each Fund and whether the fee levels reflect these economies of scale for the benefit of each Fund's shareholders. The Trustees noted the breakpoints in the advisory fee schedule for each Fund, which reduce fee rates as the Fund assets grow over time. The Trustees considered the expense limitations and/or fee waivers that reduce each relevant Fund's overall expenses at all asset levels. Based on this information, the Trustees concluded that they were satisfied with the extent to which economies of scale, if any, would be shared for the benefit of each Fund's shareholders based on currently available information and the effective advisory fee and expense ratios for each Fund and its current and reasonably anticipated asset levels. The Trustees noted, however, that they would continue to monitor each Fund's growth and consider any additional opportunities to realize benefits from economies of scale for shareholders in the future.
Other Benefits. The Trustees considered other benefits to the Adviser and its affiliates from their relationships with the Funds, including the role of the Funds in supporting the variable insurance products offered by Forethought Life Insurance Company ("FLIC") and the fact that FLIC or its affiliates receive 12b-1 fees from the Funds. The Trustees also considered other benefits to the Sub-Advisers and their affiliates from their relationships with the Funds, noting that although Milliman and Wilshire do not participate in soft dollar arrangements, BIM, BFM, Franklin, GSAM, PIMCO and Wellington may receive soft dollar benefits in connection with their sub-advisory relationships with the Funds to which each serves as Sub-Adviser.
Conclusion. Having requested and received such information from the Adviser and Sub-Advisers as the Trustees believed to be reasonably necessary to evaluate the terms of the Advisory and Sub-Advisory Agreements, and as assisted by the advice of counsel, the Trustees, including the Independent Trustees voting separately, unanimously concluded that renewing the Advisory and Sub-Advisory Agreements was in the best interests of each Fund and its shareholders. They noted that in considering the Advisory and Sub-Advisory Agreements, the Independent Trustees did not identify any one factor as all important. Moreover, each Trustee may have afforded different weight to the various factors in reaching a conclusion with respect to the Advisory and Sub-Advisory Agreements.
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Global Atlantic Portfolios
Supplemental Information (Continued)
December 31, 2019 (Unaudited)
Trustees and Officers
The Trustees and officers of the Trust, together with information as to their principal business occupations during the past five years and other information, are shown below. Unless otherwise noted, the address of each Trustee and Officer is c/o Global Atlantic Investment Advisors, LLC, 10 West Market Street, Suite 2300, Indianapolis, Indiana 46204.
Independent Trustees
Name and Year of Birth | Position/ Term of Office1 | Principal Occupation During the Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships held by Trustee During the Past Five Years | |||||||||||||||
Mark Garbin (1951) | Trustee since 2013 | Managing Principal, Coherent Capital Management LLC (since 2007). | 23 | OFI Carlye Private Credit Fund (since 2018); Altegris KKR Commitments Fund (since 2014); Oak Hill Advisors Mortgage Strategies Fund (Offshore) (2014–2017); Two Roads Shared Trust (since 2012); Northern Lights Fund Trust (since 2013); Northern Lights Variable Trust (since 2013). | |||||||||||||||
Mitchell E. Appel (1970) | Trustee since 2013 | President, Value Line Funds (since 2008); Chief Financial Officer (since 2008), President (since 2009), EULAV Securities LLC; President (since 2009), Treasurer (since 2011), EULAV Asset Management. | 23 | Value Line Funds (since 2010); EULAV Asset Management (since 2010). | |||||||||||||||
Joseph E. Breslin (1953) | Trustee since 2013 | Counsel, White Oak Global Advisors, LLC (asset management firm) (since 2016); Counsel, Commonfund (asset management firm) (2014–2016); Consultant to investment managers (since 2009). | 23 | Kinetics Mutual Funds, Inc. (since 2000); Kinetics Portfolios Trust (since 2000); Northern Lights Fund Trust IV (since 2015); BlueArc Multi-Strategy Fund (2014–2017); Hatteras Trust (2004–2016). |
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Global Atlantic Portfolios
Supplemental Information (Continued)
December 31, 2019 (Unaudited)
Interested Trustees and Officers of the Trust
Name and Year of Birth | Position/ Term of Office1 | Principal Occupation During the Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships held by Trustee During the Past Five Years | |||||||||||||||
Robert M. Arena, Jr. | Trustee and President/Chief Executive Officer since 2013 | Director, President and Head of Individual Markets, Global Atlantic Financial Company ("GAFC") (since 2017 and 2019, respectively); Co-President, Head of Life and Retirement, Global Atlantic Financial Group Limited and Global Atlantic Financial Life Limited (since 2017); Director, Co-President, Head of Life and Retirement, Global Atlantic Financial Limited (formerly Commonwealth Re Midco Limited) ("GAFL") (since 2019 and 2017, respectively); Director, President, Head of Life and Retirement, Global Atlantic (Fin) Company (since 2017, 2019 and 2017, respectively); Co-President and Head of Life and Retirement, GAFC (2017–2019 and 2016–2019, respectively); Co-President, Global Atlantic (Fin) Company (2017–2019); Director, Chairman and President, Forethought Life Insurance Company ("FLIC") (since 2016); Director, Chairman and President of Commonwealth Annuity and Life Insurance Company ("CWA") (since 2016 and 2018, respectively); Executive Vice President of CWA (2017–2018); Director and Chief Executive Officer of Accordia Life and Annuity Company ("Accordia") (since 2016 and 2017, respectively); Manager and Chairman, Global Atlantic Investment Advisors, LLC (since 2016); Manager, Chairman and President, Global Atlantic Distributors, LLC (since 2013); Executive Vice President, Forethought Financial Group, Inc. (2013–2014); President, Forethought Annuity, Forethought Financial Group, Inc. (2013–2015). | 23 | None |
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Global Atlantic Portfolios
Supplemental Information (Continued)
December 31, 2019 (Unaudited)
Name and Year of Birth | Position/ Term of Office1 | Principal Occupation During the Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships held by Trustee During the Past Five Years | |||||||||||||||
April Galda | Trustee since 2018 | Chief Culture Officer, GAFC (since 2019); Managing Director – Head of Enterprise Operations of GAFC (2018–2019); Managing Director, CWA, FLIC, Forethought National Life Insurance Company ("FNLIC"), Accordia and First Allmerica Financial Life Insurance Company (since 2018); Co-Head of Operations of CWA, FLIC, FNLIC, Accordia and First Allmerica Financial Life Insurance Company (2019); Senior Vice President of Global Atlantic Financial Group Limited and Global Atlantic Financial Life Limited (since 2017); Managing Director – Operations, Managing Director and Director of GAFC (2018–2019, 2015–2016, and 2013–2015, respectively); Director of GAFL (formerly Commonwealth Re Midco Limited) (2016–2019); Senior Vice President of GAFL (formerly Commonwealth Re Midco Limited) (2013–2015 and Oct. 2015–2019); Director of Global Atlantic Re Limited (2015–2019); Co-Chief Executive Officer of Global Atlantic Re Limited (2015–2018); Director of Global Atlantic (Fin) Company (2014–2015); Senior Vice President of Global Atlantic Re Limited (2014–2015); Chief Operating Officer of Ariel Re (2012–2015). | 23 | None | |||||||||||||||
Trent M. Statczar | Treasurer and Principal Financial Officer since 2019 | Senior Director, Foreside Management Services, LLC (since 2008). | N/A | N/A | |||||||||||||||
Sarah M. Patterson | Secretary/Chief Legal Officer since 2013 | Managing Director, Associate General Counsel and Assistant Secretary, Global Atlantic Financial Group Limited (since 2014) and Forethought Financial Group, Inc. (since 2013); Secretary, Global Atlantic Investment Advisors, LLC (since 2016); Assistant Secretary, Global Atlantic Distributors, LLC (since 2016). | N/A | N/A |
119
Global Atlantic Portfolios
Supplemental Information (Continued)
December 31, 2019 (Unaudited)
Name and Year of Birth | Position/ Term of Office1 | Principal Occupation During the Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships held by Trustee During the Past Five Years | |||||||||||||||
David Capalbo | Chief Compliance Officer since 2018 | Chief Compliance Officer of Forethought Variable Insurance Trust (since 2018); Chief Compliance Officer of Global Atlantic Investment Advisors LLC (since 2018); Assistant Vice President and Senior Compliance Officer of Global Atlantic Financial Group (since 2016); and Senior Director of Asset Management Compliance of Columbia Threadneedle Investments (2006–2016). | N/A | N/A | |||||||||||||||
Deborah Schunder | Vice President since 2014 | Vice President, Investment Product Management, Forethought Life Insurance Company and Vice President, Global Atlantic Investment Advisors, LLC (since 2013). | N/A | N/A | |||||||||||||||
Elizabeth Constant | Assistant Secretary since 2017 | Assistant Vice President, Legal Counsel of Global Atlantic Financial Group (since 2016); Associate Counsel, Global Atlantic Financial Group (2014–2016). | N/A | N/A |
1 The term of office for each Trustee and officer listed above will continue indefinitely until the individual resigns or is removed.
2 Mr. Arena is an interested person of the Trust because he is an officer of Global Atlantic Financial Group Limited.
3 Ms. Galda is an interested person of the Trust because she is a Managing Director of Global Atlantic Financial Company.
The Fund's Statement of Additional Information includes additional information about the Trustees and is available free of charge, upon request, by calling toll-free at 1-877-355-1820.
120
PRIVACY NOTICE
FACTS | WHAT DOES FORETHOUGHT VARIABLE INSURANCE TRUST DO WITH YOUR PERSONAL INFORMATION? | ||||||
WHY? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. | ||||||
WHAT? | The types of personal information we collect and share depends on the product or service that you have with us. This information can include: n Social Security number and wire transfer instructions n account transactions and transaction history n investment experience and purchase history When you are no longer our customer, we continue to share your information as described in this notice. | ||||||
HOW? | All financial companies need to share customers' personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers' personal information; the reasons Forethought Variable Insurance Trust chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information: | Does Forethought Variable Insurance Trust share information? | Can you limit this sharing? | |||||||||
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus. | Yes | No | |||||||||
For our marketing purposes – to offer our products and services to you. | No | We don't share | |||||||||
For joint marketing with other financial companies. | No | We don't share | |||||||||
For our affiliates' everyday business purposes – information about your transactions and records. | No | We don't share | |||||||||
For our affiliates' everyday business purposes – information about your credit worthiness. | No | We don't share | |||||||||
For nonaffiliates to market to you | No | We don't share |
121
WHAT WE DO:
How does Forethought Variable Insurance Trust protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information. | ||||||
How does Forethought Variable Insurance Trust collect my personal information? | We collect your personal information, for example, when you: n open an account or deposit money n direct us to buy securities or direct us to sell your securities n seek advice about your investments We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. | ||||||
Why can't I limit all sharing? | Federal law gives you the right to limit only: n sharing for affiliates' everyday business purposes – information about your creditworthiness. n affiliates from using your information to market to you. n sharing for nonaffiliates to market to you. State laws and individual companies may give you additional rights to limit sharing. |
DEFINITIONS
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. n Forethought Variable Insurance Trust has no affiliates. | ||||||
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. n Forethought Variable Insurance Trust does not share with nonaffiliates so they can market to you. | ||||||
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. n Forethought Variable Insurance Trust does not jointly market. |
122
PROXY VOTING POLICY
Information regarding how the Portfolios voted proxies relating to portfolio securities for the most recent twelve month period ended June 30 (disclosed on Form N-PX) as well as information regarding the policies and procedures that the Portfolios use to determine how to vote proxies (disclosed in the Portfolios' Statement of Additional Information) is available without charge, upon request, by calling 1-877-355-1820 or by referring to the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov.
PORTFOLIO HOLDINGS
Each Portfolio files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Portfolios' Form N-PORTs are available: (i) on the SEC's website at http://www.sec.gov; and (ii) on the Portfolios' website at http://connect.rightprospectus.com/globalatlanticportfolios.
INVESTMENT ADVISER
Global Atlantic Investment Advisors, LLC
10 West Market Street, Suite 2300
Indianapolis, IN 46204
ADMINISTRATOR
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INVESTMENT SUB-ADVISERS
BlackRock Financial Management, Inc.
55 East 52nd Street
New York, NY 10055
BlackRock Investment Management, LLC
1 University Square Drive
Princeton, NJ 08540-6455
Franklin Advisers, Inc.
One Franklin Parkway
San Mateo, CA 94403
Goldman Sachs Asset Management, L.P.
200 West Street
New York, NY 10282
Milliman Financial Risk Management, LLC
71 S. Wacker Drive, 31st Floor
Chicago, IL 60606
Pacific Investment Management Company LLC
650 Newport Center Drive
Newport Beach, CA 92660
Wellington Management Company LLP
280 Congress Street
Boston, MA 02210
Wilshire Associates Incorporated
1299 Ocean Avenue, Suite 700
Santa Monica, CA 90401
Item 2. Code of Ethics.
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.
(c) Amendments: During the period covered by the report, there have not been any amendments to the provisions of the code of ethics.
(d) Waivers: During the period covered by the report, the registrant has not granted any express or implicit waivers from the provisions of the code of ethics.
(e) The Code of Ethics is not posted in the registrant’s website.
(f) A copy of the Code of Ethics is attached as an exhibit.
Item 3. Audit Committee Financial Expert.
The board of Trustees of the registrant has determined that the registrant has at least one “audit committee financial expert” as defined by Item 3 of Form N-CSR serving on its audit committee. Joseph E. Breslin is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR).
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are:
2018 |
| 2019 |
| ||
$ | 401,500 |
| $ | 381,250 |
|
Audit-Related Fees
(b) The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are:
2018 |
| 2019 |
|
None |
| None |
|
Tax Fees
(c) The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are:
2018 |
| 2019 |
| ||
$ | 75,000 |
| $ | 75,900 |
|
Preparation of Federal & State income tax returns, assistance with calculation of required income and capital gain distributions.
All Other Fees
(d) The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are:
2018 |
| 2019 |
| ||
$ | 15,000 |
| $ | 28,800 |
|
Review of annual registration statement filings for 2018 and 2019 and a fee for review of service provider conversion activities in 2019.
Audit Committee’s Pre-Approval Policies
(e)(1) The registrant’s Audit Committee is required to pre-approve all audit services and, when appropriate, any non-audit services (including audit-related, tax and all other services) to the registrant. The registrant’s Audit Committee also is required to pre-approve, when appropriate, any non-audit services (including audit-related, tax and all other services) to its adviser, or any entity controlling, controlled by or under common control with the adviser that provides ongoing services to the registrant, to the extent that the services may be determined to have an impact on the operations or financial reporting of the registrant. Services are reviewed on an engagement by engagement basis by the Audit Committee.
Percentages of Services Approved by the Audit Committee
(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:
|
| 2018 |
| 2019 |
|
Audit Related Fees: |
| 100 | % | 100 | % |
Tax Fees: |
| 100 | % | 100 | % |
All Other Fees: |
| 100 | % | 100 | % |
(f) During the audit of registrant’s financial statements for the most recent fiscal year, less than 50 percent of the hours expended on the principal accountant’s engagement were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant for the fiscal year ended December 31, 2019 were $104,700 and $0, respectively and for the fiscal year ended December 31, 2018, were $90,000 and $0, respectively.
(h) The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable to open-end investment companies.
Item 6. Investments.
(a) Schedule of investments in securities of unaffiliated issuers is included under Item 1; and
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees since the date of the registrant’s prior report on Form N-CSR or, as applicable, in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)),.
Item 11. Controls and Procedures.
(a) Based on an evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of filing date of this Form N-CSR, the principal executive officer and principal financial officer of the registrant have concluded that the disclosure controls and procedures of the registrant are reasonably designed to ensure that the information required in filings on Form N-CSR is recorded, processed, summarized, and reported by the filing date, including that information required to be disclosed is accumulated and communicated to the registrant’s management, including the registrant’s principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Exhibits.
(a)(1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3) Not applicable for open-end investment companies.
(a)(4) There was no change in the registrant’s independent public accountant for the period covered by this report.
(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Forethought Variable Insurance Trust
By |
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| /s/ Trent M. Statczar |
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| Trent M. Statczar |
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| Treasurer |
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| February 24, 2020 |
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By |
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| /s/ Robert M. Arena, Jr. |
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| Robert M. Arena, Jr. |
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| President |
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| February 24, 2020 |
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By |
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| /s/ Trent M. Statczar |
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| Trent M. Statczar |
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| Treasurer |
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| February 24, 2020 |
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