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 BlackRock Allocation Portfolio
Global Atlantic BlackRock Disciplined Core Portfolio
Global Atlantic BlackRock Disciplined Growth Portfolio
Global Atlantic BlackRock Disciplined International Core Portfolio
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio
Global Atlantic BlackRock Disciplined Small Cap Portfolio
Global Atlantic BlackRock Disciplined U.S. Core Portfolio
Global Atlantic BlackRock Disciplined Value Portfolio
Global Atlantic BlackRock High Yield Portfolio
Global Atlantic Goldman Sachs Core Fixed Income Portfolio
Global Atlantic Goldman Sachs Global Equity Insights Portfolio
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio
Class I and 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 |
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Portfolio | Benchmark | ||||||
Global Atlantic BlackRock Allocation Portfolio | S&P Target Risk® Growth Index | ||||||
Global Atlantic BlackRock Disciplined Core Portfolio | S&P 500® Index | ||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | Russell 1000® Growth Index | ||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | MSCI ACWI ex-USA Index | ||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | Russell Midcap® Growth Index | ||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | Russell 2000® Index | ||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | S&P 500® Index | ||||||
Global Atlantic BlackRock Disciplined Value Portfolio | Russell 1000® Value Index | ||||||
Global Atlantic BlackRock High Yield Portfolio | ICE BofAML BB-B U.S. High Yield Constrained Index | ||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | Bloomberg Barclays U.S. Aggregate Bond Index | ||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | MSCI World Standard Index | ||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | Russell 1000® Growth Index | ||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | Russell Midcap® Value Index |
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 to be 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 Target Risk® Growth Index. An index that increases exposure to equities, while also providing limited fixed income exposure to diversify risk.
Bloomberg Barclays U.S. 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 BofAML BB-B U.S. High Yield Constrained Index. An index that contains all securities in the ICE BofAML U.S. High Yield Index rated BB1 through B3, based on an average of Moody's, S&P, and Fitch, but caps issuer exposure at 2%. Index constituents are capitalization-weighted, based on their current amount outstanding, provided the total allocation to an individual issuer does not exceed 2%.
ICE BofAML 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 ACWI ex-USA Total Return Index. A free float-adjusted market capitalization index designed to measure the combined equity market performance of developed and emerging market countries, excluding the United States.
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
2
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.
MSCI World Standard Index. An index that represents large- and mid-cap equity performance across 23 developed markets countries, covering approximately 85% of the free float-adjusted market capitalization in each. The index offers a broad global equity benchmark, without emerging markets exposure.
Russell 1000® Growth Total Return Index. An unmanaged index of common stock prices that measures the performance of those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values.
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.
Russell 3000 Total Return Index. An index measuring the performance of approximately 3,000 of the largest U.S. companies.
Russell Midcap® Growth Total Return Index. An unmanaged index that consists of the bottom 800 securities of the Russell 1000® Index with greater-than-average growth orientation as ranked by total market capitalization. Securities in this index generally have higher price-to-book and price-to-earnings ratios, lower dividend yields and higher forecasted growth values.
Russell Midcap® Value Total Return Index. An unmanaged index of common stock prices that measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values.
Russell 1000® Value Total Return Index. An index that measures the performance of large- and mid-capitalization value sectors of the U.S. equity market. It is a subset of the Russell 1000® Index, which measures the performance of the large-capitalization sector of the U.S. equity market.
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.
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Table of Contents
Page | |||||||
• Global Atlantic Portfolio Review and Portfolio of Investments | |||||||
Global Atlantic BlackRock Allocation Portfolio | 5 – 7 | ||||||
Global Atlantic BlackRock Disciplined Core Portfolio | 8 – 15 | ||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | 16 – 22 | ||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | 23 – 36 | ||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | 37 – 44 | ||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | 45 – 55 | ||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | 56 – 63 | ||||||
Global Atlantic BlackRock Disciplined Value Portfolio | 64 – 71 | ||||||
Global Atlantic BlackRock High Yield Portfolio | 72 – 83 | ||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | 84 – 95 | ||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | 96 – 102 | ||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | 103 – 107 | ||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | 108 – 113 | ||||||
• Financial Statements: | |||||||
Statements of Assets and Liabilities | 114 – 117 | ||||||
Statements of Operations | 118 – 121 | ||||||
Statements of Changes in Net Assets | 122 – 128 | ||||||
Financial Highlights | 129 – 152 | ||||||
• Notes to Financial Statements | 153 – 178 | ||||||
• Report of Independent Registered Accounting Firm | 179 | ||||||
• Expense Examples | 180 – 181 | ||||||
• Supplemental Information | 182 – 184 | ||||||
• Trustee Table | 185 – 188 | ||||||
• Privacy Notice | 189 – 190 | ||||||
• Proxy Voting Policy | Back Cover | ||||||
• Portfolio Holdings | Back Cover |
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Global Atlantic BlackRock Allocation Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide total return.
Management Review
The Portfolio is sub-advised by BlackRock Investment Management, LLC ("BlackRock").
How did the Portfolio perform during the period?
During 2019, the Class I shares of Global Atlantic BlackRock Allocation Portfolio outperformed its reference benchmark, the S&P Target Risk® Growth Index. The Portfolio posted a return of 21.09% compared to a benchmark return of 19.20%, a difference of 189 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
Portfolio performance was driven by an equity overweight relative to fixed income, which continued to add to returns as stocks had one of their best years since the 2008 Financial Crisis. The Portfolio's U.S. equity overweight relative to developed international stocks, particularly the U.S. technology sector, and in factors like minimum volatility and quality (at varying points in the year), significantly contributed to performance.
On the fixed income side, a reduction in credit weights, particularly high yield credits, detracted from the Portfolio's performance. The Portfolio began the year with a marginally shorter duration than the benchmark, thus missing some of the early gains in longer duration treasuries, but lengthening throughout the year, which cost the Portfolio later in the year as the curve re-steepened and the long end sold off.
How was the Portfolio positioned at period end?
At year-end, the Portfolio was 3.16% overweight equities, relative to fixed income, due primarily to portfolio drift from the extended equity rally. The Portfolio's target from the last rebalance was to be 2% overweight equities, underscoring the strength of the equity rally, particularly near the end of 2019. The BlackRock investment team remains optimistic and positioned in favor of riskier assets like equities. BlackRock believes that while the rapid pace of gains in such riskier assets may moderate, the prospect of companies generally deploying delayed capital investment as a result of the trade de-escalation can power earnings higher, in partnership with optimistic global consumers continuing to spend freely.
The asset mix between stocks and bonds is unchanged, but BlackRock's portfolios are generally switching from a defensive to a more cyclical positioning. BlackRock believes that the global economy is not out of the woods yet, but a clearing may be in sight. Overall this reflects BlackRock's desire to move to capture cyclicality before the gains on the defensive rally are gone and capture a potentially new regime. In the equity portion of the Portfolio, this meant positioning shifts from minimum volatility to more cyclical exposures like low size equities, and moving emerging market exposures further overweight, funded from developed markets. In the fixed income portion of the Portfolio, duration remains slightly shorter than benchmark with an overweight to investment grade credit at shorter durations, and treasuries at longer durations.
The Portfolio's performance figures for the periods ended December 31, 2019 as compared to its benchmark:
Annualized | Operating Expense** | ||||||||||||||||||||||
Inception Date* | One Year | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||
Global Atlantic BlackRock Allocation Portfolio | |||||||||||||||||||||||
Class I | November 1, 2017 | 21.09 | % | 7.54 | % | 0.47 | % | 0.44 | % | ||||||||||||||
Class II | November 1, 2017 | 20.82 | % | 7.29 | % | 0.72 | % | 0.69 | % | ||||||||||||||
S&P Target Risk® Growth Index (Total Return) | 19.20 | % | 6.58 | % |
5
Global Atlantic BlackRock 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.
* Commencement of operations is November 6, 2017.
** The estimated operating expense ratios for Class I and 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.
The S&P Target Risk® Growth Index (Total Return) provides increased exposure to equities, while also using some fixed income exposure to dampen risk. 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 | 100.1 | % | |||||
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.
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Global Atlantic BlackRock Allocation Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
EXCHANGE TRADED FUNDS - 100.1% | |||||||||||
DEBT FUNDS - 36.9% | |||||||||||
11,625 | iShares 20+ Year Treasury Bond ETF | $ | 1,574,955 | ||||||||
97,788 | iShares Intermediate-Term Corporate Bond ETF | 5,669,748 | |||||||||
50,328 | iShares MBS ETF | 5,438,444 | |||||||||
49,022 | iShares Short Maturity Bond ETF | 2,463,355 | |||||||||
580,940 | iShares U.S. Treasury Bond ETF | 15,069,584 | |||||||||
TOTAL DEBT FUNDS | 30,216,086 | ||||||||||
EQUITY FUNDS - 63.2% | |||||||||||
114,233 | iShares Core MSCI EAFE ETF | 7,452,561 | |||||||||
104,310 | iShares Core MSCI Emerging Markets ETF | 5,607,706 | |||||||||
64,678 | iShares Core S&P 500 ETF | 20,906,517 | |||||||||
4,034 | iShares Core S&P Mid-Cap ETF | 830,278 | |||||||||
36,473 | iShares Core S&P Total US Stock Market ETF | 2,651,222 | |||||||||
40,476 | iShares Edge MSCI Min Vol USA ETF | 2,655,226 | |||||||||
47,660 | iShares Edge MSCI USA Quality Factor ETF | 4,813,660 | |||||||||
34,632 | iShares Edge MSCI USA Size Factor ETF | 3,373,503 | |||||||||
16,872 | iShares Global Tech ETF | 3,551,387 | |||||||||
TOTAL EQUITY FUNDS | 51,842,060 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $74,695,170) | 82,058,146 | ||||||||||
TOTAL INVESTMENTS - 100.1% (Cost - $74,695,170) | $ | 82,058,146 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET (0.1)% | (79,766) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 81,978,380 |
See accompanying notes to financial statements.
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Global Atlantic BlackRock Disciplined Core Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide long-term capital appreciation.
Management Review
The Portfolio is sub-advised by BlackRock Investment Management, LLC ("BlackRock").
How did the Portfolio perform during the period?
During 2019, the Class I shares of Global Atlantic BlackRock Disciplined Core Portfolio underperformed its reference benchmark, the S&P 500® Index. The Portfolio posted a return of 29.21% compared to a benchmark return of 31.49%, a difference of -228 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
BlackRock's Scientific Active Equity ("SAE") process systematically tracks and ranks the characteristics of companies in order to seek to construct a portfolio that has the best trade-off between returns, risk and costs. The SAE investment model groups the universe of securities based on an analysis of a wide range of factors, such as relative value ("Value"), earnings quality ("Quality"), market sentiment ("Sentiment"), and thematic insights. Value insights seek to incorporate, where appropriate, asset value, sales, earnings and cash flow forecasts over short and long periods. Quality measures aim to assess the sustainability of earnings and the quality of corporate management by investigating company financials as well as other company statements. Sentiment criteria seek to infer information about a company's value from changes in analysts' forecasts, linkages between companies, management decisions and the behavior of other market participants in equities and other securities markets. And lastly, thematic insights seek to identify and exploit commonalities among groups of stocks that are believed to drive prices but that currently appear to be less obvious to the market.
After performing generally in line with the benchmark over the first half of the year, relative Portfolio performance was challenged during the second half of the year. This underperformance was primarily driven by the Portfolio's Sentiment insights. Though these investment signals were additive through the first half of the year, they struggled significantly in the second half of the year amid increased market volatility. A series of inflection points, largely motivated by shifts in global trade conversations and central bank policy, created a difficult environment for the Portfolio's trend-based insights. Cross-market Sentiment insights also struggled throughout much of the year. From a sector standpoint, the Portfolio's Sentiment- based insights were least effective in select cyclical sectors, specifically the financials and communication services sectors.
Insights evaluating company fundamentals detracted modestly in aggregate over the trailing 1-year period. However, these signals provided some stability to Portfolio performance during the second half of the year, after struggling throughout the first half of the year. Value insights were challenged early in the year, as investors sought out speculative growth opportunities at the expense of company fundamentals. Investor mentality shifted throughout the year, and performance of Value insights improved towards the end of the year as investors sought out pockets of relative value in the market. The Portfolio's Quality insights were modestly additive to relative returns throughout the year, which was unsurprising given investor preference for sustainable, high-quality businesses amidst increased market uncertainty.
The Portfolio's macro thematic insights further detracted from relative returns throughout the year. After experiencing some success through the first half of the year, select industry timing insights struggled during the back half of the year. Of note, while the Portfolio targets a generally sector- and industry-neutral approach, positioning in the health care providers and services industry was a drag on relative performance. In addition, a modest overweight position in the biotechnology industry led to further performance challenges, as the industry underperformed the broader market in 2019.
8
Global Atlantic BlackRock Disciplined Core Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
How was the Portfolio positioned at period end?
At year-end, from a sector positioning perspective, the Portfolio remains largely sector neutral. The Portfolio had slight overweight positions in the financials and industrials sectors and slight underweight positions in the real estate and energy sectors. As the SAE team seeks to maintain a style neutral approach, the Portfolio did not have any outsized active exposures to any particular style or factor.
The Portfolio's performance figures for the periods ended December 31, 2019 as compared to its benchmark:
Annualized | Operating Expense** | ||||||||||||||||||||||
Inception Date* | One Year | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||
Global Atlantic BlackRock Disciplined Core Portfolio | |||||||||||||||||||||||
Class I | November 1, 2017 | 29.21 | % | 11.98 | % | 0.50 | % | 0.48 | % | ||||||||||||||
Class II | November 1, 2017 | 28.94 | % | 11.65 | % | 0.75 | % | 0.73 | % | ||||||||||||||
S&P 500® Index (Total Return) | 31.49 | % | 13.22 | % |
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.
* Commencement of operations is November 6, 2017.
** The estimated operating expense ratios for Class I and 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. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
The S&P 500® Index (Total Return) is a widely accepted, unmanaged index of U.S. stock market performance which does not take into account charges, fees, and other expenses. Investors cannot invest directly in an index.
Comparison of the Change in Value of a $10,000 Investment
9
Global Atlantic BlackRock Disciplined Core Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
Holdings by Asset Class | % of Net Assets | ||||||
Common Stocks | 98.7 | % | |||||
Short-Term Investments | 1.2 | % | |||||
Rights | 0.0 | %† | |||||
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.
† Represents less than 0.05%.
Derivative exposure is included in "Other Assets Less Liabilities - Net".
10
Global Atlantic BlackRock Disciplined Core Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
COMMON STOCKS - 98.7% | |||||||||||
AEROSPACE & DEFENSE - 2.8% | |||||||||||
1,683 | Boeing Co. (The) | $ | 548,254 | ||||||||
3,336 | HEICO Corp. | 380,805 | |||||||||
4,896 | Hexcel Corp. | 358,926 | |||||||||
21,301 | Lockheed Martin Corp. | 8,294,183 | |||||||||
5,074 | Northrop Grumman Corp. | 1,745,304 | |||||||||
9,649 | Raytheon Co. | 2,120,271 | |||||||||
7,474 | Teledyne Technologies, Inc.* | 2,590,040 | |||||||||
16,037,783 | |||||||||||
AIR FREIGHT & LOGISTICS - 0.1% | |||||||||||
1,009 | Expeditors International of Washington, Inc. | 78,722 | |||||||||
1,420 | United Parcel Service, Inc., Class B | 166,226 | |||||||||
24,849 | ZTO Express (Cayman), Inc., ADR | 580,224 | |||||||||
825,172 | |||||||||||
AIRLINES - 0.5% | |||||||||||
7,400 | Alaska Air Group, Inc. | 501,350 | |||||||||
10,113 | Delta Air Lines, Inc. | 591,408 | |||||||||
20,156 | United Airlines Holdings, Inc.* | 1,775,542 | |||||||||
2,868,300 | |||||||||||
AUTO COMPONENTS - 0.1% | |||||||||||
10,720 | Dana, Inc. | 195,104 | |||||||||
21,681 | Goodyear Tire & Rubber Co. (The) | 337,248 | |||||||||
532,352 | |||||||||||
AUTOMOBILES - 0.7% | |||||||||||
117,045 | Ford Motor Co. | 1,088,518 | |||||||||
20,726 | General Motors Co. | 758,572 | |||||||||
3,174 | Harley-Davidson, Inc. | 118,041 | |||||||||
13,413 | Toyota Motor Corp., ADR | 1,885,063 | |||||||||
3,850,194 | |||||||||||
BANKS - 3.9% | |||||||||||
156,785 | Bank of America Corp. | 5,521,968 | |||||||||
905 | Bank of Montreal | 70,137 | |||||||||
3,098 | Bank of Nova Scotia (The) | 175,006 | |||||||||
2,009 | Bank OZK | 61,284 | |||||||||
672 | Canadian Imperial Bank of Commerce | 55,910 | |||||||||
25,873 | CIT Group, Inc. | 1,180,585 | |||||||||
20,098 | Citizens Financial Group, Inc. | 816,180 | |||||||||
5,919 | Cullen/Frost Bankers, Inc. | 578,760 | |||||||||
3,933 | East West Bancorp, Inc. | 191,537 | |||||||||
16,482 | First Horizon National Corp. | 272,942 | |||||||||
1,154 | HDFC Bank Ltd., ADR | 73,129 | |||||||||
53,245 | JPMorgan Chase & Co. | 7,422,353 | |||||||||
8,635 | Regions Financial Corp. | 148,177 | |||||||||
6,060 | Royal Bank of Canada | 479,952 | |||||||||
10,004 | Truist Financial Corp. | 563,425 | |||||||||
23,695 | US Bancorp | 1,404,877 | |||||||||
72,132 | Wells Fargo & Co. | 3,880,702 | |||||||||
22,896,924 |
Shares/ Principal | Fair Value | ||||||||||
BEVERAGES - 1.3% | |||||||||||
11,527 | Coca-Cola Co. (The) | $ | 638,020 | ||||||||
1,049 | Coca-Cola European Partners PLC | 53,373 | |||||||||
16,331 | Diageo PLC, ADR | 2,750,467 | |||||||||
4,119 | Molson Coors Beverage Co., Class B | 222,014 | |||||||||
17,452 | Monster Beverage Corp.* | 1,109,075 | |||||||||
21,905 | PepsiCo, Inc. | 2,993,756 | |||||||||
7,766,705 | |||||||||||
BIOTECHNOLOGY - 3.7% | |||||||||||
45,138 | AbbVie, Inc. | 3,996,518 | |||||||||
3,125 | Alexion Pharmaceuticals, Inc.* | 337,969 | |||||||||
11,275 | Amgen, Inc. | 2,718,064 | |||||||||
4,806 | Biogen, Inc.* | 1,426,084 | |||||||||
123,318 | Gilead Sciences, Inc. | 8,013,204 | |||||||||
1,380 | Incyte Corp.* | 120,502 | |||||||||
5,524 | Regeneron Pharmaceuticals, Inc.* | 2,074,151 | |||||||||
2,844 | United Therapeutics Corp.* | 250,500 | |||||||||
11,241 | Vertex Pharmaceuticals, Inc.* | 2,461,217 | |||||||||
21,398,209 | |||||||||||
BUILDING PRODUCTS - 0.8% | |||||||||||
36,890 | Allegion PLC | 4,594,281 | |||||||||
7,136 | Resideo Technologies, Inc.* | 85,132 | |||||||||
4,679,413 | |||||||||||
CAPITAL MARKETS - 3.8% | |||||||||||
5,565 | Affiliated Managers Group, Inc. | 471,578 | |||||||||
16,914 | Bank of New York Mellon Corp. (The) | 851,282 | |||||||||
46,321 | Charles Schwab Corp. (The) | 2,203,027 | |||||||||
9,109 | CME Group, Inc. | 1,828,358 | |||||||||
4,451 | Evercore, Inc., Class A | 332,757 | |||||||||
7,489 | FactSet Research Systems, Inc. | 2,009,299 | |||||||||
33,665 | Intercontinental Exchange, Inc. | 3,115,696 | |||||||||
5,738 | Moody's Corp. | 1,362,258 | |||||||||
83,211 | Morgan Stanley | 4,253,746 | |||||||||
17,772 | S&P Global, Inc. | 4,852,645 | |||||||||
12,653 | TD Ameritrade Holding Corp. | 628,854 | |||||||||
21,909,500 | |||||||||||
CHEMICALS - 1.3% | |||||||||||
6,079 | Air Products & Chemicals, Inc. | 1,428,504 | |||||||||
11,084 | CF Industries Holdings, Inc. | 529,150 | |||||||||
11,006 | Ecolab, Inc. | 2,124,048 | |||||||||
10,923 | LyondellBasell Industries NV, Class A | 1,032,005 | |||||||||
26,449 | Mosaic Co. (The) | 572,357 | |||||||||
640 | Scotts Miracle-Gro Co. (The) | 67,955 | |||||||||
3,294 | Sherwin-Williams Co. (The) | 1,922,181 | |||||||||
7,676,200 | |||||||||||
COMMERCIAL SERVICES & SUPPLIES - 0.2% | |||||||||||
2,248 | Cintas Corp. | 604,892 | |||||||||
3,147 | Copart, Inc.* | 286,188 | |||||||||
891,080 |
See accompanying notes to financial statements.
11
Global Atlantic BlackRock Disciplined Core Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
COMMUNICATIONS EQUIPMENT - 0.6% | |||||||||||
8,225 | Ciena Corp.* | $ | 351,125 | ||||||||
68,803 | Cisco Systems, Inc. | 3,299,792 | |||||||||
3,650,917 | |||||||||||
CONSTRUCTION & ENGINEERING - 0.3% | |||||||||||
25,009 | Fluor Corp. | 472,170 | |||||||||
16,022 | MasTec, Inc.* | 1,027,971 | |||||||||
1,500,141 | |||||||||||
CONSUMER FINANCE - 1.1% | |||||||||||
40,509 | Ally Financial, Inc. | 1,237,955 | |||||||||
24,382 | American Express Co. | 3,035,315 | |||||||||
21,554 | Capital One Financial Corp. | 2,218,122 | |||||||||
6,491,392 | |||||||||||
CONTAINERS & PACKAGING - 0.2% | |||||||||||
2,093 | Packaging Corp. of America | 234,395 | |||||||||
25,626 | Westrock Co. | 1,099,612 | |||||||||
1,334,007 | |||||||||||
DIVERSIFIED CONSUMER SERVICES - 0.2% | |||||||||||
38,626 | H&R Block, Inc. | 906,938 | |||||||||
DIVERSIFIED FINANCIAL SERVICES - 1.9% | |||||||||||
4,892 | AXA Equitable Holdings, Inc. | 121,224 | |||||||||
48,873 | Berkshire Hathaway, Inc., Class B* | 11,069,734 | |||||||||
11,190,958 | |||||||||||
DIVERSIFIED TELECOMMUNICATION - 2.1% | |||||||||||
89,345 | AT&T, Inc. | 3,491,603 | |||||||||
91,613 | BCE, Inc. | 4,246,263 | |||||||||
75,211 | Verizon Communications, Inc. | 4,617,955 | |||||||||
12,355,821 | |||||||||||
ELECTRIC UTILITIES - 1.4% | |||||||||||
15,513 | Alliant Energy Corp. | 848,872 | |||||||||
7,539 | Pinnacle West Capital Corp. | 677,982 | |||||||||
102,535 | Xcel Energy, Inc. | 6,509,947 | |||||||||
8,036,801 | |||||||||||
ELECTRICAL EQUIPMENT - 0.8% | |||||||||||
31,395 | AMETEK, Inc. | 3,131,337 | |||||||||
10,342 | Hubbell, Inc. | 1,528,755 | |||||||||
4,660,092 | |||||||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 0.6% | |||||||||||
1,509 | Avnet, Inc. | 64,042 | |||||||||
21,361 | CDW Corp. | 3,051,205 | |||||||||
10,838 | National Instruments Corp. | 458,881 | |||||||||
3,574,128 |
Shares/ Principal | Fair Value | ||||||||||
ENERGY EQUIPMENT & SERVICES - 0.2% | |||||||||||
17,319 | Patterson-UTI Energy, Inc. | $ | 181,849 | ||||||||
4,122 | TechnipFMC PLC | 88,376 | |||||||||
109,019 | Transocean Ltd.* | 750,051 | |||||||||
1,020,276 | |||||||||||
ENTERTAINMENT - 1.1% | |||||||||||
1,694 | Activision Blizzard, Inc. | 100,657 | |||||||||
7,982 | Cinemark Holdings, Inc. | 270,191 | |||||||||
4,813 | Electronic Arts, Inc.* | 517,446 | |||||||||
2,949 | Live Nation Entertainment, Inc.* | 210,765 | |||||||||
2,678 | Netflix, Inc.* | 866,520 | |||||||||
8,525 | Take-Two Interactive Software, Inc.* | 1,043,716 | |||||||||
20,925 | Walt Disney Co. (The) | 3,026,383 | |||||||||
76,481 | Zynga, Inc., Class A* | 468,064 | |||||||||
6,503,742 | |||||||||||
EQUITY REAL ESTATE INVESTMENT - 2.1% | |||||||||||
5,904 | Boston Properties, Inc. | 813,926 | |||||||||
4,470 | Equity Residential | 361,712 | |||||||||
31,465 | Host Hotels & Resorts, Inc. | 583,676 | |||||||||
24,386 | Invitation Homes, Inc. | 730,848 | |||||||||
17,882 | Lamar Advertising Co., Class A | 1,596,147 | |||||||||
2,169 | Macerich Co. (The) | 58,390 | |||||||||
2,345 | National Retail Properties, Inc. | 125,739 | |||||||||
91,638 | Park Hotels & Resorts, Inc. | 2,370,675 | |||||||||
8,759 | Prologis, Inc. | 780,777 | |||||||||
36,156 | RLJ Lodging Trust | 640,684 | |||||||||
30,002 | Simon Property Group, Inc. | 4,469,098 | |||||||||
12,531,672 | |||||||||||
FOOD & STAPLES RETAILING - 1.8% | |||||||||||
27,985 | Costco Wholesale Corp. | 8,225,351 | |||||||||
15,507 | Performance Food Group Co.* | 798,300 | |||||||||
12,734 | Walmart, Inc. | 1,513,309 | |||||||||
10,536,960 | |||||||||||
FOOD PRODUCTS - 0.9% | |||||||||||
30,817 | Hershey Co. (The) | 4,529,483 | |||||||||
12,732 | Hormel Foods Corp. | 574,340 | |||||||||
5,103,823 | |||||||||||
GAS UTILITIES - 0.1% | |||||||||||
914 | Atmos Energy Corp. | 102,240 | |||||||||
6,264 | Southwest Gas Holdings, Inc. | 475,876 | |||||||||
578,116 | |||||||||||
HEALTH CARE EQUIPMENT & SUPPLIES - 2.4% | |||||||||||
1,703 | Abbott Laboratories | 147,923 | |||||||||
2,646 | DexCom, Inc.* | 578,786 | |||||||||
12,089 | Edwards Lifesciences Corp.* | 2,820,243 | |||||||||
17,391 | Hologic, Inc.* | 907,984 | |||||||||
4,691 | IDEXX Laboratories, Inc.* | 1,224,961 |
See accompanying notes to financial statements.
12
Global Atlantic BlackRock Disciplined Core Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
HEALTH CARE EQUIPMENT & SUPPLIES - 2.4% (Continued) | |||||||||||
16,794 | Medtronic PLC | $ | 1,905,279 | ||||||||
29,200 | Stryker Corp. | 6,130,248 | |||||||||
13,715,424 | |||||||||||
HEALTH CARE PROVIDERS & SERVICES - 2.6% | |||||||||||
13,105 | AmerisourceBergen Corp. | 1,114,187 | |||||||||
13,936 | Anthem, Inc. | 4,209,090 | |||||||||
2,991 | Cigna Corp. | 611,630 | |||||||||
52,137 | CVS Health Corp. | 3,873,258 | |||||||||
2,447 | Humana, Inc. | 896,874 | |||||||||
751 | McKesson Corp. | 103,878 | |||||||||
14,547 | UnitedHealth Group, Inc. | 4,276,527 | |||||||||
1,095 | WellCare Health Plans, Inc.* | 361,580 | |||||||||
15,447,024 | |||||||||||
HEALTH CARE TECHNOLOGY - 0.2% | |||||||||||
6,374 | Veeva Systems, Inc., Class A* | 896,567 | |||||||||
HOTELS, RESTAURANTS & LEISURE - 2.0% | |||||||||||
11,697 | Boyd Gaming Corp. | 350,208 | |||||||||
11,161 | Carnival Corp. | 567,314 | |||||||||
22,325 | Choice Hotels International, Inc. | 2,309,075 | |||||||||
26,686 | Darden Restaurants, Inc. | 2,909,041 | |||||||||
44,419 | Extended Stay America, Inc. | 660,066 | |||||||||
8,903 | International Game Technology PLC | 133,278 | |||||||||
14,447 | McDonald's Corp. | 2,854,872 | |||||||||
9,910 | Penn National Gaming, Inc.* | 253,299 | |||||||||
19,480 | Restaurant Brands International, Inc. | 1,242,239 | |||||||||
8,580 | Texas Roadhouse, Inc. | 483,226 | |||||||||
11,762,618 | |||||||||||
HOUSEHOLD DURABLES - 0.2% | |||||||||||
23,386 | DR Horton, Inc. | 1,233,611 | |||||||||
HOUSEHOLD PRODUCTS - 1.5% | |||||||||||
36,503 | Church & Dwight Co., Inc. | 2,567,621 | |||||||||
51,514 | Procter & Gamble Co. (The) | 6,434,099 | |||||||||
9,001,720 | |||||||||||
INDUSTRIAL CONGLOMERATES - 1.0% | |||||||||||
2,345 | 3M Co. | 413,705 | |||||||||
18,532 | Honeywell International, Inc. | 3,280,164 | |||||||||
6,209 | Roper Technologies, Inc. | 2,199,414 | |||||||||
5,893,283 | |||||||||||
INSURANCE - 3.0% | |||||||||||
28,465 | Allstate Corp. (The) | 3,200,889 | |||||||||
15,261 | Arthur J Gallagher & Co. | 1,453,305 | |||||||||
10,737 | Cincinnati Financial Corp. | 1,128,996 | |||||||||
31,851 | First American Financial Corp. | 1,857,550 | |||||||||
12,284 | Globe Life, Inc. | 1,292,891 | |||||||||
7,839 | Lincoln National Corp. | 462,579 |
Shares/ Principal | Fair Value | ||||||||||
INSURANCE - 3.0% (Continued) | |||||||||||
6,755 | Marsh & McLennan Cos., Inc. | $ | 752,575 | ||||||||
44,721 | MetLife, Inc. | 2,279,429 | |||||||||
10,605 | Progressive Corp. (The) | 767,696 | |||||||||
22,547 | Prudential Financial, Inc. | 2,113,556 | |||||||||
5,064 | Travelers Cos., Inc. (The) | 693,515 | |||||||||
23,785 | Unum Group | 693,571 | |||||||||
2,778 | Willis Towers Watson PLC | 560,989 | |||||||||
17,257,541 | |||||||||||
INTERACTIVE MEDIA & SERVICES - 5.2% | |||||||||||
5,893 | Alphabet, Inc., Class A* | 7,893,025 | |||||||||
6,483 | Alphabet, Inc., Class C* | 8,667,901 | |||||||||
7,945 | Baidu, Inc., ADR* | 1,004,248 | |||||||||
53,007 | Facebook, Inc., Class A* | 10,879,687 | |||||||||
25,308 | Pinterest, Inc., Class A* | 471,741 | |||||||||
8,893 | TripAdvisor, Inc. | 270,169 | |||||||||
16,719 | Twitter, Inc.* | 535,844 | |||||||||
8,497 | Yelp, Inc.* | 295,951 | |||||||||
30,018,566 | |||||||||||
INTERNET & DIRECT MARKETING RETAIL - 3.3% | |||||||||||
2,929 | Alibaba Group Holding Ltd., ADR* | 621,241 | |||||||||
10,084 | Amazon.com, Inc.* | 18,633,619 | |||||||||
4,971 | JD.com, Inc., ADR* | 175,128 | |||||||||
2,221 | Trip.Com Group Ltd., ADR* | 74,492 | |||||||||
19,504,480 | |||||||||||
IT SERVICES - 5.3% | |||||||||||
3,678 | Accenture PLC, Class A | 774,477 | |||||||||
5,078 | Amdocs Ltd. | 366,581 | |||||||||
37,980 | Automatic Data Processing, Inc. | 6,475,590 | |||||||||
9,628 | Broadridge Financial Solutions, Inc. | 1,189,443 | |||||||||
2,451 | DXC Technology Co. | 92,133 | |||||||||
1 | EPAM Systems, Inc.* | 212 | |||||||||
7,610 | GoDaddy, Inc., Class A* | 516,871 | |||||||||
4,435 | Jack Henry & Associates, Inc. | 646,047 | |||||||||
40,553 | Mastercard, Inc., Class A | 12,108,720 | |||||||||
51,716 | Paychex, Inc. | 4,398,963 | |||||||||
836 | PayPal Holdings, Inc.* | 90,430 | |||||||||
22,756 | Visa, Inc., Class A | 4,275,852 | |||||||||
30,935,319 | |||||||||||
LIFE SCIENCES TOOLS & SERVICES - 0.1% | |||||||||||
1,837 | Thermo Fisher Scientific, Inc. | 596,786 | |||||||||
MACHINERY - 2.2% | |||||||||||
6,246 | AGCO Corp. | 482,503 | |||||||||
7,192 | IDEX Corp. | 1,237,024 | |||||||||
3,608 | Ingersoll-Rand PLC | 479,575 | |||||||||
31,783 | Oshkosh Corp. | 3,008,261 |
See accompanying notes to financial statements.
13
Global Atlantic BlackRock Disciplined Core Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
MACHINERY - 2.2% (Continued) | |||||||||||
83,725 | PACCAR, Inc. | $ | 6,622,648 | ||||||||
6,230 | Snap-on, Inc. | 1,055,362 | |||||||||
12,885,373 | |||||||||||
MEDIA - 2.1% | |||||||||||
22,608 | AMC Networks, Inc., Class A* | 893,016 | |||||||||
56,692 | Comcast Corp., Class A | 2,549,439 | |||||||||
44,337 | Discovery, Inc., Class A* | 1,451,593 | |||||||||
1,148 | Discovery, Inc., Class C* | 35,003 | |||||||||
132,691 | Interpublic Group of Cos., Inc. (The) | 3,065,162 | |||||||||
309,253 | Sirius XM Holdings, Inc. | 2,211,159 | |||||||||
50,519 | ViacomCBS, Inc., Class B | 2,120,283 | |||||||||
12,325,655 | |||||||||||
METALS & MINING - 0.3% | |||||||||||
26,770 | Alcoa Corp.* | 575,823 | |||||||||
26,323 | ArcelorMittal SA | 461,705 | |||||||||
10,329 | BHP Group Ltd., ADR | 565,100 | |||||||||
1,415 | Reliance Steel & Aluminum Co. | 169,460 | |||||||||
2,820 | Rio Tinto PLC, ADR | 167,395 | |||||||||
1,939,483 | |||||||||||
MULTILINE RETAIL - 0.8% | |||||||||||
20,794 | Dollar General Corp. | 3,243,448 | |||||||||
9,393 | Target Corp. | 1,204,277 | |||||||||
4,447,725 | |||||||||||
MULTI-UTILITIES - 1.4% | |||||||||||
28,389 | Ameren Corp. | 2,180,275 | |||||||||
23,771 | Consolidated Edison, Inc. | 2,150,562 | |||||||||
27,281 | DTE Energy Co. | 3,542,984 | |||||||||
7,873,821 | |||||||||||
OIL, GAS & CONSUMABLE FUELS - 3.6% | |||||||||||
2,187 | BP PLC, ADR | 82,537 | |||||||||
13,120 | CNOOC Ltd., ADR | 2,186,711 | |||||||||
19,349 | ConocoPhillips | 1,258,266 | |||||||||
11,812 | Continental Resources, Inc. | 405,152 | |||||||||
2,527 | Devon Energy Corp. | 65,626 | |||||||||
32,378 | EOG Resources, Inc. | 2,711,981 | |||||||||
130,288 | Exxon Mobil Corp. | 9,091,497 | |||||||||
34,044 | Marathon Petroleum Corp. | 2,051,151 | |||||||||
4,752 | Petroleo Brasileiro SA, ADR | 75,747 | |||||||||
1,694 | Royal Dutch Shell PLC, Class A, ADR | 99,912 | |||||||||
15,502 | Valero Energy Corp. | 1,451,762 | |||||||||
55,799 | Williams Cos., Inc. (The) | 1,323,552 | |||||||||
20,803,894 | |||||||||||
PAPER & FOREST PRODUCTS - 0.2% | |||||||||||
27,589 | Domtar Corp. | 1,055,003 | |||||||||
PERSONAL PRODUCTS - 0.7% | |||||||||||
21,121 | Estee Lauder Cos., Inc. (The), Class A | 4,362,331 |
Shares/ Principal | Fair Value | ||||||||||
PHARMACEUTICALS - 5.1% | |||||||||||
942 | Allergan PLC | $ | 180,082 | ||||||||
78,876 | Bristol-Myers Squibb Co. | 5,063,051 | |||||||||
72,912 | Johnson & Johnson | 10,635,674 | |||||||||
72,764 | Merck & Co., Inc. | 6,617,886 | |||||||||
36,031 | Mylan NV* | 724,223 | |||||||||
79,435 | Pfizer, Inc. | 3,112,263 | |||||||||
27,678 | Zoetis, Inc. | 3,663,183 | |||||||||
29,996,362 | |||||||||||
PROFESSIONAL SERVICES - 0.3% | |||||||||||
1,657 | IHS Markit Ltd.* | 124,855 | |||||||||
21,394 | Robert Half International, Inc. | 1,351,031 | |||||||||
1,475,886 | |||||||||||
ROAD & RAIL - 0.4% | |||||||||||
13,341 | CSX Corp. | 965,355 | |||||||||
9,343 | Landstar System, Inc. | 1,063,887 | |||||||||
3,509 | Lyft, Inc., Class A* | 150,957 | |||||||||
1,987 | Old Dominion Freight Line, Inc. | 377,093 | |||||||||
2,557,292 | |||||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 3.8% | |||||||||||
55,206 | Applied Materials, Inc. | 3,369,774 | |||||||||
1 | Cabot Microelectronics Corp. | 144 | |||||||||
8,758 | Cirrus Logic, Inc.* | 721,747 | |||||||||
112,304 | Intel Corp. | 6,721,394 | |||||||||
10,447 | Lam Research Corp. | 3,054,703 | |||||||||
8,573 | Micron Technology, Inc.* | 461,056 | |||||||||
19,973 | NVIDIA Corp. | 4,699,647 | |||||||||
10,741 | QUALCOMM, Inc. | 947,678 | |||||||||
1,002 | Skyworks Solutions, Inc. | 121,122 | |||||||||
17,519 | Texas Instruments, Inc. | 2,247,513 | |||||||||
22,344,778 | |||||||||||
SOFTWARE - 7.7% | |||||||||||
9,920 | Adobe, Inc.* | 3,271,715 | |||||||||
11,139 | Dropbox, Inc., Class A* | 199,499 | |||||||||
17,483 | Intuit, Inc. | 4,579,322 | |||||||||
814 | Manhattan Associates, Inc.* | 64,916 | |||||||||
175,575 | Microsoft Corp. | 27,688,178 | |||||||||
2,807 | Paylocity Holding Corp.* | 339,142 | |||||||||
29,326 | salesforce.com, Inc.* | 4,769,581 | |||||||||
11,515 | ServiceNow, Inc.* | 3,250,915 | |||||||||
4,236 | Workday, Inc., Class A* | 696,610 | |||||||||
44,859,878 | |||||||||||
SPECIALTY RETAIL - 1.2% | |||||||||||
31,241 | Home Depot, Inc. (The) | 6,822,410 | |||||||||
456 | O'Reilly Automotive, Inc.* | 199,846 | |||||||||
804 | Ross Stores, Inc. | 93,602 | |||||||||
7,115,858 |
See accompanying notes to financial statements.
14
Global Atlantic BlackRock Disciplined Core Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS - 4.9% | |||||||||||
94,998 | Apple, Inc. | $ | 27,896,163 | ||||||||
3,455 | Dell Technologies, Inc., Class C* | 177,553 | |||||||||
33,199 | HP, Inc. | 682,239 | |||||||||
28,755,955 | |||||||||||
TEXTILES, APPAREL & LUXURY GOODS - 0.8% | |||||||||||
549 | Lululemon Athletica, Inc.* | 127,187 | |||||||||
39,257 | NIKE, Inc., Class B | 3,977,127 | |||||||||
5,771 | Ralph Lauren Corp. | 676,476 | |||||||||
4,780,790 | |||||||||||
THRIFTS & MORTGAGE FINANCE - 0.1% | |||||||||||
5,951 | Essent Group Ltd. | 309,392 | |||||||||
TOBACCO - 0.5% | |||||||||||
40,147 | Altria Group, Inc. | 2,003,737 | |||||||||
10,145 | Philip Morris International, Inc. | 863,238 | |||||||||
2,866,975 | |||||||||||
TRADING COMPANIES & DISTRIBUTORS - 0.3% | |||||||||||
19,097 | GATX Corp. | 1,582,186 | |||||||||
WATER UTILITIES - 0.6% | |||||||||||
29,793 | American Water Works Co., Inc. | 3,660,070 |
Shares/ Principal | Fair Value | ||||||||||
WIRELESS TELECOMMUNICATION SERVICES - 0.3% | |||||||||||
10,899 | China Mobile Ltd., ADR | $ | 460,701 | ||||||||
26,528 | Telephone & Data Systems, Inc. | 674,607 | |||||||||
10,004 | United States Cellular Corp.* | 362,445 | |||||||||
1,497,753 | |||||||||||
TOTAL COMMON STOCKS (Cost - $489,769,179) | 575,067,015 | ||||||||||
RIGHTS - 0.0%† | |||||||||||
15,420 | Bristol-Myers Squibb Co., CVR (Cost - $35,466)* | 46,414 | |||||||||
SHORT-TERM INVESTMENTS - 1.2% | |||||||||||
MONEY MARKET FUNDS - 1.2% | |||||||||||
6,892,334 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (a) (Cost - $6,892,334) | 6,892,334 | |||||||||
TOTAL INVESTMENTS - 99.9% (Cost - $496,696,979) | $ | 582,005,763 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET 0.1% | 834,437 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 582,840,200 |
* Non-income producing security.
† Represents less than 0.05%.
(a) The rate shown is the annualized seven-day yield at period end.
ADR - American Depositary Receipt
CVR - Contingent Value Rights
PLC - Public Limited Company
FUTURES CONTRACTS | |||||||||||||||||||||||
LONG FUTURES CONTRACTS | Counterparty | Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation | ||||||||||||||||||
S&P 500 E-Mini Future | Credit Suisse First Boston | 49 | 3/20/2020 | $ | 7,916,195 | $ | 123,819 |
See accompanying notes to financial statements.
15
Global Atlantic BlackRock Disciplined Growth Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide long-term capital appreciation.
Management Review
The Portfolio is sub-advised by BlackRock Investment Management, LLC ("BlackRock").
How did the Portfolio perform during the period?
During 2019, the Class II shares of Global Atlantic BlackRock Disciplined Growth Portfolio underperformed its reference benchmark, the Russell 1000® Growth Index. The Portfolio posted a return of 33.38% compared to a benchmark return of 36.39%, a difference of -301 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
BlackRock's Scientific Active Equity ("SAE") process systematically tracks and ranks the characteristics of companies in order to seek to construct a portfolio that has the best trade-off between returns, risk and costs. The SAE investment model groups the universe of securities based on an analysis of a wide range of factors, such as relative value ("Value"), earnings quality ("Quality"), market sentiment ("Sentiment"), and thematic insights. Value insights seek to incorporate, where appropriate, asset value, sales, earnings and cash flow forecasts over short and long periods. Quality measures aim to assess the sustainability of earnings and the quality of corporate management by investigating company financials as well as other company statements. Sentiment criteria seek to infer information about a company's value from changes in analysts' forecasts, linkages between companies, management decisions and the behavior of other market participants in equities and other securities markets. And lastly, thematic insights seek to identify and exploit commonalities among groups of stocks that are believed to drive prices but that currently appear to be less obvious to the market.
After performing generally in line with the benchmark over the first half of the year, relative Portfolio performance was challenged during the second half of the year. One of the primary drivers of underperformance was the Portfolio's Sentiment insights. Though these investment signals were additive through the first half of the year, they struggled in the second half of the year amid increased market volatility. A series of inflection points, largely motivated by shifts in global trade conversations and central bank policy, created a difficult environment for the Portfolio's trend-based insights. Cross-market Sentiment insights also struggled throughout much of the year. From a sector standpoint, the Portfolio's Sentiment-based insights were least effective in select cyclical sectors, specifically the financials and communication services sectors.
Insights evaluating company fundamentals detracted in aggregate over the trailing 1-year period. Value insights were especially challenged early in the year, as investors sought out speculative growth opportunities at the expense of company fundamentals. Investor mentality shifted throughout the year, and performance of Value insights began to improve as investors sought out pockets of relative value in the market. Despite the modest rebound in performance in the final months of the year, in aggregate, the Portfolio's relative Value insights were some of the most significant detractors from relative returns for the year. In contrast, the Portfolio's Quality insights were broadly mixed, with select insights adding meaningfully to relative returns and providing stability to performance among fundamental signals. Stronger performance among certain of the Portfolio's Quality insights was unsurprising given investor preference for sustainable, high-quality businesses amidst increased market uncertainty.
The Portfolio's macro thematic insights further detracted from relative returns throughout the year. After experiencing some success through the first half of the year, select industry timing insights struggled during the second half of the year. Of note, while the Portfolio targets a generally sector- and industry-neutral approach, positioning in the health care providers and services industry and in the communications equipment industry hindered relative performance over the course of the year.
16
Global Atlantic BlackRock Disciplined Growth Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
How was the Portfolio positioned at period end?
From a sector positioning perspective, the Portfolio remains largely sector neutral. The Portfolio had slight overweight positions in the financials and utilities sectors and slight underweight positions in the information technology and consumer discretionary sectors. As the SAE team seeks to maintain a style neutral approach, the Portfolio did not have any outsized active exposures to any particular style or factor.
The Portfolio's performance figures for the periods ended December 31, 2019 as compared to its benchmark:
Annualized | Operating Expense** | ||||||||||||||||||||||
Inception Date* | One Year | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | |||||||||||||||||||||||
Class II | November 1, 2017 | 33.38 | % | 14.30 | % | 0.86 | % | 0.79 | % | ||||||||||||||
Russell 1000® Growth Index (Total Return) | 36.39 | % | 16.66 | % |
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.
* Commencement of operations is November 6, 2017.
** 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. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
The Russell 1000® Growth Index (Total Return) is an unmanaged index of common stock prices that measures the performance of those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values. It is not possible to invest directly in an index.
Comparison of the Change in Value of a $10,000 Investment
17
Global Atlantic BlackRock Disciplined Growth Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
Holdings by Asset Class | % of Net Assets | ||||||
Common Stocks | 98.0 | % | |||||
Short-Term Investments | 1.9 | % | |||||
Rights | 0.0 | %† | |||||
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.
Derivative exposure is included in "Other Assets Less Liabilities - Net".
† Represents less than 0.05%.
18
Global Atlantic BlackRock Disciplined Growth Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
COMMON STOCKS - 98.0% | |||||||||||
AEROSPACE & DEFENSE - 3.4% | |||||||||||
251 | Boeing Co. (The) | $ | 81,766 | ||||||||
64 | Curtiss-Wright Corp. | 9,017 | |||||||||
290 | HEICO Corp. | 33,103 | |||||||||
84 | HEICO Corp., Class A | 7,520 | |||||||||
234 | Hexcel Corp. | 17,155 | |||||||||
743 | Lockheed Martin Corp. | 289,309 | |||||||||
187 | Northrop Grumman Corp. | 64,322 | |||||||||
205 | Raytheon Co. | 45,047 | |||||||||
177 | Teledyne Technologies, Inc.* | 61,338 | |||||||||
608,577 | |||||||||||
AIR FREIGHT & LOGISTICS - 0.3% | |||||||||||
298 | Expeditors International of Washington, Inc. | 23,250 | |||||||||
309 | United Parcel Service, Inc., Class B | 36,172 | |||||||||
59,422 | |||||||||||
AIRLINES - 0.2% | |||||||||||
49 | Delta Air Lines, Inc. | 2,866 | |||||||||
380 | United Airlines Holdings, Inc.* | 33,474 | |||||||||
36,340 | |||||||||||
AUTO COMPONENTS - 0.1% | |||||||||||
470 | Gentex Corp. | 13,621 | |||||||||
AUTOMOBILES - 0.3% | |||||||||||
133 | Tesla, Inc.* | 55,638 | |||||||||
BEVERAGES - 1.4% | |||||||||||
41 | Brown-Forman Corp., Class A | 2,574 | |||||||||
743 | Coca-Cola Co. (The) | 41,125 | |||||||||
361 | Coca-Cola European Partners PLC | 18,368 | |||||||||
619 | Monster Beverage Corp.* | 39,337 | |||||||||
1,054 | PepsiCo, Inc. | 144,050 | |||||||||
245,454 | |||||||||||
BIOTECHNOLOGY - 4.7% | |||||||||||
2,015 | AbbVie, Inc. | 178,408 | |||||||||
225 | Alexion Pharmaceuticals, Inc.* | 24,334 | |||||||||
548 | Amgen, Inc. | 132,106 | |||||||||
54 | Biogen, Inc.* | 16,024 | |||||||||
329 | Exelixis, Inc.* | 5,797 | |||||||||
3,124 | Gilead Sciences, Inc. | 202,998 | |||||||||
470 | Incyte Corp.* | 41,040 | |||||||||
369 | Ionis Pharmaceuticals, Inc.* | 22,291 | |||||||||
136 | Regeneron Pharmaceuticals, Inc.* | 51,065 | |||||||||
242 | United Therapeutics Corp.* | 21,315 | |||||||||
667 | Vertex Pharmaceuticals, Inc.* | 146,040 | |||||||||
841,418 | |||||||||||
BUILDING PRODUCTS - 0.9% | |||||||||||
1,271 | Allegion PLC | 158,290 |
Shares/ Principal | Fair Value | ||||||||||
CAPITAL MARKETS - 2.7% | |||||||||||
168 | Affiliated Managers Group, Inc. | $ | 14,236 | ||||||||
1,117 | Charles Schwab Corp. (The) | 53,125 | |||||||||
41 | Evercore, Inc., Class A | 3,065 | |||||||||
304 | FactSet Research Systems, Inc. | 81,563 | |||||||||
941 | Intercontinental Exchange, Inc. | 87,090 | |||||||||
273 | Moody's Corp. | 64,813 | |||||||||
599 | S&P Global, Inc. | 163,557 | |||||||||
81 | SEI Investments Co. | 5,304 | |||||||||
447 | TD Ameritrade Holding Corp. | 22,216 | |||||||||
494,969 | |||||||||||
CHEMICALS - 0.5% | |||||||||||
34 | Ecolab, Inc. | 6,562 | |||||||||
121 | Mosaic Co. (The) | 2,618 | |||||||||
143 | Sherwin-Williams Co. (The) | 83,446 | |||||||||
92,626 | |||||||||||
COMMERCIAL SERVICES & SUPPLIES - 0.3% | |||||||||||
106 | Cintas Corp. | 28,523 | |||||||||
378 | Copart, Inc.* | 34,375 | |||||||||
62,898 | |||||||||||
COMMUNICATIONS EQUIPMENT - 0.9% | |||||||||||
64 | Ciena Corp.* | 2,732 | |||||||||
3,403 | Cisco Systems, Inc. | 163,208 | |||||||||
11 | Motorola Solutions, Inc. | 1,773 | |||||||||
167,713 | |||||||||||
CONSTRUCTION & ENGINEERING - 0.3% | |||||||||||
100 | EMCOR Group, Inc. | 8,630 | |||||||||
640 | MasTec, Inc.* | 41,062 | |||||||||
49,692 | |||||||||||
CONSUMER FINANCE - 0.3% | |||||||||||
675 | Ally Financial, Inc. | 20,628 | |||||||||
239 | American Express Co. | 29,753 | |||||||||
50,381 | |||||||||||
DISTRIBUTORS - 0.1% | |||||||||||
101 | Pool Corp. | 21,450 | |||||||||
DIVERSIFIED CONSUMER SERVICES - 0.2% | |||||||||||
1,188 | H&R Block, Inc. | 27,894 | |||||||||
ELECTRIC UTILITIES - 0.3% | |||||||||||
768 | Xcel Energy, Inc. | 48,760 | |||||||||
ELECTRICAL EQUIPMENT - 0.4% | |||||||||||
106 | AMETEK, Inc. | 10,572 | |||||||||
380 | Hubbell, Inc. | 56,172 | |||||||||
66,744 |
See accompanying notes to financial statements.
19
Global Atlantic BlackRock Disciplined Growth Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 1.0% | |||||||||||
267 | Avnet, Inc. | $ | 11,331 | ||||||||
919 | CDW Corp. | 131,270 | |||||||||
805 | National Instruments Corp. | 34,084 | |||||||||
176,685 | |||||||||||
ENTERTAINMENT - 1.7% | |||||||||||
604 | Cinemark Holdings, Inc. | 20,445 | |||||||||
349 | Electronic Arts, Inc.* | 37,521 | |||||||||
546 | Live Nation Entertainment, Inc.* | 39,023 | |||||||||
333 | Netflix, Inc.* | 107,749 | |||||||||
132 | Spotify Technology SA* | 19,741 | |||||||||
365 | Take-Two Interactive Software, Inc.* | 44,687 | |||||||||
6,544 | Zynga, Inc., Class A* | 40,049 | |||||||||
309,215 | |||||||||||
EQUITY REAL ESTATE INVESTMENT - 1.5% | |||||||||||
83 | Equity Residential | 6,716 | |||||||||
363 | Invitation Homes, Inc. | 10,879 | |||||||||
854 | Lamar Advertising Co., Class A | 76,228 | |||||||||
452 | National Retail Properties, Inc. | 24,236 | |||||||||
1,566 | Park Hotels & Resorts, Inc. | 40,513 | |||||||||
738 | RLJ Lodging Trust | 13,077 | |||||||||
611 | Simon Property Group, Inc. | 91,015 | |||||||||
442 | STAG Industrial, Inc. | 13,954 | |||||||||
276,618 | |||||||||||
FOOD & STAPLES RETAILING - 1.5% | |||||||||||
899 | Costco Wholesale Corp. | 264,234 | |||||||||
208 | Performance Food Group Co.* | 10,708 | |||||||||
274,942 | |||||||||||
FOOD PRODUCTS - 0.7% | |||||||||||
904 | Hershey Co. (The) | 132,870 | |||||||||
HEALTH CARE EQUIPMENT & SUPPLIES - 3.0% | |||||||||||
221 | DexCom, Inc.* | 48,342 | |||||||||
491 | Edwards Lifesciences Corp.* | 114,545 | |||||||||
850 | Hologic, Inc.* | 44,378 | |||||||||
312 | IDEXX Laboratories, Inc.* | 81,473 | |||||||||
42 | Insulet Corp.* | 7,190 | |||||||||
48 | Masimo Corp.* | 7,587 | |||||||||
1,150 | Stryker Corp. | 241,431 | |||||||||
544,946 | |||||||||||
HEALTH CARE PROVIDERS & SERVICES - 2.5% | |||||||||||
235 | AmerisourceBergen Corp. | 19,980 | |||||||||
421 | Anthem, Inc. | 127,155 | |||||||||
292 | CVS Health Corp. | 21,693 | |||||||||
68 | Humana, Inc. | 24,923 | |||||||||
821 | UnitedHealth Group, Inc. | 241,357 | |||||||||
54 | WellCare Health Plans, Inc.* | 17,831 | |||||||||
452,939 |
Shares/ Principal | Fair Value | ||||||||||
HEALTH CARE TECHNOLOGY - 0.3% | |||||||||||
369 | Veeva Systems, Inc., Class A* | $ | 51,904 | ||||||||
HOTELS, RESTAURANTS & LEISURE - 2.4% | |||||||||||
830 | Boyd Gaming Corp. | 24,850 | |||||||||
33 | Chipotle Mexican Grill, Inc.* | 27,625 | |||||||||
1,066 | Choice Hotels International, Inc. | 110,256 | |||||||||
752 | Darden Restaurants, Inc. | 81,976 | |||||||||
448 | Dunkin' Brands Group, Inc. | 33,842 | |||||||||
102 | McDonald's Corp. | 20,156 | |||||||||
1,170 | Penn National Gaming, Inc.* | 29,905 | |||||||||
653 | Starbucks Corp. | 57,412 | |||||||||
581 | Texas Roadhouse, Inc. | 32,722 | |||||||||
221 | Wyndham Destinations, Inc. | 11,423 | |||||||||
430,167 | |||||||||||
HOUSEHOLD DURABLES - 0.1% | |||||||||||
515 | DR Horton, Inc. | 27,166 | |||||||||
HOUSEHOLD PRODUCTS - 0.2% | |||||||||||
593 | Church & Dwight Co., Inc. | 41,712 | |||||||||
INDUSTRIAL CONGLOMERATES - 0.5% | |||||||||||
34 | Carlisle Cos., Inc. | 5,502 | |||||||||
225 | Honeywell International, Inc. | 39,825 | |||||||||
138 | Roper Technologies, Inc. | 48,884 | |||||||||
94,211 | |||||||||||
INSURANCE - 1.0% | |||||||||||
290 | Allstate Corp. (The) | 32,611 | |||||||||
94 | Aon PLC | 19,579 | |||||||||
38 | Arthur J Gallagher & Co. | 3,619 | |||||||||
517 | Brown & Brown, Inc. | 20,411 | |||||||||
250 | Cincinnati Financial Corp. | 26,288 | |||||||||
607 | First American Financial Corp. | 35,400 | |||||||||
342 | Marsh & McLennan Cos., Inc. | 38,102 | |||||||||
108 | Progressive Corp. (The) | 7,818 | |||||||||
183,828 | |||||||||||
INTERACTIVE MEDIA & SERVICES - 8.8% | |||||||||||
309 | Alphabet, Inc., Class A* | 413,872 | |||||||||
352 | Alphabet, Inc., Class C* | 470,631 | |||||||||
291 | Cargurus, Inc.* | 10,237 | |||||||||
2,921 | Facebook, Inc., Class A* | 599,535 | |||||||||
846 | Pinterest, Inc., Class A* | 15,769 | |||||||||
876 | TripAdvisor, Inc. | 26,613 | |||||||||
1,199 | Twitter, Inc.* | 38,428 | |||||||||
548 | Yelp, Inc.* | 19,087 | |||||||||
1,594,172 | |||||||||||
INTERNET & DIRECT MARKETING RETAIL - 5.9% | |||||||||||
567 | Amazon.com, Inc.* | 1,047,725 | |||||||||
13 | Booking Holdings, Inc.* | 26,699 | |||||||||
1,074,424 |
See accompanying notes to financial statements.
20
Global Atlantic BlackRock Disciplined Growth Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
IT SERVICES - 8.7% | |||||||||||
349 | Accenture PLC, Class A | $ | 73,489 | ||||||||
1,279 | Automatic Data Processing, Inc. | 218,070 | |||||||||
177 | Booz Allen Hamilton Holding Corp. | 12,590 | |||||||||
493 | Broadridge Financial Solutions, Inc. | 60,905 | |||||||||
27 | CACI International, Inc., Class A* | 6,750 | |||||||||
289 | DXC Technology Co. | 10,864 | |||||||||
34 | Fiserv, Inc.* | 3,931 | |||||||||
595 | GoDaddy, Inc., Class A* | 40,412 | |||||||||
479 | Jack Henry & Associates, Inc. | 69,776 | |||||||||
1,686 | Mastercard, Inc., Class A | 503,423 | |||||||||
2,065 | Paychex, Inc. | 175,649 | |||||||||
1,125 | PayPal Holdings, Inc.* | 121,691 | |||||||||
120 | Square, Inc., Class A* | 7,507 | |||||||||
87 | VeriSign, Inc.* | 16,763 | |||||||||
1,362 | Visa, Inc., Class A | 255,920 | |||||||||
1,577,740 | |||||||||||
LIFE SCIENCES TOOLS & SERVICES - 0.2% | |||||||||||
123 | Thermo Fisher Scientific, Inc. | 39,959 | |||||||||
MACHINERY - 1.9% | |||||||||||
166 | AGCO Corp. | 12,824 | |||||||||
297 | IDEX Corp. | 51,084 | |||||||||
22 | Ingersoll-Rand PLC | 2,924 | |||||||||
700 | Oshkosh Corp. | 66,255 | |||||||||
2,334 | PACCAR, Inc. | 184,619 | |||||||||
105 | Snap-on, Inc. | 17,787 | |||||||||
23 | Xylem, Inc. | 1,812 | |||||||||
337,305 | |||||||||||
MEDIA - 1.3% | |||||||||||
462 | AMC Networks, Inc., Class A* | 18,249 | |||||||||
594 | Comcast Corp., Class A | 26,712 | |||||||||
975 | Discovery, Inc., Class A* | 31,921 | |||||||||
2,216 | Interpublic Group of Cos., Inc. (The) | 51,190 | |||||||||
13,919 | Sirius XM Holdings, Inc. | 99,521 | |||||||||
227,593 | |||||||||||
METALS & MINING - 0.1% | |||||||||||
580 | Alcoa Corp.* | 12,476 | |||||||||
77 | Reliance Steel & Aluminum Co. | 9,221 | |||||||||
21,697 | |||||||||||
MULTILINE RETAIL - 0.5% | |||||||||||
538 | Dollar General Corp. | 83,917 | |||||||||
MULTI-UTILITIES - 0.3% | |||||||||||
667 | Ameren Corp. | 51,226 | |||||||||
OIL, GAS & CONSUMABLE FUELS - 0.1% | |||||||||||
250 | Marathon Petroleum Corp. | 15,063 | |||||||||
PAPER & FOREST PRODUCTS - 0.2% | |||||||||||
889 | Domtar Corp. | 33,995 |
Shares/ Principal | Fair Value | ||||||||||
PERSONAL PRODUCTS - 0.8% | |||||||||||
711 | Estee Lauder Cos., Inc. (The), Class A | $ | 146,850 | ||||||||
PHARMACEUTICALS - 3.8% | |||||||||||
2,130 | Bristol-Myers Squibb Co. | 136,725 | |||||||||
38 | Eli Lilly & Co. | 4,995 | |||||||||
721 | Johnson & Johnson | 105,172 | |||||||||
3,335 | Merck & Co., Inc. | 303,318 | |||||||||
322 | Mylan NV* | 6,472 | |||||||||
955 | Zoetis, Inc. | 126,394 | |||||||||
683,076 | |||||||||||
PROFESSIONAL SERVICES - 0.4% | |||||||||||
17 | CoStar Group, Inc.* | 10,171 | |||||||||
137 | IHS Markit Ltd.* | 10,323 | |||||||||
800 | Robert Half International, Inc. | 50,520 | |||||||||
71,014 | |||||||||||
ROAD & RAIL - 0.5% | |||||||||||
624 | Landstar System, Inc. | 71,055 | |||||||||
71 | Old Dominion Freight Line, Inc. | 13,474 | |||||||||
84,529 | |||||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 4.2% | |||||||||||
430 | Advanced Micro Devices, Inc.* | 19,720 | |||||||||
1,424 | Applied Materials, Inc. | 86,921 | |||||||||
158 | Broadcom, Inc. | 49,931 | |||||||||
769 | Cirrus Logic, Inc.* | 63,373 | |||||||||
249 | Intel Corp. | 14,903 | |||||||||
401 | Lam Research Corp. | 117,252 | |||||||||
77 | Micron Technology, Inc.* | 4,141 | |||||||||
759 | NVIDIA Corp. | 178,593 | |||||||||
949 | QUALCOMM, Inc. | 83,730 | |||||||||
185 | Skyworks Solutions, Inc. | 22,363 | |||||||||
985 | Texas Instruments, Inc. | 126,366 | |||||||||
767,293 | |||||||||||
SOFTWARE - 13.9% | |||||||||||
637 | Adobe, Inc.* | 210,089 | |||||||||
306 | Cadence Design Systems, Inc.* | 21,224 | |||||||||
512 | Dropbox, Inc., Class A* | 9,170 | |||||||||
133 | Fortinet, Inc.* | 14,199 | |||||||||
772 | Intuit, Inc. | 202,210 | |||||||||
493 | Manhattan Associates, Inc.* | 39,317 | |||||||||
9,481 | Microsoft Corp. | 1,495,154 | |||||||||
27 | Paycom Software, Inc.* | 7,148 | |||||||||
565 | Paylocity Holding Corp.* | 68,263 | |||||||||
56 | RingCentral, Inc., Class A* | 9,446 | |||||||||
1,159 | salesforce.com, Inc.* | 188,500 | |||||||||
607 | ServiceNow, Inc.* | 171,368 | |||||||||
496 | Workday, Inc., Class A* | 81,567 | |||||||||
2,517,655 |
See accompanying notes to financial statements.
21
Global Atlantic BlackRock Disciplined Growth Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
SPECIALTY RETAIL - 1.8% | |||||||||||
149 | AutoNation, Inc.* | $ | 7,246 | ||||||||
3 | AutoZone, Inc.* | 3,574 | |||||||||
904 | Home Depot, Inc. (The) | 197,416 | |||||||||
332 | Lowe's Cos., Inc. | 39,760 | |||||||||
82 | O'Reilly Automotive, Inc.* | 35,937 | |||||||||
256 | Ross Stores, Inc. | 29,804 | |||||||||
41 | Tractor Supply Co. | 3,831 | |||||||||
317,568 | |||||||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS - 8.6% | |||||||||||
5,267 | Apple, Inc. | 1,546,655 | |||||||||
149 | Dell Technologies, Inc., Class C* | 7,657 | |||||||||
90 | HP, Inc. | 1,849 | |||||||||
1,556,161 | |||||||||||
TEXTILES, APPAREL & LUXURY GOODS - 1.5% | |||||||||||
152 | Lululemon Athletica, Inc.* | 35,214 | |||||||||
2,210 | NIKE, Inc., Class B | 223,895 | |||||||||
93 | Ralph Lauren Corp. | 10,901 | |||||||||
270,010 | |||||||||||
TOBACCO - 0.1% | |||||||||||
509 | Altria Group, Inc. | 25,404 | |||||||||
TRADING COMPANIES & DISTRIBUTORS - 0.4% | |||||||||||
860 | GATX Corp. | 71,251 |
Shares/ Principal | Fair Value | ||||||||||
WIRELESS TELECOMMUNICATION SERVICES - 0.3% | |||||||||||
426 | Telephone & Data Systems, Inc. | $ | 10,833 | ||||||||
989 | United States Cellular Corp.* | 35,832 | |||||||||
46,665 | |||||||||||
TOTAL COMMON STOCKS (Cost - $14,171,381) | 17,713,657 | ||||||||||
RIGHTS - 0.0%† | |||||||||||
837 | Bristol-Myers Squibb Co., CVR, expires 12/31/99 (Cost - $1,925)* | 2,520 | |||||||||
SHORT-TERM INVESTMENTS - 1.9% | |||||||||||
MONEY MARKET FUNDS - 1.9% | |||||||||||
342,307 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (a) (Cost - $342,307) | 342,307 | |||||||||
TOTAL INVESTMENTS - 99.9% (Cost - $14,515,613) | $ | 18,058,484 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET 0.1% | 18,811 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 18,077,295 |
* Non-income producing security.
† Represents less than 0.05%.
(a) The rate shown is the annualized seven-day yield at period end.
CVR - Contingent Value Rights
PLC - Public Limited Company
FUTURES CONTRACTS | |||||||||||||||||||||||
LONG FUTURES CONTRACTS | Counterparty | Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation | ||||||||||||||||||
S&P 500 E-Mini Future | Goldman Sachs & Co. | 2 | 3/20/2020 | $ | 323,110 | $ | 4,628 |
See accompanying notes to financial statements.
22
Global Atlantic BlackRock Disciplined International Core Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide long-term capital appreciation.
Management Review
The Portfolio is sub-advised by BlackRock Investment Management, LLC ("BlackRock").
How did the Portfolio perform during the period?
During 2019, the Class I shares of Global Atlantic BlackRock Disciplined International Core Portfolio underperformed its reference benchmark, the MSCI ACWI ex-USA Index. The Portfolio posted a return of 20.50% compared to a benchmark return of 21.51%, a difference of -101 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
BlackRock's Scientific Active Equity ("SAE") process systematically tracks and ranks the characteristics of companies in order to seek to construct a portfolio that has the best trade-off between returns, risk and costs. The SAE investment model groups the universe of securities based on an analysis of a wide range of factors, such as relative value ("Value"), earnings quality ("Quality"), market sentiment ("Sentiment"), and thematic insights. Value insights seek to incorporate, where appropriate, asset value, sales, earnings and cash flow forecasts over short and long periods. Quality measures aim to assess the sustainability of earnings and the quality of corporate management by investigating company financials as well as other company statements. Sentiment criteria seek to infer information about a company's value from changes in analysts' forecasts, linkages between companies, management decisions and the behavior of other market participants in equities and other securities markets. And lastly, thematic insights seek to identify and exploit commonalities among groups of stocks that are believed to drive prices but that currently appear to be less obvious to the market.
After generating strong relative returns through the first half of the year, performance was challenged during the second half of the year, causing the Portfolio to underperform its benchmark over the full 1-year period. This underperformance was primarily driven by the Portfolio's fundamental insights. Among this group of insights, Value insights were especially challenged. The bulk of this underperformance occurred in the first three quarters of the year, as investors sought out speculative growth opportunities at the expense of company fundamentals. Also among the Portfolio's fundamental insights, signals evaluating company quality further dampened relative returns in 2019. Most of this underperformance was isolated to the third quarter, as the Portfolio's Quality insights were a particular drag on relative returns during the year. Quality insights were generally mixed throughout the rest of the year though, providing some stability to performance given investor preference for sustainable, high-quality businesses amidst increased market uncertainty.
Performance of the Portfolio's Sentiment insights was relatively flat for the year, detracting modestly in aggregate. However, performance for the year was very much bifurcated. Sentiment-based investment signals were very additive through the first half of the year, supported by several signals conducting machine learned text-analysis to capture sell-side sentiment. However, the Portfolio's Sentiment insights struggled significantly in the second half of the year amid increased market volatility. A series of inflection points, largely motivated by shifts in global trade conversations and central bank policy, created a difficult environment for the Portfolio's trend-based signals and often resulted in a disconnect between stock returns and company-specific sentiment.
The Portfolio's macro thematic insights were a bright spot throughout the year, adding to relative returns and providing stability to overall Portfolio performance versus the benchmark. Among these, the Portfolio's country timing insights were particularly effective during the year. Although the Portfolio targets a relatively country- and sector- neutral approach, establishing modest underweight positions in several emerging markets countries was beneficial, as emerging markets generally underperformed amid ongoing global trade disputes, a relatively strong dollar, and weak economic/manufacturing activity.
23
Global Atlantic BlackRock Disciplined International Core Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
Among developed countries, a modest underweight position in Japan was particularly beneficial through the first half of the year, as Japan underperformed due to sluggish economic growth and investor concern around the strength of the yen.
How was the Portfolio positioned at period end?
From a sector positioning perspective, the Portfolio remains largely sector neutral. The Portfolio had slight overweight positions in the consumer discretionary and health care sectors and slight underweight positions in the utilities and energy sectors. The Portfolio also targets a generally country neutral approach. Currently, it is modestly overweight Australia and Canada and modestly underweight Russia and Italy. As the SAE team seeks to maintain a style neutral approach, the Portfolio did not have any outsized active exposures to any particular style or factor.
The Portfolio's performance figures for the periods ended December 31, 2019 as compared to its benchmark:
Annualized | Operating Expense** | ||||||||||||||||||||||
Inception Date* | One Year | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | |||||||||||||||||||||||
Class I | November 1, 2017 | 20.50 | % | 2.16 | % | 0.76 | % | 0.74 | % | ||||||||||||||
Class II | November 1, 2017 | 20.22 | % | 1.91 | % | 1.01 | % | 0.99 | % | ||||||||||||||
MSCI ACWI ex-USA Index | 21.51 | % | 3.16 | % |
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.
* Commencement of operations is November 6, 2017.
** The estimated operating expense ratios for Class I and 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. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
The MSCI ACWI ex-USA Index is a free float-adjusted market capitalization index designed to measure the combined equity market performance of developed and emerging market countries, excluding the United States. It is not possible to invest directly in an index.
24
Global Atlantic BlackRock Disciplined International Core 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 | ||||||
Common Stocks | 90.8 | % | |||||
Exchange Traded Funds | 6.0 | % | |||||
Short-Term Investments | 0.4 | % | |||||
Rights | 0.0 | %† | |||||
Other Assets Less Liabilities - Net | 2.8 | % | |||||
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".
† Represents less than 0.05%.
25
Global Atlantic BlackRock Disciplined International Core Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
COMMON STOCKS - 90.8% | |||||||||||
AEROSPACE & DEFENSE - 0.8% | |||||||||||
14 | Dassault Aviation SA | $ | 18,387 | ||||||||
320 | MTU Aero Engines AG | 91,452 | |||||||||
5,319 | Safran SA | 821,850 | |||||||||
95,700 | Singapore Technologies Engineering Ltd. | 280,413 | |||||||||
1,212,102 | |||||||||||
AIR FREIGHT & LOGISTICS - 0.8% | |||||||||||
25,509 | Deutsche Post AG | 973,837 | |||||||||
22,458 | Royal Mail PLC | 67,327 | |||||||||
152,000 | Sinotrans Ltd., Class H | 51,695 | |||||||||
4,800 | Yamato Holdings Co. Ltd. | 82,463 | |||||||||
1,175,322 | |||||||||||
AIRLINES - 0.1% | |||||||||||
92,000 | China Eastern Airlines Corp. Ltd., Class H* | 51,007 | |||||||||
1,200 | Japan Airlines Co. Ltd. | 37,510 | |||||||||
88,517 | |||||||||||
AUTO COMPONENTS - 0.6% | |||||||||||
1,600 | Aisin Seiki Co. Ltd. | 59,922 | |||||||||
610 | Continental AG | 78,921 | |||||||||
3,100 | Denso Corp. | 141,657 | |||||||||
429 | Hyundai Mobis Co. Ltd. | 94,967 | |||||||||
8,100 | Sumitomo Rubber Industries Ltd. | 99,652 | |||||||||
10,600 | Tokai Rika Co. Ltd. | 209,415 | |||||||||
4,200 | Toyoda Gosei Co. Ltd. | 106,087 | |||||||||
9,300 | Toyota Boshoku Corp. | 151,042 | |||||||||
941,663 | |||||||||||
AUTOMOBILES - 2.6% | |||||||||||
196,800 | Astra International TBK PT | 98,170 | |||||||||
40,500 | BAIC Motor Corp. Ltd., Class H (a) | 22,974 | |||||||||
274 | Bayerische Motoren Werke AG | 16,931 | |||||||||
7,105 | Bayerische Motoren Werke AG | 583,318 | |||||||||
3,548 | Ferrari NV | 589,031 | |||||||||
12,000 | Honda Motor Co. Ltd. | 342,195 | |||||||||
1,300 | Hyundai Motor Co. | 135,458 | |||||||||
7,000 | Isuzu Motors Ltd. | 83,672 | |||||||||
3,576 | Kia Motors Corp.* | 136,985 | |||||||||
10,100 | Mazda Motor Corp. | 87,176 | |||||||||
15,700 | Mitsubishi Motors Corp. | 66,166 | |||||||||
74,200 | Nissan Motor Co. Ltd. | 434,310 | |||||||||
1,229 | Peugeot SA | 29,384 | |||||||||
3,409 | Renault SA | 161,406 | |||||||||
2,700 | Subaru Corp. | 67,416 | |||||||||
9,600 | Toyota Motor Corp. | 681,430 | |||||||||
1,250 | Volkswagen AG | 243,091 | |||||||||
7,300 | Yamaha Motor Co. Ltd. | 147,982 | |||||||||
3,927,095 |
Shares/ Principal | Fair Value | ||||||||||
BANKS - 10.4% | |||||||||||
12,994 | ABN AMRO Bank NV, CVA (a) | $ | 236,581 | ||||||||
8,658 | Absa Group Ltd. | 92,440 | |||||||||
100 | Agricultural Bank of China Ltd., Class A | 53 | |||||||||
92,000 | Agricultural Bank of China Ltd., Class H | 40,499 | |||||||||
8,736 | Australia & New Zealand Banking Group Ltd. | 151,252 | |||||||||
5,740 | Banco Bilbao Vizcaya Argentaria SA | 32,106 | |||||||||
11,220 | Banco Bradesco SA | 95,027 | |||||||||
50,332 | Banco Bradesco SA | 452,559 | |||||||||
9,300 | Banco Do Brasil SA | 122,114 | |||||||||
20,600 | Banco Santander Brasil SA | 253,589 | |||||||||
1,950 | Bancolombia SA | 27,216 | |||||||||
55,200 | Bank Central Asia TBK PT | 132,906 | |||||||||
9,727 | Bank Leumi Le-Israel BM | 70,798 | |||||||||
208,800 | Bank Mandiri Persero TBK PT | 115,436 | |||||||||
795,000 | Bank of China Ltd., Class H | 339,761 | |||||||||
108,000 | Bank of Communications Co. Ltd., Class H | 76,788 | |||||||||
16,066 | Bank of Montreal | 1,246,873 | |||||||||
7,617 | Bank of Nova Scotia (The) | 430,852 | |||||||||
460,200 | Bank Rakyat Indonesia Persero TBK PT | 145,858 | |||||||||
361 | BNP Paribas SA | 21,408 | |||||||||
65,500 | BOC Hong Kong Holdings Ltd. | 227,390 | |||||||||
23,240 | CaixaBank SA | 72,991 | |||||||||
3,216 | Canadian Imperial Bank of Commerce | 267,994 | |||||||||
214,000 | China CITIC Bank Corp. Ltd., Class H | 128,261 | |||||||||
668,000 | China Construction Bank Corp., Class H | 576,971 | |||||||||
68,400 | China Everbright Bank Co. Ltd., Class A | 43,304 | |||||||||
6,300 | China Merchants Bank Co. Ltd., Class A | 33,989 | |||||||||
274,600 | China Minsheng Banking Corp. Ltd., Class H | 207,576 | |||||||||
119,000 | Chongqing Rural Commercial Bank Co. Ltd., Class H | 60,784 | |||||||||
14,700 | CIMB Group Holdings Bhd | 18,508 | |||||||||
9,724 | Commonwealth Bank of Australia | 546,155 | |||||||||
8,523 | Credit Agricole SA | 123,654 | |||||||||
3,900 | DBS Group Holdings Ltd. | 75,062 | |||||||||
1,755 | DNB ASA | 32,754 | |||||||||
24,900 | Grupo Financiero Banorte SAB de CV, Class O | 139,189 | |||||||||
1,705 | Hana Financial Group, Inc. | 54,403 | |||||||||
109,119 | HSBC Holdings PLC | 855,623 | |||||||||
513,000 | Industrial & Commercial Bank of China Ltd., Class H | 395,031 | |||||||||
10,700 | Industrial Bank Co. Ltd., Class A | 30,415 | |||||||||
1,090 | Industrial Bank of Korea | 11,122 | |||||||||
19,546 | ING Groep NV | 234,499 | |||||||||
68,700 | Itau Unibanco Holding SA | 633,597 | |||||||||
4,100 | Japan Post Bank Co. Ltd. | 39,614 | |||||||||
3,787 | KB Financial Group, Inc. | 156,038 | |||||||||
158,893 | Lloyds Banking Group PLC | 131,558 | |||||||||
140,800 | Malayan Banking BHD | 297,399 |
See accompanying notes to financial statements.
26
Global Atlantic BlackRock Disciplined International Core Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
BANKS - 10.4% (Continued) | |||||||||||
7,095 | Mediobanca Banca di Credito Finanziario SpA | $ | 78,160 | ||||||||
162,700 | Mitsubishi UFJ Financial Group, Inc. | 888,094 | |||||||||
124,900 | Mizuho Financial Group, Inc. | 193,427 | |||||||||
2,059 | Nedbank Group Ltd. | 31,555 | |||||||||
18,124 | Nordea Bank Abp | 146,447 | |||||||||
15,789 | Nordea Bank Abp | 128,316 | |||||||||
7,226 | OTP Bank Nyrt | 378,445 | |||||||||
7,600 | Ping An Bank Co. Ltd., Class A | 17,948 | |||||||||
30,300 | Public Bank BHD | 144,000 | |||||||||
801 | Raiffeisen Bank International AG | 20,131 | |||||||||
46,000 | Resona Holdings, Inc. | 202,751 | |||||||||
6,498 | Royal Bank of Canada | 514,879 | |||||||||
2,770 | Shinhan Financial Group Co. Ltd. | 103,835 | |||||||||
893 | Societe Generale SA | 31,089 | |||||||||
26,364 | Standard Bank Group Ltd. | 317,345 | |||||||||
17,300 | Sumitomo Mitsui Financial Group, Inc. | 642,810 | |||||||||
6,300 | Sumitomo Mitsui Trust Holdings, Inc. | 251,420 | |||||||||
92,700 | Thanachart Capital PCL, NVDR | 165,570 | |||||||||
28,275 | Toronto-Dominion Bank (The) | 1,588,023 | |||||||||
9,247 | Westpac Banking Corp. | 157,499 | |||||||||
2,054 | Woori Financial Group, Inc. | 20,603 | |||||||||
2,100 | Yamaguchi Financial Group, Inc. | 14,377 | |||||||||
15,514,721 | |||||||||||
BEVERAGES - 3.1% | |||||||||||
37,700 | Ambev SA | 174,972 | |||||||||
1,595 | Britvic PLC | 19,112 | |||||||||
4,343 | Carlsberg A/S, Class B | 648,351 | |||||||||
12,000 | China Resources Beer Holdings Co. Ltd. | 66,377 | |||||||||
5,468 | Coca-Cola Amatil Ltd. | 42,512 | |||||||||
2,600 | Coca-Cola Femsa SAB de CV | 15,806 | |||||||||
1,440 | Davide Campari-Milano SpA | 13,158 | |||||||||
29,355 | Diageo PLC | 1,244,612 | |||||||||
6,400 | Fomento Economico Mexicano SAB de CV | 60,438 | |||||||||
1,700 | Fraser & Neave Holdings BHD | 14,479 | |||||||||
13,900 | Kirin Holdings Co. Ltd. | 305,691 | |||||||||
500 | Kweichow Moutai Co. Ltd., Class A | 84,916 | |||||||||
5,768 | Pernod Ricard SA | 1,032,048 | |||||||||
1,634 | Royal Unibrew A/S | 149,728 | |||||||||
1,650 | Shanxi Xinghuacun Fen Wine Factory Co. Ltd., Class A | 21,248 | |||||||||
3,100 | Suntory Beverage & Food Ltd. | 129,648 | |||||||||
35,720 | Treasury Wine Estates Ltd. | 407,776 | |||||||||
6,899 | Wuliangye Yibin Co. Ltd., Class A | 131,736 | |||||||||
4,562,608 | |||||||||||
BIOTECHNOLOGY - 0.7% | |||||||||||
7,500 | 3SBio, Inc.*,(a) | 9,722 | |||||||||
240 | BeiGene Ltd., ADR* | 39,782 | |||||||||
672 | Celltrion, Inc.* | 105,177 | |||||||||
2,906 | CSL Ltd. | 563,315 |
Shares/ Principal | Fair Value | ||||||||||
BIOTECHNOLOGY - 0.7% (Continued) | |||||||||||
278 | Galapagos NV* | $ | 58,198 | ||||||||
416 | Genmab A/S* | 92,580 | |||||||||
2,112 | Grifols SA | 74,512 | |||||||||
130 | Helixmith Co. Ltd.* | 10,421 | |||||||||
4,500 | Innovent Biologics, Inc.*,(a) | 15,334 | |||||||||
33 | Medy-Tox, Inc. | 8,586 | |||||||||
600 | PeptiDream, Inc.* | 30,918 | |||||||||
420 | SillaJen, Inc.* | 5,284 | |||||||||
1,013,829 | |||||||||||
BUILDING PRODUCTS - 0.8% | |||||||||||
3,300 | AGC, Inc. | 119,338 | |||||||||
600 | Aica Kogyo Co. Ltd. | 20,014 | |||||||||
19,937 | Assa Abloy AB, Class B | 466,422 | |||||||||
3,611 | CIE de Saint-Gobain | 147,947 | |||||||||
1,800 | Daikin Industries Ltd. | 255,901 | |||||||||
4 | dormakaba Holding AG* | 2,861 | |||||||||
213 | Geberit AG | 119,483 | |||||||||
1,246 | Kingspan Group PLC | 76,156 | |||||||||
621 | Nibe Industrier AB, Class B | 10,773 | |||||||||
1,600 | Sanwa Holdings Corp. | 18,094 | |||||||||
1,236,989 | |||||||||||
CAPITAL MARKETS - 1.1% | |||||||||||
21,000 | B3 SA - Brasil Bolsa Balcao | 224,320 | |||||||||
20,000 | China International Capital Corp. Ltd., Class H (a) | 38,553 | |||||||||
8,121 | China Merchants Securities Co. Ltd., Class A | 21,324 | |||||||||
539 | DWS Group GmbH & Co KGaA (a) | 19,179 | |||||||||
1,081 | Euronext NV (a) | 88,155 | |||||||||
7,700 | Guotai Junan Securities Co. Ltd., Class A | 20,439 | |||||||||
47,400 | Guotai Junan Securities Co. Ltd., Class H (a) | 83,950 | |||||||||
9,806 | IG Group Holdings PLC | 90,284 | |||||||||
206 | Korea Investment Holdings Co. Ltd.* | 12,897 | |||||||||
4,092 | Macquarie Group Ltd. | 396,522 | |||||||||
4,313 | Magellan Financial Group Ltd. | 172,662 | |||||||||
9,333 | Man Group PLC | 19,535 | |||||||||
5,297 | Meritz Securities Co. Ltd.* | 17,360 | |||||||||
1,128 | Mirae Asset Daewoo Co. Ltd.* | 7,364 | |||||||||
5,769 | Natixis SA | 25,631 | |||||||||
1,090 | NH Investment & Securities Co. Ltd.* | 11,970 | |||||||||
690 | Reinet Investments SCA | 13,693 | |||||||||
1,245 | Samsung Securities Co. Ltd.* | 41,556 | |||||||||
281 | TMX Group Ltd. | 24,367 | |||||||||
23,854 | UBS Group AG* | 301,146 | |||||||||
1,630,907 | |||||||||||
CHEMICALS - 2.9% | |||||||||||
1,937 | Air Liquide SA | 274,394 | |||||||||
2,449 | Akzo Nobel NV | 249,170 | |||||||||
344 | Arkema SA | 36,567 |
See accompanying notes to financial statements.
27
Global Atlantic BlackRock Disciplined International Core Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
CHEMICALS - 2.9% (Continued) | |||||||||||
3,033 | BASF SE | $ | 229,296 | ||||||||
5,804 | Chr Hansen Holding A/S | 461,565 | |||||||||
21,300 | Daicel Corp. | 205,601 | |||||||||
1,400 | Denka Co. Ltd. | 42,126 | |||||||||
5,600 | DIC Corp. | 156,393 | |||||||||
79 | Givaudan SA | 247,275 | |||||||||
1,194 | Hanwha Chemical Corp. | 19,462 | |||||||||
1,000 | JSR Corp. | 18,514 | |||||||||
5,500 | Kaneka Corp. | 178,146 | |||||||||
315 | LG Chem Ltd.* | 86,482 | |||||||||
63 | Lotte Chemical Corp.* | 12,203 | |||||||||
162 | LOTTE Fine Chemical Co. Ltd.* | 6,325 | |||||||||
1,600 | Mitsubishi Gas Chemical Co., Inc. | 24,646 | |||||||||
300 | Nippon Paint Holdings Co. Ltd. | 15,569 | |||||||||
1,200 | Nippon Shokubai Co. Ltd. | 74,976 | |||||||||
2,400 | Nitto Denko Corp. | 136,480 | |||||||||
18,428 | Nutrien Ltd. | 883,492 | |||||||||
83 | OCI Co. Ltd.* | 4,493 | |||||||||
4,324 | Orica Ltd. | 66,809 | |||||||||
62,200 | PTT Global Chemical PCL, NVDR | 118,363 | |||||||||
300 | Shin-Etsu Chemical Co. Ltd. | 33,292 | |||||||||
755 | Sika AG | 141,784 | |||||||||
829 | Solvay SA | 96,126 | |||||||||
19,300 | Sumitomo Chemical Co. Ltd. | 88,442 | |||||||||
16,500 | Ube Industries Ltd. | 361,201 | |||||||||
900 | Zeon Corp. | 11,313 | |||||||||
4,280,505 | |||||||||||
COMMERCIAL SERVICES & SUPPLIES - 0.8% | |||||||||||
4,524 | Babcock International Group PLC | 37,721 | |||||||||
10,066 | Brambles Ltd. | 82,929 | |||||||||
4,527 | Edenred | 234,260 | |||||||||
9,882 | G4S PLC | 28,539 | |||||||||
11,780 | HomeServe PLC | 197,254 | |||||||||
2,498 | ISS A/S | 59,983 | |||||||||
7,698 | Rentokil Initial PLC | 46,197 | |||||||||
2,749 | Ritchie Bros Auctioneers, Inc. | 118,122 | |||||||||
3,300 | Secom Co. Ltd. | 296,886 | |||||||||
1,473 | SPIE SA | 30,026 | |||||||||
1,131,917 | |||||||||||
CONSTRUCTION & ENGINEERING - 0.9% | |||||||||||
4,436 | ACS Actividades de Construccion y Servicios SA | 177,516 | |||||||||
4,239 | Bouygues SA | 180,243 | |||||||||
104,000 | China Communications Construction Co. Ltd., Class H | 84,756 | |||||||||
110,000 | China Communications Services Corp. Ltd., Class H | 80,187 | |||||||||
130,000 | China Railway Construction Corp. Ltd., Class H | 142,316 | |||||||||
178,000 | China Railway Group Ltd., Class H | 109,882 |
Shares/ Principal | Fair Value | ||||||||||
CONSTRUCTION & ENGINEERING - 0.9% (Continued) | |||||||||||
2,888 | CIMIC Group Ltd. | $ | 67,278 | ||||||||
197 | Daelim Industrial Co. Ltd.* | 15,417 | |||||||||
1,783 | Daewoo Engineering & Construction Co. Ltd.* | 7,308 | |||||||||
423 | GS Engineering & Construction Corp.* | 11,357 | |||||||||
606 | Hyundai Engineering & Construction Co. Ltd.* | 22,166 | |||||||||
8,900 | Kajima Corp. | 119,404 | |||||||||
3,900 | Kandenko Co. Ltd. | 37,645 | |||||||||
700 | Kyowa Exeo Corp. | 17,823 | |||||||||
173,000 | Metallurgical Corp. of China Ltd., Class H | 38,855 | |||||||||
1,322 | Samsung Engineering Co. Ltd.* | 21,949 | |||||||||
2,500 | Shimizu Corp. | 25,673 | |||||||||
21,000 | Sinopec Engineering Group Co. Ltd., Class H | 12,559 | |||||||||
4,400 | Taisei Corp. | 184,017 | |||||||||
38 | Vinci SA | 4,223 | |||||||||
1,360,574 | |||||||||||
CONSTRUCTION MATERIALS - 1.1% | |||||||||||
10,200 | Anhui Conch Cement Co. Ltd., Class A | 80,245 | |||||||||
3,000 | Anhui Conch Cement Co. Ltd., Class H | 21,869 | |||||||||
73,000 | BBMG Corp., Class H | 22,392 | |||||||||
180,400 | Cemex SAB de CV | 67,636 | |||||||||
32,000 | China Resources Cement Holdings Ltd. | 40,740 | |||||||||
1,106 | HeidelbergCement AG | 80,647 | |||||||||
866 | Imerys SA | 36,628 | |||||||||
13,841 | James Hardie Industries PLC | 271,162 | |||||||||
17,379 | LafargeHolcim Ltd.* | 963,755 | |||||||||
2,738 | Wienerberger AG | 81,199 | |||||||||
1,666,273 | |||||||||||
CONSUMER FINANCE - 0.1% | |||||||||||
5,500 | AEON Financial Service Co. Ltd. | 87,403 | |||||||||
2,700 | Hitachi Capital Corp. | 71,528 | |||||||||
8,800 | Muangthai Capital PCL, NVDR | 18,729 | |||||||||
177,660 | |||||||||||
CONTAINERS & PACKAGING - 0.3% | |||||||||||
9,160 | CCL Industries, Inc., Class B | 390,770 | |||||||||
1,178 | Smurfit Kappa Group PLC | 45,302 | |||||||||
436,072 | |||||||||||
DISTRIBUTORS - 0.1% | |||||||||||
9,468 | Inchcape PLC | 88,552 | |||||||||
DIVERSIFIED CONSUMER SERVICES - 0.3% | |||||||||||
800 | Benesse Holdings, Inc. | 21,157 | |||||||||
16,430 | IDP Education Ltd. | 198,304 | |||||||||
1,342 | New Oriental Education & Technology Group, Inc., ADR* | 162,718 | |||||||||
382,179 |
See accompanying notes to financial statements.
28
Global Atlantic BlackRock Disciplined International Core Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
DIVERSIFIED FINANCIAL SERVICES - 1.3% | |||||||||||
3,718 | Challenger Ltd. | $ | 21,144 | ||||||||
70,294 | FirstRand Ltd. | 315,691 | |||||||||
3,980 | Groupe Bruxelles Lambert SA | 419,771 | |||||||||
10,320 | Investor AB, Class B | 563,567 | |||||||||
13,926 | Kinnevik AB, Class B | 340,673 | |||||||||
9,300 | Mitsubishi UFJ Lease & Finance Co. Ltd. | 60,417 | |||||||||
4,600 | ORIX Corp. | 76,656 | |||||||||
881 | Pargesa Holding SA | 73,193 | |||||||||
144 | Wendel SA | 19,154 | |||||||||
1,000 | Zenkoku Hosho Co. Ltd. | 42,788 | |||||||||
1,933,054 | |||||||||||
DIVERSIFIED TELECOMMUNICATION - 1.4% | |||||||||||
7,885 | BCE, Inc. | 365,808 | |||||||||
320,000 | China Telecom Corp. Ltd., Class H | 131,831 | |||||||||
62,000 | China Unicom Hong Kong Ltd. | 58,405 | |||||||||
2,255 | LG Uplus Corp.* | 27,689 | |||||||||
4,800 | Nippon Telegraph & Telephone Corp. | 121,772 | |||||||||
4,311 | Sunrise Communications Group AG*,(a) | 338,567 | |||||||||
34,706 | Telecom Italia SpA/Milano | 21,263 | |||||||||
99,615 | Telefonica Deutschland Holding AG | 288,938 | |||||||||
103,747 | Telefonica SA | 725,172 | |||||||||
33,900 | Telekom Malaysia BHD | 31,658 | |||||||||
2,111,103 | |||||||||||
ELECTRIC UTILITIES - 1.1% | |||||||||||
96,181 | AusNet Services | 114,938 | |||||||||
5,700 | Chubu Electric Power Co., Inc. | 80,852 | |||||||||
6,500 | CLP Holdings Ltd. | 68,322 | |||||||||
4,200 | CPFL Energia SA | 37,117 | |||||||||
3,398 | Electricite de France SA | 37,868 | |||||||||
16,475 | Fortum OYJ | 406,850 | |||||||||
16,800 | Hokuriku Electric Power Co.* | 123,053 | |||||||||
18,040 | Iberdrola SA | 185,894 | |||||||||
6,800 | Kansai Electric Power Co., Inc. (The) | 79,122 | |||||||||
1,666 | Korea Electric Power Corp. | 40,049 | |||||||||
16,300 | Shikoku Electric Power Co., Inc. | 161,687 | |||||||||
49,610 | Spark Infrastructure Group | 72,885 | |||||||||
61,500 | Tenaga Nasional BHD | 199,362 | |||||||||
1,607,999 | |||||||||||
ELECTRICAL EQUIPMENT - 0.3% | |||||||||||
1,100 | GS Yuasa Corp. | 23,938 | |||||||||
296 | LS Corp.* | 12,235 | |||||||||
500 | Mabuchi Motor Co. Ltd. | 19,094 | |||||||||
5,700 | Mitsubishi Electric Corp. | 78,596 | |||||||||
500 | Nidec Corp. | 69,036 | |||||||||
1,584 | Schneider Electric SE | 162,691 | |||||||||
25,600 | Xinjiang Goldwind Science & Technology Co. Ltd., Class H | 29,734 | |||||||||
395,324 |
Shares/ Principal | Fair Value | ||||||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 0.7% | |||||||||||
500 | Amano Corp. | $ | 15,344 | ||||||||
100 | BOE Technology Group Co. Ltd., Class A | 65 | |||||||||
42,000 | China Railway Signal & Communication Corp. Ltd., Class H (a) | 23,448 | |||||||||
14,900 | Citizen Watch Co. Ltd. | 81,852 | |||||||||
14,654 | Electrocomponents PLC | 131,542 | |||||||||
2,462 | Halma PLC | 69,014 | |||||||||
600 | Keyence Corp. | 212,505 | |||||||||
15,000 | Kingboard Laminates Holdings Ltd. | 18,596 | |||||||||
1,669 | LG Display Co. Ltd. | 23,452 | |||||||||
177 | LG Innotek Co. Ltd.* | 21,428 | |||||||||
21,500 | Luxshare Precision Industry Co. Ltd., Class A | 112,659 | |||||||||
5,100 | Nippon Electric Glass Co. Ltd. | 114,554 | |||||||||
483 | Samsung Electro-Mechanics Co. Ltd.* | 52,207 | |||||||||
800 | Shimadzu Corp. | 25,323 | |||||||||
5,900 | Sunny Optical Technology Group Co. Ltd. | 102,147 | |||||||||
1,400 | Topcon Corp. | 18,332 | |||||||||
1,022,468 | |||||||||||
ENERGY EQUIPMENT & SERVICES - 0.3% | |||||||||||
3,660 | John Wood Group PLC | 19,322 | |||||||||
7,312 | Petrofac Ltd. | 37,090 | |||||||||
304,400 | Sapura Energy BHD | 20,092 | |||||||||
35,793 | Subsea 7 SA | 427,489 | |||||||||
503,993 | |||||||||||
ENTERTAINMENT - 0.2% | |||||||||||
103 | Com2uS Corp. | 9,575 | |||||||||
2,072 | CTS Eventim AG & Co. KGaA | 130,362 | |||||||||
1,200 | Konami Holdings Corp. | 49,524 | |||||||||
62 | NCSoft Corp.* | 29,004 | |||||||||
177 | NetEase, Inc., ADR | 54,275 | |||||||||
200 | Nintendo Co. Ltd. | 80,920 | |||||||||
353,660 | |||||||||||
EQUITY REAL ESTATE INVESTMENT - 1.1% | |||||||||||
5,912 | alstria office REIT-AG | 111,157 | |||||||||
5,068 | British Land Co. PLC (The) | 42,888 | |||||||||
180,900 | CapitaLand Mall Trust | 330,952 | |||||||||
23,000 | Champion REIT | 15,202 | |||||||||
2,568 | Goodman Group | 24,135 | |||||||||
10,522 | GPT Group (The) | 41,420 | |||||||||
3 | Kenedix Office Investment Corp., Class REIT | 23,133 | |||||||||
2,154 | Merlin Properties Socimi SA | 30,925 | |||||||||
276,601 | Scentre Group | 744,692 | |||||||||
190,200 | Suntec Real Estate Investment Trust, Class REIT | 260,267 | |||||||||
24,116 | Vicinity Centres | 42,211 | |||||||||
1,666,982 |
See accompanying notes to financial statements.
29
Global Atlantic BlackRock Disciplined International Core Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
FOOD & STAPLES RETAILING - 1.3% | |||||||||||
79,600 | Berli Jucker PCL, NVDR | $ | 111,612 | ||||||||
2,933 | Bid Corp. Ltd. | 69,261 | |||||||||
1,174 | Clicks Group Ltd. | 21,542 | |||||||||
93,400 | CP ALL PCL, NVDR | 225,286 | |||||||||
82,374 | J Sainsbury PLC | 250,878 | |||||||||
2,720 | Magnit PJSC, GDR | 32,790 | |||||||||
11,800 | Seven & i Holdings Co. Ltd. | 434,648 | |||||||||
3,200 | Sundrug Co. Ltd. | 116,457 | |||||||||
49,000 | Wal-Mart de Mexico SAB de CV | 140,845 | |||||||||
154,066 | Wm Morrison Supermarkets PLC | 407,790 | |||||||||
5,191 | Woolworths Group Ltd. | 131,948 | |||||||||
1,943,057 | |||||||||||
FOOD PRODUCTS - 1.5% | |||||||||||
600 | Calbee, Inc. | 19,628 | |||||||||
66,000 | Dali Foods Group Co. Ltd. (a) | 48,875 | |||||||||
1,858 | Easy Bio, Inc.* | 8,009 | |||||||||
1,500 | Foshan Haitian Flavouring & Food Co. Ltd., Class A | 23,151 | |||||||||
42,000 | JBS SA | 269,371 | |||||||||
700 | Kewpie Corp. | 15,800 | |||||||||
600 | MEIJI Holdings Co. Ltd. | 40,746 | |||||||||
15,240 | Nestle SA | 1,649,039 | |||||||||
1,600 | Nichirei Corp. | 37,543 | |||||||||
47 | NongShim Co. Ltd.* | 9,774 | |||||||||
6,900 | QL Resources BHD | 13,714 | |||||||||
21,000 | Uni-President China Holdings Ltd. | 22,046 | |||||||||
5,000 | Yihai International Holding Ltd.* | 29,326 | |||||||||
2,187,022 | |||||||||||
GAS UTILITIES - 0.2% | |||||||||||
11,417 | Italgas SpA | 69,768 | |||||||||
431 | Korea Gas Corp.* | 14,106 | |||||||||
570 | Rubis SCA | 35,030 | |||||||||
22,218 | Snam SpA | 116,868 | |||||||||
14,000 | Towngas China Co. Ltd.* | 9,703 | |||||||||
245,475 | |||||||||||
HEALTH CARE EQUIPMENT & SUPPLIES - 1.2% | |||||||||||
7,267 | Ansell Ltd. | 148,295 | |||||||||
771 | Carl Zeiss Meditec AG | 98,401 | |||||||||
1,710 | Cochlear Ltd. | 270,136 | |||||||||
406 | Coloplast A/S, Class B | 50,401 | |||||||||
5,045 | GN Store Nord A/S | 237,434 | |||||||||
1,064 | Sartorius AG | 227,880 | |||||||||
800 | Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A | 20,891 | |||||||||
10,868 | Smith & Nephew PLC | 263,832 | |||||||||
416 | Straumann Holding AG | 408,289 | |||||||||
1,725,559 |
Shares/ Principal | Fair Value | ||||||||||
HEALTH CARE PROVIDERS & SERVICES - 0.1% | |||||||||||
1,659 | Amplifon SpA | $ | 47,748 | ||||||||
10,800 | IHH Healthcare Bhd | 14,442 | |||||||||
387 | Korian SA | 18,210 | |||||||||
300 | Miraca Holdings, Inc. | 7,406 | |||||||||
632 | Sonic Healthcare Ltd. | 12,773 | |||||||||
3,303 | UDG Healthcare PLC | 35,268 | |||||||||
135,847 | |||||||||||
HEALTH CARE TECHNOLOGY - 0.1% | |||||||||||
1,502 | CompuGroup Medical SE | 107,482 | |||||||||
HOTELS, RESTAURANTS & LEISURE - 2.0% | |||||||||||
4,000 | Alsea SAB de CV* | 10,555 | |||||||||
45,937 | Aristocrat Leisure Ltd. | 1,087,252 | |||||||||
2,200 | China International Travel Service Corp. Ltd., Class A | 28,093 | |||||||||
31,299 | Compass Group PLC | 783,657 | |||||||||
3,281 | Crown Resorts Ltd. | 27,700 | |||||||||
2,465 | Domino's Pizza Enterprises Ltd. | 90,728 | |||||||||
2,080 | Greggs PLC | 63,321 | |||||||||
8,070 | Restaurant Brands International, Inc. | 515,161 | |||||||||
31,600 | Sands China Ltd. | 168,914 | |||||||||
26,967 | SSP Group PLC | 232,209 | |||||||||
9,032 | Tabcorp Holdings Ltd. | 28,761 | |||||||||
3,036,351 | |||||||||||
HOUSEHOLD DURABLES - 0.2% | |||||||||||
591 | Berkeley Group Holdings PLC | 38,042 | |||||||||
2,500 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 18,452 | |||||||||
1,387 | LG Electronics, Inc. | 86,474 | |||||||||
1,400 | Nikon Corp. | 17,314 | |||||||||
76,441 | Taylor Wimpey PLC | 195,847 | |||||||||
356,129 | |||||||||||
HOUSEHOLD PRODUCTS - 0.3% | |||||||||||
3,396 | Henkel AG & Co. KGaA | 351,467 | |||||||||
1,374 | Reckitt Benckiser Group PLC | 111,561 | |||||||||
463,028 | |||||||||||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY - 0.2% | |||||||||||
15,100 | B Grimm Power PCL | 26,466 | |||||||||
12,600 | B Grimm Power PCL, NVDR | 22,084 | |||||||||
47,000 | China Power International Development Ltd. | 10,074 | |||||||||
5,800 | China Yangtze Power Co. Ltd., Class A | 15,304 | |||||||||
140,000 | CK Power PCL, NVDR | 23,182 | |||||||||
124,000 | Datang International Power Generation Co. Ltd., Class H | 23,712 | |||||||||
2,400 | Electric Power Development Co. Ltd. | 58,457 |
See accompanying notes to financial statements.
30
Global Atlantic BlackRock Disciplined International Core Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY - 0.2% (Continued) | |||||||||||
8,800 | Gulf Energy Development PCL, NVDR | $ | 48,769 | ||||||||
3,400 | Gulf Energy Development PCL | 18,842 | |||||||||
62,000 | Huadian Power International Corp. Ltd., Class H | 23,553 | |||||||||
1,283 | Uniper SE | 42,499 | |||||||||
312,942 | |||||||||||
INDUSTRIAL CONGLOMERATES - 1.0% | |||||||||||
18,300 | Alfa SAB de CV, Class A | 15,176 | |||||||||
66 | CJ Corp.* | 5,513 | |||||||||
35,000 | CK Hutchison Holdings Ltd. | 333,748 | |||||||||
1,919 | DCC PLC | 166,361 | |||||||||
9,000 | NWS Holdings Ltd. | 12,613 | |||||||||
535 | Samsung C&T Corp.* | 50,194 | |||||||||
58,000 | Shanghai Industrial Holdings Ltd. | 111,656 | |||||||||
4,244 | Siemens AG | 555,184 | |||||||||
920 | SM Investments Corp. | 18,947 | |||||||||
3,101 | Smiths Group PLC | 69,303 | |||||||||
2,100 | Toshiba Corp. | 71,594 | |||||||||
1,410,289 | |||||||||||
INSURANCE - 5.9% | |||||||||||
158,464 | Aegon NV | 723,421 | |||||||||
25,000 | AIA Group Ltd. | 262,455 | |||||||||
5,510 | Allianz Se | 1,350,799 | |||||||||
8,228 | ASR Nederland NV | 308,111 | |||||||||
26,832 | Aviva PLC | 148,830 | |||||||||
3,800 | China Life Insurance Co. Ltd., Class A | 19,023 | |||||||||
89,000 | China Life Insurance Co. Ltd., Class H | 247,292 | |||||||||
5,200 | China Pacific Insurance Group Co. Ltd., Class A | 28,248 | |||||||||
202,000 | China Reinsurance Group Corp., Class H | 33,184 | |||||||||
671 | CNP Assurances | 13,354 | |||||||||
24,500 | Dai-ichi Life Holdings, Inc. | 409,517 | |||||||||
4,188 | Direct Line Insurance Group PLC | 17,338 | |||||||||
2,687 | Great-West Lifeco, Inc. | 68,918 | |||||||||
1,794 | Hanwha Life Insurance Co. Ltd.* | 3,583 | |||||||||
4,500 | IRB Brasil Resseguros S/A | 43,571 | |||||||||
30,000 | Japan Post Holdings Co. Ltd. | 283,230 | |||||||||
2,000 | Japan Post Insurance Co. Ltd. | 34,267 | |||||||||
20,599 | Manulife Financial Corp. | 418,731 | |||||||||
47,411 | Momentum Metropolitan Holdings | 74,048 | |||||||||
11,900 | MS&AD Insurance Group Holdings, Inc. | 395,407 | |||||||||
25,951 | NN Group NV | 985,177 | |||||||||
29,706 | Old Mutual Ltd. | 41,765 | |||||||||
163,000 | People's Insurance Co. Group of China Ltd. (The), Class H | 67,779 | |||||||||
72,000 | PICC Property & Casualty Co. Ltd., Class H | 86,768 | |||||||||
6,600 | Ping An Insurance Group Co. of China Ltd., Class A | 80,973 |
Shares/ Principal | Fair Value | ||||||||||
INSURANCE - 5.9% (Continued) | |||||||||||
48,000 | Ping An Insurance Group Co. of China Ltd., Class H | $ | 567,366 | ||||||||
2,029 | Power Corp. of Canada | 52,339 | |||||||||
671 | Power Financial Corp. | 18,080 | |||||||||
18,185 | QBE Insurance Group Ltd. | 164,647 | |||||||||
4,555 | Sampo OYJ, Class A | 198,946 | |||||||||
77 | Samsung Fire & Marine Insurance Co. Ltd.* | 16,213 | |||||||||
300 | Samsung Life Insurance Co. Ltd.* | 19,326 | |||||||||
25,363 | Sanlam Ltd. | 143,470 | |||||||||
3,738 | SCOR SE | 157,011 | |||||||||
1,387 | Swiss Re AG | 155,695 | |||||||||
19,400 | T&D Holdings, Inc. | 249,027 | |||||||||
449 | Talanx AG | 22,267 | |||||||||
3,100 | Tokio Marine Holdings, Inc. | 174,547 | |||||||||
2,424 | Tryg A/S | 71,915 | |||||||||
1,334 | Zurich Insurance Group AG | 547,045 | |||||||||
8,703,683 | |||||||||||
INTERACTIVE MEDIA & SERVICES - 2.1% | |||||||||||
28,441 | Auto Trader Group PLC (a) | 224,029 | |||||||||
783 | Baidu, Inc., ADR* | 98,971 | |||||||||
3,285 | carsales.com Ltd. | 38,356 | |||||||||
600 | Dip Corp. | 17,861 | |||||||||
2,400 | Kakaku.com, Inc. | 61,681 | |||||||||
264 | Kakao Corp. | 35,042 | |||||||||
973 | NAVER Corp.* | 156,915 | |||||||||
1,902 | REA Group Ltd. | 138,514 | |||||||||
18,132 | Rightmove PLC | 152,193 | |||||||||
42,700 | Tencent Holdings Ltd. | 2,058,333 | |||||||||
28,500 | Z Holdings Corp. | 120,897 | |||||||||
3,102,792 | |||||||||||
INTERNET & DIRECT MARKETING RETAIL - 2.9% | |||||||||||
14,032 | Alibaba Group Holding Ltd., ADR* | 2,976,187 | |||||||||
5,326 | boohoo Group PLC* | 21,018 | |||||||||
23,144 | JD.com, Inc., ADR* | 815,363 | |||||||||
11,848 | Moneysupermarket.com Group PLC | 51,890 | |||||||||
2,805 | Naspers Ltd., Class N | 459,518 | |||||||||
4,323,976 | |||||||||||
IT SERVICES - 1.5% | |||||||||||
3,473 | Amadeus IT Group SA, Class A | 283,807 | |||||||||
196 | CANCOM SE | 11,573 | |||||||||
330 | Capgemini SE | 40,339 | |||||||||
12,428 | CGI, Inc.* | 1,041,489 | |||||||||
14,657 | Computershare Ltd. | 172,887 | |||||||||
1,300 | NEC Corp. | 54,069 | |||||||||
2,200 | Nihon Unisys Ltd. | 69,335 | |||||||||
2,300 | Nomura Research Institute Ltd. | 49,481 | |||||||||
5,700 | NTT Data Corp. | 76,944 | |||||||||
156 | Samsung SDS Co. Ltd.* | 26,237 |
See accompanying notes to financial statements.
31
Global Atlantic BlackRock Disciplined International Core Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
IT SERVICES - 1.5% (Continued) | |||||||||||
500 | SCSK Corp. | $ | 26,087 | ||||||||
755 | Shopify, Inc., Class A* | 300,603 | |||||||||
31 | Sopra Steria Group | 4,993 | |||||||||
259 | TietoEVRY OYJ | 8,059 | |||||||||
500 | TIS, Inc. | 29,584 | |||||||||
2,195,487 | |||||||||||
LEISURE PRODUCTS - 0.1% | |||||||||||
620 | BRP, Inc. | 28,285 | |||||||||
2,600 | Sankyo Co. Ltd. | 86,727 | |||||||||
115,012 | |||||||||||
LIFE SCIENCES TOOLS & SERVICES - 0.1% | |||||||||||
1,190 | Sartorius Stedim Biotech | 197,294 | |||||||||
MACHINERY - 2.7% | |||||||||||
12,400 | Amada Holdings Co. Ltd. | 142,627 | |||||||||
394 | Bucher Industries AG | 138,257 | |||||||||
447 | Daewoo Shipbuilding & Marine Engineering Co. Ltd.* | 10,765 | |||||||||
5,302 | Doosan Infracore Co. Ltd.* | 25,445 | |||||||||
1,219 | FLSmidth & Co. A/S | 48,599 | |||||||||
1,893 | GEA Group AG | 62,642 | |||||||||
730 | Interpump Group SpA | 23,141 | |||||||||
15,300 | JTEKT Corp. | 183,164 | |||||||||
700 | Kawasaki Heavy Industries Ltd. | 15,510 | |||||||||
2,200 | Komatsu Ltd. | 53,484 | |||||||||
16,494 | Kone OYJ, Class B | 1,079,026 | |||||||||
688 | Metso OYJ | 27,169 | |||||||||
4,100 | Mitsubishi Heavy Industries Ltd. | 160,265 | |||||||||
4,900 | NTN Corp. | 15,556 | |||||||||
281 | Rational AG | 226,158 | |||||||||
44,700 | Sany Heavy Industry Co. Ltd., Class A | 109,412 | |||||||||
269 | Schindler Holding AG | 68,392 | |||||||||
13,500 | Sinotruk Hong Kong Ltd. | 28,796 | |||||||||
200 | SMC Corp. | 92,551 | |||||||||
1,100 | Sumitomo Heavy Industries Ltd. | 31,682 | |||||||||
31,500 | Techtronic Industries Co. Ltd. | 256,914 | |||||||||
2,187 | Trelleborg AB, Class B | 39,378 | |||||||||
1,967 | Valmet OYJ | 47,162 | |||||||||
64,230 | Volvo AB, Class B | 1,076,555 | |||||||||
21,695 | Weichai Power Co. Ltd., Class A | 49,459 | |||||||||
42,499 | Zoomlion Heavy Industry Science and Technology Co. Ltd., Class A | 40,756 | |||||||||
4,052,865 | |||||||||||
MARINE - 0.0%† | |||||||||||
77,500 | COSCO SHIPPING Holdings Co. Ltd., Class H* | 31,430 | |||||||||
MEDIA - 0.7% | |||||||||||
1,500 | Dentsu Group, Inc. | 52,105 | |||||||||
1,300 | Fuji Media Holdings, Inc. | 18,613 |
Shares/ Principal | Fair Value | ||||||||||
MEDIA - 0.7% (Continued) | |||||||||||
5,038 | Lagardere SCA | $ | 109,880 | ||||||||
3,800 | Megacable Holdings SAB de CV | 15,583 | |||||||||
3,328 | MultiChoice Group* | 27,726 | |||||||||
1,300 | Nippon Television Holdings, Inc. | 17,489 | |||||||||
11,967 | Pearson PLC | 100,985 | |||||||||
4,672 | Publicis Groupe SA | 211,661 | |||||||||
9,307 | Quebecor, Inc., Class B | 237,852 | |||||||||
3,281 | Schibsted ASA, Class A | 99,058 | |||||||||
424 | Stroeer SE & Co. KGaA | 34,291 | |||||||||
5,500 | Tokyo Broadcasting System Holdings, Inc. | 94,438 | |||||||||
2,685 | WPP PLC | 37,935 | |||||||||
1,057,616 | |||||||||||
METALS & MINING - 2.5% | |||||||||||
6,361 | Acerinox SA* | 71,724 | |||||||||
44,200 | Angang Steel Co. Ltd., Class H | 18,379 | |||||||||
2,242 | Anglo American Platinum Ltd. | 209,607 | |||||||||
11,710 | Anglo American PLC | 333,995 | |||||||||
1,303 | Anglo American PLC | 37,509 | |||||||||
1,113 | AngloGold Ashanti Ltd. | 25,191 | |||||||||
1,572 | APERAM SA | 50,308 | |||||||||
33,956 | BHP Group Ltd. | 928,996 | |||||||||
2,910 | BHP Group PLC | 68,496 | |||||||||
25,600 | China Zhongwang Holdings Ltd. | 10,218 | |||||||||
2,867 | Franco-Nevada Corp. | 296,461 | |||||||||
14,300 | Grupo Mexico SAB de CV | 39,362 | |||||||||
397 | Hyundai Steel Co.* | 10,797 | |||||||||
10,800 | JFE Holdings, Inc. | 140,224 | |||||||||
81,000 | Jiangxi Copper Co. Ltd., Class H | 111,440 | |||||||||
15,500 | Kobe Steel Ltd. | 84,007 | |||||||||
50 | Korea Zinc Co. Ltd.* | 18,375 | |||||||||
200 | Mitsubishi Materials Corp. | 5,479 | |||||||||
40,000 | MMG Ltd.* | 12,013 | |||||||||
2,400 | Nippon Steel Corp. | 36,527 | |||||||||
2,292 | Northam Platinum Ltd.* | 20,262 | |||||||||
1,803 | POSCO | 368,723 | |||||||||
3,609 | Rio Tinto PLC | 215,289 | |||||||||
16,913 | SSAB AB, Class A | 59,352 | |||||||||
8,648 | Teck Resources Ltd., Class B | 150,185 | |||||||||
16,900 | Vale SA | 223,922 | |||||||||
6,100 | Wheaton Precious Metals Corp. | 181,765 | |||||||||
15,000 | Zhaojin Mining Industry Co. Ltd., Class H | 16,575 | |||||||||
3,745,181 | |||||||||||
MULTILINE RETAIL - 0.2% | |||||||||||
1,141 | Dollarama, Inc. | 39,270 | |||||||||
12,500 | Isetan Mitsukoshi Holdings Ltd. | 113,181 | |||||||||
500 | Izumi Co. Ltd. | 18,104 | |||||||||
22,500 | Lifestyle International Holdings Ltd. | 25,816 | |||||||||
4,800 | Magazine Luiza SA | 56,917 | |||||||||
1,900 | Takashimaya Co. Ltd. | 21,470 | |||||||||
8,448 | Woolworths Holdings Ltd. | 29,361 | |||||||||
304,119 |
See accompanying notes to financial statements.
32
Global Atlantic BlackRock Disciplined International Core Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
MULTI-UTILITIES - 0.7% | |||||||||||
16,248 | A2A SpA | $ | 30,495 | ||||||||
6,095 | AGL Energy Ltd. | 87,960 | |||||||||
55,807 | Centrica PLC | 66,020 | |||||||||
19,526 | Engie SA | 315,618 | |||||||||
29,753 | National Grid PLC | 372,199 | |||||||||
6,984 | Veolia Environnement SA | 185,875 | |||||||||
1,058,167 | |||||||||||
OIL, GAS & CONSUMABLE FUELS - 4.7% | |||||||||||
100,504 | BP PLC | 627,901 | |||||||||
188,800 | Bukit Asam TBK PT | 36,176 | |||||||||
103,000 | China Coal Energy Co. Ltd., Class H | 40,847 | |||||||||
51,300 | China Petroleum & Chemical Corp., Class A | 37,633 | |||||||||
536,000 | China Petroleum & Chemical Corp., Class H | 322,626 | |||||||||
46,000 | China Shenhua Energy Co. Ltd., Class H | 96,111 | |||||||||
317,000 | CNOOC Ltd. | 527,262 | |||||||||
26,000 | COSCO SHIPPING Energy Transportation Co. Ltd., Class H | 12,280 | |||||||||
78,823 | Ecopetrol SA | 79,628 | |||||||||
502 | Gaztransport Et Technigaz SA | 48,122 | |||||||||
880 | Gibson Energy, Inc. | 18,045 | |||||||||
1,800 | Inpex Corp. | 18,824 | |||||||||
119,900 | JXTG Holdings, Inc. | 549,328 | |||||||||
603 | Novatek PJSC, GDR | 122,409 | |||||||||
1,504 | Parex Resources, Inc.* | 28,010 | |||||||||
3,494 | Pembina Pipeline Corp. | 129,683 | |||||||||
418,000 | PetroChina Co. Ltd., Class H | 209,756 | |||||||||
22,561 | Petroleo Brasileiro SA | 169,262 | |||||||||
27,000 | Petroleo Brasileiro SA | 214,781 | |||||||||
14,500 | Petronas Dagangan BHD | 81,885 | |||||||||
17,900 | PTT Exploration & Production PCL, NVDR | 74,400 | |||||||||
11,978 | Repsol SA | 187,293 | |||||||||
37,502 | Royal Dutch Shell PLC, Class A | 1,110,365 | |||||||||
21,418 | Royal Dutch Shell PLC, Class B | 635,424 | |||||||||
270 | SK Innovation Co. Ltd. | 35,021 | |||||||||
2,589 | TC Energy Corp. | 138,080 | |||||||||
20,500 | Thai Oil PCL, NVDR | 47,736 | |||||||||
22,966 | TOTAL SA | 1,268,343 | |||||||||
10,700 | Ultrapar Participacoes SA | 67,774 | |||||||||
55,800 | United Tractors TBK PT | 86,519 | |||||||||
7,021,524 | |||||||||||
PAPER & FOREST PRODUCTS - 0.1% | |||||||||||
26,300 | Indah Kiat Pulp & Paper Corp. TBK PT | 14,587 | |||||||||
12,800 | Oji Holdings Corp. | 70,081 | |||||||||
13,000 | Pabrik Kertas Tjiwi Kimia Tbk PT | 9,622 | |||||||||
3,235 | UPM-Kymmene OYJ | 112,243 | |||||||||
206,533 |
Shares/ Principal | Fair Value | ||||||||||
PERSONAL PRODUCTS - 2.2% | |||||||||||
318 | Amorepacific Corp.* | $ | 54,996 | ||||||||
1,500 | Fancl Corp. | 40,193 | |||||||||
5,000 | Hengan International Group Co. Ltd. | 35,614 | |||||||||
7,600 | Kao Corp. | 631,148 | |||||||||
85 | LG Household & Health Care Ltd.* | 92,685 | |||||||||
4,053 | L'Oreal SA | 1,201,066 | |||||||||
7,600 | Pola Orbis Holdings, Inc. | 182,806 | |||||||||
9,698 | Unilever NV | 557,690 | |||||||||
8,918 | Unilever PLC | 513,973 | |||||||||
3,310,171 | |||||||||||
PHARMACEUTICALS - 6.9% | |||||||||||
12,200 | Astellas Pharma, Inc. | 209,929 | |||||||||
6,943 | AstraZeneca PLC | 699,672 | |||||||||
2,020 | Bausch Health Cos., Inc.* | 60,549 | |||||||||
3,538 | Bayer AG | 289,158 | |||||||||
300 | Changchun High & New Technology Industry Group, Inc., Class A | 19,252 | |||||||||
24,000 | China Traditional Chinese Medicine Holdings Co. Ltd. | 11,581 | |||||||||
700 | Chugai Pharmaceutical Co. Ltd. | 64,928 | |||||||||
53 | Daewoong Pharmaceutical Co. Ltd.* | 6,302 | |||||||||
300 | Daiichi Sankyo Co. Ltd. | 19,953 | |||||||||
2,024 | Dechra Pharmaceuticals PLC | 77,758 | |||||||||
1,600 | Eisai Co. Ltd. | 120,786 | |||||||||
56,321 | GlaxoSmithKline PLC | 1,327,334 | |||||||||
12,000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd., Class H | 40,966 | |||||||||
2,786 | H Lundbeck A/S | 106,468 | |||||||||
2,500 | Hypera SA | 22,180 | |||||||||
14,186 | Jiangsu Hengrui Medicine Co. Ltd., Class A | 178,239 | |||||||||
400 | Kissei Pharmaceutical Co. Ltd. | 11,484 | |||||||||
16,500 | Luye Pharma Group Ltd. (a) | 12,367 | |||||||||
3,267 | Merck KGaA | 386,340 | |||||||||
19,664 | Novartis AG | 1,866,186 | |||||||||
7,300 | Otsuka Holdings Co. Ltd. | 328,005 | |||||||||
7,445 | Roche Holding AG | 2,414,137 | |||||||||
4,767 | Sanofi | 479,553 | |||||||||
3,800 | Shionogi & Co. Ltd. | 236,619 | |||||||||
12,000 | Sino Biopharmaceutical Ltd. | 16,787 | |||||||||
14,000 | SSY Group Ltd. | 11,338 | |||||||||
21,000 | Takeda Pharmaceutical Co. Ltd. | 837,101 | |||||||||
5,663 | UCB SA | 450,691 | |||||||||
10,305,663 | |||||||||||
PROFESSIONAL SERVICES - 1.7% | |||||||||||
28,161 | ALS Ltd. | 181,725 | |||||||||
1,217 | Bureau Veritas SA | 31,775 | |||||||||
30,052 | Experian PLC | 1,015,987 | |||||||||
371 | Intertek Group PLC | 28,761 | |||||||||
15,400 | Recruit Holdings Co. Ltd. | 580,857 | |||||||||
8,813 | RELX PLC | 222,468 |
See accompanying notes to financial statements.
33
Global Atlantic BlackRock Disciplined International Core Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
PROFESSIONAL SERVICES - 1.7% (Continued) | |||||||||||
1,060 | Teleperformance | $ | 258,673 | ||||||||
2,298 | Wolters Kluwer NV | 167,719 | |||||||||
2,487,965 | |||||||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT - 1.7% | |||||||||||
26,849 | Aroundtown SA | 240,622 | |||||||||
36,000 | China Overseas Land & Investment Ltd. | 140,224 | |||||||||
23,500 | CK Asset Holdings Ltd. | 169,649 | |||||||||
18,000 | Country Garden Holdings Co. Ltd. | 28,830 | |||||||||
1,200 | Daito Trust Construction Co. Ltd. | 148,847 | |||||||||
700 | Daiwa House Industry Co. Ltd. | 21,836 | |||||||||
368 | FirstService Corp. | 34,307 | |||||||||
2,489 | Grand City Properties SA | 59,734 | |||||||||
10,500 | Greentown China Holdings Ltd. | 12,896 | |||||||||
68,100 | Hongkong Land Holdings Ltd. | 391,575 | |||||||||
5,000 | Hysan Development Co. Ltd. | 19,604 | |||||||||
29,000 | Kaisa Group Holdings Ltd.* | 13,845 | |||||||||
15,500 | KWG Group Holdings Ltd.* | 21,723 | |||||||||
26,000 | Logan Property Holdings Co. Ltd. | 43,646 | |||||||||
644 | Nexity SA | 32,371 | |||||||||
608 | PSP Swiss Property AG | 83,884 | |||||||||
38,000 | Shenzhen Investment Ltd. | 15,216 | |||||||||
38,500 | Shui On Land Ltd. | 8,449 | |||||||||
14,000 | Sino Land Co. Ltd. | 20,339 | |||||||||
21,800 | SM Prime Holdings, Inc. | 18,122 | |||||||||
2,500 | Sun Hung Kai Properties Ltd. | 38,277 | |||||||||
7,000 | Sunac China Holdings Ltd. | 41,820 | |||||||||
27,000 | Swire Pacific Ltd., Class A | 250,879 | |||||||||
99,200 | Swire Properties Ltd. | 329,105 | |||||||||
671 | TAG Immobilien AG* | 16,691 | |||||||||
41,000 | Wharf Holdings Ltd. (The) | 104,292 | |||||||||
21,000 | Wharf Real Estate Investment Co. Ltd. | 128,154 | |||||||||
4,000 | Wheelock & Co. Ltd. | 26,669 | |||||||||
60,000 | Yuexiu Property Co. Ltd. | 13,861 | |||||||||
20,000 | Yuzhou Properties Co. Ltd. | 11,012 | |||||||||
2,486,479 | |||||||||||
ROAD & RAIL - 0.5% | |||||||||||
10,000 | CAR, Inc.* | 6,828 | |||||||||
1,200 | Central Japan Railway Co. | 242,926 | |||||||||
69 | CJ Logistics Corp.* | 9,248 | |||||||||
2,700 | East Japan Railway Co. | 244,919 | |||||||||
6,331 | TFI International, Inc. | 213,694 | |||||||||
717,615 | |||||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.3% | |||||||||||
2,300 | Advantest Corp. | 130,370 | |||||||||
2,363 | ASM International NV | 265,645 | |||||||||
1,231 | ASML Holding NV | 364,380 | |||||||||
989 | BE Semiconductor Industries NV | 38,256 |
Shares/ Principal | Fair Value | ||||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.3% (Continued) | |||||||||||
1,000 | Gigadevice Semiconductor Beijing, Inc., Class A | $ | 29,414 | ||||||||
5,020 | LONGi Green Energy Technology Co. Ltd., Class A | 17,894 | |||||||||
1,145 | NXP Semiconductors NV | 145,713 | |||||||||
728 | Seoul Semiconductor Co. Ltd.* | 10,229 | |||||||||
1,100 | Shenzhen Goodix Technology Co. Ltd., Class A | 32,578 | |||||||||
2,143 | SK Hynix, Inc. | 174,375 | |||||||||
2,800 | Tokyo Electron Ltd. | 616,425 | |||||||||
400 | Ulvac, Inc. | 15,993 | |||||||||
700 | Will Semiconductor Ltd., Class A | 14,411 | |||||||||
1,855,683 | |||||||||||
SOFTWARE - 2.0% | |||||||||||
669 | Altium Ltd. | 16,328 | |||||||||
2,522 | Dassault Systemes SE | 414,875 | |||||||||
432 | Descartes Systems Group, Inc. (The)* | 18,489 | |||||||||
11,785 | Open Text Corp. | 520,022 | |||||||||
8,551 | SAP Se | 1,154,891 | |||||||||
3,780 | SimCorp A/S | 430,126 | |||||||||
4,791 | Software AG | 167,253 | |||||||||
1,600 | TOTVS SA | 25,674 | |||||||||
3,300 | Trend Micro, Inc. | 170,048 | |||||||||
712 | WiseTech Global Ltd. | 11,697 | |||||||||
1,431 | Xero Ltd.* | 80,474 | |||||||||
3,009,877 | |||||||||||
SPECIALTY RETAIL - 0.7% | |||||||||||
145,200 | Chow Tai Fook Jewellery Group Ltd. | 138,831 | |||||||||
447 | Dufry AG* | 44,324 | |||||||||
1,000 | Fast Retailing Co. Ltd. | 598,114 | |||||||||
26,700 | Home Product Center PCL, NVDR | 14,262 | |||||||||
218 | Hotel Shilla Co. Ltd.* | 17,116 | |||||||||
605 | JB Hi-Fi Ltd. | 16,020 | |||||||||
1,594 | JD Sports Fashion PLC | 17,683 | |||||||||
600 | Nitori Holdings Co. Ltd. | 95,100 | |||||||||
11,000 | Zhongsheng Group Holdings Ltd. | 45,035 | |||||||||
986,485 | |||||||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS - 1.9% | |||||||||||
10,700 | Canon, Inc. | 294,047 | |||||||||
4,400 | FUJIFILM Holdings Corp. | 211,751 | |||||||||
18,700 | Konica Minolta, Inc. | 122,688 | |||||||||
11,300 | Legend Holdings Corp., Class H (a) | 25,640 | |||||||||
98,000 | Lenovo Group Ltd. | 65,779 | |||||||||
10,101 | Logitech International SA | 478,059 | |||||||||
30,981 | Samsung Electronics Co. Ltd. | 1,494,868 | |||||||||
4,018 | Samsung Electronics Co. Ltd. | 157,739 | |||||||||
2,850,571 |
See accompanying notes to financial statements.
34
Global Atlantic BlackRock Disciplined International Core Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
TEXTILES, APPAREL & LUXURY GOODS - 2.3% | |||||||||||
1,291 | adidas AG | $ | 419,963 | ||||||||
3,000 | ANTA Sports Products Ltd. | 26,855 | |||||||||
827 | Christian Dior SE | 424,051 | |||||||||
1,150 | Cie Financiere Richemont SA | 90,328 | |||||||||
1,605 | EssilorLuxottica SA | 244,659 | |||||||||
367 | Fila Korea Ltd.* | 16,820 | |||||||||
174 | Hermes International | 130,119 | |||||||||
391 | Kering SA | 256,843 | |||||||||
30,500 | Li Ning Co. Ltd. | 91,400 | |||||||||
3,345 | LVMH Moet Hennessy Louis Vuitton SE | 1,555,223 | |||||||||
1,464 | Puma SE | 112,322 | |||||||||
3,368,583 | |||||||||||
THRIFTS & MORTGAGE FINANCE - 0.1% | |||||||||||
10,997 | Deutsche Pfandbriefbank AG (a) | 179,731 | |||||||||
TOBACCO - 0.7% | |||||||||||
16,986 | British American Tobacco PLC | 727,159 | |||||||||
28,200 | Gudang Garam TBK PT | 107,661 | |||||||||
700 | Imperial Brands PLC | 17,331 | |||||||||
5,600 | Japan Tobacco, Inc. | 125,346 | |||||||||
977,497 | |||||||||||
TRADING COMPANIES & DISTRIBUTORS - 0.6% | |||||||||||
5,219 | Ashtead Group PLC | 166,901 | |||||||||
16,976 | Barloworld Ltd. | 136,854 | |||||||||
322 | Bunzl PLC | 8,809 | |||||||||
4,000 | ITOCHU Corp. | 93,287 | |||||||||
17,800 | Marubeni Corp. | 132,769 | |||||||||
2,700 | Mitsubishi Corp. | 72,050 | |||||||||
432 | Posco International Corp.* | 6,967 | |||||||||
21,330 | Rexel SA | 283,604 | |||||||||
5,000 | Sojitz Corp. | 16,195 | |||||||||
1,200 | Sumitomo Corp. | 17,932 | |||||||||
935,368 | |||||||||||
TRANSPORTATION INFRASTRUCTURE - 0.2% | |||||||||||
501 | Aena SME SA (a) | 95,885 | |||||||||
449 | Flughafen Zurich AG | 81,932 | |||||||||
1,800 | Grupo Aeroportuario del Centro Norte SAB de CV, Class B | 13,493 | |||||||||
3,500 | Mitsubishi Logistics Corp. | 91,691 | |||||||||
1,900 | Shanghai International Airport Co. Ltd., Class A | 21,480 | |||||||||
9,500 | Shenzhen International Holdings Ltd. | 20,873 | |||||||||
325,354 | |||||||||||
WATER UTILITIES - 0.1% | |||||||||||
2,997 | Severn Trent PLC | 99,852 |
Shares/ Principal | Fair Value | ||||||||||
WIRELESS TELECOMMUNICATION SERVICES - 1.7% | |||||||||||
5,600 | Advanced Info Service PCL, NVDR | $ | 39,821 | ||||||||
532,300 | America Movil SAB de CV | 425,637 | |||||||||
32,000 | China Mobile Ltd. | 269,001 | |||||||||
4,146 | Freenet AG | 95,125 | |||||||||
15,400 | KDDI Corp. | 460,972 | |||||||||
3,291 | Mobile TeleSystems PJSC, ADR | 33,404 | |||||||||
200 | NTT DOCOMO, Inc. | 5,591 | |||||||||
9,965 | Rogers Communications, Inc., Class B | 495,503 | |||||||||
354,200 | Vodafone Group PLC | 688,637 | |||||||||
2,513,691 | |||||||||||
TOTAL COMMON STOCKS (Cost - $127,480,156) | 134,871,513 | ||||||||||
EXCHANGE TRADED FUNDS - 6.0% | |||||||||||
EQUITY FUNDS - 6.0% | |||||||||||
106,335 | iShares MSCI India ETF | 3,737,675 | |||||||||
104,838 | iShares MSCI Taiwan ETF | 4,311,987 | |||||||||
31,919 | iShares MSCI Turkey ETF | 864,686 | |||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $7,942,516) | 8,914,348 | ||||||||||
RIGHTS - 0.0%† | |||||||||||
21,763 | Repsol SA, expires 2/7/20 (Cost - $10,277)* | 10,333 | |||||||||
SHORT-TERM INVESTMENTS - 0.4% | |||||||||||
MONEY MARKET FUNDS - 0.4% | |||||||||||
633,626 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (b) (Cost - $633,626) | 633,626 | |||||||||
TOTAL INVESTMENTS - 97.2% (Cost - $136,066,575) | $ | 144,429,820 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET 2.8% | 4,160,090 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 148,589,910 |
* 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 $1,462,990 or 1.0% of net assets.
(b) The rate shown is the annualized seven-day yield at period end.
ADR - American Depositary Receipt
BHD - Bahraini Dinar
CVA - Certificate Van Aandelen (Bearer)
ETF - Exchange Traded Fund
GDR - Global Depositary Receipt
NVDR - Non-Voting Depositary Receipt
PLC - Public Limited Company
REIT - Real Estate Investment Trust
See accompanying notes to financial statements.
35
Global Atlantic BlackRock Disciplined International Core 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 Stoxx 50 Index Future | Goldman Sachs & Co. | 33 | 3/20/2020 | $ | 1,381,315 | $ | (2,840 | ) | |||||||||||||||
FTSE 100 Index Future | HSBC Securities, Inc. | 5 | 3/20/2020 | 496,715 | 2,550 | ||||||||||||||||||
MSCI Emerging Market Index Future | Goldman Sachs & Co. | 13 | 3/20/2020 | 728,130 | 13,940 | ||||||||||||||||||
Nikkei Index Future | UBS Securities LLC | 10 | 3/12/2020 | 1,077,755 | 635 | ||||||||||||||||||
S&P/TSX 60 Index Future | RBC Capital Markets LLC | 2 | 3/19/2020 | 312,288 | 121 | ||||||||||||||||||
SPI 200 Index Future | JP Morgan Securities LLC | 2 | 3/19/2020 | 232,079 | (6,362 | ) | |||||||||||||||||
TOTAL NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $ | 8,044 |
See accompanying notes to financial statements.
36
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide long-term capital appreciation.
Management Review
The Portfolio is sub-advised by BlackRock Investment Management, LLC ("BlackRock").
How did the Portfolio perform during the period?
During 2019, the Class I shares of Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio underperformed its reference benchmark, the Russell Midcap® Growth Index. The Portfolio posted a return of 32.68% compared to a benchmark return of 35.47%, a difference of -279 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
BlackRock's Scientific Active Equity ("SAE") process systematically tracks and ranks the characteristics of companies in order to seek to construct a portfolio that has the best trade-off between returns, risk and costs. The SAE investment model groups the universe of securities based on an analysis of a wide range of factors, such as relative value ("Value"), earnings quality ("Quality"), market sentiment ("Sentiment"), and thematic insights. Value insights seek to incorporate, where appropriate, asset value, sales, earnings and cash flow forecasts over short and long periods. Quality measures aim to assess the sustainability of earnings and the quality of corporate management by investigating company financials as well as other company statements. Sentiment criteria seek to infer information about a company's value from changes in analysts' forecasts, linkages between companies, management decisions and the behavior of other market participants in equities and other securities markets. And lastly, thematic insights seek to identify and exploit commonalities among groups of stocks that are believed to drive prices but that currently appear to be less obvious to the market.
Relative Portfolio performance was challenged for the trailing 1-year period, with the bulk of the underperformance coming in the second half of the year. One of the primary drivers of underperformance was the Portfolio's Sentiment insights. Though these investment signals were additive through the first half of the year, they struggled in the second half of the year amid increased market volatility. A series of inflection points, largely motivated by shifts in global trade conversations and central bank policy, created a difficult environment for the Portfolio's trend-based insights. Cross-market Sentiment insights also struggled throughout much of the year. From a sector standpoint, the Portfolio's Sentiment- based insights were least effective in select cyclical sectors, specifically the financials and communication services sectors.
Insights evaluating company fundamentals further detracted throughout the year. Value insights were especially challenged early in the year, as investors sought out speculative growth opportunities at the expense of company fundamentals. In the final months of the year, investor mentality shifted as they began to seek out pockets of relative value, leading to a slight performance improvement for this group of signals. Despite the modest rebound in performance late in the year, in aggregate, the Portfolio's relative Value insights were some of the most significant detractors from relative returns for the year. In contrast, the Portfolio's Quality insights were broadly mixed, with select insights adding meaningfully to relative returns and providing stability to performance among fundamental signals. Stronger performance among the Portfolio's Quality insights was unsurprising given investor preference for sustainable, high-quality businesses amidst increased market uncertainty.
The Portfolio's macro thematic insights further detracted from relative returns throughout the year. After experiencing mixed results through the first half of the year, select industry timing insights struggled during the second half of the year. Of note, while the Portfolio targets a relatively sector- and industry-neutral approach, a modest underweight position in the semiconductors and semiconductors equipment industry was a drag on relative performance, as the industry outperformed the broader market in 2019. In a similar vein, being poorly positioned in the banking and the media industries led to further performance challenges over the course of the year.
37
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
How was the Portfolio positioned at period end?
From a sector positioning perspective, the Portfolio remains largely sector neutral. The Portfolio had slight overweight positions in the communication services and industrials sectors and slight underweight positions in the information technology and consumer discretionary sectors. As the SAE team seeks to maintain a style neutral approach, the Portfolio did not have any outsized active exposures to any particular style or factor.
The Portfolio's performance figures for the periods ended December 31, 2019 as compared to its benchmark:
Annualized | Operating Expense** | ||||||||||||||||||||||
Inception Date* | One Year | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | |||||||||||||||||||||||
Class I | November 1, 2017 | 32.68 | % | 14.13 | % | 0.66 | % | 0.63 | % | ||||||||||||||
Class II | November 1, 2017 | 32.48 | % | 13.90 | % | 0.91 | % | 0.88 | % | ||||||||||||||
Russell Midcap® Growth Index (Total Return) | 35.47 | % | 14.68 | % |
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.
* Commencement of operations is November 6, 2017.
** The estimated operating expense ratios for Class I and 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. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
The Russell Midcap® Growth Index (Total Return) is an unmanaged index that consists of the bottom 800 securities of the Russell 1000® Index with greater-than-average growth orientation as ranked by total market capitalization. It is not possible to invest directly in an index.
Comparison of the Change in Value of a $10,000 Investment
38
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
Holdings by Asset Class | % of Net Assets | ||||||
Common Stocks | 98.8 | % | |||||
Short-Term Investments | 1.1 | % | |||||
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.
Derivative exposure is included in "Other Assets Less Liabilities - Net".
39
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
COMMON STOCKS - 98.8% | |||||||||||
AEROSPACE & DEFENSE - 2.8% | |||||||||||
332 | Curtiss-Wright Corp. | $ | 46,775 | ||||||||
8,749 | HEICO Corp. | 998,698 | |||||||||
9,718 | HEICO Corp., Class A | 870,053 | |||||||||
14,406 | Hexcel Corp. | 1,056,104 | |||||||||
1,903 | L3Harris Technologies, Inc. | 376,547 | |||||||||
856 | Lockheed Martin Corp. | 333,309 | |||||||||
1,835 | Teledyne Technologies, Inc.* | 635,901 | |||||||||
1,763 | TransDigm Group, Inc. | 987,280 | |||||||||
5,304,667 | |||||||||||
AIR FREIGHT & LOGISTICS - 0.3% | |||||||||||
1,456 | C.H. Robinson Worldwide, Inc. | 113,859 | |||||||||
5,025 | Expeditors International of Washington, Inc. | 392,051 | |||||||||
302 | XPO Logistics, Inc.* | 24,069 | |||||||||
529,979 | |||||||||||
AIRLINES - 0.5% | |||||||||||
8,050 | Alaska Air Group, Inc. | 545,388 | |||||||||
4,346 | United Airlines Holdings, Inc.* | 382,839 | |||||||||
928,227 | |||||||||||
AUTO COMPONENTS - 0.0%† | |||||||||||
2,329 | Goodyear Tire & Rubber Co. (The) | 36,228 | |||||||||
BANKS - 0.4% | |||||||||||
12,025 | CIT Group, Inc. | 548,701 | |||||||||
442 | East West Bancorp, Inc. | 21,525 | |||||||||
88 | SVB Financial Group* | 22,091 | |||||||||
2,644 | Synovus Financial Corp. | 103,645 | |||||||||
695,962 | |||||||||||
BEVERAGES - 0.2% | |||||||||||
591 | Brown-Forman Corp., Class A | 37,097 | |||||||||
5,349 | Brown-Forman Corp., Class B | 361,592 | |||||||||
398,689 | |||||||||||
BIOTECHNOLOGY - 4.5% | |||||||||||
685 | Alexion Pharmaceuticals, Inc.* | 74,083 | |||||||||
1,705 | Alnylam Pharmaceuticals, Inc.* | 196,365 | |||||||||
9,764 | BioMarin Pharmaceutical, Inc.* | 825,546 | |||||||||
4,468 | Exact Sciences Corp.* | 413,200 | |||||||||
21,934 | Exelixis, Inc.* | 386,477 | |||||||||
24,448 | Gilead Sciences, Inc. | 1,588,631 | |||||||||
18,047 | Incyte Corp.* | 1,575,864 | |||||||||
13,385 | Ionis Pharmaceuticals, Inc.* | 808,588 | |||||||||
2,225 | Moderna, Inc.* | 43,521 | |||||||||
5,233 | Neurocrine Biosciences, Inc.* | 562,495 | |||||||||
1,044 | Regeneron Pharmaceuticals, Inc.* | 392,001 | |||||||||
959 | Sarepta Therapeutics, Inc.* | 123,749 |
Shares/ Principal | Fair Value | ||||||||||
BIOTECHNOLOGY - 4.5% (Continued) | |||||||||||
7,235 | Seattle Genetics, Inc.* | $ | 826,671 | ||||||||
2,983 | United Therapeutics Corp.* | 262,743 | |||||||||
2,866 | Vertex Pharmaceuticals, Inc.* | 627,511 | |||||||||
8,707,445 | |||||||||||
BUILDING PRODUCTS - 1.6% | |||||||||||
20,963 | Allegion PLC | 2,610,732 | |||||||||
1,418 | Lennox International, Inc. | 345,950 | |||||||||
4,466 | Resideo Technologies, Inc.* | 53,279 | |||||||||
3,009,961 | |||||||||||
CAPITAL MARKETS - 3.2% | |||||||||||
1,282 | Affiliated Managers Group, Inc. | 108,637 | |||||||||
2,694 | Charles Schwab Corp. (The) | 128,127 | |||||||||
6,456 | Evercore, Inc., Class A | 482,650 | |||||||||
5,971 | FactSet Research Systems, Inc. | 1,602,019 | |||||||||
1,010 | Interactive Brokers Group, Inc., Class A | 47,086 | |||||||||
4,487 | LPL Financial Holdings, Inc. | 413,926 | |||||||||
1,708 | MarketAxess Holdings, Inc. | 647,520 | |||||||||
2,660 | Morningstar, Inc. | 402,485 | |||||||||
3,829 | MSCI, Inc. | 988,571 | |||||||||
1,871 | S&P Global, Inc. | 510,876 | |||||||||
8,125 | SEI Investments Co. | 532,025 | |||||||||
869 | Stifel Financial Corp. | 52,705 | |||||||||
1,431 | T Rowe Price Group, Inc. | 174,353 | |||||||||
1,944 | TD Ameritrade Holding Corp. | 96,617 | |||||||||
6,187,597 | |||||||||||
CHEMICALS - 0.5% | |||||||||||
4,233 | CF Industries Holdings, Inc. | 202,083 | |||||||||
4,920 | Mosaic Co. (The) | 106,469 | |||||||||
5,353 | Scotts Miracle-Gro Co. (The) | 568,382 | |||||||||
876,934 | |||||||||||
COMMERCIAL SERVICES & SUPPLIES - 1.7% | |||||||||||
6,712 | Cintas Corp. | 1,806,065 | |||||||||
14,276 | Copart, Inc.* | 1,298,259 | |||||||||
3,579 | IAA, Inc.* | 168,428 | |||||||||
3,272,752 | |||||||||||
COMMUNICATIONS EQUIPMENT - 1.2% | |||||||||||
2,087 | Arista Networks, Inc.* | 424,496 | |||||||||
6,371 | Ciena Corp.* | 271,978 | |||||||||
2,622 | F5 Networks, Inc.* | 366,162 | |||||||||
7,771 | Motorola Solutions, Inc. | 1,252,219 | |||||||||
2,314,855 | |||||||||||
CONSTRUCTION & ENGINEERING - 0.2% | |||||||||||
5,357 | Fluor Corp. | 101,140 | |||||||||
5,834 | MasTec, Inc.* | 374,310 | |||||||||
475,450 |
See accompanying notes to financial statements.
40
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
CONSTRUCTION MATERIALS - 0.9% | |||||||||||
2,028 | Martin Marietta Materials, Inc. | $ | 567,110 | ||||||||
7,908 | Vulcan Materials Co. | 1,138,673 | |||||||||
1,705,783 | |||||||||||
CONSUMER FINANCE - 0.2% | |||||||||||
5,307 | Ally Financial, Inc. | 162,182 | |||||||||
592 | Credit Acceptance Corp.* | 261,859 | |||||||||
1,000 | Green Dot Corp., Class A* | 23,300 | |||||||||
447,341 | |||||||||||
CONTAINERS & PACKAGING - 0.6% | |||||||||||
1,837 | AptarGroup, Inc. | 212,394 | |||||||||
1,754 | Avery Dennison Corp. | 229,458 | |||||||||
9,928 | Ball Corp. | 642,044 | |||||||||
1,821 | Westrock Co. | 78,139 | |||||||||
1,162,035 | |||||||||||
DISTRIBUTORS - 0.4% | |||||||||||
3,883 | Pool Corp. | 824,671 | |||||||||
DIVERSIFIED CONSUMER SERVICES - 0.8% | |||||||||||
5,616 | Bright Horizons Family Solutions, Inc.* | 844,029 | |||||||||
26,577 | H&R Block, Inc. | 624,028 | |||||||||
1,468,057 | |||||||||||
ELECTRICAL EQUIPMENT - 2.0% | |||||||||||
16,247 | AMETEK, Inc. | 1,620,476 | |||||||||
7,707 | Hubbell, Inc. | 1,139,248 | |||||||||
5,261 | Rockwell Automation, Inc. | 1,066,247 | |||||||||
3,825,971 | |||||||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 3.2% | |||||||||||
1,005 | Avnet, Inc. | 42,652 | |||||||||
21,087 | CDW Corp. | 3,012,067 | |||||||||
1,470 | Cognex Corp. | 82,379 | |||||||||
11,334 | Keysight Technologies, Inc.* | 1,163,208 | |||||||||
21,406 | National Instruments Corp. | 906,330 | |||||||||
3,540 | Zebra Technologies Corp., Class A* | 904,258 | |||||||||
6,110,894 | |||||||||||
ENERGY EQUIPMENT & SERVICES - 0.0%† | |||||||||||
2,265 | Patterson-UTI Energy, Inc. | 23,782 | |||||||||
ENTERTAINMENT - 2.1% | |||||||||||
1,058 | Cinemark Holdings, Inc. | 35,813 | |||||||||
12,149 | Live Nation Entertainment, Inc.* | 868,289 | |||||||||
2,456 | Roku, Inc.* | 328,858 | |||||||||
7,380 | Spotify Technology SA* | 1,103,679 | |||||||||
7,750 | Take-Two Interactive Software, Inc.* | 948,833 | |||||||||
136,569 | Zynga, Inc., Class A* | 835,802 | |||||||||
4,121,274 |
Shares/ Principal | Fair Value | ||||||||||
EQUITY REAL ESTATE INVESTMENT - 2.1% | |||||||||||
3,371 | Extra Space Storage, Inc. | $ | 356,045 | ||||||||
16,571 | Lamar Advertising Co., Class A | 1,479,128 | |||||||||
8,945 | Outfront Media, Inc. | 239,905 | |||||||||
7,386 | Park Hotels & Resorts, Inc. | 191,076 | |||||||||
6,163 | SBA Communications Corp. | 1,485,221 | |||||||||
3,939 | UDR, Inc. | 183,951 | |||||||||
3,935,326 | |||||||||||
FOOD & STAPLES RETAILING - 0.1% | |||||||||||
402 | Costco Wholesale Corp. | 118,156 | |||||||||
2,181 | Performance Food Group Co.* | 112,278 | |||||||||
230,434 | |||||||||||
FOOD PRODUCTS - 1.6% | |||||||||||
16,609 | Hershey Co. (The) | 2,441,191 | |||||||||
3,425 | McCormick & Co., Inc. | 581,325 | |||||||||
3,022,516 | |||||||||||
HEALTH CARE EQUIPMENT & SUPPLIES - 6.1% | |||||||||||
2,638 | ABIOMED, Inc.* | 450,017 | |||||||||
3,837 | Align Technology, Inc.* | 1,070,677 | |||||||||
7,237 | DexCom, Inc.* | 1,583,021 | |||||||||
1,315 | Edwards Lifesciences Corp.* | 306,776 | |||||||||
718 | Envista Holdings Corp.* | 21,282 | |||||||||
2,329 | Hill-Rom Holdings, Inc. | 264,411 | |||||||||
34,258 | Hologic, Inc.* | 1,788,610 | |||||||||
9,303 | IDEXX Laboratories, Inc.* | 2,429,293 | |||||||||
4,091 | Insulet Corp.* | 700,379 | |||||||||
6,837 | Masimo Corp.* | 1,080,656 | |||||||||
2,574 | Penumbra, Inc.* | 422,831 | |||||||||
2,859 | ResMed, Inc. | 443,059 | |||||||||
22,169 | SmileDirectClub, Inc.* | 193,757 | |||||||||
533 | STERIS PLC | 81,240 | |||||||||
795 | Stryker Corp. | 166,902 | |||||||||
3,726 | Varian Medical Systems, Inc.* | 529,129 | |||||||||
1,441 | West Pharmaceutical Services, Inc. | 216,626 | |||||||||
11,748,666 | |||||||||||
HEALTH CARE PROVIDERS & SERVICES - 2.3% | |||||||||||
14,680 | AmerisourceBergen Corp. | 1,248,094 | |||||||||
339 | Anthem, Inc. | 102,388 | |||||||||
18,945 | Centene Corp.* | 1,191,072 | |||||||||
1,741 | Chemed Corp. | 764,752 | |||||||||
1,298 | McKesson Corp. | 179,539 | |||||||||
2,753 | WellCare Health Plans, Inc.* | 909,068 | |||||||||
4,394,913 | |||||||||||
HEALTH CARE TECHNOLOGY - 0.9% | |||||||||||
12,795 | Veeva Systems, Inc., Class A* | 1,799,745 |
See accompanying notes to financial statements.
41
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
HOTELS, RESTAURANTS & LEISURE - 4.6% | |||||||||||
7,325 | Boyd Gaming Corp. | $ | 219,311 | ||||||||
1,873 | Chipotle Mexican Grill, Inc.* | 1,567,907 | |||||||||
19,601 | Choice Hotels International, Inc. | 2,027,331 | |||||||||
16,689 | Darden Restaurants, Inc. | 1,819,268 | |||||||||
1,894 | Domino's Pizza, Inc. | 556,419 | |||||||||
10,846 | Dunkin' Brands Group, Inc. | 819,307 | |||||||||
4,836 | Extended Stay America, Inc. | 71,863 | |||||||||
13,190 | Penn National Gaming, Inc.* | 337,136 | |||||||||
2,618 | Texas Roadhouse, Inc. | 147,446 | |||||||||
2,758 | Vail Resorts, Inc. | 661,451 | |||||||||
3,777 | Wynn Resorts Ltd. | 524,512 | |||||||||
2,392 | Yum China Holdings, Inc. | 114,840 | |||||||||
8,866,791 | |||||||||||
HOUSEHOLD DURABLES - 0.7% | |||||||||||
7,356 | DR Horton, Inc. | 388,029 | |||||||||
10,399 | Lennar Corp., Class A | 580,160 | |||||||||
3,978 | Tempur Sealy International, Inc.* | 346,325 | |||||||||
1,314,514 | |||||||||||
HOUSEHOLD PRODUCTS - 1.0% | |||||||||||
28,080 | Church & Dwight Co., Inc. | 1,975,147 | |||||||||
INDUSTRIAL CONGLOMERATES - 0.4% | |||||||||||
4,200 | Carlisle Cos., Inc. | 679,728 | |||||||||
INSURANCE - 0.9% | |||||||||||
9,191 | Arthur J Gallagher & Co. | 875,259 | |||||||||
12,188 | Brown & Brown, Inc. | 481,182 | |||||||||
493 | Erie Indemnity Co., Class A | 81,838 | |||||||||
4,638 | First American Financial Corp. | 270,488 | |||||||||
1,708,767 | |||||||||||
INTERACTIVE MEDIA & SERVICES - 1.4% | |||||||||||
1,136 | Cargurus, Inc.* | 39,965 | |||||||||
2,753 | Match Group, Inc.* | 226,049 | |||||||||
4,985 | Pinterest, Inc., Class A* | 92,920 | |||||||||
21,177 | TripAdvisor, Inc. | 643,357 | |||||||||
49,906 | Twitter, Inc.* | 1,599,487 | |||||||||
2,932 | Yelp, Inc.* | 102,122 | |||||||||
2,703,900 | |||||||||||
INTERNET & DIRECT MARKETING RETAIL - 0.6% | |||||||||||
9,330 | Etsy, Inc.* | 413,319 | |||||||||
3,445 | Expedia Group, Inc. | 372,542 | |||||||||
8,534 | Qurate Retail, Inc.* | 71,942 | |||||||||
3,745 | Wayfair, Inc., Class A* | 338,436 | |||||||||
1,196,239 | |||||||||||
IT SERVICES - 10.9% | |||||||||||
3,231 | Akamai Technologies, Inc.* | 279,094 | |||||||||
2,067 | Automatic Data Processing, Inc. | 352,424 |
Shares/ Principal | Fair Value | ||||||||||
IT SERVICES - 10.9% (Continued) | |||||||||||
911 | Booz Allen Hamilton Holding Corp. | $ | 64,799 | ||||||||
18,465 | Broadridge Financial Solutions, Inc. | 2,281,166 | |||||||||
1,110 | EPAM Systems, Inc.* | 235,498 | |||||||||
182 | Euronet Worldwide, Inc.* | 28,676 | |||||||||
29,415 | Fiserv, Inc.* | 3,401,256 | |||||||||
1,128 | FleetCor Technologies, Inc.* | 324,548 | |||||||||
3,318 | Genpact Ltd. | 139,920 | |||||||||
13,718 | Global Payments, Inc. | 2,504,358 | |||||||||
21,727 | GoDaddy, Inc., Class A* | 1,475,698 | |||||||||
11,496 | Jack Henry & Associates, Inc. | 1,674,622 | |||||||||
4,047 | Mastercard, Inc., Class A | 1,208,394 | |||||||||
2,510 | Okta, Inc.* | 289,579 | |||||||||
43,463 | Paychex, Inc. | 3,696,963 | |||||||||
23,775 | Square, Inc., Class A* | 1,487,364 | |||||||||
3,939 | Twilio, Inc., Class A* | 387,125 | |||||||||
5,730 | VeriSign, Inc.* | 1,104,056 | |||||||||
20,935,540 | |||||||||||
LEISURE PRODUCTS - 0.1% | |||||||||||
2,118 | Hasbro, Inc. | 223,682 | |||||||||
414 | Polaris, Inc. | 42,104 | |||||||||
265,786 | |||||||||||
LIFE SCIENCES TOOLS & SERVICES - 1.2% | |||||||||||
244 | Bio-Techne Corp. | 53,561 | |||||||||
2,002 | Bruker Corp. | 102,042 | |||||||||
267 | IQVIA Holdings, Inc.* | 41,254 | |||||||||
1,398 | Mettler-Toledo International, Inc.* | 1,109,005 | |||||||||
4,716 | PRA Health Sciences, Inc.* | 524,183 | |||||||||
1,906 | Waters Corp.* | 445,337 | |||||||||
2,275,382 | |||||||||||
MACHINERY - 3.9% | |||||||||||
655 | AGCO Corp. | 50,599 | |||||||||
12,274 | Allison Transmission Holdings, Inc. | 593,079 | |||||||||
11,475 | Graco, Inc. | 596,700 | |||||||||
7,286 | IDEX Corp. | 1,253,192 | |||||||||
13,228 | Ingersoll-Rand PLC | 1,758,266 | |||||||||
7,212 | Oshkosh Corp. | 682,616 | |||||||||
16,040 | PACCAR, Inc. | 1,268,764 | |||||||||
3,018 | Woodward, Inc. | 357,452 | |||||||||
10,595 | Xylem, Inc. | 834,780 | |||||||||
7,395,448 | |||||||||||
MEDIA - 2.0% | |||||||||||
18,323 | Altice USA, Inc., Class A* | 500,951 | |||||||||
10,794 | AMC Networks, Inc., Class A* | 426,363 | |||||||||
31,454 | Interpublic Group of Cos., Inc. (The) | 726,587 | |||||||||
302 | Omnicom Group, Inc. | 24,468 | |||||||||
5,181 | Sinclair Broadcast Group, Inc., Class A | 172,735 | |||||||||
252,788 | Sirius XM Holdings, Inc. | 1,807,434 | |||||||||
4,458 | ViacomCBS, Inc., Class B | 187,102 | |||||||||
3,845,640 |
See accompanying notes to financial statements.
42
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
METALS & MINING - 0.2% | |||||||||||
14,963 | Alcoa Corp.* | $ | 321,854 | ||||||||
414 | Reliance Steel & Aluminum Co. | 49,581 | |||||||||
702 | Royal Gold, Inc. | 85,819 | |||||||||
457,254 | |||||||||||
MULTILINE RETAIL - 1.8% | |||||||||||
20,612 | Dollar General Corp. | 3,215,060 | |||||||||
3,934 | Nordstrom, Inc. | 161,018 | |||||||||
3,376,078 | |||||||||||
OIL, GAS & CONSUMABLE FUELS - 0.6% | |||||||||||
11,038 | Cabot Oil & Gas Corp. | 192,172 | |||||||||
14,783 | Continental Resources, Inc. | 507,057 | |||||||||
15,906 | Marathon Oil Corp. | 216,003 | |||||||||
3,228 | Marathon Petroleum Corp. | 194,487 | |||||||||
1,109,719 | |||||||||||
PAPER & FOREST PRODUCTS - 0.2% | |||||||||||
11,319 | Domtar Corp. | 432,839 | |||||||||
PERSONAL PRODUCTS - 0.2% | |||||||||||
1,564 | Estee Lauder Cos., Inc. (The), Class A | 323,029 | |||||||||
PHARMACEUTICALS - 0.5% | |||||||||||
5,369 | Jazz Pharmaceuticals PLC* | 801,485 | |||||||||
7,903 | Mylan NV* | 158,850 | |||||||||
960,335 | |||||||||||
PROFESSIONAL SERVICES - 3.1% | |||||||||||
2,506 | CoStar Group, Inc.* | 1,499,340 | |||||||||
15,282 | IHS Markit Ltd.* | 1,151,499 | |||||||||
25,469 | Robert Half International, Inc. | 1,608,367 | |||||||||
9,870 | TransUnion | 844,971 | |||||||||
5,202 | Verisk Analytics, Inc. | 776,866 | |||||||||
5,881,043 | |||||||||||
ROAD & RAIL - 0.8% | |||||||||||
10,309 | Landstar System, Inc. | 1,173,886 | |||||||||
1,817 | Lyft, Inc., Class A* | 78,167 | |||||||||
1,511 | Old Dominion Freight Line, Inc. | 286,758 | |||||||||
1,538,811 | |||||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 5.7% | |||||||||||
57,874 | Advanced Micro Devices, Inc.* | 2,654,102 | |||||||||
2,205 | Applied Materials, Inc. | 134,593 | |||||||||
5,418 | Cirrus Logic, Inc.* | 446,497 | |||||||||
6,922 | Entegris, Inc. | 346,723 | |||||||||
3,917 | KLA Corp. | 697,892 | |||||||||
13,826 | Lam Research Corp. | 4,042,722 | |||||||||
5,158 | Maxim Integrated Products, Inc. | 317,269 | |||||||||
672 | Monolithic Power Systems, Inc. | 119,629 | |||||||||
504 | Skyworks Solutions, Inc. | 60,924 | |||||||||
10,739 | Teradyne, Inc. | 732,292 |
Shares/ Principal | Fair Value | ||||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 5.7% (Continued) | |||||||||||
2,742 | Universal Display Corp. | $ | 565,044 | ||||||||
8,301 | Xilinx, Inc. | 811,589 | |||||||||
10,929,276 | |||||||||||
SOFTWARE - 10.8% | |||||||||||
2,180 | ANSYS, Inc.* | 561,154 | |||||||||
5,381 | Atlassian Corp. PLC, Class A* | 647,550 | |||||||||
2,085 | Avalara, Inc.* | 152,726 | |||||||||
24,850 | Cadence Design Systems, Inc.* | 1,723,596 | |||||||||
7,151 | Cloudflare, Inc., Class A* | 121,996 | |||||||||
2,713 | Coupa Software, Inc.* | 396,776 | |||||||||
10,389 | DocuSign, Inc.* | 769,929 | |||||||||
27,599 | Dropbox, Inc., Class A* | 494,298 | |||||||||
3,162 | Elastic NV* | 203,317 | |||||||||
1,483 | Fair Isaac Corp.* | 555,650 | |||||||||
11,614 | Fortinet, Inc.* | 1,239,911 | |||||||||
2,305 | HubSpot, Inc.* | 365,342 | |||||||||
3,163 | Intuit, Inc. | 828,485 | |||||||||
13,308 | Manhattan Associates, Inc.* | 1,061,313 | |||||||||
2,572 | New Relic, Inc.* | 169,006 | |||||||||
9,844 | Nutanix, Inc., Class A* | 307,723 | |||||||||
5,457 | Palo Alto Networks, Inc.* | 1,261,931 | |||||||||
4,817 | Paycom Software, Inc.* | 1,275,349 | |||||||||
12,404 | Paylocity Holding Corp.* | 1,498,651 | |||||||||
3,320 | Pluralsight, Inc., Class A* | 57,137 | |||||||||
3,029 | Proofpoint, Inc.* | 347,669 | |||||||||
2,367 | RealPage, Inc.* | 127,226 | |||||||||
5,562 | RingCentral, Inc., Class A* | 938,143 | |||||||||
3,517 | ServiceNow, Inc.* | 992,919 | |||||||||
6,083 | Splunk, Inc.* | 911,051 | |||||||||
11,590 | SS&C Technologies Holdings, Inc. | 711,626 | |||||||||
9,420 | Synopsys, Inc.* | 1,311,264 | |||||||||
11,509 | Teradata Corp.* | 308,096 | |||||||||
2,409 | Trade Desk, Inc. (The), Class A* | 625,810 | |||||||||
2,619 | Workday, Inc., Class A* | 430,695 | |||||||||
2,858 | Zendesk, Inc.* | 219,009 | |||||||||
2,162 | Zscaler, Inc.* | 100,533 | |||||||||
20,715,881 | |||||||||||
SPECIALTY RETAIL - 3.4% | |||||||||||
811 | AutoNation, Inc.* | 39,439 | |||||||||
1,534 | AutoZone, Inc.* | 1,827,469 | |||||||||
2,613 | Burlington Stores, Inc.* | 595,842 | |||||||||
5,529 | CarMax, Inc.* | 484,727 | |||||||||
4,869 | O'Reilly Automotive, Inc.* | 2,133,888 | |||||||||
9,165 | Tractor Supply Co. | 856,378 | |||||||||
2,340 | Ulta Beauty, Inc.* | 592,348 | |||||||||
6,530,091 |
See accompanying notes to financial statements.
43
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS - 0.9% | |||||||||||
1,055 | Dell Technologies, Inc., Class C* | $ | 54,217 | ||||||||
4,746 | NCR Corp.* | 166,869 | |||||||||
18,457 | NetApp, Inc. | 1,148,948 | |||||||||
17,661 | Pure Storage, Inc., Class A* | 302,180 | |||||||||
1,672,214 | |||||||||||
TEXTILES, APPAREL & LUXURY GOODS - 1.4% | |||||||||||
9,702 | Lululemon Athletica, Inc.* | 2,247,662 | |||||||||
992 | Ralph Lauren Corp. | 116,282 | |||||||||
3,231 | Skechers U.S.A., Inc., Class A* | 139,547 | |||||||||
5,496 | Under Armour, Inc., Class A* | 118,714 | |||||||||
7,615 | Under Armour, Inc., Class C* | 146,056 | |||||||||
2,768,261 | |||||||||||
THRIFTS & MORTGAGE FINANCE - 0.1% | |||||||||||
493 | LendingTree, Inc.* | 149,596 | |||||||||
TRADING COMPANIES & DISTRIBUTORS - 0.7% | |||||||||||
3,972 | GATX Corp. | 329,080 | |||||||||
898 | United Rentals, Inc.* | 149,759 | |||||||||
2,549 | WW Grainger, Inc. | 862,888 | |||||||||
1,341,727 |
Shares/ Principal | Fair Value | ||||||||||
WIRELESS TELECOMMUNICATION SERVICES - 0.3% | |||||||||||
9,981 | Telephone & Data Systems, Inc. | $ | 253,817 | ||||||||
9,565 | United States Cellular Corp.* | 346,540 | |||||||||
600,357 | |||||||||||
TOTAL COMMON STOCKS (Cost - $157,576,085) | 189,509,547 | ||||||||||
SHORT-TERM INVESTMENTS - 1.1% | |||||||||||
MONEY MARKET FUNDS - 1.1% | |||||||||||
2,099,513 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (a) (Cost - $2,099,513) | 2,099,513 | |||||||||
TOTAL INVESTMENTS - 99.9% (Cost - $159,675,598) | $ | 191,609,060 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET 0.1% | 125,654 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 191,734,714 |
* Non-income producing security.
† Represents less than 0.05%.
(a) The rate shown is the annualized seven-day yield at period end.
PLC - Public Limited Company
FUTURES CONTRACTS | |||||||||||||||||||||||
LONG FUTURES CONTRACTS | Counterparty | Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation | ||||||||||||||||||
S&P 500 E-Mini Future | UBS Securities LLC | 14 | 3/20/2020 | $ | 2,261,770 | $ | 35,430 |
See accompanying notes to financial statements.
44
Global Atlantic BlackRock Disciplined Small Cap Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide long-term capital appreciation.
Management Review
The Portfolio is sub-advised by BlackRock Investment Management, LLC ("BlackRock").
How did the Portfolio perform during the period?
During 2019, the Class I shares of Global Atlantic BlackRock Disciplined Small Cap Growth Portfolio outperformed its reference benchmark, the Russell 2000® Index. The Portfolio posted a return of 30.46% compared to a benchmark return of 25.52%, a difference of 494 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
BlackRock's Scientific Active Equity ("SAE") process systematically tracks and ranks the characteristics of companies in order to seek to construct a portfolio that has the best trade-off between returns, risk and costs. The SAE investment model groups the universe of securities based on an analysis of a wide range of factors, such as relative value ("Value"), earnings quality ("Quality"), market sentiment ("Sentiment"), and thematic insights. Value insights seek to incorporate, where appropriate, asset value, sales, earnings and cash flow forecasts over short and long periods. Quality measures aim to assess the sustainability of earnings and the quality of corporate management by investigating company financials as well as other company statements. Sentiment criteria seek to infer information about a company's value from changes in analysts' forecasts, linkages between companies, management decisions and the behavior of other market participants in equities and other securities markets. And lastly, thematic insights seek to identify and exploit commonalities among groups of stocks that are believed to drive prices but that currently appear to be less obvious to the market.
Relative performance over the trailing 1-year period was very strong, as the Portfolio outperformed its benchmark in all four quarters. Encouragingly, performance across both fundamental-based and Sentiment insights was tremendously additive throughout the year. Among insights evaluating company fundamentals, the Portfolio's Quality insights were especially positive, which was unsurprising given investor preference for sustainable, high-quality businesses amidst increased market uncertainty. Of note, conducting machine learned text analysis of company news filings was particularly additive. Evaluating companies on a series of long-term sustainability measures and identifying companies with attractive dividend growth trends were both beneficial as well, as they provided an alternative lens into company quality. Elsewhere, Value insights were broadly flat for the year. These signals detracted modestly early in the year, as investors sought out speculative growth opportunities at the expense of company fundamentals. However, performance of Value insights rebounded slightly towards the end of the year, as investor mentality shifted and they began to seek out areas of relative value.
Despite an increase in market volatility caused by a series of inflection points, the Portfolio's investment insights were able to successfully capture the sentiment of informed market participants, as the Portfolio's Sentiment insights further bolstered relative returns. Among Sentiment insights, using machine learned text analysis of company conference calls to identify management sentiment as well as to identify trends in longer-term company fundamentals was particularly beneficial. The Portfolios' Sentiment- based insights were most effective in the industrials and energy sectors. The Portfolio's macro thematic insights contributed modestly throughout the year. A signal measuring sensitivity to changes in foreign exchange rates was slightly positive, while the Portfolio's industry timing signals were generally mixed.
How was the Portfolio positioned at period end?
From a sector positioning perspective, the Portfolio remains largely sector neutral. The Portfolio had slight overweight positions in the information technology and consumer discretionary sectors and slight underweight positions in the financials and industrials sectors. As the SAE team seeks to maintain a style neutral approach, the Portfolio did not have any outsized active exposures to any particular style or factor.
45
Global Atlantic BlackRock Disciplined Small Cap 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 | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | |||||||||||||||||||||||
Class I | November 1, 2017 | 30.46 | % | 9.07 | % | 0.70 | % | 0.63 | % | ||||||||||||||
Class II | November 1, 2017 | 30.17 | % | 8.82 | % | 0.95 | % | 0.88 | % | ||||||||||||||
Russell 2000® Index (Total Return) | 25.52 | % | 6.77 | % |
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.
* Commencement of operations is November 6, 2017.
** The estimated operating expense ratios for Class I and 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. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
The Russell 2000® Index (Total Return) measures the performance of the small-capitalization sector of the U.S. equity market. 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 | ||||||
Common Stocks | 98.2 | % | |||||
Short-Term Investments | 1.7 | % | |||||
Rights | 0.0 | %† | |||||
Warrants | 0.0 | %† | |||||
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.
Derivative exposure is included in "Other Assets Less Liabilities - Net".
† Represents less than 0.05%.
46
Global Atlantic BlackRock Disciplined Small Cap Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
COMMON STOCKS - 98.2% | |||||||||||
AEROSPACE & DEFENSE - 0.8% | |||||||||||
454 | AAR Corp. | $ | 20,475 | ||||||||
433 | Aerojet Rocketdyne Holdings, Inc. | 19,771 | |||||||||
178 | Axon Enterprise, Inc.* | 13,044 | |||||||||
353 | Curtiss-Wright Corp. | 49,734 | |||||||||
331 | Mercury Systems, Inc.* | 22,876 | |||||||||
207 | Moog, Inc., Class A | 17,663 | |||||||||
178 | Parsons Corp.* | 7,348 | |||||||||
150,911 | |||||||||||
AIR FREIGHT & LOGISTICS - 0.3% | |||||||||||
245 | Atlas Air Worldwide Holdings, Inc.* | 6,755 | |||||||||
810 | Hub Group, Inc., Class A* | 41,545 | |||||||||
48,300 | |||||||||||
AIRLINES - 0.4% | |||||||||||
225 | SkyWest, Inc. | 14,542 | |||||||||
1,378 | Spirit Airlines, Inc.* | 55,547 | |||||||||
70,089 | |||||||||||
AUTO COMPONENTS - 1.2% | |||||||||||
866 | Adient PLC | 18,402 | |||||||||
1,150 | American Axle & Manufacturing Holdings, Inc. | 12,374 | |||||||||
348 | Cooper-Standard Holdings, Inc.* | 11,540 | |||||||||
2,773 | Dana, Inc. | 50,468 | |||||||||
259 | Fox Factory Holding Corp.* | 18,019 | |||||||||
414 | LCI Industries | 44,352 | |||||||||
486 | Standard Motor Products, Inc. | 25,865 | |||||||||
1,530 | Tenneco, Inc., Class A | 20,043 | |||||||||
309 | Visteon Corp. | 26,756 | |||||||||
227,819 | |||||||||||
BANKS - 8.8% | |||||||||||
371 | Ameris Bancorp | 15,782 | |||||||||
2,194 | Bancorp, Inc. (The)* | 28,456 | |||||||||
1,637 | Bank of Commerce Holdings | 18,940 | |||||||||
342 | BankFinancial Corp. | 4,473 | |||||||||
261 | Banner Corp. | 14,770 | |||||||||
2,038 | Boston Private Financial Holdings, Inc. | 24,517 | |||||||||
2,030 | Cadence BanCorp | 36,804 | |||||||||
879 | Capital City Bank Group, Inc. | 26,809 | |||||||||
329 | Carolina Financial Corp. | 14,223 | |||||||||
2,833 | Cathay General Bancorp | 107,796 | |||||||||
451 | CenterState Bank Corp. | 11,266 | |||||||||
2,652 | Community Bankers Trust Corp. | 23,550 | |||||||||
329 | Enterprise Bancorp, Inc. | 11,143 | |||||||||
3,140 | First Commonwealth Financial Corp. | 45,561 | |||||||||
312 | First Community Corp. | 6,742 | |||||||||
401 | First Financial Bankshares, Inc. | 14,075 | |||||||||
2,277 | First Financial Northwest, Inc. | 34,018 | |||||||||
388 | First Horizon National Corp. | 6,425 |
Shares/ Principal | Fair Value | ||||||||||
BANKS - 8.8% (Continued) | |||||||||||
321 | First Merchants Corp. | $ | 13,350 | ||||||||
48 | First Savings Financial Group, Inc. | 3,221 | |||||||||
120 | First United Corp. | 2,891 | |||||||||
1,332 | Glacier Bancorp, Inc. | 61,259 | |||||||||
269 | Hancock Whitney Corp. | 11,804 | |||||||||
1,960 | HBT Financial, Inc.* | 37,220 | |||||||||
1,449 | Heritage Commerce Corp. | 18,591 | |||||||||
2,097 | Home BancShares, Inc. | 41,227 | |||||||||
340 | IBERIABANK Corp. | 25,442 | |||||||||
1,667 | Independent Bank Corp. | 37,758 | |||||||||
1,176 | Independent Bank Group, Inc. | 65,197 | |||||||||
1,710 | Investors Bancorp, Inc. | 20,375 | |||||||||
740 | Lakeland Bancorp, Inc. | 12,861 | |||||||||
1,375 | Lakeland Financial Corp. | 67,279 | |||||||||
1,089 | Macatawa Bank Corp. | 12,121 | |||||||||
455 | MidWestOne Financial Group, Inc. | 16,485 | |||||||||
567 | National Bank Holdings Corp., Class A | 19,970 | |||||||||
756 | Opus Bank | 19,558 | |||||||||
3,616 | Pacific Mercantile Bancorp | 29,362 | |||||||||
218 | Preferred Bank | 13,100 | |||||||||
352 | Renasant Corp. | 12,468 | |||||||||
510 | Republic Bancorp, Inc., Class A | 23,868 | |||||||||
4,613 | Republic First Bancorp, Inc.* | 19,282 | |||||||||
2,046 | Sandy Spring Bancorp, Inc. | 77,502 | |||||||||
1,093 | Sierra Bancorp | 31,828 | |||||||||
1,126 | SmartFinancial, Inc. | 26,630 | |||||||||
719 | South Plains Financial, Inc. | 15,006 | |||||||||
622 | South State Corp. | 53,958 | |||||||||
279 | Southern First Bancshares, Inc.* | 11,855 | |||||||||
766 | Synovus Financial Corp. | 30,027 | |||||||||
75 | TriCo Bancshares | 3,061 | |||||||||
3,801 | TriState Capital Holdings, Inc.* | 99,282 | |||||||||
3,187 | United Community Banks, Inc. | 98,415 | |||||||||
1,170 | Univest Financial Corp. | 31,333 | |||||||||
347 | WesBanco, Inc. | 13,113 | |||||||||
1,154 | West Bancorporation, Inc. | 29,577 | |||||||||
1,068 | Wintrust Financial Corp. | 75,721 | |||||||||
1,627,347 | |||||||||||
BEVERAGES - 0.2% | |||||||||||
75 | Boston Beer Co., Inc. (The), Class A* | 28,339 | |||||||||
BIOTECHNOLOGY - 7.6% | |||||||||||
1,378 | ACADIA Pharmaceuticals, Inc.* | 58,951 | |||||||||
229 | Acceleron Pharma, Inc.* | 12,142 | |||||||||
1,186 | Achillion Pharmaceuticals, Inc.* | 7,152 | |||||||||
2,241 | Acorda Therapeutics, Inc.* | 4,572 | |||||||||
4,852 | Agenus, Inc.* | 19,748 | |||||||||
777 | Aimmune Therapeutics, Inc.* | 26,006 | |||||||||
2,123 | Akebia Therapeutics, Inc.* | 13,417 | |||||||||
350 | Allogene Therapeutics, Inc.* | 9,093 |
See accompanying notes to financial statements.
47
Global Atlantic BlackRock Disciplined Small Cap Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
BIOTECHNOLOGY - 7.6% (Continued) | |||||||||||
807 | AMAG Pharmaceuticals, Inc.* | $ | 9,821 | ||||||||
875 | Amicus Therapeutics, Inc.* | 8,522 | |||||||||
327 | AnaptysBio, Inc.* | 5,314 | |||||||||
292 | Apellis Pharmaceuticals, Inc.* | 8,941 | |||||||||
6,159 | Aptinyx, Inc.* | 21,064 | |||||||||
2,236 | Arcus Biosciences, Inc.* | 22,584 | |||||||||
323 | Arena Pharmaceuticals, Inc.* | 14,671 | |||||||||
825 | Arrowhead Pharmaceuticals, Inc.* | 52,330 | |||||||||
510 | Assembly Biosciences, Inc.* | 10,435 | |||||||||
298 | Atara Biotherapeutics, Inc.* | 4,908 | |||||||||
5,026 | Athersys, Inc.* | 6,182 | |||||||||
252 | Audentes Therapeutics, Inc.* | 15,080 | |||||||||
226 | Biohaven Pharmaceutical Holding Co. Ltd.* | 12,303 | |||||||||
152 | Blueprint Medicines Corp.* | 12,177 | |||||||||
1,099 | Calithera Biosciences, Inc.* | 6,275 | |||||||||
1,062 | ChemoCentryx, Inc.* | 42,002 | |||||||||
4,959 | Chimerix, Inc.* | 10,067 | |||||||||
1,167 | Coherus Biosciences, Inc.* | 21,012 | |||||||||
3,354 | Corvus Pharmaceuticals, Inc.* | 18,246 | |||||||||
905 | CytomX Therapeutics, Inc.* | 7,521 | |||||||||
332 | Deciphera Pharmaceuticals, Inc.* | 20,664 | |||||||||
375 | Denali Therapeutics, Inc.* | 6,532 | |||||||||
190 | Eagle Pharmaceuticals, Inc.* | 11,415 | |||||||||
313 | Editas Medicine, Inc.* | 9,268 | |||||||||
510 | Emergent BioSolutions, Inc.* | 27,514 | |||||||||
209 | Enanta Pharmaceuticals, Inc.* | 12,912 | |||||||||
798 | Epizyme, Inc.* | 19,631 | |||||||||
272 | Esperion Therapeutics, Inc.* | 16,219 | |||||||||
395 | Exact Sciences Corp.* | 36,530 | |||||||||
656 | Fate Therapeutics, Inc.* | 12,838 | |||||||||
1,032 | FibroGen, Inc.* | 44,262 | |||||||||
216 | Five Prime Therapeutics, Inc.* | 991 | |||||||||
631 | Global Blood Therapeutics, Inc.* | 50,158 | |||||||||
1,255 | Gossamer Bio, Inc.* | 19,616 | |||||||||
821 | Halozyme Therapeutics, Inc.* | 14,556 | |||||||||
642 | Heron Therapeutics, Inc.* | 15,087 | |||||||||
2,168 | Immunomedics, Inc.* | 45,875 | |||||||||
1,527 | Insmed, Inc.* | 36,465 | |||||||||
865 | Intellia Therapeutics, Inc.* | 12,690 | |||||||||
388 | Intercept Pharmaceuticals, Inc.* | 48,081 | |||||||||
2,227 | Intrexon Corp.* | 12,204 | |||||||||
1,568 | Invitae Corp.* | 25,292 | |||||||||
899 | Iovance Biotherapeutics, Inc.* | 24,884 | |||||||||
1,900 | Ironwood Pharmaceuticals, Inc.* | 25,289 | |||||||||
269 | Ligand Pharmaceuticals, Inc. | 28,054 | |||||||||
354 | MacroGenics, Inc.* | 3,851 | |||||||||
659 | Medicines Co. (The)* | 55,975 | |||||||||
200 | Mirati Therapeutics, Inc.* | 25,772 | |||||||||
462 | Myriad Genetics, Inc.* | 12,580 | |||||||||
689 | Natera, Inc.* | 23,212 | |||||||||
3,563 | Nymox Pharmaceutical Corp.* | 7,839 |
Shares/ Principal | Fair Value | ||||||||||
BIOTECHNOLOGY - 7.6% (Continued) | |||||||||||
7,845 | OPKO Health, Inc.* | $ | 11,532 | ||||||||
302 | Portola Pharmaceuticals, Inc.* | 7,212 | |||||||||
165 | Puma Biotechnology, Inc.* | 1,444 | |||||||||
179 | Ra Pharmaceuticals, Inc.* | 8,400 | |||||||||
951 | Radius Health, Inc.* | 19,172 | |||||||||
382 | REGENXBIO, Inc.* | 15,651 | |||||||||
1,213 | Retrophin, Inc.* | 17,225 | |||||||||
6 | Sage Therapeutics, Inc.* | 433 | |||||||||
1,095 | Sangamo Therapeutics, Inc.* | 9,165 | |||||||||
185 | Sarepta Therapeutics, Inc.* | 23,872 | |||||||||
3,816 | Seres Therapeutics, Inc.* | 13,165 | |||||||||
474 | Spectrum Pharmaceuticals, Inc. | 1,725 | |||||||||
941 | Ultragenyx Pharmaceutical, Inc.* | 40,190 | |||||||||
858 | Vanda Pharmaceuticals, Inc.* | 14,080 | |||||||||
946 | Veracyte, Inc.* | 26,412 | |||||||||
661 | Xencor, Inc.* | 22,732 | |||||||||
2,433 | ZIOPHARM Oncology, Inc.* | 11,484 | |||||||||
1,410,686 | |||||||||||
BUILDING PRODUCTS - 1.2% | |||||||||||
2,392 | Builders FirstSource, Inc.* | 60,781 | |||||||||
303 | Continental Building Products, Inc.* | 11,038 | |||||||||
538 | Griffon Corp. | 10,938 | |||||||||
100 | Masonite International Corp.* | 7,221 | |||||||||
631 | Quanex Building Products Corp. | 10,777 | |||||||||
794 | Trex Co., Inc.* | 71,365 | |||||||||
1,164 | Universal Forest Products, Inc. | 55,523 | |||||||||
227,643 | |||||||||||
CAPITAL MARKETS - 1.9% | |||||||||||
674 | Ares Management Corp., Class A | 24,055 | |||||||||
1,959 | Brightsphere Investment Group, Inc. | 20,021 | |||||||||
545 | Cohen & Steers, Inc. | 34,204 | |||||||||
1,895 | Donnelley Financial Solutions, Inc.* | 19,841 | |||||||||
86 | Evercore, Inc., Class A | 6,429 | |||||||||
402 | Federated Investors, Inc., Class B | 13,101 | |||||||||
371 | Focus Financial Partners, Inc., Class A* | 10,934 | |||||||||
473 | Hamilton Lane, Inc., Class A | 28,191 | |||||||||
1,036 | Ladenburg Thalmann Financial Services, Inc. | 3,605 | |||||||||
4,921 | Medley Management, Inc., Class A | 14,566 | |||||||||
1,106 | Moelis & Co., Class A | 35,304 | |||||||||
368 | Piper Sandler Cos. | 29,418 | |||||||||
802 | Silvercrest Asset Management Group, Inc., Class A | 10,089 | |||||||||
951 | Stifel Financial Corp. | 57,678 | |||||||||
282 | Virtus Investment Partners, Inc. | 34,325 | |||||||||
297 | Westwood Holdings Group, Inc. | 8,797 | |||||||||
350,558 | |||||||||||
CHEMICALS - 1.5% | |||||||||||
490 | AdvanSix, Inc.* | 9,780 | |||||||||
721 | Ferro Corp. | 10,693 |
See accompanying notes to financial statements.
48
Global Atlantic BlackRock Disciplined Small Cap Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
CHEMICALS - 1.5% (Continued) | |||||||||||
714 | HB Fuller Co. | $ | 36,821 | ||||||||
211 | Ingevity Corp.* | 18,437 | |||||||||
599 | Innospec, Inc. | 61,961 | |||||||||
460 | Koppers Holdings, Inc. | 17,581 | |||||||||
2,108 | PolyOne Corp. | 77,553 | |||||||||
418 | Stepan Co. | 42,820 | |||||||||
106 | Trinseo SA | 3,944 | |||||||||
279,590 | |||||||||||
COMMERCIAL SERVICES & SUPPLIES - 2.2% | |||||||||||
1,340 | ACCO Brands Corp. | 12,542 | |||||||||
726 | CECO Environmental Corp. | 5,561 | |||||||||
393 | Harsco Corp. | 9,043 | |||||||||
1,671 | Healthcare Services Group, Inc. | 40,639 | |||||||||
2,204 | Interface, Inc. | 36,564 | |||||||||
1,019 | Kimball International, Inc., Class B | 21,063 | |||||||||
1,175 | McGrath RentCorp | 89,934 | |||||||||
1,866 | Mobile Mini, Inc. | 70,740 | |||||||||
308 | MSA Safety, Inc. | 38,919 | |||||||||
690 | SP Plus Corp.* | 29,277 | |||||||||
1,001 | Steelcase, Inc., Class A | 20,480 | |||||||||
291 | Tetra Tech, Inc. | 25,073 | |||||||||
169 | Viad Corp. | 11,408 | |||||||||
411,243 | |||||||||||
COMMUNICATIONS EQUIPMENT - 1.1% | |||||||||||
988 | Calix, Inc.* | 7,904 | |||||||||
1,605 | Ciena Corp.* | 68,517 | |||||||||
1,770 | Extreme Networks, Inc.* | 13,045 | |||||||||
1,123 | Infinera Corp.* | 8,917 | |||||||||
376 | Lumentum Holdings, Inc.* | 29,817 | |||||||||
1,239 | TESSCO Technologies, Inc. | 13,902 | |||||||||
176 | Ubiquiti, Inc. | 33,260 | |||||||||
378 | ViaSat, Inc.* | 27,668 | |||||||||
203,030 | |||||||||||
CONSTRUCTION & ENGINEERING - 1.4% | |||||||||||
1,153 | Comfort Systems USA, Inc. | 57,477 | |||||||||
996 | Dycom Industries, Inc.* | 46,961 | |||||||||
545 | EMCOR Group, Inc. | 47,034 | |||||||||
906 | MasTec, Inc.* | 58,129 | |||||||||
694 | MYR Group, Inc.* | 22,617 | |||||||||
973 | Primoris Services Corp. | 21,640 | |||||||||
253,858 | |||||||||||
CONSTRUCTION MATERIALS - 0.3% | |||||||||||
2,171 | Summit Materials, Inc., Class A* | 51,887 | |||||||||
CONSUMER FINANCE - 0.5% | |||||||||||
982 | Enova International, Inc.* | 23,627 | |||||||||
537 | FirstCash, Inc. | 43,298 |
Shares/ Principal | Fair Value | ||||||||||
CONSUMER FINANCE - 0.5% (Continued) | |||||||||||
930 | Green Dot Corp., Class A* | $ | 21,669 | ||||||||
666 | LendingClub Corp.* | 8,405 | |||||||||
96,999 | |||||||||||
CONTAINERS & PACKAGING - 0.1% | |||||||||||
417 | Greif, Inc., Class A | 18,431 | |||||||||
DISTRIBUTORS - 0.1% | |||||||||||
881 | Core-Mark Holding Co., Inc. | 23,954 | |||||||||
DIVERSIFIED CONSUMER SERVICES - 0.9% | |||||||||||
1,179 | Carriage Services, Inc. | 30,182 | |||||||||
1,066 | Chegg, Inc.* | 40,412 | |||||||||
176 | Grand Canyon Education, Inc.* | 16,859 | |||||||||
694 | K12, Inc.* | 14,123 | |||||||||
1,318 | OneSpaWorld Holdings Ltd. | 22,195 | |||||||||
262 | Strategic Education, Inc. | 41,632 | |||||||||
165,403 | |||||||||||
DIVERSIFIED TELECOMMUNICATION - 0.6% | |||||||||||
749 | Cogent Communications Holdings, Inc. | 49,292 | |||||||||
1,334 | Consolidated Communications Holdings, Inc. | 5,176 | |||||||||
956 | Iridium Communications, Inc.* | 23,556 | |||||||||
958 | Ooma, Inc.* | 12,674 | |||||||||
1,506 | Vonage Holdings Corp.* | 11,159 | |||||||||
101,857 | |||||||||||
ELECTRIC UTILITIES - 1.3% | |||||||||||
1,656 | IDACORP, Inc. | 176,861 | |||||||||
1,131 | PNM Resources, Inc. | 57,353 | |||||||||
234,214 | |||||||||||
ELECTRICAL EQUIPMENT - 0.6% | |||||||||||
311 | Atkore International Group, Inc.* | 12,583 | |||||||||
767 | Generac Holdings, Inc. | 77,153 | |||||||||
3,848 | LSI Industries, Inc. | 23,280 | |||||||||
113,016 | |||||||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 2.9% | |||||||||||
266 | Anixter International, Inc. | 24,499 | |||||||||
548 | Arlo Technologies, Inc.* | 2,307 | |||||||||
5,787 | Daktronics, Inc. | 35,243 | |||||||||
228 | ePlus, Inc. | 19,218 | |||||||||
335 | Fabrinet | 21,721 | |||||||||
1,949 | Fitbit, Inc., Class A* | 12,805 | |||||||||
240 | II-VI, Inc.* | 8,081 | |||||||||
507 | Insight Enterprises, Inc.* | 35,637 | |||||||||
147 | Littelfuse, Inc. | 28,121 | |||||||||
951 | OSI Systems, Inc.* | 95,804 | |||||||||
716 | PC Connection, Inc. | 35,556 | |||||||||
1,374 | Sanmina Corp.* | 47,046 |
See accompanying notes to financial statements.
49
Global Atlantic BlackRock Disciplined Small Cap Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 2.9% (Continued) | |||||||||||
1,915 | ScanSource, Inc.* | $ | 70,759 | ||||||||
465 | SYNNEX Corp. | 59,892 | |||||||||
317 | Tech Data Corp.* | 45,521 | |||||||||
542,210 | |||||||||||
ENERGY EQUIPMENT & SERVICES - 1.3% | |||||||||||
2,783 | Archrock, Inc. | 27,941 | |||||||||
394 | Basic Energy Services, Inc.* | 104 | |||||||||
273 | Dril-Quip, Inc.* | 12,806 | |||||||||
949 | Exterran Corp.* | 7,431 | |||||||||
19,138 | Forum Energy Technologies, Inc.* | 32,152 | |||||||||
1,688 | FTS International, Inc.* | 1,756 | |||||||||
190 | KLX Energy Services Holdings, Inc.* | 1,224 | |||||||||
1,097 | Matrix Service Co.* | 25,099 | |||||||||
1,631 | Natural Gas Services Group, Inc.* | 19,996 | |||||||||
1,057 | NexTier Oilfield Solutions, Inc.* | 7,082 | |||||||||
2,230 | Oceaneering International, Inc. | 33,249 | |||||||||
1,382 | Oil States International, Inc.* | 22,540 | |||||||||
2 | Parker Drilling Co.* | 45 | |||||||||
1,654 | ProPetro Holding Corp.* | 18,608 | |||||||||
499 | Superior Energy Services, Inc. | 2,500 | |||||||||
2,699 | TETRA Technologies, Inc.* | 5,290 | |||||||||
510 | US Silica Holdings, Inc. | 3,137 | |||||||||
2,253 | Valaris PLC | 14,780 | |||||||||
235,740 | |||||||||||
ENTERTAINMENT - 0.4% | |||||||||||
1,272 | IMAX Corp.* | 25,987 | |||||||||
771 | Marcus Corp. (The) | 24,494 | |||||||||
286 | World Wrestling Entertainment, Inc., Class A | 18,553 | |||||||||
69,034 | |||||||||||
EQUITY REAL ESTATE INVESTMENT - 7.7% | |||||||||||
1,676 | Acadia Realty Trust | 43,459 | |||||||||
1,724 | Armada Hoffler Properties, Inc. | 31,635 | |||||||||
3,401 | Cedar Realty Trust, Inc. | 10,033 | |||||||||
1,010 | Chatham Lodging Trust | 18,523 | |||||||||
1,868 | City Office REIT, Inc. | 25,255 | |||||||||
1,061 | CoreCivic, Inc. | 18,440 | |||||||||
2,359 | CorePoint Lodging, Inc. | 25,194 | |||||||||
920 | Cousins Properties, Inc. | 37,904 | |||||||||
4,618 | DiamondRock Hospitality Co. | 51,168 | |||||||||
2,451 | Easterly Government Properties, Inc. | 58,162 | |||||||||
1,020 | EastGroup Properties, Inc. | 135,323 | |||||||||
5,139 | First Industrial Realty Trust, Inc. | 213,320 | |||||||||
2,442 | Four Corners Property Trust, Inc. | 68,840 | |||||||||
1,374 | Franklin Street Properties Corp. | 11,762 | |||||||||
326 | GEO Group, Inc. (The) | 5,415 | |||||||||
4,089 | Hersha Hospitality Trust | 59,495 | |||||||||
1,612 | National Storage Affiliates Trust | 54,195 | |||||||||
1,026 | NexPoint Residential Trust, Inc. | 46,170 |
Shares/ Principal | Fair Value | ||||||||||
EQUITY REAL ESTATE INVESTMENT - 7.7% (Continued) | |||||||||||
926 | QTS Realty Trust, Inc., Class A | $ | 50,254 | ||||||||
1,391 | Rexford Industrial Realty, Inc. | 63,527 | |||||||||
5,792 | RLJ Lodging Trust | 102,634 | |||||||||
556 | Ryman Hospitality Properties, Inc. | 48,183 | |||||||||
322 | STAG Industrial, Inc. | 10,166 | |||||||||
9,442 | Summit Hotel Properties, Inc. | 116,514 | |||||||||
1,954 | Sunstone Hotel Investors, Inc. | 27,200 | |||||||||
1,263 | Terreno Realty Corp. | 68,379 | |||||||||
1,519 | Xenia Hotels & Resorts, Inc. | 32,826 | |||||||||
1,433,976 | |||||||||||
FOOD & STAPLES RETAILING - 0.7% | |||||||||||
539 | BJ's Wholesale Club Holdings, Inc.* | 12,257 | |||||||||
109 | Chefs' Warehouse, Inc. (The)* | 4,154 | |||||||||
2,071 | Performance Food Group Co.* | 106,615 | |||||||||
223 | Weis Markets, Inc. | 9,029 | |||||||||
132,055 | |||||||||||
FOOD PRODUCTS - 1.5% | |||||||||||
294 | Alico, Inc. | 10,534 | |||||||||
706 | Calavo Growers, Inc. | 63,957 | |||||||||
526 | Freshpet, Inc.* | 31,081 | |||||||||
2,526 | Hostess Brands, Inc.* | 36,728 | |||||||||
227 | J&J Snack Foods Corp. | 41,829 | |||||||||
417 | John B. Sanfilippo & Son, Inc. | 38,064 | |||||||||
382 | Seneca Foods Corp., Class A* | 15,582 | |||||||||
1,146 | Simply Good Foods Co. (The)* | 32,707 | |||||||||
270,482 | |||||||||||
GAS UTILITIES - 0.6% | |||||||||||
144 | Chesapeake Utilities Corp. | 13,799 | |||||||||
1,025 | New Jersey Resources Corp. | 45,684 | |||||||||
778 | Southwest Gas Holdings, Inc. | 59,105 | |||||||||
118,588 | |||||||||||
HEALTH CARE EQUIPMENT & SUPPLIES - 3.1% | |||||||||||
3,283 | Accuray, Inc.* | 9,258 | |||||||||
1,266 | AtriCure, Inc.* | 41,158 | |||||||||
352 | Cantel Medical Corp. | 24,957 | |||||||||
410 | Cardiovascular Systems, Inc.* | 19,922 | |||||||||
382 | CONMED Corp. | 42,719 | |||||||||
882 | Globus Medical, Inc., Class A* | 51,932 | |||||||||
34 | Haemonetics Corp.* | 3,907 | |||||||||
215 | ICU Medical, Inc.* | 40,231 | |||||||||
306 | Inogen, Inc.* | 20,909 | |||||||||
131 | Insulet Corp.* | 22,427 | |||||||||
157 | Integer Holdings Corp.* | 12,627 | |||||||||
489 | iRhythm Technologies, Inc.* | 33,296 | |||||||||
152 | LivaNova PLC* | 11,465 | |||||||||
205 | Masimo Corp. | 32,402 | |||||||||
580 | Merit Medical Systems, Inc.* | 18,108 |
See accompanying notes to financial statements.
50
Global Atlantic BlackRock Disciplined Small Cap Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
HEALTH CARE EQUIPMENT & SUPPLIES - 3.1% (Continued) | |||||||||||
263 | Neogen Corp.* | $ | 17,163 | ||||||||
283 | Nevro Corp.* | 33,264 | |||||||||
704 | Novocure Ltd.* | 59,326 | |||||||||
146 | NuVasive, Inc.* | 11,292 | |||||||||
139 | Penumbra, Inc.* | 22,833 | |||||||||
1,995 | RTI Surgical Holdings, Inc.* | 5,466 | |||||||||
991 | SeaSpine Holdings Corp.* | 11,902 | |||||||||
1,990 | SmileDirectClub, Inc.* | 17,393 | |||||||||
264 | Tandem Diabetes Care, Inc.* | 15,737 | |||||||||
579,694 | |||||||||||
HEALTH CARE PROVIDERS & SERVICES - 2.7% | |||||||||||
575 | AMN Healthcare Services, Inc.* | 35,828 | |||||||||
122 | Chemed Corp. | 53,590 | |||||||||
383 | CorVel Corp.* | 33,459 | |||||||||
617 | Encompass Health Corp. | 42,740 | |||||||||
703 | Ensign Group, Inc. (The) | 31,895 | |||||||||
2,668 | Enzo Biochem, Inc.* | 7,017 | |||||||||
799 | HealthEquity, Inc.* | 59,182 | |||||||||
490 | LHC Group, Inc.* | 67,502 | |||||||||
137 | Magellan Health, Inc.* | 10,720 | |||||||||
161 | Molina Healthcare, Inc.* | 21,846 | |||||||||
282 | National Research Corp. | 18,595 | |||||||||
1,252 | Owens & Minor, Inc. | 6,473 | |||||||||
1,841 | Patterson Cos., Inc. | 37,704 | |||||||||
351 | Pennant Group, Inc. (The)* | 11,608 | |||||||||
991 | Select Medical Holdings Corp. | 23,130 | |||||||||
410 | Tenet Healthcare Corp.* | 15,592 | |||||||||
216 | Tivity Health, Inc.* | 4,394 | |||||||||
205 | US Physical Therapy, Inc. | 23,442 | |||||||||
504,717 | |||||||||||
HEALTH CARE TECHNOLOGY - 1.5% | |||||||||||
2,129 | Allscripts Healthcare Solutions, Inc. | 20,896 | |||||||||
2,717 | Castlight Health, Inc., Class B* | 3,614 | |||||||||
2,300 | Evolent Health, Inc., Class A* | 20,815 | |||||||||
843 | HMS Holdings Corp.* | 24,953 | |||||||||
1,442 | Inovalon Holdings, Inc., Class A* | 27,138 | |||||||||
369 | Inspire Medical Systems, Inc.* | 27,384 | |||||||||
595 | Omnicell, Inc.* | 48,623 | |||||||||
1,715 | Phreesia, Inc.* | 45,688 | |||||||||
656 | Teladoc Health, Inc.* | 54,920 | |||||||||
382 | Vocera Communications, Inc.* | 7,930 | |||||||||
281,961 | |||||||||||
HOTELS, RESTAURANTS & LEISURE - 2.7% | |||||||||||
652 | BJ's Restaurants, Inc. | 24,750 | |||||||||
1,098 | Bloomin' Brands, Inc. | 24,233 | |||||||||
713 | Boyd Gaming Corp. | 21,347 | |||||||||
566 | Brinker International, Inc. | 23,772 | |||||||||
1,018 | Caesars Entertainment Corp.* | 13,845 |
Shares/ Principal | Fair Value | ||||||||||
HOTELS, RESTAURANTS & LEISURE - 2.7% (Continued) | |||||||||||
2,114 | Century Casinos, Inc.* | $ | 16,743 | ||||||||
742 | Cheesecake Factory, Inc. (The) | 28,834 | |||||||||
381 | Churchill Downs, Inc. | 52,273 | |||||||||
423 | Denny's Corp.* | 8,409 | |||||||||
473 | Eldorado Resorts, Inc.* | 28,210 | |||||||||
310 | Marriott Vacations Worldwide Corp. | 39,915 | |||||||||
1,055 | Penn National Gaming, Inc.* | 26,966 | |||||||||
447 | Planet Fitness, Inc., Class A, Class A | 33,382 | |||||||||
426 | Target Hospitality Corp.* | 2,130 | |||||||||
2,119 | Texas Roadhouse, Inc. | 119,342 | |||||||||
439 | Wingstop, Inc. | 37,855 | |||||||||
502,006 | |||||||||||
HOUSEHOLD DURABLES - 1.9% | |||||||||||
2,486 | Bassett Furniture Industries, Inc. | 41,467 | |||||||||
1,085 | Beazer Homes USA, Inc. | 15,331 | |||||||||
927 | CSS Industries, Inc. | 4,088 | |||||||||
2,043 | GoPro, Inc., Class A* | 8,867 | |||||||||
2,554 | Green Brick Partners, Inc.* | 29,320 | |||||||||
64 | Helen of Troy Ltd.* | 11,507 | |||||||||
303 | Hooker Furniture Corp. | 7,784 | |||||||||
319 | iRobot Corp.* | 16,151 | |||||||||
2,233 | MDC Holdings, Inc. | 85,211 | |||||||||
1,185 | Meritage Homes Corp. | 72,415 | |||||||||
385 | TopBuild Corp.* | 39,686 | |||||||||
1,328 | TRI Pointe Group, Inc.* | 20,690 | |||||||||
277 | William Lyon Homes, Class A* | 5,534 | |||||||||
358,051 | |||||||||||
HOUSEHOLD PRODUCTS - 0.2% | |||||||||||
244 | Central Garden & Pet Co.* | 7,581 | |||||||||
85 | Central Garden & Pet Co., Class A* | 2,496 | |||||||||
295 | Spectrum Brands Holdings, Inc. | 18,965 | |||||||||
29,042 | |||||||||||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS - 0.3% | |||||||||||
594 | Clearway Energy, Inc., Class A | 11,357 | |||||||||
2,134 | TerraForm Power, Inc., Class A | 32,842 | |||||||||
760 | Vistra Energy Corp. | 17,473 | |||||||||
61,672 | |||||||||||
INDUSTRIAL CONGLOMERATES - 0.1% | |||||||||||
366 | Raven Industries, Inc. | 12,612 | |||||||||
INSURANCE - 1.9% | |||||||||||
178 | American National Insurance Co. | 20,947 | |||||||||
2,723 | CNO Financial Group, Inc. | 49,368 | |||||||||
143 | eHealth, Inc.* | 13,739 | |||||||||
1,120 | Employers Holdings, Inc. | 46,760 | |||||||||
332 | FBL Financial Group, Inc., Class A | 19,565 | |||||||||
4,435 | Genworth Financial, Inc., Class A | 19,514 |
See accompanying notes to financial statements.
51
Global Atlantic BlackRock Disciplined Small Cap Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
INSURANCE - 1.9% (Continued) | |||||||||||
710 | Global Indemnity Ltd. | $ | 21,037 | ||||||||
1,272 | Greenlight Capital Re Ltd., Class A* | 12,860 | |||||||||
455 | HCI Group, Inc. | 20,771 | |||||||||
539 | Horace Mann Educators Corp. | 23,533 | |||||||||
124 | Kemper Corp. | 9,610 | |||||||||
212 | Kinsale Capital Group, Inc. | 21,552 | |||||||||
1,003 | National General Holdings Corp. | 22,166 | |||||||||
1,150 | Protective Insurance Corp., Class B | 18,503 | |||||||||
564 | United Fire Group, Inc. | 24,664 | |||||||||
344,589 | |||||||||||
INTERACTIVE MEDIA & SERVICES - 0.5% | |||||||||||
188 | Care.com, Inc.* | 2,826 | |||||||||
607 | Cargurus, Inc.* | 21,354 | |||||||||
930 | Cars.com, Inc.* | 11,365 | |||||||||
1,247 | QuinStreet, Inc.* | 19,091 | |||||||||
1,115 | TrueCar, Inc.* | 5,296 | |||||||||
1,048 | Yelp, Inc.* | 36,502 | |||||||||
96,434 | |||||||||||
INTERNET & DIRECT MARKETING RETAIL - 0.3% | |||||||||||
640 | 1-800-Flowers.com, Inc., Class A* | 9,280 | |||||||||
189 | Etsy, Inc.* | 8,373 | |||||||||
3,134 | Groupon, Inc.* | 7,490 | |||||||||
271 | Grubhub, Inc.* | 13,181 | |||||||||
419 | Stitch Fix, Inc., Class A* | 10,752 | |||||||||
49,076 | |||||||||||
IT SERVICES - 1.9% | |||||||||||
619 | CSG Systems International, Inc. | 32,052 | |||||||||
364 | EPAM Systems, Inc.* | 77,226 | |||||||||
333 | Fastly, Inc., Class A* | 6,683 | |||||||||
877 | GreenSky, Inc., Class A* | 7,805 | |||||||||
911 | Hackett Group, Inc. (The) | 14,703 | |||||||||
7,981 | Information Services Group, Inc. | 20,192 | |||||||||
706 | International Money Express, Inc.* | 8,500 | |||||||||
885 | LiveRamp Holdings, Inc. | 42,542 | |||||||||
794 | ManTech International Corp., Class A | 63,425 | |||||||||
542 | NIC, Inc. | 12,114 | |||||||||
323 | Perficient, Inc.* | 14,880 | |||||||||
906 | Perspecta, Inc. | 23,955 | |||||||||
132 | Science Applications International Corp. | 11,487 | |||||||||
511 | Virtusa Corp.* | 23,164 | |||||||||
358,728 | |||||||||||
LEISURE PRODUCTS - 0.2% | |||||||||||
484 | Malibu Boats, Inc., Class A* | 19,820 | |||||||||
623 | MasterCraft Boat Holdings, Inc. | 9,812 | |||||||||
29,632 |
Shares/ Principal | Fair Value | ||||||||||
LIFE SCIENCES TOOLS & SERVICES - 1.2% | |||||||||||
275 | 10X Genomics, Inc., Class A* | $ | 20,969 | ||||||||
170 | Adaptive Biotechnologies Corp.* | 5,086 | |||||||||
506 | Luminex Corp. | 11,719 | |||||||||
483 | Medpace Holdings, Inc.* | 40,601 | |||||||||
725 | NanoString Technologies, Inc.* | 20,169 | |||||||||
1,030 | NeoGenomics, Inc.* | 30,128 | |||||||||
225 | PRA Health Sciences, Inc.* | 25,009 | |||||||||
209 | Repligen Corp.* | 19,333 | |||||||||
674 | Syneos Health, Inc.* | 40,086 | |||||||||
213,100 | |||||||||||
MACHINERY - 3.2% | |||||||||||
254 | Albany International Corp., Class A | 19,284 | |||||||||
383 | Altra Industrial Motion Corp. | 13,868 | |||||||||
1,139 | Blue Bird Corp.* | 26,106 | |||||||||
1,081 | Briggs & Stratton Corp. | 7,199 | |||||||||
311 | EnPro Industries, Inc. | 20,800 | |||||||||
816 | ESCO Technologies, Inc. | 75,480 | |||||||||
1,422 | Evoqua Water Technologies Corp.* | 26,947 | |||||||||
588 | Greenbrier Cos., Inc. (The) | 19,069 | |||||||||
969 | Hillenbrand, Inc. | 32,277 | |||||||||
142 | John Bean Technologies Corp. | 15,998 | |||||||||
453 | LB Foster Co., Class A | 8,779 | |||||||||
1,114 | Meritor, Inc. | 29,176 | |||||||||
392 | Miller Industries, Inc. | 14,555 | |||||||||
458 | Navistar International Corp. | 13,255 | |||||||||
128 | Proto Labs, Inc.* | 12,998 | |||||||||
2,479 | Rexnord Corp.* | 80,865 | |||||||||
288 | Standex International Corp. | 22,853 | |||||||||
505 | Wabash National Corp. | 7,418 | |||||||||
1,020 | Watts Water Technologies, Inc., Class A | 101,755 | |||||||||
443 | Woodward, Inc. | 52,469 | |||||||||
601,151 | |||||||||||
MEDIA - 1.0% | |||||||||||
1,456 | Entercom Communications Corp., Class A | 6,756 | |||||||||
4,818 | Entravision Communications Corp., Class A | 12,623 | |||||||||
1,573 | Gray Television, Inc. | 33,725 | |||||||||
1,221 | iHeartMedia, Inc., Class A* | 20,635 | |||||||||
865 | Liberty Latin America Ltd., Class C* | 16,833 | |||||||||
1,116 | MSG Networks, Inc., Class A* | 19,418 | |||||||||
190 | Nexstar Media Group, Inc., Class A, Class A | 22,278 | |||||||||
239 | Sinclair Broadcast Group, Inc., Class A | 7,968 | |||||||||
942 | TechTarget, Inc.* | 24,586 | |||||||||
140 | TEGNA, Inc. | 2,337 | |||||||||
1,903 | Townsquare Media, Inc., Class A | 18,973 | |||||||||
186,132 | |||||||||||
METALS & MINING - 1.3% | |||||||||||
322 | Carpenter Technology Corp. | 16,029 | |||||||||
1,759 | Cleveland-Cliffs, Inc. | 14,776 | |||||||||
2,260 | Coeur Mining, Inc. | 18,261 |
See accompanying notes to financial statements.
52
Global Atlantic BlackRock Disciplined Small Cap Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
METALS & MINING - 1.3% (Continued) | |||||||||||
1,471 | Hecla Mining Co. | $ | 4,987 | ||||||||
429 | Kaiser Aluminum Corp. | 47,572 | |||||||||
472 | Materion Corp. | 28,060 | |||||||||
2,495 | Ryerson Holding Corp.* | 29,516 | |||||||||
991 | Schnitzer Steel Industries, Inc., Class A | 21,485 | |||||||||
1,162 | SunCoke Energy, Inc. | 7,239 | |||||||||
2,897 | TimkenSteel Corp. | 22,770 | |||||||||
545 | Worthington Industries, Inc. | 22,988 | |||||||||
233,683 | |||||||||||
MORTGAGE REAL ESTATE INVESTMENT - 0.8% | |||||||||||
937 | Ares Commercial Real Estate Corp. | 14,842 | |||||||||
750 | Ellington Financial, Inc. | 13,747 | |||||||||
634 | Great Ajax Corp. | 9,390 | |||||||||
4,354 | Invesco Mortgage Capital, Inc. | 72,494 | |||||||||
590 | Ladder Capital Corp. | 10,644 | |||||||||
1,498 | TPG RE Finance Trust, Inc. | 30,364 | |||||||||
151,481 | |||||||||||
MULTILINE RETAIL - 0.2% | |||||||||||
405 | Big Lots, Inc. | 11,632 | |||||||||
347 | Ollie's Bargain Outlet Holdings, Inc.* | 22,662 | |||||||||
34,294 | |||||||||||
MULTI-UTILITIES - 0.5% | |||||||||||
582 | Avista Corp. | 27,989 | |||||||||
906 | Black Hills Corp. | 71,157 | |||||||||
99,146 | |||||||||||
OIL, GAS & CONSUMABLE FUELS - 1.9% | |||||||||||
109 | Arch Coal, Inc., Class A | 7,820 | |||||||||
1,039 | Brigham Minerals, Inc., Class A | 22,276 | |||||||||
913 | Callon Petroleum Co.* | 4,410 | |||||||||
2,758 | CNX Resources Corp. | 24,408 | |||||||||
462 | CVR Energy, Inc. | 18,679 | |||||||||
550 | Delek US Holdings, Inc. | 18,442 | |||||||||
3,248 | Denbury Resources, Inc. | 4,580 | |||||||||
5,122 | Evolution Petroleum Corp. | 28,017 | |||||||||
2,377 | Gulfport Energy Corp.* | 7,226 | |||||||||
11,335 | Laredo Petroleum, Inc.* | 32,531 | |||||||||
1,933 | Matador Resources Co.* | 34,736 | |||||||||
5,808 | Nordic American Tankers Ltd. | 28,575 | |||||||||
4,899 | Oasis Petroleum, Inc.* | 15,971 | |||||||||
342 | PDC Energy, Inc.* | 8,950 | |||||||||
1,002 | Peabody Energy Corp. | 9,138 | |||||||||
107 | Penn Virginia Corp.* | 3,247 | |||||||||
649 | Renewable Energy Group, Inc.* | 17,491 | |||||||||
808 | Scorpio Tankers, Inc. | 31,787 | |||||||||
3,497 | Southwestern Energy Co. | 8,463 | |||||||||
2,109 | SRC Energy, Inc.* | 8,689 | |||||||||
519 | Talos Energy, Inc.* | 15,648 | |||||||||
351,084 |
Shares/ Principal | Fair Value | ||||||||||
PAPER & FOREST PRODUCTS - 0.4% | |||||||||||
1,250 | Boise Cascade Co. | $ | 45,662 | ||||||||
380 | Louisiana-Pacific Corp. | 11,275 | |||||||||
278 | Schweitzer-Mauduit International, Inc. | 11,673 | |||||||||
68,610 | |||||||||||
PERSONAL PRODUCTS - 0.2% | |||||||||||
44 | Medifast, Inc. | 4,822 | |||||||||
801 | �� | Natural Health Trends Corp. | 4,309 | ||||||||
395 | USANA Health Sciences, Inc.* | 31,027 | |||||||||
40,158 | |||||||||||
PHARMACEUTICALS - 2.2% | |||||||||||
391 | Aerie Pharmaceuticals, Inc.* | 9,450 | |||||||||
2,804 | Amneal Pharmaceuticals, Inc.* | 13,515 | |||||||||
866 | Catalent, Inc.* | 48,756 | |||||||||
1,331 | Corcept Therapeutics, Inc.* | 16,105 | |||||||||
1,507 | Dermira, Inc.* | 22,846 | |||||||||
798 | Endo International PLC* | 3,743 | |||||||||
1,057 | Horizon Therapeutics PLC* | 38,263 | |||||||||
628 | Intersect ENT, Inc.* | 15,637 | |||||||||
789 | Intra-Cellular Therapies, Inc.* | 27,071 | |||||||||
82 | Mallinckrodt PLC* | 286 | |||||||||
215 | MyoKardia, Inc.* | 15,670 | |||||||||
406 | Nektar Therapeutics* | 8,764 | |||||||||
1,287 | NGM Biopharmaceuticals, Inc.* | 23,797 | |||||||||
263 | Pacira BioSciences, Inc.* | 11,914 | |||||||||
987 | Phibro Animal Health Corp., Class A | 24,507 | |||||||||
1,491 | Prestige Consumer Healthcare, Inc.* | 60,386 | |||||||||
205 | Reata Pharmaceuticals, Inc., Class A* | 41,908 | |||||||||
247 | Supernus Pharmaceuticals, Inc.* | 5,859 | |||||||||
636 | Theravance Biopharma, Inc.* | 16,466 | |||||||||
207 | Zogenix, Inc.* | 10,791 | |||||||||
415,734 | |||||||||||
PROFESSIONAL SERVICES - 1.9% | |||||||||||
1,065 | ASGN, Inc.* | 75,583 | |||||||||
640 | CRA International, Inc. | 34,861 | |||||||||
125 | Forrester Research, Inc. | 5,213 | |||||||||
88 | FTI Consulting, Inc.* | 9,738 | |||||||||
1,963 | InnerWorkings, Inc.* | 10,816 | |||||||||
981 | Insperity, Inc. | 84,405 | |||||||||
1,894 | Kforce, Inc. | 75,192 | |||||||||
495 | Korn Ferry | 20,988 | |||||||||
814 | Mistras Group, Inc.* | 11,616 | |||||||||
392 | TriNet Group, Inc.* | 22,191 | |||||||||
350,603 | |||||||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT - 0.3% | |||||||||||
842 | RE/MAX Holdings, Inc., Class A | 32,409 | |||||||||
664 | RMR Group, Inc. (The), Class A | 30,305 | |||||||||
62,714 |
See accompanying notes to financial statements.
53
Global Atlantic BlackRock Disciplined Small Cap Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
ROAD & RAIL - 0.8% | |||||||||||
2,485 | Covenant Transportation Group, Inc., Class A* | $ | 32,119 | ||||||||
588 | Knight-Swift Transportation Holdings, Inc. | 21,074 | |||||||||
2,720 | Marten Transport Ltd. | 58,453 | |||||||||
96 | Saia, Inc.* | 8,939 | |||||||||
361 | Universal Logistics Holdings, Inc. | 6,844 | |||||||||
561 | Werner Enterprises, Inc. | 20,415 | |||||||||
147,844 | |||||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 2.9% | |||||||||||
433 | Advanced Energy Industries, Inc.* | 30,830 | |||||||||
510 | Alpha & Omega Semiconductor Ltd.* | 6,946 | |||||||||
807 | Ambarella, Inc.* | 48,872 | |||||||||
5,062 | Amkor Technology, Inc.* | 65,806 | |||||||||
558 | Brooks Automation, Inc. | 23,414 | |||||||||
218 | Cabot Microelectronics Corp. | 31,462 | |||||||||
1,309 | Cirrus Logic, Inc.* | 107,875 | |||||||||
233 | Cohu, Inc. | 5,324 | |||||||||
657 | Diodes, Inc.* | 37,035 | |||||||||
317 | Enphase Energy, Inc.* | 8,283 | |||||||||
1,824 | FormFactor, Inc.* | 47,369 | |||||||||
327 | Inphi Corp.* | 24,205 | |||||||||
488 | Lattice Semiconductor Corp.* | 9,340 | |||||||||
150 | Power Integrations, Inc. | 14,836 | |||||||||
372 | Semtech Corp.* | 19,679 | |||||||||
87 | Silicon Laboratories, Inc.* | 10,090 | |||||||||
448 | Synaptics, Inc.* | 29,465 | |||||||||
858 | Ultra Clean Holdings, Inc.* | 20,137 | |||||||||
540,968 | |||||||||||
SOFTWARE - 5.1% | |||||||||||
3,124 | A10 Networks, Inc.* | 21,462 | |||||||||
550 | Alarm.com Holdings, Inc.* | 23,634 | |||||||||
177 | Appfolio, Inc., Class A* | 19,461 | |||||||||
206 | Avalara, Inc.* | 15,090 | |||||||||
3,235 | Benefitfocus, Inc.* | 70,976 | |||||||||
112 | Bill.com Holdings, Inc.* | 4,262 | |||||||||
253 | Blackline, Inc.* | 13,045 | |||||||||
582 | Bottomline Technologies DE, Inc.* | 31,195 | |||||||||
942 | Box, Inc., Class A* | 15,807 | |||||||||
3,085 | Cloudera, Inc.* | 35,879 | |||||||||
641 | Cloudflare, Inc., Class A* | 10,935 | |||||||||
771 | CommVault Systems, Inc.* | 34,417 | |||||||||
699 | Cornerstone OnDemand, Inc.* | 40,926 | |||||||||
210 | Coupa Software, Inc.* | 30,713 | |||||||||
126 | Fair Isaac Corp. | 47,210 | |||||||||
577 | Five9, Inc.* | 37,840 | |||||||||
738 | LivePerson, Inc.* | 27,306 | |||||||||
293 | Medallia, Inc.* | 9,115 | |||||||||
64 | MicroStrategy, Inc., Class A* | 9,128 | |||||||||
173 | Model N, Inc.* | 6,067 |
Shares/ Principal | Fair Value | ||||||||||
SOFTWARE - 5.1% (Continued) | |||||||||||
366 | New Relic, Inc.* | $ | 24,050 | ||||||||
648 | Nutanix, Inc., Class A* | 20,256 | |||||||||
611 | Paylocity Holding Corp.* | 73,821 | |||||||||
788 | Progress Software Corp. | 32,741 | |||||||||
305 | Proofpoint, Inc.* | 35,008 | |||||||||
424 | PROS Holdings, Inc.* | 25,406 | |||||||||
450 | Q2 Holdings, Inc.* | 36,486 | |||||||||
332 | Qualys, Inc.* | 27,679 | |||||||||
651 | Rapid7, Inc.* | 36,469 | |||||||||
233 | RingCentral, Inc., Class A* | 39,300 | |||||||||
614 | SPS Commerce, Inc.* | 34,028 | |||||||||
520 | SVMK, Inc.* | 9,292 | |||||||||
357 | Workiva, Inc.* | 15,012 | |||||||||
1,001 | Yext, Inc.* | 14,434 | |||||||||
164 | Zendesk, Inc.* | 12,567 | |||||||||
190 | Zscaler, Inc.* | 8,835 | |||||||||
949,852 | |||||||||||
SPECIALTY RETAIL - 2.3% | |||||||||||
409 | Aaron's, Inc. | 23,358 | |||||||||
1,907 | American Eagle Outfitters, Inc. | 28,033 | |||||||||
277 | America's Car-Mart, Inc.* | 30,376 | |||||||||
675 | Asbury Automotive Group, Inc. | 75,458 | |||||||||
1,746 | Bed Bath & Beyond, Inc. | 30,206 | |||||||||
655 | Cato Corp. (The), Class A | 11,397 | |||||||||
856 | Citi Trends, Inc. | 19,791 | |||||||||
671 | Designer Brands, Inc., Class A | 10,562 | |||||||||
200 | Five Below, Inc.* | 25,572 | |||||||||
366 | Lithia Motors, Inc., Class A | 53,802 | |||||||||
121 | Murphy USA, Inc.* | 14,157 | |||||||||
759 | National Vision Holdings, Inc.* | 24,614 | |||||||||
49 | RH* | 10,461 | |||||||||
544 | Signet Jewelers Ltd. | 11,827 | |||||||||
1,171 | Sonic Automotive, Inc., Class A | 36,301 | |||||||||
621 | Zumiez, Inc.* | 21,449 | |||||||||
427,364 | |||||||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS - 0.1% | |||||||||||
1,135 | Pure Storage, Inc., Class A* | 19,420 | |||||||||
TEXTILES, APPAREL & LUXURY GOODS - 1.4% | |||||||||||
318 | Columbia Sportswear Co. | 31,860 | |||||||||
1,383 | Crocs, Inc.* | 57,934 | |||||||||
208 | Deckers Outdoor Corp.* | 35,123 | |||||||||
815 | G-III Apparel Group Ltd.* | 27,303 | |||||||||
415 | Oxford Industries, Inc. | 31,299 | |||||||||
573 | Steven Madden Ltd. | 24,645 | |||||||||
1,352 | Wolverine World Wide, Inc. | 45,616 | |||||||||
253,780 |
See accompanying notes to financial statements.
54
Global Atlantic BlackRock Disciplined Small Cap Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
THRIFTS & MORTGAGE FINANCE - 2.6% | |||||||||||
1,534 | Essent Group Ltd. | $ | 79,753 | ||||||||
312 | Federal Agricultural Mortgage Corp., Class C | 26,052 | |||||||||
1,068 | First Defiance Financial Corp. | 33,631 | |||||||||
24 | Hingham Institution for Savings | 5,045 | |||||||||
31 | LendingTree, Inc. | 9,407 | |||||||||
745 | Merchants Bancorp | 14,684 | |||||||||
1,688 | Meridian Bancorp, Inc. | 33,912 | |||||||||
1,160 | MGIC Investment Corp. | 16,437 | |||||||||
325 | NMI Holdings, Inc., Class A* | 10,783 | |||||||||
1,849 | OceanFirst Financial Corp. | 47,223 | |||||||||
1,861 | Radian Group, Inc. | 46,823 | |||||||||
4,554 | Riverview Bancorp, Inc. | 37,388 | |||||||||
1,721 | United Community Financial Corp. | 20,067 | |||||||||
191 | Walker & Dunlop, Inc. | 12,354 | |||||||||
1,891 | Washington Federal, Inc. | 69,305 | |||||||||
321 | WSFS Financial Corp. | 14,121 | |||||||||
476,985 | |||||||||||
TOBACCO - 0.2% | |||||||||||
2,440 | Vector Group Ltd. | 32,672 | |||||||||
TRADING COMPANIES & DISTRIBUTORS - 2.0% | |||||||||||
1,338 | Applied Industrial Technologies, Inc. | 89,231 | |||||||||
638 | Beacon Roofing Supply, Inc.* | 20,403 | |||||||||
1,364 | BMC Stock Holdings, Inc.* | 39,133 | |||||||||
426 | DXP Enterprises, Inc.* | 16,959 | |||||||||
1,733 | Foundation Building Materials, Inc.* | 33,534 | |||||||||
167 | GATX Corp. | 13,836 | |||||||||
866 | GMS, Inc.* | 23,451 | |||||||||
856 | H&E Equipment Services, Inc. | 28,616 | |||||||||
452 | Herc Holdings, Inc.* | 22,121 | |||||||||
227 | Lawson Products, Inc. | 11,827 | |||||||||
696 | Rush Enterprises, Inc., Class A | 32,364 | |||||||||
219 | SiteOne Landscape Supply, Inc.* | 19,852 | |||||||||
457 | Systemax, Inc. | 11,498 | |||||||||
90 | Univar Solutions, Inc.* | 2,182 | |||||||||
365,007 |
Shares/ Principal | Fair Value | ||||||||||
WATER UTILITIES - 0.2% | |||||||||||
442 | SJW Group | $ | 31,409 | ||||||||
WIRELESS TELECOMMUNICATION SERVICES - 0.1% | |||||||||||
926 | Boingo Wireless, Inc.* | 10,140 | |||||||||
TOTAL COMMON STOCKS (Cost - $16,667,007) | 18,168,804 | ||||||||||
RIGHTS - 0.0%† | |||||||||||
638 | Alder BioPharmaceuticals CVR (Cost - $561)* | 561 | |||||||||
WARRANTS - 0.0%† | |||||||||||
20 | Parker Drilling Co., expires 9/16/24 (Cost - $0)* | 0 | |||||||||
SHORT-TERM INVESTMENTS - 1.7% | |||||||||||
MONEY MARKET FUNDS - 1.7% | |||||||||||
320,648 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (a) (Cost - $320,648) | 320,648 | |||||||||
TOTAL INVESTMENTS - 99.9% (Cost - $16,988,216) | $ | 18,490,013 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET 0.1% | 13,956 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 18,503,969 |
* Non-income producing security.
† Represents less than 0.05%.
(a) The rate shown is the annualized seven-day yield at period end.
CVR - Contingent Value Rights
PLC - Public Limited Company
REIT - Real Estate Investment Trust
FUTURES CONTRACTS | |||||||||||||||||||||||
LONG FUTURES CONTRACTS | Counterparty | Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation | ||||||||||||||||||
E-Mini Russell 2000 Future | UBS Securities LLC | 4 | 3/20/2020 | $ | 334,120 | $ | 5,092 |
See accompanying notes to financial statements.
55
Global Atlantic BlackRock Disciplined U.S. Core Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide long-term capital appreciation.
Management Review
The Portfolio is sub-advised by BlackRock Investment Management, LLC ("BlackRock").
How did the Portfolio perform during the period?
During 2019, the Class I shares of Global Atlantic BlackRock Disciplined U.S. Core Portfolio underperformed its reference benchmark, the S&P 500® Index. The Portfolio posted a return of 29.41% compared to a benchmark return of 31.49%, a difference of -208 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
BlackRock's Scientific Active Equity ("SAE") process systematically tracks and ranks the characteristics of companies in order to seek to construct a portfolio that has the best trade-off between returns, risk and costs. The SAE investment model groups the universe of securities based on an analysis of a wide range of factors, such as relative value ("Value"), earnings quality ("Quality"), market sentiment ("Sentiment"), and thematic insights. Value insights seek to incorporate, where appropriate, asset value, sales, earnings and cash flow forecasts over short and long periods. Quality measures aim to assess the sustainability of earnings and the quality of corporate management by investigating company financials as well as other company statements. Sentiment criteria seek to infer information about a company's value from changes in analysts' forecasts, linkages between companies, management decisions and the behavior of other market participants in equities and other securities markets. And lastly, thematic insights seek to identify and exploit commonalities among groups of stocks that are believed to drive prices but that currently appear to be less obvious to the market.
After performing generally in line with the benchmark over the first half of the year, relative Portfolio performance was challenged during the second half of the year. This underperformance was primarily driven by the Portfolio's Sentiment insights. Though these investment signals were additive through the first half of the year, they struggled significantly in the second half of the year amid increased market volatility. A series of inflection points, largely motivated by shifts in global trade conversations and central bank policy, created a difficult environment for the Portfolio's trend-based insights. Cross-market Sentiment insights also struggled throughout much of the year. From a sector standpoint, the Portfolio's Sentiment- based insights were least effective in select cyclical sectors, specifically the financials and communication services sectors.
Insights evaluating company fundamentals detracted modestly in aggregate over the trailing 1-year period. However, these signals provided some stability to Portfolio performance during the second half of the year, after struggling throughout the first half of the year. Value insights were challenged early in the year, as investors sought out speculative growth opportunities at the expense of company fundamentals. Investor mentality shifted throughout the year, and performance of Value insights improved towards the end of the year as investors sought out pockets of relative value in the market. The Portfolio's Quality insights were modestly additive to relative returns throughout the year, which was unsurprising given investor preference for sustainable, high-quality businesses amidst increased market uncertainty.
The Portfolio's macro thematic insights further detracted from relative returns throughout the year. After experiencing some success through the first half of the year, select industry timing insights struggled during the second half of the year. Of note, while the Portfolio targets a generally sector- and industry-neutral approach, positioning in the health care providers and services industry was a drag on relative performance. In addition, a modest overweight position in the biotechnology industry led to further performance challenges, as the industry underperformed the broader market in 2019.
56
Global Atlantic BlackRock Disciplined U.S. Core Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
How was the Portfolio positioned at period end?
From a sector positioning perspective, the Portfolio remains largely sector neutral. The Portfolio had slight overweight positions in the industrials and financials sectors and slight underweight positions in the consumer discretionary and materials sectors. As the SAE team seeks to maintain a style neutral approach, the Portfolio did not have any outsized active exposures to any particular style or factor.
The Portfolio's performance figures for the periods ended December 31, 2019 as compared to its benchmark:
Annualized | Operating Expense** | ||||||||||||||||||||||
Inception Date* | One Year | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | |||||||||||||||||||||||
Class I | November 1, 2017 | 29.41 | % | 12.01 | % | 0.54 | % | 0.48 | % | ||||||||||||||
Class II | November 1, 2017 | 29.13 | % | 11.77 | % | 0.79 | % | 0.73 | % | ||||||||||||||
S&P 500® Index (Total Return) | 31.49 | % | 13.22 | % |
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.
* Commencement of operations is November 6, 2017.
** The estimated operating expense ratios for Class I and 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. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
The S&P 500® Index (Total Return) is a widely accepted, unmanaged index of U.S. stock market performance which does not take into account charges, fees, and other expenses. Investors cannot invest directly in an index.
Comparison of the Change in Value of a $10,000 Investment
57
Global Atlantic BlackRock Disciplined U.S. Core Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
Holdings by Asset Class | % of Net Assets | ||||||
Common Stocks | 99.5 | % | |||||
Short-Term Investments | 1.8 | % | |||||
Rights | 0.0 | %† | |||||
Other Assets Less Liabilities - Net | (1.3 | )% | |||||
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.
Derivative exposure is included in "Other Assets Less Liabilities - Net".
† Represents less than 0.05%.
58
Global Atlantic BlackRock Disciplined U.S. Core Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
COMMON STOCKS - 99.5% | |||||||||||
AEROSPACE & DEFENSE - 2.7% | |||||||||||
86 | Boeing Co. (The) | $ | 28,015 | ||||||||
24 | Curtiss-Wright Corp. | 3,381 | |||||||||
110 | HEICO Corp. | 12,556 | |||||||||
145 | Hexcel Corp. | 10,630 | |||||||||
945 | Lockheed Martin Corp. | 367,964 | |||||||||
240 | Northrop Grumman Corp. | 82,553 | |||||||||
521 | Raytheon Co. | 114,485 | |||||||||
225 | Teledyne Technologies, Inc.* | 77,972 | |||||||||
697,556 | |||||||||||
AIR FREIGHT & LOGISTICS - 0.1% | |||||||||||
270 | Expeditors International of Washington, Inc. | 21,065 | |||||||||
143 | United Parcel Service, Inc., Class B | 16,740 | |||||||||
37,805 | |||||||||||
AIRLINES - 0.4% | |||||||||||
122 | Alaska Air Group, Inc. | 8,265 | |||||||||
581 | Delta Air Lines, Inc. | 33,977 | |||||||||
776 | United Airlines Holdings, Inc.* | 68,358 | |||||||||
110,600 | |||||||||||
AUTO COMPONENTS - 0.1% | |||||||||||
1,488 | Goodyear Tire & Rubber Co. (The) | 23,146 | |||||||||
AUTOMOBILES - 0.5% | |||||||||||
5,385 | Ford Motor Co. | 50,080 | |||||||||
2,138 | General Motors Co. | 78,251 | |||||||||
150 | Harley-Davidson, Inc. | 5,579 | |||||||||
133,910 | |||||||||||
BANKS - 3.9% | |||||||||||
6,895 | Bank of America Corp. | 242,842 | |||||||||
79 | Bank OZK | 2,410 | |||||||||
1,065 | CIT Group, Inc. | 48,596 | |||||||||
348 | Citizens Financial Group, Inc. | 14,132 | |||||||||
568 | Cullen/Frost Bankers, Inc. | 55,539 | |||||||||
317 | East West Bancorp, Inc. | 15,438 | |||||||||
1,133 | First Horizon National Corp. | 18,763 | |||||||||
2,355 | JPMorgan Chase & Co. | 328,287 | |||||||||
728 | Truist Financial Corp. | 41,001 | |||||||||
1,012 | US Bancorp | 60,001 | |||||||||
3,228 | Wells Fargo & Co. | 173,666 | |||||||||
1,000,675 | |||||||||||
BEVERAGES - 1.5% | |||||||||||
1,435 | Coca-Cola Co. (The) | 79,427 | |||||||||
484 | Coca-Cola European Partners PLC | 24,626 | |||||||||
304 | Molson Coors Beverage Co., Class B | 16,385 | |||||||||
516 | Monster Beverage Corp.* | 32,792 | |||||||||
1,680 | PepsiCo, Inc. | 229,606 | |||||||||
382,836 |
Shares/ Principal | Fair Value | ||||||||||
BIOTECHNOLOGY - 3.6% | |||||||||||
1,939 | AbbVie, Inc. | $ | 171,679 | ||||||||
130 | Alexion Pharmaceuticals, Inc.* | 14,060 | |||||||||
502 | Amgen, Inc. | 121,017 | |||||||||
178 | Biogen, Inc.* | 52,818 | |||||||||
5,396 | Gilead Sciences, Inc. | 350,632 | |||||||||
89 | Incyte Corp.* | 7,771 | |||||||||
231 | Regeneron Pharmaceuticals, Inc.* | 86,736 | |||||||||
249 | United Therapeutics Corp.* | 21,932 | |||||||||
488 | Vertex Pharmaceuticals, Inc.* | 106,848 | |||||||||
933,493 | |||||||||||
BUILDING PRODUCTS - 0.9% | |||||||||||
1,827 | Allegion PLC | 227,535 | |||||||||
CAPITAL MARKETS - 3.9% | |||||||||||
376 | Affiliated Managers Group, Inc. | 31,862 | |||||||||
844 | Bank of New York Mellon Corp. (The) | 42,479 | |||||||||
1,931 | Charles Schwab Corp. (The) | 91,838 | |||||||||
434 | CME Group, Inc. | 87,113 | |||||||||
86 | Evercore, Inc., Class A | 6,429 | |||||||||
348 | FactSet Research Systems, Inc. | 93,369 | |||||||||
1,792 | Intercontinental Exchange, Inc. | 165,850 | |||||||||
231 | Invesco Ltd. | 4,153 | |||||||||
296 | Moody's Corp. | 70,273 | |||||||||
3,526 | Morgan Stanley | 180,249 | |||||||||
722 | S&P Global, Inc. | 197,142 | |||||||||
68 | SEI Investments Co. | 4,453 | |||||||||
486 | TD Ameritrade Holding Corp. | 24,154 | |||||||||
999,364 | |||||||||||
CHEMICALS - 1.2% | |||||||||||
277 | Air Products & Chemicals, Inc. | 65,092 | |||||||||
149 | CF Industries Holdings, Inc. | 7,113 | |||||||||
434 | Ecolab, Inc. | 83,758 | |||||||||
317 | LyondellBasell Industries NV, Class A | 29,950 | |||||||||
1,801 | Mosaic Co. (The) | 38,974 | |||||||||
41 | Scotts Miracle-Gro Co. (The) | 4,353 | |||||||||
149 | Sherwin-Williams Co. (The) | 86,948 | |||||||||
316,188 | |||||||||||
COMMERCIAL SERVICES & SUPPLIES - 0.1% | |||||||||||
89 | Cintas Corp. | 23,948 | |||||||||
157 | Copart, Inc.* | 14,278 | |||||||||
38,226 | |||||||||||
COMMUNICATIONS EQUIPMENT - 0.5% | |||||||||||
2,883 | Cisco Systems, Inc. | 138,269 | |||||||||
CONSTRUCTION & ENGINEERING - 0.3% | |||||||||||
1,056 | Fluor Corp. | 19,937 | |||||||||
698 | MasTec, Inc.* | 44,784 | |||||||||
64,721 |
See accompanying notes to financial statements.
59
Global Atlantic BlackRock Disciplined U.S. Core Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
CONSUMER FINANCE - 1.1% | |||||||||||
1,599 | Ally Financial, Inc. | $ | 48,865 | ||||||||
1,045 | American Express Co. | 130,092 | |||||||||
913 | Capital One Financial Corp. | 93,957 | |||||||||
272,914 | |||||||||||
CONTAINERS & PACKAGING - 0.1% | |||||||||||
632 | Westrock Co. | 27,119 | |||||||||
DIVERSIFIED CONSUMER SERVICES - 0.2% | |||||||||||
1,663 | H&R Block, Inc. | 39,047 | |||||||||
DIVERSIFIED FINANCIAL SERVICES - 1.9% | |||||||||||
214 | AXA Equitable Holdings, Inc. | 5,303 | |||||||||
2,120 | Berkshire Hathaway, Inc., Class B* | 480,180 | |||||||||
485,483 | |||||||||||
DIVERSIFIED TELECOMMUNICATION - 2.1% | |||||||||||
5,420 | AT&T, Inc. | 211,814 | |||||||||
1,107 | CenturyLink, Inc. | 14,623 | |||||||||
5,007 | Verizon Communications, Inc. | 307,430 | |||||||||
533,867 | |||||||||||
ELECTRIC UTILITIES - 1.3% | |||||||||||
498 | Pinnacle West Capital Corp. | 44,785 | |||||||||
4,560 | Xcel Energy, Inc. | 289,514 | |||||||||
334,299 | |||||||||||
ELECTRICAL EQUIPMENT - 0.8% | |||||||||||
1,275 | AMETEK, Inc. | 127,168 | |||||||||
507 | Hubbell, Inc. | 74,945 | |||||||||
202,113 | |||||||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 0.8% | |||||||||||
447 | Avnet, Inc. | 18,971 | |||||||||
862 | CDW Corp. | 123,128 | |||||||||
1,207 | National Instruments Corp. | 51,104 | |||||||||
193,203 | |||||||||||
ENERGY EQUIPMENT & SERVICES - 0.1% | |||||||||||
960 | Patterson-UTI Energy, Inc. | 10,080 | |||||||||
848 | TechnipFMC PLC | 18,181 | |||||||||
1,241 | Transocean Ltd.* | 8,538 | |||||||||
36,799 | |||||||||||
ENTERTAINMENT - 1.3% | |||||||||||
205 | Activision Blizzard, Inc. | 12,181 | |||||||||
823 | Cinemark Holdings, Inc. | 27,858 | |||||||||
306 | Electronic Arts, Inc.* | 32,898 | |||||||||
348 | Live Nation Entertainment, Inc.* | 24,872 | |||||||||
118 | Netflix, Inc.* | 38,181 | |||||||||
369 | Take-Two Interactive Software, Inc.* | 45,177 | |||||||||
929 | Walt Disney Co. (The) | 134,361 | |||||||||
3,705 | Zynga, Inc., Class A* | 22,675 | |||||||||
338,203 |
Shares/ Principal | Fair Value | ||||||||||
EQUITY REAL ESTATE INVESTMENT - 2.4% | |||||||||||
227 | Boston Properties, Inc. | $ | 31,294 | ||||||||
516 | Equity Residential | 41,755 | |||||||||
34 | Essex Property Trust, Inc. | 10,229 | |||||||||
737 | Host Hotels & Resorts, Inc. | 13,671 | |||||||||
1,329 | Invitation Homes, Inc. | 39,830 | |||||||||
1,001 | Lamar Advertising Co., Class A | 89,349 | |||||||||
658 | National Retail Properties, Inc. | 35,282 | |||||||||
3,391 | Park Hotels & Resorts, Inc. | 87,725 | |||||||||
3,254 | RLJ Lodging Trust | 57,661 | |||||||||
1,335 | Simon Property Group, Inc. | 198,862 | |||||||||
605,658 | |||||||||||
FOOD & STAPLES RETAILING - 1.8% | |||||||||||
1,248 | Costco Wholesale Corp. | 366,812 | |||||||||
270 | Performance Food Group Co.* | 13,900 | |||||||||
630 | Walmart, Inc. | 74,869 | |||||||||
455,581 | |||||||||||
FOOD PRODUCTS - 1.0% | |||||||||||
1,476 | Hershey Co. (The) | 216,943 | |||||||||
702 | Hormel Foods Corp. | 31,667 | |||||||||
248,610 | |||||||||||
GAS UTILITIES - 0.0%† | |||||||||||
82 | Atmos Energy Corp. | 9,172 | |||||||||
45 | Southwest Gas Holdings, Inc. | 3,419 | |||||||||
12,591 | |||||||||||
HEALTH CARE EQUIPMENT & SUPPLIES - 2.4% | |||||||||||
80 | DexCom, Inc.* | 17,499 | |||||||||
533 | Edwards Lifesciences Corp.* | 124,344 | |||||||||
909 | Hologic, Inc.* | 47,459 | |||||||||
180 | IDEXX Laboratories, Inc.* | 47,003 | |||||||||
601 | Medtronic PLC | 68,184 | |||||||||
1,466 | Stryker Corp. | 307,772 | |||||||||
612,261 | |||||||||||
HEALTH CARE PROVIDERS & SERVICES - 2.6% | |||||||||||
360 | AmerisourceBergen Corp. | 30,607 | |||||||||
655 | Anthem, Inc. | 197,830 | |||||||||
103 | Cigna Corp. | 21,062 | |||||||||
2,217 | CVS Health Corp. | 164,701 | |||||||||
82 | Humana, Inc. | 30,055 | |||||||||
61 | McKesson Corp. | 8,438 | |||||||||
702 | UnitedHealth Group, Inc. | 206,374 | |||||||||
35 | WellCare Health Plans, Inc.* | 11,557 | |||||||||
670,624 | |||||||||||
HEALTH CARE TECHNOLOGY - 0.1% | |||||||||||
202 | Veeva Systems, Inc., Class A* | 28,413 |
See accompanying notes to financial statements.
60
Global Atlantic BlackRock Disciplined U.S. Core Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
HOTELS, RESTAURANTS & LEISURE - 2.0% | |||||||||||
786 | Boyd Gaming Corp. | $ | 23,533 | ||||||||
624 | Carnival Corp. | 31,718 | |||||||||
1,054 | Choice Hotels International, Inc. | 109,015 | |||||||||
1,079 | Darden Restaurants, Inc. | 117,622 | |||||||||
654 | Extended Stay America, Inc. | 9,718 | |||||||||
885 | McDonald's Corp. | 174,885 | |||||||||
582 | Penn National Gaming, Inc.* | 14,876 | |||||||||
518 | Texas Roadhouse, Inc. | 29,174 | |||||||||
510,541 | |||||||||||
HOUSEHOLD DURABLES - 0.2% | |||||||||||
816 | DR Horton, Inc. | 43,044 | |||||||||
HOUSEHOLD PRODUCTS - 1.5% | |||||||||||
1,249 | Church & Dwight Co., Inc. | 87,855 | |||||||||
2,406 | Procter & Gamble Co. (The) | 300,509 | |||||||||
388,364 | |||||||||||
INDUSTRIAL CONGLOMERATES - 1.1% | |||||||||||
81 | 3M Co. | 14,290 | |||||||||
50 | Carlisle Cos., Inc. | 8,092 | |||||||||
853 | Honeywell International, Inc. | 150,981 | |||||||||
288 | Roper Technologies, Inc. | 102,018 | |||||||||
275,381 | |||||||||||
INSURANCE - 3.0% | |||||||||||
1,443 | Allstate Corp. (The) | 162,265 | |||||||||
49 | Aon PLC | 10,206 | |||||||||
500 | Arthur J Gallagher & Co. | 47,615 | |||||||||
265 | Brown & Brown, Inc. | 10,462 | |||||||||
594 | Cincinnati Financial Corp. | 62,459 | |||||||||
1,197 | First American Financial Corp. | 69,809 | |||||||||
420 | Globe Life, Inc. | 44,205 | |||||||||
181 | Lincoln National Corp. | 10,681 | |||||||||
445 | Marsh & McLennan Cos., Inc. | 49,578 | |||||||||
1,552 | MetLife, Inc. | 79,106 | |||||||||
547 | Progressive Corp. (The) | 39,597 | |||||||||
940 | Prudential Financial, Inc. | 88,116 | |||||||||
114 | Travelers Cos., Inc. (The) | 15,612 | |||||||||
1,371 | Unum Group | 39,978 | |||||||||
124 | Willis Towers Watson PLC | 25,041 | |||||||||
754,730 | |||||||||||
INTERACTIVE MEDIA & SERVICES - 5.2% | |||||||||||
278 | Alphabet, Inc., Class A* | 372,350 | |||||||||
288 | Alphabet, Inc., Class C* | 385,062 | |||||||||
2,412 | Facebook, Inc., Class A* | 495,063 | |||||||||
939 | Pinterest, Inc., Class A* | 17,503 | |||||||||
751 | TripAdvisor, Inc. | 22,815 | |||||||||
879 | Twitter, Inc.* | 28,172 | |||||||||
559 | Yelp, Inc.* | 19,470 | |||||||||
1,340,435 |
Shares/ Principal | Fair Value | ||||||||||
INTERNET & DIRECT MARKETING RETAIL - 3.3% | |||||||||||
454 | Amazon.com, Inc.* | $ | 838,919 | ||||||||
IT SERVICES - 5.3% | |||||||||||
26 | Accenture PLC, Class A | 5,475 | |||||||||
195 | Amdocs Ltd. | 14,077 | |||||||||
1,510 | Automatic Data Processing, Inc. | 257,455 | |||||||||
573 | Broadridge Financial Solutions, Inc. | 70,788 | |||||||||
183 | GoDaddy, Inc., Class A* | 12,429 | |||||||||
243 | International Business Machines Corp. | 32,572 | |||||||||
171 | Jack Henry & Associates, Inc. | 24,910 | |||||||||
1,795 | Mastercard, Inc., Class A | 535,969 | |||||||||
2,261 | Paychex, Inc. | 192,321 | |||||||||
213 | PayPal Holdings, Inc.* | 23,040 | |||||||||
997 | Visa, Inc., Class A | 187,336 | |||||||||
1,356,372 | |||||||||||
LIFE SCIENCES TOOLS & SERVICES - 0.1% | |||||||||||
86 | Thermo Fisher Scientific, Inc. | 27,939 | |||||||||
MACHINERY - 2.3% | |||||||||||
350 | AGCO Corp. | 27,038 | |||||||||
34 | Deere & Co. | 5,891 | |||||||||
415 | IDEX Corp. | 71,380 | |||||||||
1,419 | Oshkosh Corp. | 134,308 | |||||||||
3,727 | PACCAR, Inc. | 294,806 | |||||||||
273 | Snap-on, Inc. | 46,246 | |||||||||
579,669 | |||||||||||
MEDIA - 1.8% | |||||||||||
844 | AMC Networks, Inc., Class A* | 33,338 | |||||||||
2,927 | Comcast Corp., Class A | 131,627 | |||||||||
1,766 | Discovery, Inc., Class A* | 57,819 | |||||||||
4,932 | Interpublic Group of Cos., Inc. (The) | 113,929 | |||||||||
15,300 | Sirius XM Holdings, Inc. | 109,395 | |||||||||
390 | ViacomCBS, Inc., Class B | 16,368 | |||||||||
462,476 | |||||||||||
METALS & MINING - 0.3% | |||||||||||
1,727 | Alcoa Corp.* | 37,148 | |||||||||
253 | Reliance Steel & Aluminum Co. | 30,299 | |||||||||
67,447 | |||||||||||
MULTILINE RETAIL - 0.7% | |||||||||||
835 | Dollar General Corp. | 130,243 | |||||||||
390 | Target Corp. | 50,002 | |||||||||
180,245 | |||||||||||
MULTI-UTILITIES - 1.5% | |||||||||||
1,885 | Ameren Corp. | 144,768 | |||||||||
666 | Consolidated Edison, Inc. | 60,253 | |||||||||
1,347 | DTE Energy Co. | 174,935 | |||||||||
379,956 |
See accompanying notes to financial statements.
61
Global Atlantic BlackRock Disciplined U.S. Core Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
OIL, GAS & CONSUMABLE FUELS - 3.8% | |||||||||||
38 | Chevron Corp. | $ | 4,579 | ||||||||
1,175 | ConocoPhillips | 76,410 | |||||||||
858 | Continental Resources, Inc. | 29,430 | |||||||||
502 | Devon Energy Corp. | 13,037 | |||||||||
1,814 | EOG Resources, Inc. | 151,941 | |||||||||
6,841 | Exxon Mobil Corp. | 477,365 | |||||||||
1,635 | Marathon Petroleum Corp. | 98,509 | |||||||||
112 | Phillips 66 | 12,478 | |||||||||
617 | Valero Energy Corp. | 57,782 | |||||||||
2,463 | Williams Cos., Inc. (The) | 58,422 | |||||||||
979,953 | |||||||||||
PAPER & FOREST PRODUCTS - 0.3% | |||||||||||
1,857 | Domtar Corp. | 71,012 | |||||||||
PERSONAL PRODUCTS - 0.7% | |||||||||||
901 | Estee Lauder Cos., Inc. (The), Class A | 186,092 | |||||||||
PHARMACEUTICALS - 5.3% | |||||||||||
24 | Allergan PLC | 4,588 | |||||||||
3,445 | Bristol-Myers Squibb Co. | 221,134 | |||||||||
3,379 | Johnson & Johnson | 492,895 | |||||||||
3,487 | Merck & Co., Inc. | 317,143 | |||||||||
1,580 | Mylan NV* | 31,758 | |||||||||
3,809 | Pfizer, Inc. | 149,237 | |||||||||
1,037 | Zoetis, Inc. | 137,247 | |||||||||
1,354,002 | |||||||||||
PROFESSIONAL SERVICES - 0.4% | |||||||||||
196 | IHS Markit Ltd.* | 14,769 | |||||||||
1,193 | Robert Half International, Inc. | 75,338 | |||||||||
90,107 | |||||||||||
ROAD & RAIL - 0.4% | |||||||||||
393 | CSX Corp. | 28,437 | |||||||||
515 | Landstar System, Inc. | 58,643 | |||||||||
14 | Old Dominion Freight Line, Inc. | 2,657 | |||||||||
89,737 | |||||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 4.1% | |||||||||||
2,044 | Applied Materials, Inc. | 124,766 | |||||||||
40 | Broadcom, Inc. | 12,641 | |||||||||
1,054 | Cirrus Logic, Inc.* | 86,860 | |||||||||
4,922 | Intel Corp. | 294,582 | |||||||||
451 | Lam Research Corp. | 131,872 | |||||||||
630 | Micron Technology, Inc.* | 33,881 | |||||||||
722 | NVIDIA Corp. | 169,887 | |||||||||
792 | QUALCOMM, Inc. | 69,878 | |||||||||
276 | Skyworks Solutions, Inc. | 33,363 | |||||||||
732 | Texas Instruments, Inc. | 93,908 | |||||||||
1,051,638 |
Shares/ Principal | Fair Value | ||||||||||
SOFTWARE - 7.6% | |||||||||||
368 | Adobe, Inc.* | $ | 121,370 | ||||||||
740 | Intuit, Inc. | 193,828 | |||||||||
74 | Manhattan Associates, Inc.* | 5,901 | |||||||||
7,637 | Microsoft Corp. | 1,204,355 | |||||||||
217 | Paylocity Holding Corp.* | 26,218 | |||||||||
1,276 | salesforce.com, Inc.* | 207,529 | |||||||||
499 | ServiceNow, Inc.* | 140,878 | |||||||||
229 | Workday, Inc., Class A* | 37,659 | |||||||||
1,937,738 | |||||||||||
SPECIALTY RETAIL - 1.3% | |||||||||||
1,426 | Home Depot, Inc. (The) | 311,410 | |||||||||
22 | O'Reilly Automotive, Inc.* | 9,642 | |||||||||
321,052 | |||||||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS - 4.9% | |||||||||||
4,164 | Apple, Inc. | 1,222,758 | |||||||||
117 | Dell Technologies, Inc., Class C* | 6,013 | |||||||||
1,505 | HP, Inc. | 30,928 | |||||||||
1,259,699 | |||||||||||
TEXTILES, APPAREL & LUXURY GOODS - 0.9% | |||||||||||
2,064 | NIKE, Inc., Class B | 209,104 | |||||||||
158 | Ralph Lauren Corp. | 18,521 | |||||||||
227,625 | |||||||||||
THRIFTS & MORTGAGE FINANCE - 0.1% | |||||||||||
412 | Essent Group Ltd. | 21,420 | |||||||||
TOBACCO - 0.5% | |||||||||||
1,761 | Altria Group, Inc. | 87,892 | |||||||||
593 | Philip Morris International, Inc. | 50,458 | |||||||||
138,350 | |||||||||||
TRADING COMPANIES & DISTRIBUTORS - 0.5% | |||||||||||
1,419 | GATX Corp. | 117,564 | |||||||||
WATER UTILITIES - 0.4% | |||||||||||
905 | American Water Works Co., Inc. | 111,179 | |||||||||
WIRELESS TELECOMMUNICATION SERVICES - 0.3% | |||||||||||
1,511 | Telephone & Data Systems, Inc. | 38,425 | |||||||||
1,311 | United States Cellular Corp.* | 47,497 | |||||||||
85,922 | |||||||||||
TOTAL COMMON STOCKS (Cost - $21,700,401) | 25,449,717 | ||||||||||
RIGHTS - 0.0%† | |||||||||||
682 | Bristol-Myers Squibb Co., CVR (Cost - $1,569)* | 2,053 |
See accompanying notes to financial statements.
62
Global Atlantic BlackRock Disciplined U.S. Core Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
SHORT-TERM INVESTMENTS - 1.8% | |||||||||||
MONEY MARKET FUNDS - 1.8% | |||||||||||
457,858 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (a) (Cost - $457,858) | $ | 457,858 | ||||||||
TOTAL INVESTMENTS - 101.3% (Cost - $22,159,828) | $ | 25,909,628 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET (1.3)% | (325,292 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 25,584,336 |
* Non-income producing security.
† Represents less than 0.05%.
(a) The rate shown is the annualized seven-day yield at period end.
CVR - Contingent Value Rights
PLC - Public Limited Company
FUTURES CONTRACTS | |||||||||||||||||||||||
LONG FUTURES CONTRACTS | Counterparty | Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation | ||||||||||||||||||
S&P 500 E-Mini Future | Goldman Sachs & Co. | 3 | 3/20/2020 | $ | 484,665 | $ | 8,243 |
See accompanying notes to financial statements.
63
Global Atlantic BlackRock Disciplined Value Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide long-term capital appreciation.
Management Review
The Portfolio is sub-advised by BlackRock Investment Management, LLC ("BlackRock").
How did the Portfolio perform during the period?
During 2019, the Class I shares of Global Atlantic BlackRock Disciplined Value Portfolio underperformed its reference benchmark, the Russell 1000 Value Index. The Portfolio posted a return of 25.28% compared to a benchmark return of 26.54%, a difference of -126 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
BlackRock's Scientific Active Equity ("SAE") process systematically tracks and ranks the characteristics of companies in order to seek to construct a portfolio that has the best trade-off between returns, risk and costs. The SAE investment model groups the universe of securities based on an analysis of a wide range of factors, such as relative value ("Value"), earnings quality ("Quality"), market sentiment ("Sentiment"), and thematic insights. Value insights seek to incorporate, where appropriate, asset value, sales, earnings and cash flow forecasts over short and long periods. Quality measures aim to assess the sustainability of earnings and the quality of corporate management by investigating company financials as well as other company statements. Sentiment criteria seek to infer information about a company's value from changes in analysts' forecasts, linkages between companies, management decisions and the behavior of other market participants in equities and other securities markets. And lastly, thematic insights seek to identify and exploit commonalities among groups of stocks that are believed to drive prices but that currently appear to be less obvious to the market.
After modestly outperforming the benchmark over the first half of the year, relative Portfolio performance was challenged during the second half of the year, causing the Portfolio to underperform over the 1-year period. This underperformance was primarily driven by the Portfolio's Sentiment insights. Though these investment signals were additive through the first half of the year, they struggled significantly in the second half of the year amid increased market volatility. A series of inflection points, largely motivated by shifts in global trade conversations and central bank policy, created a difficult environment for the Portfolio's trend-based insights. Cross-market Sentiment insights also struggled throughout much of the year. From a sector standpoint, the Portfolio's Sentiment- based insights were least effective in select cyclical sectors, specifically the financials and communication services sectors.
Insights evaluating company fundamentals were broadly flat for the year, though performance within the group of signals was bifurcated. Value insights were challenged early in the year, as investors sought out speculative growth opportunities at the expense of company fundamentals. Investor mentality shifted throughout the year, and performance of Value insights improved slightly as investors sought out pockets of relative value in the market. Despite more mixed performance in the final months of the year, in aggregate, the Portfolio's relative Value insights were some of the most significant detractors from relative returns for the year. In contrast, also among the Portfolio's fundamental insights, Quality insights were additive to relative returns throughout the year. These results were unsurprising given investor preference for sustainable, high-quality businesses amidst increased market uncertainty.
The Portfolio's macro thematic insights further detracted from relative returns. After experiencing some success through the first half of the year, select industry timing insights struggled during the second half of the year. Of note, while the Portfolio targets a generally sector- and industry-neutral approach, positioning in the energy equipment and services industry was a drag on relative performance. A modest overweight position in the biotechnology industry led to additional performance challenges throughout the year, as the industry underperformed the broader market in 2019.
64
Global Atlantic BlackRock Disciplined Value Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
How was the Portfolio positioned at period end?
From a sector positioning perspective, the Portfolio remains largely sector neutral. The Portfolio had slight overweight positions in the industrials and financials sectors and slight underweight positions in the materials and consumer staples sectors. As the SAE team seeks to maintain a style neutral approach, the Portfolio did not have any outsized active exposures to any particular style or factor.
The Portfolio's performance figures for the periods ended December 31, 2019 as compared to its benchmark:
Annualized | Operating Expense** | ||||||||||||||||||||||
Inception Date* | One Year | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||
Global Atlantic BlackRock Disciplined Value Portfolio | |||||||||||||||||||||||
Class I | November 1, 2017 | 25.28 | % | 8.94 | % | 0.56 | % | 0.54 | % | ||||||||||||||
Class II | November 1, 2017 | 24.92 | % | 8.74 | % | 0.81 | % | 0.79 | % | ||||||||||||||
Russell 1000® Value Index (Total Return) | 26.54 | % | 9.22 | % |
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.
* Commencement of operations is November 6, 2017.
** The estimated operating expense ratios for Class I and 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. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
The Russell 1000® Value Index (Total Return) measures the performance of large- and mid-capitalization value sectors of the U.S. equity market. It is not possible to invest directly in an index.
Comparison of the Change in Value of a $10,000 Investment
65
Global Atlantic BlackRock Disciplined Value Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
Holdings by Asset Class | % of Net Assets | ||||||
Common Stocks | 98.8 | % | |||||
Short-Term Investments | 1.1 | % | |||||
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.
Derivative exposure is included in "Other Assets Less Liabilities - Net".
66
Global Atlantic BlackRock Disciplined Value Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
COMMON STOCKS - 98.8% | |||||||||||
AEROSPACE & DEFENSE - 2.2% | |||||||||||
3,467 | Curtiss-Wright Corp. | $ | 488,466 | ||||||||
398 | General Dynamics Corp. | 70,187 | |||||||||
4,261 | Hexcel Corp. | 312,374 | |||||||||
6,755 | Lockheed Martin Corp. | 2,630,262 | |||||||||
488 | Northrop Grumman Corp. | 167,857 | |||||||||
2,640 | Raytheon Co. | 580,114 | |||||||||
5,451 | Teledyne Technologies, Inc.* | 1,888,989 | |||||||||
6,138,249 | |||||||||||
AIR FREIGHT & LOGISTICS - 0.0%† | |||||||||||
523 | Expeditors International of Washington, Inc. | 40,804 | |||||||||
AIRLINES - 0.6% | |||||||||||
5,605 | Alaska Air Group, Inc. | 379,739 | |||||||||
3,999 | Delta Air Lines, Inc. | 233,861 | |||||||||
12,247 | United Airlines Holdings, Inc.* | 1,078,838 | |||||||||
1,692,438 | |||||||||||
AUTO COMPONENTS - 0.4% | |||||||||||
11,764 | Dana, Inc. | 214,105 | |||||||||
52,690 | Goodyear Tire & Rubber Co. (The) | 819,593 | |||||||||
1,033,698 | |||||||||||
AUTOMOBILES - 0.9% | |||||||||||
124,073 | Ford Motor Co. | 1,153,879 | |||||||||
30,333 | General Motors Co. | 1,110,188 | |||||||||
2,005 | Harley-Davidson, Inc. | 74,566 | |||||||||
2,338,633 | |||||||||||
BANKS - 9.6% | |||||||||||
150,350 | Bank of America Corp. | 5,295,327 | |||||||||
5,983 | Bank OZK | 182,511 | |||||||||
21,275 | CIT Group, Inc. | 970,778 | |||||||||
17,672 | Citigroup, Inc. | 1,411,816 | |||||||||
21,594 | Citizens Financial Group, Inc. | 876,932 | |||||||||
2,158 | Comerica, Inc. | 154,836 | |||||||||
7,184 | Cullen/Frost Bankers, Inc. | 702,452 | |||||||||
13,464 | East West Bancorp, Inc. | 655,697 | |||||||||
67 | First Citizens BancShares, Inc., Class A | 35,658 | |||||||||
4,275 | First Hawaiian, Inc. | 123,334 | |||||||||
47,376 | First Horizon National Corp. | 784,547 | |||||||||
54,994 | JPMorgan Chase & Co. | 7,666,164 | |||||||||
4,072 | PacWest Bancorp | 155,835 | |||||||||
6,754 | People's United Financial, Inc. | 114,143 | |||||||||
426 | Pinnacle Financial Partners, Inc. | 27,264 | |||||||||
28,010 | Regions Financial Corp. | 480,652 | |||||||||
133 | SVB Financial Group* | 33,388 | |||||||||
2,082 | Synovus Financial Corp. | 81,614 | |||||||||
17,828 | Truist Financial Corp. | 1,004,073 | |||||||||
20,877 | US Bancorp | 1,237,797 |
Shares/ Principal | Fair Value | ||||||||||
BANKS - 9.6% (Continued) | |||||||||||
69,844 | Wells Fargo & Co. | $ | 3,757,607 | ||||||||
9,655 | Zions Bancorp NA | 501,288 | |||||||||
26,253,713 | |||||||||||
BEVERAGES - 0.6% | |||||||||||
2,752 | Coca-Cola Co. (The) | 152,323 | |||||||||
3,329 | Coca-Cola European Partners PLC | 169,379 | |||||||||
10,341 | Molson Coors Beverage Co., Class B | 557,380 | |||||||||
3,238 | Monster Beverage Corp.* | 205,775 | |||||||||
3,998 | PepsiCo, Inc. | 546,407 | |||||||||
1,631,264 | |||||||||||
BIOTECHNOLOGY - 2.5% | |||||||||||
3,244 | AbbVie, Inc. | 287,224 | |||||||||
762 | Alexion Pharmaceuticals, Inc.* | 82,411 | |||||||||
147 | Amgen, Inc. | 35,437 | |||||||||
2,503 | Biogen, Inc.* | 742,715 | |||||||||
65,804 | Gilead Sciences, Inc. | 4,275,944 | |||||||||
2,881 | Regeneron Pharmaceuticals, Inc.* | 1,081,758 | |||||||||
4,228 | United Therapeutics Corp.* | 372,402 | |||||||||
359 | Vertex Pharmaceuticals, Inc.* | 78,603 | |||||||||
6,956,494 | |||||||||||
BUILDING PRODUCTS - 1.0% | |||||||||||
20,027 | Allegion PLC | 2,494,163 | |||||||||
12,097 | Resideo Technologies, Inc.* | 144,317 | |||||||||
2,638,480 | |||||||||||
CAPITAL MARKETS - 4.4% | |||||||||||
4,834 | Affiliated Managers Group, Inc. | 409,633 | |||||||||
18,327 | Bank of New York Mellon Corp. (The) | 922,398 | |||||||||
18,723 | Charles Schwab Corp. (The) | 890,466 | |||||||||
8,475 | CME Group, Inc. | 1,701,102 | |||||||||
4,191 | Evercore, Inc., Class A | 313,319 | |||||||||
2,787 | FactSet Research Systems, Inc. | 747,752 | |||||||||
21,269 | Intercontinental Exchange, Inc. | 1,968,446 | |||||||||
12,698 | Invesco Ltd. | 228,310 | |||||||||
300 | Moody's Corp. | 71,223 | |||||||||
58,221 | Morgan Stanley | 2,976,257 | |||||||||
2,276 | Nasdaq, Inc. | 243,760 | |||||||||
4,043 | S&P Global, Inc. | 1,103,941 | |||||||||
2,224 | SEI Investments Co. | 145,628 | |||||||||
7,205 | TD Ameritrade Holding Corp. | 358,088 | |||||||||
12,080,323 | |||||||||||
CHEMICALS - 1.9% | |||||||||||
5,579 | Air Products & Chemicals, Inc. | 1,311,009 | |||||||||
10,648 | CF Industries Holdings, Inc. | 508,336 | |||||||||
7,360 | Corteva, Inc. | 217,562 | |||||||||
3,960 | DuPont de Nemours, Inc. | 254,232 | |||||||||
2,295 | Ecolab, Inc. | 442,912 | |||||||||
14,227 | LyondellBasell Industries NV, Class A | 1,344,167 |
See accompanying notes to financial statements.
67
Global Atlantic BlackRock Disciplined Value Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
CHEMICALS - 1.9% (Continued) | |||||||||||
28,749 | Mosaic Co. (The) | $ | 622,128 | ||||||||
2,466 | PPG Industries, Inc. | 329,186 | |||||||||
270 | Sherwin-Williams Co. (The) | 157,556 | |||||||||
5,187,088 | |||||||||||
COMMERCIAL SERVICES & SUPPLIES - 0.1% | |||||||||||
15,053 | ADT, Inc. | 119,370 | |||||||||
1,729 | Republic Services, Inc. | 154,970 | |||||||||
274,340 | |||||||||||
COMMUNICATIONS EQUIPMENT - 0.1% | |||||||||||
5,755 | Ciena Corp.* | 245,681 | |||||||||
CONSTRUCTION & ENGINEERING - 0.4% | |||||||||||
10,951 | AECOM* | 472,317 | |||||||||
21,124 | Fluor Corp. | 398,821 | |||||||||
5,062 | MasTec, Inc.* | 324,778 | |||||||||
1,195,916 | |||||||||||
CONSUMER FINANCE - 1.6% | |||||||||||
32,394 | Ally Financial, Inc. | 989,961 | |||||||||
11,682 | American Express Co. | 1,454,292 | |||||||||
19,024 | Capital One Financial Corp. | 1,957,760 | |||||||||
4,402,013 | |||||||||||
CONTAINERS & PACKAGING - 0.4% | |||||||||||
3,061 | Graphic Packaging Holding Co. | 50,966 | |||||||||
975 | Packaging Corp. of America | 109,190 | |||||||||
19,924 | Westrock Co. | 854,939 | |||||||||
1,015,095 | |||||||||||
DIVERSIFIED CONSUMER SERVICES - 0.2% | |||||||||||
20,691 | H&R Block, Inc. | 485,825 | |||||||||
DIVERSIFIED FINANCIAL SERVICES - 3.5% | |||||||||||
13,426 | AXA Equitable Holdings, Inc. | 332,696 | |||||||||
41,253 | Berkshire Hathaway, Inc., Class B* | 9,343,805 | |||||||||
9,676,501 | |||||||||||
DIVERSIFIED TELECOMMUNICATION - 4.0% | |||||||||||
120,337 | AT&T, Inc. | 4,702,770 | |||||||||
42,932 | CenturyLink, Inc. | 567,132 | |||||||||
91,494 | Verizon Communications, Inc. | 5,617,731 | |||||||||
10,887,633 | |||||||||||
ELECTRIC UTILITIES - 2.8% | |||||||||||
30,656 | Alliant Energy Corp. | 1,677,496 | |||||||||
8,885 | IDACORP, Inc. | 948,918 | |||||||||
11,635 | OGE Energy Corp. | 517,409 | |||||||||
10,707 | Pinnacle West Capital Corp. | 962,881 | |||||||||
54,056 | Xcel Energy, Inc. | 3,432,015 | |||||||||
7,538,719 |
Shares/ Principal | Fair Value | ||||||||||
ELECTRICAL EQUIPMENT - 1.1% | |||||||||||
16,905 | AMETEK, Inc. | $ | 1,686,104 | ||||||||
1,190 | Eaton Corp. PLC | 112,717 | |||||||||
8,056 | Hubbell, Inc. | 1,190,838 | |||||||||
2,989,659 | |||||||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 0.8% | |||||||||||
8,502 | Avnet, Inc. | 360,825 | |||||||||
6,388 | CDW Corp. | 912,462 | |||||||||
19,185 | National Instruments Corp. | 812,293 | |||||||||
2,085,580 | |||||||||||
ENERGY EQUIPMENT & SERVICES - 0.4% | |||||||||||
1,920 | Halliburton Co. | 46,982 | |||||||||
7,715 | National Oilwell Varco, Inc. | 193,261 | |||||||||
21,366 | Patterson-UTI Energy, Inc. | 224,343 | |||||||||
1,309 | TechnipFMC PLC | 28,065 | |||||||||
85,432 | Transocean Ltd.* | 587,772 | |||||||||
1,080,423 | |||||||||||
ENTERTAINMENT - 1.9% | |||||||||||
6,831 | Activision Blizzard, Inc. | 405,898 | |||||||||
11,461 | Cinemark Holdings, Inc. | 387,955 | |||||||||
701 | Electronic Arts, Inc.* | 75,364 | |||||||||
419 | Live Nation Entertainment, Inc.* | 29,946 | |||||||||
4,419 | Take-Two Interactive Software, Inc.* | 541,018 | |||||||||
23,928 | Walt Disney Co. (The) | 3,460,707 | |||||||||
35,822 | Zynga, Inc., Class A* | 219,231 | |||||||||
5,120,119 | |||||||||||
EQUITY REAL ESTATE INVESTMENT - 4.5% | |||||||||||
1,981 | Alexandria Real Estate Equities, Inc. | 320,090 | |||||||||
7,962 | Boston Properties, Inc. | 1,097,641 | |||||||||
55,505 | Brandywine Realty Trust | 874,204 | |||||||||
261 | Camden Property Trust | 27,692 | |||||||||
9,736 | Equity Residential | 787,837 | |||||||||
504 | Essex Property Trust, Inc. | 151,633 | |||||||||
44,360 | Host Hotels & Resorts, Inc. | 822,878 | |||||||||
33,277 | Invitation Homes, Inc. | 997,312 | |||||||||
5,524 | Lamar Advertising Co., Class A | 493,072 | |||||||||
377 | Life Storage, Inc. | 40,822 | |||||||||
5,352 | National Retail Properties, Inc. | 286,974 | |||||||||
7,575 | Outfront Media, Inc. | 203,162 | |||||||||
57,691 | Park Hotels & Resorts, Inc. | 1,492,466 | |||||||||
7,491 | Prologis, Inc. | 667,748 | |||||||||
6,789 | Regency Centers Corp. | 428,318 | |||||||||
43,688 | RLJ Lodging Trust | 774,151 | |||||||||
14,682 | Simon Property Group, Inc. | 2,187,031 | |||||||||
3,993 | SL Green Realty Corp. | 366,877 | |||||||||
6,043 | UDR, Inc. | 282,208 | |||||||||
1,649 | Ventas, Inc. | 95,213 | |||||||||
3 | Weingarten Realty Investors | 94 | |||||||||
12,397,423 |
See accompanying notes to financial statements.
68
Global Atlantic BlackRock Disciplined Value Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
FOOD & STAPLES RETAILING - 1.7% | |||||||||||
5,806 | Costco Wholesale Corp. | $ | 1,706,499 | ||||||||
8,068 | Performance Food Group Co.* | 415,341 | |||||||||
21,732 | Walmart, Inc. | 2,582,631 | |||||||||
4,704,471 | |||||||||||
FOOD PRODUCTS - 1.4% | |||||||||||
12,463 | General Mills, Inc. | 667,518 | |||||||||
16,297 | Hershey Co. (The) | 2,395,333 | |||||||||
19,262 | Hormel Foods Corp. | 868,909 | |||||||||
3,931,760 | |||||||||||
GAS UTILITIES - 0.3% | |||||||||||
3,531 | Atmos Energy Corp. | 394,978 | |||||||||
5,225 | Southwest Gas Holdings, Inc. | 396,943 | |||||||||
791,921 | |||||||||||
HEALTH CARE EQUIPMENT & SUPPLIES - 2.3% | |||||||||||
312 | Abbott Laboratories | 27,100 | |||||||||
4,642 | Danaher Corp. | 712,454 | |||||||||
732 | DexCom, Inc.* | 160,118 | |||||||||
2,619 | Edwards Lifesciences Corp.* | 610,986 | |||||||||
9,110 | Hologic, Inc.* | 475,633 | |||||||||
577 | IDEXX Laboratories, Inc.* | 150,672 | |||||||||
20,731 | Medtronic PLC | 2,351,932 | |||||||||
31,463 | SmileDirectClub, Inc.* | 274,987 | |||||||||
6,970 | Stryker Corp. | 1,463,282 | |||||||||
6,227,164 | |||||||||||
HEALTH CARE PROVIDERS & SERVICES - 2.3% | |||||||||||
3,235 | AmerisourceBergen Corp. | 275,040 | |||||||||
6,426 | Anthem, Inc. | 1,940,845 | |||||||||
3,257 | Cigna Corp. | 666,024 | |||||||||
37,694 | CVS Health Corp. | 2,800,287 | |||||||||
414 | Humana, Inc. | 151,739 | |||||||||
2,648 | McKesson Corp. | 366,271 | |||||||||
6,200,206 | |||||||||||
HEALTH CARE TECHNOLOGY - 0.1% | |||||||||||
1,696 | Veeva Systems, Inc., Class A* | 238,559 | |||||||||
HOTELS, RESTAURANTS & LEISURE - 2.3% | |||||||||||
1,317 | Boyd Gaming Corp. | 39,431 | |||||||||
11,031 | Carnival Corp. | 560,706 | |||||||||
13,106 | Choice Hotels International, Inc. | 1,355,553 | |||||||||
7,316 | Darden Restaurants, Inc. | 797,517 | |||||||||
753 | Dunkin' Brands Group, Inc. | 56,882 | |||||||||
54,302 | Extended Stay America, Inc. | 806,928 | |||||||||
12,576 | International Game Technology PLC | 188,263 | |||||||||
10,996 | McDonald's Corp. | 2,172,919 | |||||||||
1,919 | Penn National Gaming, Inc.* | 49,050 | |||||||||
2,956 | Texas Roadhouse, Inc. | 166,482 | |||||||||
6,193,731 |
Shares/ Principal | Fair Value | ||||||||||
HOUSEHOLD DURABLES - 0.4% | |||||||||||
16,107 | DR Horton, Inc. | $ | 849,644 | ||||||||
1,289 | Garmin Ltd. | 125,755 | |||||||||
975,399 | |||||||||||
HOUSEHOLD PRODUCTS - 2.6% | |||||||||||
12,328 | Church & Dwight Co., Inc. | 867,152 | |||||||||
50,016 | Procter & Gamble Co. (The) | 6,246,998 | |||||||||
7,114,150 | |||||||||||
INDUSTRIAL CONGLOMERATES - 1.2% | |||||||||||
1,788 | Carlisle Cos., Inc. | 289,370 | |||||||||
36,167 | General Electric Co. | 403,624 | |||||||||
7,353 | Honeywell International, Inc. | 1,301,481 | |||||||||
3,388 | Roper Technologies, Inc. | 1,200,131 | |||||||||
3,194,606 | |||||||||||
INSURANCE - 5.3% | |||||||||||
7,971 | Aflac, Inc. | 421,666 | |||||||||
19,684 | Allstate Corp. (The) | 2,213,466 | |||||||||
250 | American National Insurance Co. | 29,420 | |||||||||
11,097 | Arthur J Gallagher & Co. | 1,056,767 | |||||||||
6,606 | Brown & Brown, Inc. | 260,805 | |||||||||
12,635 | Cincinnati Financial Corp. | 1,328,570 | |||||||||
623 | Fidelity National Financial, Inc. | 28,253 | |||||||||
21,033 | First American Financial Corp. | 1,226,645 | |||||||||
10,156 | Globe Life, Inc. | 1,068,919 | |||||||||
460 | Hanover Insurance Group, Inc. (The) | 62,868 | |||||||||
4,198 | Hartford Financial Services Group, Inc. (The) | 255,112 | |||||||||
11,126 | Lincoln National Corp. | 656,545 | |||||||||
1,754 | Marsh & McLennan Cos., Inc. | 195,413 | |||||||||
25,019 | MetLife, Inc. | 1,275,218 | |||||||||
6,489 | Progressive Corp. (The) | 469,739 | |||||||||
15,605 | Prudential Financial, Inc. | 1,462,813 | |||||||||
1,161 | Reinsurance Group of America, Inc. | 189,313 | |||||||||
6,446 | Travelers Cos., Inc. (The) | 882,780 | |||||||||
15,550 | Unum Group | 453,438 | |||||||||
2,425 | Willis Towers Watson PLC | 489,705 | |||||||||
6,581 | WR Berkley Corp. | 454,747 | |||||||||
14,482,202 | |||||||||||
INTERACTIVE MEDIA & SERVICES - 0.1% | |||||||||||
6,179 | Pinterest, Inc., Class A* | 115,176 | |||||||||
5,218 | TripAdvisor, Inc. | 158,523 | |||||||||
273,699 | |||||||||||
INTERNET & DIRECT MARKETING RETAIL - 0.0%† | |||||||||||
8,981 | Qurate Retail, Inc.* | 75,710 | |||||||||
IT SERVICES - 1.4% | |||||||||||
5,799 | Automatic Data Processing, Inc. | 988,730 | |||||||||
1,771 | Broadridge Financial Solutions, Inc. | 218,789 | |||||||||
1,065 | GoDaddy, Inc., Class A* | 72,335 |
See accompanying notes to financial statements.
69
Global Atlantic BlackRock Disciplined Value Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
IT SERVICES - 1.4% (Continued) | |||||||||||
990 | Jack Henry & Associates, Inc. | $ | 144,213 | ||||||||
6,582 | Mastercard, Inc., Class A | 1,965,319 | |||||||||
5,021 | Paychex, Inc. | 427,086 | |||||||||
3,816,472 | |||||||||||
MACHINERY - 2.8% | |||||||||||
6,911 | AGCO Corp. | 533,875 | |||||||||
2,028 | Deere & Co. | 351,371 | |||||||||
4,489 | IDEX Corp. | 772,108 | |||||||||
321 | Ingersoll-Rand PLC | 42,667 | |||||||||
18,950 | Oshkosh Corp. | 1,793,618 | |||||||||
42,383 | PACCAR, Inc. | 3,352,495 | |||||||||
4,786 | Snap-on, Inc. | 810,748 | |||||||||
7,656,882 | |||||||||||
MEDIA - 2.0% | |||||||||||
6,197 | AMC Networks, Inc., Class A* | 244,782 | |||||||||
25,174 | Comcast Corp., Class A | 1,132,075 | |||||||||
20,983 | Discovery, Inc., Class A* | 686,983 | |||||||||
70,994 | Interpublic Group of Cos., Inc. (The) | 1,639,961 | |||||||||
1,580 | Liberty Media Corp.-Liberty SiriusXM, Class A* | 76,377 | |||||||||
96,505 | Sirius XM Holdings, Inc. | 690,011 | |||||||||
25,139 | ViacomCBS, Inc., Class B | 1,055,084 | |||||||||
5,525,273 | |||||||||||
METALS & MINING - 0.6% | |||||||||||
27,824 | Alcoa Corp.* | 598,494 | |||||||||
5,944 | Reliance Steel & Aluminum Co. | 711,854 | |||||||||
1,061 | Royal Gold, Inc. | 129,707 | |||||||||
6,673 | Steel Dynamics, Inc. | 227,149 | |||||||||
1,667,204 | |||||||||||
MULTILINE RETAIL - 0.7% | |||||||||||
6,900 | Dollar General Corp. | 1,076,262 | |||||||||
7,028 | Target Corp. | 901,060 | |||||||||
1,977,322 | |||||||||||
MULTI-UTILITIES - 2.5% | |||||||||||
24,893 | Ameren Corp. | 1,911,782 | |||||||||
25,652 | Consolidated Edison, Inc. | 2,320,737 | |||||||||
20,801 | DTE Energy Co. | 2,701,426 | |||||||||
6,933,945 | |||||||||||
OIL, GAS & CONSUMABLE FUELS - 7.4% | |||||||||||
18,710 | Chevron Corp. | 2,254,742 | |||||||||
26,083 | ConocoPhillips | 1,696,177 | |||||||||
16,020 | Continental Resources, Inc. | 549,486 | |||||||||
14,423 | Devon Energy Corp. | 374,565 | |||||||||
26,985 | EOG Resources, Inc. | 2,260,264 | |||||||||
106,561 | Exxon Mobil Corp. | 7,435,827 | |||||||||
31,163 | Kinder Morgan, Inc. | 659,721 | |||||||||
38,492 | Marathon Oil Corp. | 522,721 | |||||||||
22,936 | Marathon Petroleum Corp. | 1,381,894 |
Shares/ Principal | Fair Value | ||||||||||
OIL, GAS & CONSUMABLE FUELS - 7.4% (Continued) | |||||||||||
7,641 | Phillips 66 | $ | 851,284 | ||||||||
8,982 | Range Resources Corp. | 43,563 | |||||||||
11,196 | Valero Energy Corp. | 1,048,505 | |||||||||
52,207 | Williams Cos., Inc. (The) | 1,238,350 | |||||||||
20,317,099 | |||||||||||
PAPER & FOREST PRODUCTS - 0.4% | |||||||||||
26,051 | Domtar Corp. | 996,190 | |||||||||
PERSONAL PRODUCTS - 0.4% | |||||||||||
5,401 | Estee Lauder Cos., Inc. (The), Class A | 1,115,522 | |||||||||
PHARMACEUTICALS - 5.8% | |||||||||||
3,818 | Allergan PLC | 729,887 | |||||||||
31,322 | Bristol-Myers Squibb Co. | 2,010,559 | |||||||||
51,364 | Johnson & Johnson | 7,492,467 | |||||||||
11,617 | Merck & Co., Inc. | 1,056,566 | |||||||||
27,759 | Mylan NV* | 557,956 | |||||||||
91,327 | Pfizer, Inc. | 3,578,192 | |||||||||
4,111 | Zoetis, Inc. | 544,091 | |||||||||
15,969,718 | |||||||||||
PROFESSIONAL SERVICES - 0.2% | |||||||||||
2,336 | IHS Markit Ltd.* | 176,018 | |||||||||
6,057 | Robert Half International, Inc. | 382,499 | |||||||||
558,517 | |||||||||||
ROAD & RAIL - 0.4% | |||||||||||
5,799 | CSX Corp. | 419,616 | |||||||||
3,832 | Landstar System, Inc. | 436,350 | |||||||||
746 | Old Dominion Freight Line, Inc. | 141,576 | |||||||||
2,362 | Ryder System, Inc. | 128,280 | |||||||||
1,125,822 | |||||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 3.4% | |||||||||||
1,644 | Analog Devices, Inc. | 195,373 | |||||||||
22,439 | Applied Materials, Inc. | 1,369,677 | |||||||||
8,337 | Cirrus Logic, Inc.* | 687,052 | |||||||||
6,896 | Cypress Semiconductor Corp. | 160,884 | |||||||||
86,032 | Intel Corp. | 5,149,015 | |||||||||
3,146 | Lam Research Corp. | 919,890 | |||||||||
13,476 | Micron Technology, Inc.* | 724,739 | |||||||||
2,041 | Skyworks Solutions, Inc. | 246,716 | |||||||||
9,453,346 | |||||||||||
SOFTWARE - 0.8% | |||||||||||
9,915 | Cloudflare, Inc., Class A* | 169,150 | |||||||||
3,750 | Intuit, Inc. | 982,238 | |||||||||
1,059 | Paylocity Holding Corp.* | 127,948 | |||||||||
745 | salesforce.com, Inc.* | 121,167 | |||||||||
1,790 | ServiceNow, Inc.* | 505,353 | |||||||||
965 | Workday, Inc., Class A* | 158,694 | |||||||||
2,064,550 |
See accompanying notes to financial statements.
70
Global Atlantic BlackRock Disciplined Value Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
SPECIALTY RETAIL - 0.8% | |||||||||||
929 | AutoNation, Inc.* | $ | 45,177 | ||||||||
9,526 | Home Depot, Inc. (The) | 2,080,288 | |||||||||
2,125,465 | |||||||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS - 0.3% | |||||||||||
3,327 | Dell Technologies, Inc., Class C* | 170,975 | |||||||||
26,850 | HP, Inc. | 551,767 | |||||||||
1,181 | Western Digital Corp. | 74,958 | |||||||||
797,700 | |||||||||||
TEXTILES, APPAREL & LUXURY GOODS - 0.1% | |||||||||||
3,321 | Ralph Lauren Corp. | 389,288 | |||||||||
THRIFTS & MORTGAGE FINANCE - 0.1% | |||||||||||
2,573 | Essent Group Ltd. | 133,770 | |||||||||
9,033 | MGIC Investment Corp. | 127,998 | |||||||||
261,768 | |||||||||||
TOBACCO - 1.0% | |||||||||||
22,655 | Altria Group, Inc. | 1,130,711 | |||||||||
20,530 | Philip Morris International, Inc. | 1,746,898 | |||||||||
2,877,609 | |||||||||||
TRADING COMPANIES & DISTRIBUTORS - 0.4% | |||||||||||
11,456 | GATX Corp. | 949,129 | |||||||||
804 | Watsco, Inc. | 144,841 | |||||||||
1,093,970 |
Shares/ Principal | Fair Value | ||||||||||
WATER UTILITIES - 0.9% | |||||||||||
20,976 | American Water Works Co., Inc. | $ | 2,576,902 | ||||||||
WIRELESS TELECOMMUNICATION SERVICES - 0.5% | |||||||||||
31,934 | Telephone & Data Systems, Inc. | 812,082 | |||||||||
14,549 | United States Cellular Corp.* | 527,110 | |||||||||
1,339,192 | |||||||||||
TOTAL COMMON STOCKS (Cost - $242,942,540) | 270,429,445 | ||||||||||
SHORT-TERM INVESTMENTS - 1.1% | |||||||||||
MONEY MARKET FUNDS - 1.1% | |||||||||||
2,985,994 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (a) (Cost - $2,985,994) | 2,985,994 | |||||||||
TOTAL INVESTMENTS - 99.9% (Cost - $245,928,534) | $ | 273,415,439 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET 0.1% | 353,535 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 273,768,974 |
* Non-income producing security.
† Represents less than 0.05%.
(a) The rate shown is the annualized seven-day yield at period end.
PLC - Public Limited Company
FUTURES CONTRACTS | |||||||||||||||||||||||
LONG FUTURES CONTRACTS | Counterparty | Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation | ||||||||||||||||||
S&P 500 E-Mini Future | UBS Securities LLC | 22 | 3/20/2020 | $ | 3,554,210 | $ | 53,938 |
See accompanying notes to financial statements.
71
Global Atlantic BlackRock High Yield Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide total return.
Management Review
The Portfolio is sub-advised by BlackRock Investment Management, LLC ("BlackRock").
How did the Portfolio perform during the period?
During 2019, the Class I shares of Global Atlantic BlackRock High Yield Portfolio performed in-line with its reference benchmark, the ICE BofAML BB-B U.S. High Yield Constrained Index. The Portfolio posted a return of 15.06% compared to a benchmark return of 15.10%, a difference of -4 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
Despite the strong overall market rally indicating a sentiment reversal for high yield (more detailed flows breakdown below), returns have not been driven by a low-quality rally. Rather, BB rated securities and B rated securities returned 15.69% and 15.61% respectively for the year, while CCC rated securities lagged meaningfully at 11.25%. While this trend seems counterintuitive, it signals investors' preference for up-in-quality exposure and a lack of true risk-on sentiment. After pullback in the fourth quarter of 2018, investors bought the dip while managers executed upon these flows in a relatively conservative manner. Primary markets also reflected a relative distaste for CCC rated securities, as lower quality issuance declined to 10% of 2019 deals vs. greater than 21% in 2018. That said, this trend reversed meaningfully in December 2019 as CCC rated securities outperformed after an otherwise poor showing throughout 2019. This rating segment returned nearly 5% in December (vs. 2% or less for BB rated securities and B rated securities) on the back of the positive macro environment described above.
From a fund flow perspective, 2019 marked a meaningful return in high yield demand from retail investors, with $19.3 billion in total inflows after several years of outflow activity. The inflows in the fourth quarter of 2019 totaled $3.6 billion specifically, which was the second highest reading of the year. Primary market activity ended 2019 on a firm note, with $67.9 billion of new issue coming to market over the fourth quarter. Net issuance was relatively light, as refinancing continued to dominate use-of-proceeds. The fourth quarter's deals brought 2019 gross issuance to $286.6 billion, an increase of 52% year-over-year. When adjusting for refinancing volume, however, net issuance of $93.3 billion represents a 28% year-over-year growth rate.
The high yield market's overall default rate reached 2.86% to end the year. Despite an uptick of 98 basis points during 2019 (in large part driven by energy-related names), the default rate remained meaningfully below the long-term average of 3.46% as of year-end. BlackRock believes that while idiosyncratic issues within energy will likely continue, market-wide default rates are not expected to increase meaningfully over the near-term.
The primary contributor during the year was the Portfolio's underweight to the energy sector, particularly the independent and midstream sub-sectors. Within communications, an overweight within cable and an underweight within media was also beneficial to performance. Within consumer cyclicals, an overweight to home construction and selection within leisure was also beneficial to performance.
The primary detractor during the year was the Portfolio's underweight to banking. Security selection within basics, particularly within metals and paper, also detracted from performance. Within consumer non-cyclicals, an overweight within pharmaceuticals detracted from performance.
How was the Portfolio positioned at period end?
At year-end, the Portfolio was overweight other financials, technology, and consumer cyclicals. The largest sector underweights were consumer non-cyclicals, banking, and capital goods.
72
Global Atlantic BlackRock High Yield 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 | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||
Global Atlantic BlackRock High Yield Portfolio | |||||||||||||||||||||||
Class I | November 1, 2017 | 15.06 | % | 4.15 | % | 0.62 | % | 0.59 | % | ||||||||||||||
Class II | November 1, 2017 | 14.70 | % | 3.88 | % | 0.87 | % | 0.84 | % | ||||||||||||||
ICE BofAML BB-B U.S. High Yield Constrained Index^ | 15.10 | % | 5.65 | % | |||||||||||||||||||
ICE BofAML U.S. High Yield Master II Index+ | 14.41 | % | 5.29 | % |
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.
* Commencement of operations is November 6, 2017.
** The estimated operating expense ratios for Class I and 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. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
^ Effective January 1, 2019, the Portfolio's benchmark is the ICE BofAML BB-B U.S. High Yield Constrained Index. The ICE BofAML BB-B US High Yield Constrained Index contains all securities in the ICE BofAML U.S. High Yield Index rated BB1 through B3, based on an average of Moody's, S&P, and Fitch, but caps issuer exposure at 2%. Index constituents are capitalization-weighted, based on their current amount outstanding, provided the total allocation to an individual issuer does not exceed 2%. It is not possible to invest directly in an index. Global Atlantic Investment Advisors, LLC believes that the new benchmark better reflects the Portfolio's investment strategy.
+ The ICE BofA ML U.S. High Yield Master II Index is an unmanaged market value-weighted index comprised of over 2,300 domestic and yankee high-yield bonds, including deferred interest bonds and payment-in-kind securities. It is not possible to invest directly in an index.
Comparison of the Change in Value of a $10,000 Investment
73
Global Atlantic BlackRock High Yield Portfolio
Portfolio Review (Continued)
December 31, 2019 (Unaudited)
Holdings by Asset Class | % of Net Assets | ||||||
Corporate Bonds and Notes | 98.0 | % | |||||
Short-Term Investments | 0.6 | % | |||||
Other Assets Less Liabilities - Net | 1.4 | % | |||||
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".
74
Global Atlantic BlackRock High Yield Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
CORPORATE BONDS AND NOTES - 98.0% | |||||||||||
ADVERTISING - 0.4% | |||||||||||
$ | 175,000 | MDC Partners, Inc., 6.50%, 5/1/24 (a) | $ | 158,375 | |||||||
75,000 | National CineMedia LLC, 5.88%, 4/15/28 (a) | 79,687 | |||||||||
45,000 | Outfront Media Capital LLC / Outfront Media Capital Corp., 5.00%, 8/15/27 (a) | 47,138 | |||||||||
285,200 | |||||||||||
AEROSPACE & DEFENSE - 3.2% | |||||||||||
325,000 | Arconic, Inc., 5.90%, 2/1/27 | 372,217 | |||||||||
200,000 | Bombardier, Inc., 8.75%, 12/1/21 (a) | 219,125 | |||||||||
40,000 | Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25 (a) | 42,800 | |||||||||
Signature Aviation US Holdings, Inc. | |||||||||||
60,000 | 5.38%, 5/1/26 (a) | 63,157 | |||||||||
65,000 | 4.00%, 3/1/28 (a) | 64,109 | |||||||||
74,000 | Ssl Robotics LLC, 9.75%, 12/31/23 (a) | 80,475 | |||||||||
200,000 | TransDigm UK Holdings PLC, 6.88%, 5/15/26 | 213,000 | |||||||||
TransDigm, Inc. | |||||||||||
200,000 | 6.50%, 7/15/24 | 206,270 | |||||||||
100,000 | 6.25%, 3/15/26 (a) | 108,261 | |||||||||
250,000 | 6.38%, 6/15/26 | 265,152 | |||||||||
250,000 | 7.50%, 3/15/27 | 273,450 | |||||||||
320,000 | 5.50%, 11/15/27 (a) | 323,594 | |||||||||
50,000 | Triumph Group, Inc., 6.25%, 9/15/24 (a) | 52,563 | |||||||||
2,284,173 | |||||||||||
AGRICULTURE - 0.6% | |||||||||||
450,000 | Vector Group Ltd., 6.13%, 2/1/25 (a) | 442,688 | |||||||||
AUTO MANUFACTURERS - 1.2% | |||||||||||
400,000 | Allison Transmission, Inc., 4.75%, 10/1/27 (a) | 415,000 | |||||||||
250,000 | BCD Acquisition, Inc., 9.63%, 9/15/23 (a) | 257,500 | |||||||||
150,000 | Jaguar Land Rover Automotive PLC, 5.63%, 2/1/23 (a) | 150,828 | |||||||||
50,000 | JB Poindexter & Co., Inc., 7.13%, 4/15/26 (a) | 52,750 | |||||||||
876,078 | |||||||||||
AUTO PARTS & EQUIPMENT - 0.9% | |||||||||||
230,000 | Adient US LLC, 6.19%, 5/15/26 (a) | 250,700 | |||||||||
100,000 | American Axle & Manufacturing, Inc., 6.25%, 4/1/25 | 104,125 | |||||||||
200,000 | IHO Verwaltungs GmbH, 4.75%, 9/15/26 (a),(b) | 204,000 | |||||||||
Panther BF Aggregator 2 LP / Panther Finance Co., Inc. | |||||||||||
45,000 | 6.25%, 5/15/26 (a) | 48,487 | |||||||||
15,000 | 8.50%, 5/15/27 (a) | 15,938 | |||||||||
50,000 | Tenneco, Inc., 5.00%, 7/15/26 | 46,000 | |||||||||
669,250 | |||||||||||
BANKS - 0.5% | |||||||||||
100,000 | CIT Group, Inc., 5.00%, 8/15/22 | 106,000 | |||||||||
95,000 | Freedom Mortgage Corp., 8.25%, 4/15/25 (a) | 93,129 |
Shares/ Principal | Fair Value | ||||||||||
BANKS - 0.5% (Continued) | |||||||||||
$ | 150,000 | Provident Funding Associates LP / PFG Finance Corp., 6.38%, 6/15/25 (a) | $ | 147,000 | |||||||
346,129 | |||||||||||
BUILDING MATERIALS - 1.1% | |||||||||||
160,000 | Builders FirstSource, Inc., 6.75%, 6/1/27 (a) | 175,400 | |||||||||
100,000 | Griffon Corp., 5.25%, 3/1/22 | 100,375 | |||||||||
200,000 | James Hardie International Finance DAC, 5.00%, 1/15/28 (a) | 210,000 | |||||||||
45,000 | Norbord, Inc., 5.75%, 7/15/27 (a) | 46,687 | |||||||||
50,000 | PGT Escrow Issuer, Inc., 6.75%, 8/1/26 (a) | 53,563 | |||||||||
100,000 | Standard Industries, Inc., 5.38%, 11/15/24 (a) | 102,750 | |||||||||
Summit Materials LLC / Summit Materials Finance Corp. | |||||||||||
100,000 | 5.13%, 6/1/25 (a) | 102,750 | |||||||||
30,000 | 6.50%, 3/15/27 (a) | 32,250 | |||||||||
823,775 | |||||||||||
CHEMICALS - 2.5% | |||||||||||
150,000 | CF Industries, Inc., 4.95%, 6/1/43 | 156,375 | |||||||||
100,000 | Cornerstone Chemical Co., 6.75%, 8/15/24 (a) | 93,000 | |||||||||
350,000 | CVR Partners LP / CVR Nitrogen Finance Corp., 9.25%, 6/15/23 (a) | 365,603 | |||||||||
200,000 | INEOS Group Holdings SA, 5.63%, 8/1/24 (a) | 205,400 | |||||||||
350,000 | NOVA Chemicals Corp., 4.88%, 6/1/24 (a) | 361,375 | |||||||||
90,000 | Nufarm Australia Ltd. / Nufarm Americas, Inc., 5.75%, 4/30/26 (a) | 88,650 | |||||||||
200,000 | OCI NV, 6.63%, 4/15/23 (a) | 208,500 | |||||||||
100,000 | Rain CII Carbon LLC / CII Carbon Corp., 7.25%, 4/1/25 (a) | 97,192 | |||||||||
75,000 | Tronox Finance PLC, 5.75%, 10/1/25 (a) | 76,404 | |||||||||
100,000 | Valvoline, Inc., 4.38%, 8/15/25 | 103,188 | |||||||||
1,755,687 | |||||||||||
COAL - 0.2% | |||||||||||
125,000 | SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp., 7.50%, 6/15/25 (a) | 120,209 | |||||||||
COMMERCIAL SERVICES - 2.8% | |||||||||||
200,000 | Algeco Global Finance PLC, 8.00%, 2/15/23 (a) | 194,750 | |||||||||
70,000 | ASGN, Inc., 4.63%, 5/15/28 (a) | 71,952 | |||||||||
100,000 | Brink's Co. (The), 4.63%, 10/15/27 (a) | 103,000 | |||||||||
168,000 | Carriage Services, Inc., 6.63%, 6/1/26 (a) | 178,920 | |||||||||
125,000 | Graham Holdings Co., 5.75%, 6/1/26 (a) | 133,437 | |||||||||
Hertz Corp. (The) | |||||||||||
128,000 | 7.63%, 6/1/22 (a) | 133,120 | |||||||||
50,000 | 6.25%, 10/15/22 | 50,562 | |||||||||
45,000 | 7.13%, 8/1/26 (a) | 48,735 | |||||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. |
See accompanying notes to financial statements.
75
Global Atlantic BlackRock High Yield Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
COMMERCIAL SERVICES - 2.8% (Continued) | |||||||||||
$ | 58,000 | 9.25%, 5/15/23 (a) | $ | 60,828 | |||||||
175,000 | 5.75%, 4/15/26 (a) | 190,204 | |||||||||
Refinitiv US Holdings, Inc. | |||||||||||
145,000 | 6.25%, 5/15/26 (a) | 158,231 | |||||||||
40,000 | 8.25%, 11/15/26 (a) | 45,050 | |||||||||
100,000 | RR Donnelley & Sons Co., 6.50%, 11/15/23 | 102,250 | |||||||||
20,000 | Service Corp. International, 5.13%, 6/1/29 | 21,250 | |||||||||
100,000 | Service Corp. International/US, 4.63%, 12/15/27 | 104,250 | |||||||||
300,000 | ServiceMaster Co. LLC (The), 5.13%, 11/15/24 (a) | 311,250 | |||||||||
70,000 | United Rentals North America, Inc., 5.25%, 1/15/30 | 75,341 | |||||||||
1,983,130 | |||||||||||
COMPUTERS - 0.9% | |||||||||||
500,000 | Dell International LLC / EMC Corp., 7.13%, 6/15/24 (a) | 527,500 | |||||||||
125,000 | NCR Corp., 5.75%, 9/1/27 (a) | 133,125 | |||||||||
660,625 | |||||||||||
COSMETICS & PERSONAL CARE - 0.4% | |||||||||||
70,000 | Avon International Capital PLC, 6.50%, 8/15/22 (a) | 72,625 | |||||||||
200,000 | Avon International Operations, Inc., 7.88%, 8/15/22 (a) | 208,500 | |||||||||
281,125 | |||||||||||
DISTRIBUTION & WHOLESALE - 0.4% | |||||||||||
15,000 | American Builders & Contractors Supply Co., Inc., 4.00%, 1/15/28 (a) | 15,225 | |||||||||
50,000 | HD Supply, Inc., 5.38%, 10/15/26 (a) | 53,000 | |||||||||
84,000 | KAR Auction Services, Inc., 5.13%, 6/1/25 (a) | 87,360 | |||||||||
45,000 | Performance Food Group, Inc., 5.50%, 10/15/27 (a) | 48,094 | |||||||||
50,000 | Wolverine Escrow LLC, 8.50%, 11/15/24 (a) | 51,750 | |||||||||
255,429 | |||||||||||
DIVERSIFIED FINANCIAL SERVICES - 4.7% | |||||||||||
200,000 | Ally Financial, Inc., 5.75%, 11/20/25 | 223,750 | |||||||||
50,000 | Avolon Holdings Funding Ltd., 5.13%, 10/1/23 (a) | 53,894 | |||||||||
245,000 | Credit Acceptance Corp., 6.63%, 3/15/26 (a) | 264,906 | |||||||||
125,000 | Curo Group Holdings Corp., 8.25%, 9/1/25 (a) | 109,997 | |||||||||
100,000 | Global Aircraft Leasing Co. Ltd., 6.50%, 9/15/24 (a),(b) | 104,345 | |||||||||
110,000 | goeasy Ltd., 5.38%, 12/1/24 (a) | 112,016 | |||||||||
200,000 | Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.25%, 8/15/24 (a) | 206,000 | |||||||||
LPL Holdings, Inc. | |||||||||||
225,000 | 5.75%, 9/15/25 (a) | 235,406 |
Shares/ Principal | Fair Value | ||||||||||
DIVERSIFIED FINANCIAL SERVICES - 4.7% (Continued) | |||||||||||
$ | 90,000 | 4.63%, 11/15/27 (a) | $ | 91,800 | |||||||
Nationstar Mortgage Holdings, Inc. | |||||||||||
140,000 | 8.13%, 7/15/23 (a) | 148,193 | |||||||||
175,000 | 9.13%, 7/15/26 (a) | 193,813 | |||||||||
250,000 | Nationstar Mortgage LLC / Nationstar Capital Corp., 6.50%, 7/1/21 | 250,625 | |||||||||
Navient Corp. | |||||||||||
100,000 | 5.50%, 1/25/23 | 106,750 | |||||||||
200,000 | 6.75%, 6/15/26 | 219,820 | |||||||||
100,000 | Quicken Loans, Inc., 5.75%, 5/1/25 (a) | 103,375 | |||||||||
Springleaf Finance Corp. | |||||||||||
100,000 | 5.63%, 3/15/23 | 107,750 | |||||||||
265,000 | 6.13%, 3/15/24 | 290,175 | |||||||||
105,000 | 6.88%, 3/15/25 | 119,438 | |||||||||
200,000 | 7.13%, 3/15/26 | 231,240 | |||||||||
45,000 | 6.63%, 1/15/28 | 50,796 | |||||||||
55,000 | 5.38%, 11/15/29 | 57,409 | |||||||||
110,000 | Voyager Aviation Holdings LLC / Voyager Finance Co., 8.50%, 8/15/21 (a) | 112,697 | |||||||||
3,394,195 | |||||||||||
ELECTRIC - 2.1% | |||||||||||
Calpine Corp. | |||||||||||
180,000 | 5.25%, 6/1/26 (a) | 187,425 | |||||||||
100,000 | 4.50%, 2/15/28 (a) | 100,887 | |||||||||
70,000 | 5.13%, 3/15/28 (a) | 71,449 | |||||||||
80,000 | Clearway Energy Operating LLC, 5.75%, 10/15/25 | 84,200 | |||||||||
200,000 | Drax Finco PLC, 6.63%, 11/1/25 (a) | 212,500 | |||||||||
50,000 | NextEra Energy Operating Partners LP, 4.25%, 7/15/24 (a) | 52,063 | |||||||||
400,000 | NRG Energy, Inc., 7.25%, 5/15/26 | 437,000 | |||||||||
Talen Energy Supply LLC | |||||||||||
225,000 | 7.25%, 5/15/27 (a) | 236,745 | |||||||||
70,000 | 6.63%, 1/15/28 (a) | 71,400 | |||||||||
40,000 | Vistra Operations Co. LLC, 5.00%, 7/31/27 (a) | 41,799 | |||||||||
1,495,468 | |||||||||||
ELECTRICAL COMPONENTS & EQUIPMENT - 0.1% | |||||||||||
Energizer Holdings, Inc. | |||||||||||
80,000 | 6.38%, 7/15/26 (a) | 85,200 | |||||||||
20,000 | 7.75%, 1/15/27 (a) | 22,351 | |||||||||
107,551 | |||||||||||
ELECTRONICS - 0.3% | |||||||||||
45,000 | Itron, Inc., 5.00%, 1/15/26 (a) | 46,631 | |||||||||
150,000 | Sensata Technologies, Inc., 4.38%, 2/15/30 (a) | 152,913 | |||||||||
199,544 |
See accompanying notes to financial statements.
76
Global Atlantic BlackRock High Yield Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
ENERGY-ALTERNATE SOURCES - 0.1% | |||||||||||
$ | 100,000 | TerraForm Power Operating LLC, 5.00%, 1/31/28 (a) | $ | 105,731 | |||||||
ENGINEERING & CONSTRUCTION - 0.8% | |||||||||||
AECOM | |||||||||||
229,000 | 5.88%, 10/15/24 | 253,432 | |||||||||
150,000 | 5.13%, 3/15/27 | 161,250 | |||||||||
45,000 | frontdoor, Inc., 6.75%, 8/15/26 (a) | 49,050 | |||||||||
90,000 | New Enterprise Stone & Lime Co., Inc., 6.25%, 3/15/26 (a) | 94,275 | |||||||||
35,000 | TopBuild Corp., 5.63%, 5/1/26 (a) | 36,575 | |||||||||
594,582 | |||||||||||
ENTERTAINMENT - 1.8% | |||||||||||
75,000 | Boyne USA, Inc., 7.25%, 5/1/25 (a) | 81,562 | |||||||||
35,000 | Cedar Fair LP, 5.25%, 7/15/29 (a) | 37,712 | |||||||||
400,000 | Churchill Downs, Inc., 4.75%, 1/15/28 (a) | 413,000 | |||||||||
25,000 | Downstream Development Authority of the Quapaw Tribe of Oklahoma, 10.50%, 2/15/23 (a) | 26,250 | |||||||||
Eldorado Resorts, Inc. | |||||||||||
100,000 | 6.00%, 4/1/25 | 105,000 | |||||||||
25,000 | 6.00%, 9/15/26 | 27,531 | |||||||||
5,000 | Jacobs Entertainment, Inc., 7.88%, 2/1/24 (a) | 5,313 | |||||||||
200,000 | Live Nation Entertainment, Inc., 4.88%, 11/1/24 (a) | 207,000 | |||||||||
200,000 | Merlin Entertainments PLC, 5.75%, 6/15/26 (a) | 219,000 | |||||||||
100,000 | Six Flags Entertainment Corp., 4.88%, 7/31/24 (a) | 103,625 | |||||||||
45,000 | Stars Group Holdings BV / Stars Group US Co.-Borrower LLC, 7.00%, 7/15/26 (a) | 48,713 | |||||||||
40,000 | WMG Acquisition Corp., 5.50%, 4/15/26 (a) | 42,100 | |||||||||
1,316,806 | |||||||||||
ENVIRONMENTAL CONTROL - 0.6% | |||||||||||
200,000 | Advanced Disposal Services, Inc., 5.63%, 11/15/24 (a) | 208,000 | |||||||||
35,000 | GFL Environmental, Inc., 5.13%, 12/15/26 (a) | 36,798 | |||||||||
110,000 | Tervita Corp., 7.63%, 12/1/21 (a) | 110,687 | |||||||||
65,000 | Waste Pro USA, Inc., 5.50%, 2/15/26 (a) | 67,763 | |||||||||
423,248 | |||||||||||
FOOD - 2.1% | |||||||||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC | |||||||||||
200,000 | 6.63%, 6/15/24 | 209,332 | |||||||||
10,000 | 7.50%, 3/15/26 (a) | 11,225 | |||||||||
30,000 | 5.88%, 2/15/28 (a) | 31,875 | |||||||||
Pilgrim's Pride Corp. | |||||||||||
400,000 | 5.75%, 3/15/25 (a) | 413,452 | |||||||||
100,000 | 5.88%, 9/30/27 (a) | 108,125 |
Shares/ Principal | Fair Value | ||||||||||
FOOD - 2.1% (Continued) | |||||||||||
Post Holdings, Inc. | |||||||||||
$ | 100,000 | 5.50%, 3/1/25 (a) | $ | 104,750 | |||||||
300,000 | 5.75%, 3/1/27 (a) | 321,750 | |||||||||
70,000 | 5.50%, 12/15/29 (a) | 74,641 | |||||||||
200,000 | Simmons Foods, Inc., 5.75%, 11/1/24 (a) | 201,000 | |||||||||
1,476,150 | |||||||||||
GAS - 0.3% | |||||||||||
200,000 | AmeriGas Partners LP / AmeriGas Finance Corp., 5.63%, 5/20/24 | 216,000 | |||||||||
HAND & MACHINE TOOLS - 0.1% | |||||||||||
Colfax Corp. | |||||||||||
55,000 | 6.00%, 2/15/24 (a) | 58,438 | |||||||||
25,000 | 6.38%, 2/15/26 (a) | 27,250 | |||||||||
85,688 | |||||||||||
HEALTHCARE-PRODUCTS - 1.3% | |||||||||||
100,000 | Avantor, Inc., 6.00%, 10/1/24 (a) | 106,623 | |||||||||
40,000 | Hill-Rom Holdings, Inc., 4.38%, 9/15/27 (a) | 41,150 | |||||||||
300,000 | Hologic, Inc., 4.38%, 10/15/25 (a) | 309,750 | |||||||||
450,000 | Teleflex, Inc., 4.63%, 11/15/27 | 476,914 | |||||||||
934,437 | |||||||||||
HEALTHCARE-SERVICES - 4.3% | |||||||||||
40,000 | Catalent Pharma Solutions, Inc., 5.00%, 7/15/27 (a) | 41,900 | |||||||||
Centene Corp. | |||||||||||
100,000 | 4.75%, 1/15/25 | 103,873 | |||||||||
120,000 | 5.38%, 6/1/26 (a) | 127,350 | |||||||||
30,000 | 4.25%, 12/15/27 (a) | 30,862 | |||||||||
30,000 | 4.63%, 12/15/29 (a) | 31,540 | |||||||||
25,000 | Charles River Laboratories International, Inc., 4.25%, 5/1/28 (a) | 25,469 | |||||||||
CHS/Community Health Systems, Inc. | |||||||||||
200,000 | 6.25%, 3/31/23 | 203,000 | |||||||||
175,000 | 8.00%, 3/15/26 (a) | 180,250 | |||||||||
292,000 | Encompass Health Corp., 5.75%, 11/1/24 | 295,285 | |||||||||
HCA, Inc. | |||||||||||
450,000 | 5.88%, 2/15/26 | 511,709 | |||||||||
115,000 | 5.63%, 9/1/28 | 131,054 | |||||||||
20,000 | 5.88%, 2/1/29 | 23,125 | |||||||||
175,000 | Molina Healthcare, Inc., 5.38%, 11/15/22 | 186,022 | |||||||||
100,000 | RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/1/23 (a) | 105,750 | |||||||||
185,000 | Select Medical Corp., 6.25%, 8/15/26 (a) | 200,266 | |||||||||
Tenet Healthcare Corp. | |||||||||||
100,000 | 4.63%, 7/15/24 | 102,375 | |||||||||
200,000 | 5.13%, 5/1/25 | 206,000 | |||||||||
255,000 | 5.13%, 11/1/27 (a) | 269,344 | |||||||||
WellCare Health Plans, Inc. | |||||||||||
100,000 | 5.25%, 4/1/25 | 104,000 |
See accompanying notes to financial statements.
77
Global Atlantic BlackRock High Yield Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
HEALTHCARE-SERVICES - 4.3% (Continued) | |||||||||||
$ | 170,000 | 5.38%, 8/15/26 (a) | $ | 181,050 | |||||||
3,060,224 | |||||||||||
HOME BUILDERS - 3.7% | |||||||||||
Beazer Homes USA, Inc. | |||||||||||
150,000 | 5.88%, 10/15/27 | 151,500 | |||||||||
30,000 | 7.25%, 10/15/29 (a) | 32,025 | |||||||||
293,000 | Brookfield Residential Properties, Inc. / Brookfield Residential US Corp., 6.25%, 9/15/27 (a) | 309,115 | |||||||||
KB Home | |||||||||||
210,000 | 6.88%, 6/15/27 | 243,075 | |||||||||
95,000 | 4.80%, 11/15/29 | 97,138 | |||||||||
60,000 | Mattamy Group Corp., 5.25%, 12/15/27 (a) | 62,400 | |||||||||
50,000 | MDC Holdings, Inc., 6.00%, 1/15/43 | 52,000 | |||||||||
250,000 | Meritage Homes Corp., 6.00%, 6/1/25 | 279,375 | |||||||||
PulteGroup, Inc. | |||||||||||
200,000 | 5.50%, 3/1/26 | 223,500 | |||||||||
400,000 | 5.00%, 1/15/27 | 435,600 | |||||||||
275,000 | Taylor Morrison Communities, Inc., 5.75%, 1/15/28 (a) | 299,750 | |||||||||
100,000 | TRI Pointe Group, Inc., 5.25%, 6/1/27 | 104,500 | |||||||||
100,000 | TRI Pointe Group, Inc. / TRI Pointe Homes, Inc., 5.88%, 6/15/24 | 108,750 | |||||||||
90,000 | William Lyon Homes, Inc., 6.00%, 9/1/23 | 93,825 | |||||||||
172,000 | Williams Scotsman International, Inc., 6.88%, 8/15/23 (a) | 181,030 | |||||||||
2,673,583 | |||||||||||
HOUSEWARES - 0.1% | |||||||||||
70,000 | Scotts Miracle-Gro Co./The, 4.50%, 10/15/29 (a) | 71,554 | |||||||||
INSURANCE - 1.0% | |||||||||||
115,000 | Acrisure LLC / Acrisure Finance, Inc., 8.13%, 2/15/24 (a) | 125,063 | |||||||||
25,000 | Amwins Group, Inc., 7.75%, 7/1/26 (a) | 27,628 | |||||||||
100,000 | CNO Financial Group, Inc., 5.25%, 5/30/25 | 110,750 | |||||||||
120,000 | Fidelity & Guaranty Life Holdings, Inc., 5.50%, 5/1/25 (a) | 127,800 | |||||||||
Radian Group, Inc. | |||||||||||
100,000 | 4.50%, 10/1/24 | 105,750 | |||||||||
210,000 | 4.88%, 3/15/27 | 221,025 | |||||||||
718,016 | |||||||||||
INTERNET - 3.8% | |||||||||||
305,000 | Cogent Communications Group, Inc., 5.38%, 3/1/22 (a) | 318,725 | |||||||||
Match Group, Inc. | |||||||||||
150,000 | 5.00%, 12/15/27 (a) | 156,375 | |||||||||
155,000 | 5.63%, 2/15/29 (a) | 165,075 | |||||||||
200,000 | Netflix, Inc., 4.38%, 11/15/26 | 205,000 | |||||||||
100,000 | NortonLifeLock, Inc., 5.00%, 4/15/25 (a) | 102,173 |
Shares/ Principal | Fair Value | ||||||||||
INTERNET - 3.8% (Continued) | |||||||||||
VeriSign, Inc. | |||||||||||
$ | 200,000 | 5.25%, 4/1/25 | $ | 220,462 | |||||||
600,000 | 4.75%, 7/15/27 | 633,000 | |||||||||
Zayo Group LLC / Zayo Capital, Inc. | |||||||||||
500,000 | 6.00%, 4/1/23 | 511,250 | |||||||||
400,000 | 5.75%, 1/15/27 (a) | 406,500 | |||||||||
2,718,560 | |||||||||||
INVESTMENT COMPANIES - 1.5% | |||||||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp. | |||||||||||
200,000 | 6.25%, 2/1/22 | 203,800 | |||||||||
150,000 | 4.75%, 9/15/24 (a) | 154,125 | |||||||||
600,000 | 6.38%, 12/15/25 | 629,250 | |||||||||
90,000 | 6.25%, 5/15/26 | 95,850 | |||||||||
1,083,025 | |||||||||||
IRON & STEEL - 2.6% | |||||||||||
AK Steel Corp. | |||||||||||
200,000 | 7.50%, 7/15/23 | 208,000 | |||||||||
200,000 | 6.38%, 10/15/25 | 200,000 | |||||||||
Allegheny Technologies, Inc. | |||||||||||
150,000 | 7.88%, 8/15/23 | 168,124 | |||||||||
75,000 | 5.88%, 12/1/27 | 78,750 | |||||||||
400,000 | Big River Steel LLC / BRS Finance Corp., 7.25%, 9/1/25 (a) | 422,000 | |||||||||
Cleveland-Cliffs, Inc. | |||||||||||
122,000 | 5.75%, 3/1/25 | 120,399 | |||||||||
200,000 | 5.88%, 6/1/27 (a) | 192,000 | |||||||||
Commercial Metals Co. | |||||||||||
75,000 | 5.75%, 4/15/26 | 78,375 | |||||||||
100,000 | 5.38%, 7/15/27 | 105,000 | |||||||||
75,000 | Mineral Resources Ltd., 8.13%, 5/1/27 (a) | 82,313 | |||||||||
200,000 | United States Steel Corp., 6.88%, 8/15/25 | 186,726 | |||||||||
1,841,687 | |||||||||||
LEISURE TIME - 0.4% | |||||||||||
200,000 | Carlson Travel, Inc., 6.75%, 12/15/23 (a) | 204,000 | |||||||||
100,000 | Viking Cruises Ltd., 5.88%, 9/15/27 (a) | 106,875 | |||||||||
310,875 | |||||||||||
LODGING - 1.6% | |||||||||||
75,000 | Boyd Gaming Corp., 6.00%, 8/15/26 | 80,437 | |||||||||
Hilton Domestic Operating Co., Inc. | |||||||||||
100,000 | 4.25%, 9/1/24 | 101,875 | |||||||||
45,000 | 5.13%, 5/1/26 | 47,363 | |||||||||
45,000 | 4.88%, 1/15/30 | 47,673 | |||||||||
400,000 | Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp., 4.88%, 4/1/27 | 425,000 | |||||||||
8,000 | Jack Ohio Finance LLC / Jack Ohio Finance 1 Corp., 6.75%, 11/15/21 (a) | 8,160 | |||||||||
35,000 | Marriott Ownership Resorts, Inc., 4.75%, 1/15/28 (a) | 35,831 |
See accompanying notes to financial statements.
78
Global Atlantic BlackRock High Yield Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
LODGING - 1.6% (Continued) | |||||||||||
$ | 50,000 | Station Casinos LLC, 5.00%, 10/1/25 (a) | $ | 50,875 | |||||||
Wyndham Destinations, Inc. | |||||||||||
75,000 | 5.75%, 4/1/27 | 81,375 | |||||||||
90,000 | 4.63%, 3/1/30 (a) | 90,225 | |||||||||
100,000 | Wyndham Hotels & Resorts, Inc., 5.38%, 4/15/26 (a) | 105,500 | |||||||||
100,000 | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, 3/1/25 (a) | 107,000 | |||||||||
1,181,314 | |||||||||||
MACHINERY-DIVERSIFIED - 0.4% | |||||||||||
140,000 | Cleaver-Brooks, Inc., 7.88%, 3/1/23 (a) | 139,650 | |||||||||
35,000 | Mueller Water Products, Inc., 5.50%, 6/15/26 (a) | 36,881 | |||||||||
35,000 | RBS Global, Inc. / Rexnord LLC, 4.88%, 12/15/25 (a) | 36,138 | |||||||||
50,000 | Stevens Holding Co., Inc., 6.13%, 10/1/26 (a) | 54,625 | |||||||||
267,294 | |||||||||||
MEDIA - 7.9% | |||||||||||
Altice Financing SA | |||||||||||
200,000 | 6.63%, 2/15/23 (a) | 203,500 | |||||||||
200,000 | 7.50%, 5/15/26 (a) | 215,000 | |||||||||
200,000 | Cablevision Systems Corp., 5.88%, 9/15/22 | 215,500 | |||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | |||||||||||
200,000 | 5.50%, 5/1/26 (a) | 210,750 | |||||||||
200,000 | 5.13%, 5/1/27 (a) | 211,000 | |||||||||
100,000 | 5.00%, 2/1/28 (a) | 104,932 | |||||||||
550,000 | 5.38%, 6/1/29 (a) | 588,500 | |||||||||
115,000 | 4.75%, 3/1/30 (a) | 117,073 | |||||||||
CSC Holdings LLC | |||||||||||
200,000 | 5.25%, 6/1/24 | 215,500 | |||||||||
200,000 | 5.50%, 5/15/26 (a) | 211,748 | |||||||||
200,000 | 5.38%, 2/1/28 (a) | 213,250 | |||||||||
200,000 | 6.50%, 2/1/29 (a) | 223,000 | |||||||||
200,000 | 5.75%, 1/15/30 (a) | 213,500 | |||||||||
Diamond Sports Group LLC / Diamond Sports Finance Co. | |||||||||||
90,000 | 5.38%, 8/15/26 (a) | 91,040 | |||||||||
115,000 | 6.63%, 8/15/27 (a) | 111,837 | |||||||||
DISH DBS Corp. | |||||||||||
200,000 | 6.75%, 6/1/21 | 210,490 | |||||||||
100,000 | 5.88%, 7/15/22 | 106,000 | |||||||||
200,000 | 5.88%, 11/15/24 | 204,375 | |||||||||
300,000 | 7.75%, 7/1/26 | 317,817 | |||||||||
75,000 | EW Scripps Co. (The), 5.13%, 5/15/25 (a) | 76,688 | |||||||||
121,000 | Gray Television, Inc., 5.88%, 7/15/26 (a) | 128,714 | |||||||||
100,000 | Nexstar Broadcasting, Inc., 5.63%, 7/15/27 (a) | 105,380 | |||||||||
150,000 | Sirius XM Radio, Inc., 5.50%, 7/1/29 (a) | 162,186 |
Shares/ Principal | Fair Value | ||||||||||
MEDIA - 7.9% (Continued) | |||||||||||
Univision Communications, Inc. | |||||||||||
$ | 200,000 | 5.13%, 5/15/23 (a) | $ | 199,500 | |||||||
200,000 | 5.13%, 2/15/25 (a) | 197,750 | |||||||||
200,000 | UPC Holding BV, 5.50%, 1/15/28 (a) | 202,750 | |||||||||
200,000 | Virgin Media Finance PLC, 6.00%, 10/15/24 (a) | 206,000 | |||||||||
200,000 | Virgin Media Secured Finance PLC, 5.50%, 5/15/29 (a) | 211,750 | |||||||||
150,000 | Ziggo BV, 5.50%, 1/15/27 (a) | 159,375 | |||||||||
5,634,905 | |||||||||||
METAL FABRICATE & HARDWARE - 0.4% | |||||||||||
145,000 | Advanced Drainage Systems, Inc., 5.00%, 9/30/27 (a) | 149,531 | |||||||||
100,000 | Grinding Media, Inc. / Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23 (a) | 101,875 | |||||||||
251,406 | |||||||||||
MINING - 1.5% | |||||||||||
85,000 | FMG Resources August 2006 Pty Ltd., 4.50%, 9/15/27 (a) | 87,125 | |||||||||
347,000 | Freeport-McMoRan, Inc., 3.55%, 3/1/22 | 351,337 | |||||||||
Hudbay Minerals, Inc. | |||||||||||
200,000 | 7.25%, 1/15/23 (a) | 207,375 | |||||||||
100,000 | 7.63%, 1/15/25 (a) | 105,550 | |||||||||
100,000 | New Gold, Inc., 6.25%, 11/15/22 (a) | 99,531 | |||||||||
Novelis Corp. | |||||||||||
100,000 | 6.25%, 8/15/24 (a) | 104,875 | |||||||||
100,000 | 5.88%, 9/30/26 (a) | 106,411 | |||||||||
1,062,204 | |||||||||||
OFFICE & BUSINESS EQUIPMENT - 0.6% | |||||||||||
CDW LLC / CDW Finance Corp. | |||||||||||
200,000 | 5.50%, 12/1/24 | 222,000 | |||||||||
200,000 | 5.00%, 9/1/25 | 209,000 | |||||||||
431,000 | |||||||||||
OIL & GAS - 6.0% | |||||||||||
150,000 | Aker BP ASA, 4.75%, 6/15/24 (a) | 155,625 | |||||||||
95,000 | Berry Petroleum Co. LLC, 7.00%, 2/15/26 (a) | 87,994 | |||||||||
Calumet Specialty Products Partners LP / Calumet Finance Corp. | |||||||||||
50,000 | 7.75%, 4/15/23 | 49,875 | |||||||||
75,000 | 11.00%, 4/15/25 (a) | 81,562 | |||||||||
74,000 | Chesapeake Energy Corp., 11.50%, 1/1/25 (a) | 69,930 | |||||||||
CNX Resources Corp. | |||||||||||
175,000 | 5.88%, 4/15/22 | 175,123 | |||||||||
50,000 | 7.25%, 3/14/27 (a) | 43,735 | |||||||||
Comstock Resources, Inc. | |||||||||||
225,000 | 9.75%, 8/15/26 | 204,187 | |||||||||
155,000 | Covey Park Energy 7.50%, 5/15/25 (a) | 133,300 |
See accompanying notes to financial statements.
79
Global Atlantic BlackRock High Yield Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
OIL & GAS - 6.0% (Continued) | |||||||||||
$ | 500,000 | CVR Refining LLC / Coffeyville Finance, Inc., 6.50%, 11/1/22 | $ | 506,250 | |||||||
Denbury Resources, Inc. | |||||||||||
100,000 | 9.00%, 5/15/21 (a) | 96,750 | |||||||||
30,000 | 7.75%, 2/15/24 (a) | 26,550 | |||||||||
65,000 | Extraction Oil & Gas, Inc., 5.63%, 2/1/26 (a) | 39,000 | |||||||||
80,000 | Hilcorp Energy I LP / Hilcorp Finance Co., 6.25%, 11/1/28 (a) | 76,000 | |||||||||
50,000 | Indigo Natural Resources LLC, 6.88%, 2/15/26 (a) | 47,000 | |||||||||
35,000 | Jagged Peak Energy LLC, 5.88%, 5/1/26 | 36,137 | |||||||||
55,000 | Matador Resources Co., 5.88%, 9/15/26 | 55,138 | |||||||||
100,000 | Moss Creek Resources Holdings, Inc., 7.50%, 1/15/26 (a) | 76,000 | |||||||||
Murphy Oil Corp. | |||||||||||
100,000 | 5.75%, 8/15/25 | 104,595 | |||||||||
80,000 | 5.88%, 12/1/27 | 84,000 | |||||||||
75,000 | Nabors Industries, Inc., 5.75%, 2/1/25 | 67,500 | |||||||||
55,210 | Northern Oil and Gas, Inc., 8.50%, 5/15/23 (b) | 57,142 | |||||||||
85,000 | Oasis Petroleum, Inc., 6.25%, 5/1/26 (a) | 70,550 | |||||||||
40,000 | Parkland Fuel Corp., 5.88%, 7/15/27 (a) | 43,014 | |||||||||
200,000 | PBF Holding Co. LLC / PBF Finance Corp., 7.25%, 6/15/25 | 213,500 | |||||||||
30,000 | PDC Energy, Inc., 5.75%, 5/15/26 | 29,925 | |||||||||
100,000 | Precision Drilling Corp., 7.75%, 12/15/23 | 99,750 | |||||||||
200,000 | Range Resources Corp., 5.00%, 3/15/23 | 183,964 | |||||||||
125,000 | SM Energy Co., 6.63%, 1/15/27 | 122,857 | |||||||||
Southwestern Energy Co. | |||||||||||
100,000 | 6.20%, 1/23/25 | 91,720 | |||||||||
150,000 | 7.50%, 4/1/26 | 138,750 | |||||||||
Sunoco LP / Sunoco Finance Corp. | |||||||||||
350,000 | 5.50%, 2/15/26 | 363,125 | |||||||||
170,000 | 6.00%, 4/15/27 | 181,475 | |||||||||
31,150 | Transocean Guardian Ltd., 5.88%, 1/15/24 (a),(d) | 31,851 | |||||||||
22,250 | Transocean Pontus Ltd., 6.13%, 8/1/25 (a),(d) | 22,806 | |||||||||
380,000 | W&T Offshore, Inc., 9.75%, 11/1/23 (a) | 362,425 | |||||||||
58,000 | WPX Energy, Inc., 8.25%, 8/1/23 | 66,700 | |||||||||
4,295,805 | |||||||||||
OIL & GAS SERVICES - 0.7% | |||||||||||
65,000 | Apergy Corp., 6.38%, 5/1/26 | 68,575 | |||||||||
100,000 | Archrock Partners LP / Archrock Partners Finance Corp., 6.25%, 4/1/28 (a) | 103,000 | |||||||||
125,000 | CSI Compressco LP / CSI Compressco Finance, Inc., 7.50%, 4/1/25 (a) | 122,812 | |||||||||
35,000 | Nine Energy Service, Inc., 8.75%, 11/1/23 (a) | 28,350 | |||||||||
50,000 | SESI LLC, 7.75%, 9/15/24 | 33,250 | |||||||||
135,000 | USA Compression Partners LP / USA Compression Finance Corp., 6.88%, 4/1/26 | 141,750 | |||||||||
497,737 |
Shares/ Principal | Fair Value | ||||||||||
PACKAGING & CONTAINERS - 2.7% | |||||||||||
$ | 200,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc., 5.25%, 8/15/27 (a) | $ | 210,504 | |||||||
200,000 | Ball Corp., 5.25%, 7/1/25 | 222,750 | |||||||||
Berry Global, Inc. | |||||||||||
150,000 | 4.50%, 2/15/26 (a) | 154,080 | |||||||||
130,000 | 4.88%, 7/15/26 (a) | 137,111 | |||||||||
Cascades, Inc./Cascades USA, Inc. | |||||||||||
100,000 | 5.13%, 1/15/26 (a) | 102,750 | |||||||||
50,000 | 5.38%, 1/15/28 (a) | 51,375 | |||||||||
55,000 | Greif, Inc., 6.50%, 3/1/27 (a) | 59,400 | |||||||||
100,000 | Mauser Packaging Solutions Holding Co., 5.50%, 4/15/24 (a) | 103,010 | |||||||||
100,000 | Plastipak Holdings, Inc., 6.25%, 10/15/25 (a) | 86,246 | |||||||||
500,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 5.13%, 7/15/23 (a) | 511,875 | |||||||||
300,000 | Silgan Holdings, Inc., 4.75%, 3/15/25 | 306,750 | |||||||||
1,945,851 | |||||||||||
PHARMACEUTICALS - 2.2% | |||||||||||
60,000 | Bausch Health Americas, Inc., 8.50%, 1/31/27 (a) | 68,328 | |||||||||
Bausch Health Cos., Inc. | |||||||||||
280,000 | 5.88%, 5/15/23 (a) | 282,450 | |||||||||
250,000 | 7.00%, 3/15/24 (a) | 260,000 | |||||||||
500,000 | 6.13%, 4/15/25 (a) | 516,615 | |||||||||
60,000 | 5.50%, 11/1/25 (a) | 62,700 | |||||||||
30,000 | 5.75%, 8/15/27 (a) | 32,550 | |||||||||
30,000 | 7.00%, 1/15/28 (a) | 33,114 | |||||||||
55,000 | 5.00%, 1/30/28 (a) | 56,451 | |||||||||
60,000 | 5.25%, 1/30/30 (a) | 62,220 | |||||||||
195,000 | Par Pharmaceutical, Inc., 7.50%, 4/1/27 (a) | 194,025 | |||||||||
20,000 | Vizient, Inc., 6.25%, 5/15/27 (a) | 21,400 | |||||||||
1,589,853 | |||||||||||
PIPELINES - 4.0% | |||||||||||
100,000 | Cheniere Corpus Christi Holdings LLC, 5.88%, 3/31/25 | 112,446 | |||||||||
Cheniere Energy Partners LP | |||||||||||
350,000 | 5.25%, 10/1/25 | 364,731 | |||||||||
90,000 | 4.50%, 10/1/29 (a) | 92,484 | |||||||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp. | |||||||||||
100,000 | 5.75%, 4/1/25 | 102,250 | |||||||||
140,000 | 5.63%, 5/1/27 (a) | 141,925 | |||||||||
255,000 | DCP Midstream Operating LP, 5.38%, 7/15/25 | 277,312 | |||||||||
Genesis Energy LP / Genesis Energy Finance Corp. | |||||||||||
125,000 | 6.50%, 10/1/25 | 120,937 | |||||||||
150,000 | 6.25%, 5/15/26 | 143,250 |
See accompanying notes to financial statements.
80
Global Atlantic BlackRock High Yield Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
PIPELINES - 4.0% (Continued) | |||||||||||
Global Partners LP / GLP Finance Corp. | |||||||||||
$ | 200,000 | 7.00%, 6/15/23 | $ | 206,000 | |||||||
65,000 | 7.00%, 8/1/27 (a) | 69,063 | |||||||||
70,000 | Hess Midstream Operations LP, 5.63%, 2/15/26 (a) | 72,862 | |||||||||
200,000 | Holly Energy Partners LP / Holly Energy Finance Corp., 6.00%, 8/1/24 (a) | 208,500 | |||||||||
NGL Energy Partners LP / NGL Energy Finance Corp. | |||||||||||
200,000 | 7.50%, 11/1/23 | 200,000 | |||||||||
197,000 | 7.50%, 4/15/26 (a) | 190,598 | |||||||||
NuStar Logistics LP | |||||||||||
215,000 | 6.00%, 6/1/26 | 227,363 | |||||||||
50,000 | 5.63%, 4/28/27 | 51,375 | |||||||||
100,000 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 5.50%, 9/15/24 (a) | 100,500 | |||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | |||||||||||
70,000 | 5.88%, 4/15/26 | 74,375 | |||||||||
100,000 | 5.00%, 1/15/28 | 102,000 | |||||||||
2,857,971 | |||||||||||
REAL ESTATE - 1.2% | |||||||||||
350,000 | Five Point Operating Co. LP / Five Point Capital Corp., 7.88%, 11/15/25 (a) | 352,558 | |||||||||
35,000 | Greystar Real Estate Partners LLC, 5.75%, 12/1/25 (a) | 36,313 | |||||||||
175,000 | Hunt Cos., Inc., 6.25%, 2/15/26 (a) | 172,813 | |||||||||
300,000 | Kennedy-Wilson, Inc., 5.88%, 4/1/24 | 307,500 | |||||||||
869,184 | |||||||||||
REITS - 3.7% | |||||||||||
90,000 | Brookfield Property REIT, Inc. / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LLC, 5.75%, 5/15/26 (a) | 94,950 | |||||||||
200,000 | CoreCivic, Inc., 4.75%, 10/15/27 | 173,000 | |||||||||
300,000 | GEO Group, Inc./The, 5.13%, 4/1/23 | 281,250 | |||||||||
100,000 | HAT Holdings I LLC / HAT Holdings II LLC, 5.25%, 7/15/24 (a) | 105,125 | |||||||||
200,000 | Iron Mountain, Inc., 4.88%, 9/15/27 (a) | 206,500 | |||||||||
100,000 | iStar, Inc., 4.25%, 8/1/25 | 101,096 | |||||||||
300,000 | Ladder Capital Finance Holdings LLP / Ladder Capital Finance Corp., 5.25%, 10/1/25 (a) | 311,250 | |||||||||
500,000 | MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 5.63%, 5/1/24 | 546,870 | |||||||||
400,000 | MPT Operating Partnership LP / MPT Finance Corp., 5.00%, 10/15/27 | 424,000 | |||||||||
100,000 | SBA Communications Corp., 4.88%, 9/1/24 | 103,750 | |||||||||
145,000 | Starwood Property Trust, Inc., 4.75%, 3/15/25 | 152,975 |
Shares/ Principal | Fair Value | ||||||||||
REITS - 3.7% (Continued) | |||||||||||
VICI Properties LP / VICI Note Co., Inc. | |||||||||||
$ | 25,000 | 4.25%, 12/1/26 (a) | $ | 25,750 | |||||||
125,000 | 4.63%, 12/1/29 (a) | 130,313 | |||||||||
2,656,829 | |||||||||||
RETAIL - 4.1% | |||||||||||
650,000 | 1011778 BC ULC / New Red Finance, Inc., 5.00%, 10/15/25 (a) | 671,125 | |||||||||
KFC Holding Co/Pizza Hut Holdings LLC/ Taco Bell of America LLC | |||||||||||
100,000 | 5.25%, 6/1/26 (a) | 105,500 | |||||||||
200,000 | 4.75%, 6/1/27 (a) | 210,500 | |||||||||
L Brands, Inc. | |||||||||||
100,000 | 7.50%, 6/15/29 | 103,000 | |||||||||
100,000 | 6.88%, 11/1/35 | 89,500 | |||||||||
50,000 | Murphy Oil USA, Inc., 4.75%, 9/15/29 | 52,803 | |||||||||
QVC, Inc. | |||||||||||
300,000 | 5.13%, 7/2/22 | 315,665 | |||||||||
100,000 | 4.45%, 2/15/25 | 103,429 | |||||||||
100,000 | Sally Holdings LLC / Sally Capital, Inc., 5.63%, 12/1/25 | 104,713 | |||||||||
100,000 | Staples, Inc., 7.50%, 4/15/26 (a) | 103,750 | |||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp. | |||||||||||
250,000 | 5.50%, 6/1/24 | 256,875 | |||||||||
100,000 | 5.88%, 3/1/27 | 104,000 | |||||||||
50,000 | Superior Plus LP / Superior General Partner, Inc., 7.00%, 7/15/26 (a) | 53,688 | |||||||||
Yum! Brands, Inc. | |||||||||||
500,000 | 3.88%, 11/1/23 | 515,000 | |||||||||
125,000 | 4.75%, 1/15/30 (a) | 130,938 | |||||||||
2,920,486 | |||||||||||
SEMICONDUCTORS - 1.1% | |||||||||||
100,000 | Amkor Technology, Inc., 6.63%, 9/15/27 (a) | 110,125 | |||||||||
200,000 | Entegris, Inc., 4.63%, 2/10/26 (a) | 207,000 | |||||||||
Qorvo, Inc. | |||||||||||
160,000 | 5.50%, 7/15/26 | 170,400 | |||||||||
260,000 | 4.38%, 10/15/29 (a) | 272,350 | |||||||||
759,875 | |||||||||||
SOFTWARE - 1.5% | |||||||||||
25,000 | ACI Worldwide, Inc., 5.75%, 8/15/26 (a) | 26,937 | |||||||||
40,000 | Camelot Finance SA, 4.50%, 11/1/26 (a) | 41,100 | |||||||||
50,000 | CDK Global, Inc., 5.88%, 6/15/26 | 53,414 | |||||||||
50,000 | Dun & Bradstreet Corp. (The), 6.88%, 8/15/26 (a) | 55,187 | |||||||||
Fair Isaac Corp. | |||||||||||
60,000 | 5.25%, 5/15/26 (a) | 66,000 | |||||||||
120,000 | 4.00%, 6/15/28 (a) | 120,900 | |||||||||
200,000 | IQVIA, Inc., 5.00%, 10/15/26 (a) | 211,000 | |||||||||
MSCI, Inc. | |||||||||||
145,000 | 5.38%, 5/15/27 (a) | 156,238 |
See accompanying notes to financial statements.
81
Global Atlantic BlackRock High Yield Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
SOFTWARE - 1.5% (Continued) | |||||||||||
$ | 60,000 | 4.00%, 11/15/29 (a) | $ | 60,825 | |||||||
100,000 | Nuance Communications, Inc., 5.63%, 12/15/26 | 106,574 | |||||||||
100,000 | PTC, Inc., 6.00%, 5/15/24 | 104,375 | |||||||||
100,000 | SS&C Technologies, Inc., 5.50%, 9/30/27 (a) | 106,750 | |||||||||
1,109,300 | |||||||||||
TELECOMMUNICATIONS - 10.4% | |||||||||||
Altice France SA/France | |||||||||||
300,000 | 7.38%, 5/1/26 (a) | 322,092 | |||||||||
200,000 | 5.50%, 1/15/28 (a) | 205,510 | |||||||||
200,000 | C&W Senior Financing DAC, 7.50%, 10/15/26 (a) | 216,572 | |||||||||
CenturyLink, Inc. | |||||||||||
500,000 | 5.80%, 3/15/22 | 525,635 | |||||||||
100,000 | 7.50%, 4/1/24 | 112,750 | |||||||||
130,000 | 5.13%, 12/15/26 (a) | 132,292 | |||||||||
100,000 | 6.88%, 1/15/28 | 110,250 | |||||||||
150,000 | 7.60%, 9/15/39 | 156,750 | |||||||||
85,000 | 7.65%, 3/15/42 | 89,037 | |||||||||
CommScope, Inc. | |||||||||||
95,000 | 5.50%, 3/1/24 (a) | 99,037 | |||||||||
100,000 | 5.50%, 6/15/24 (a) | 101,252 | |||||||||
65,000 | 6.00%, 3/1/26 (a) | 69,144 | |||||||||
200,000 | DKT Finance ApS, 9.38%, 6/17/23 (a) | 212,790 | |||||||||
195,000 | Frontier Communications Corp., 8.50%, 4/1/26 (a) | 197,437 | |||||||||
Hughes Satellite Systems Corp. | |||||||||||
150,000 | 5.25%, 8/1/26 | 164,625 | |||||||||
250,000 | 6.63%, 8/1/26 | 277,500 | |||||||||
200,000 | Intelsat Jackson Holdings SA, 8.00%, 2/15/24 (a) | 205,250 | |||||||||
190,000 | Level 3 Financing, Inc., 4.63%, 9/15/27 (a) | 194,522 | |||||||||
100,000 | Nokia Oyj, 4.38%, 6/12/27 | 104,250 | |||||||||
475,000 | Qwest Corp., 6.88%, 9/15/33 | 477,138 | |||||||||
200,000 | Sable International Finance Ltd., 5.75%, 9/7/27 (a) | 212,000 | |||||||||
100,000 | Sprint Capital Corp., 6.88%, 11/15/28 | 107,750 | |||||||||
300,000 | Sprint Communications, Inc., 6.00%, 11/15/22 | 314,625 | |||||||||
Sprint Corp. | |||||||||||
200,000 | 7.25%, 9/15/21 | 211,500 | |||||||||
400,000 | 7.88%, 9/15/23 | 441,332 | |||||||||
300,000 | 7.13%, 6/15/24 | 323,625 | |||||||||
50,000 | 7.63%, 3/1/26 | 55,140 | |||||||||
100,000 | Telecom Italia Capital SA, 6.00%, 9/30/34 | 107,250 | |||||||||
Telesat Canada / Telesat LLC | |||||||||||
75,000 | 4.88%, 6/1/27 (a) | 76,313 | |||||||||
60,000 | 6.50%, 10/15/27 (a) | 62,550 | |||||||||
T-Mobile USA, Inc. | |||||||||||
700,000 | 6.38%, 3/1/25 | 723,331 |
Shares/ Principal | Fair Value | ||||||||||
TELECOMMUNICATIONS - 10.4% (Continued) | |||||||||||
$ | 200,000 | 6.50%, 1/15/26 | $ | 214,442 | |||||||
150,000 | 4.75%, 2/1/28 | 157,172 | |||||||||
415,000 | ViaSat, Inc., 5.63%, 4/15/27 (a) | 444,050 | |||||||||
7,424,913 | |||||||||||
TEXTILES - 0.2% | |||||||||||
155,000 | Eagle Intermediate Global Holding BV/ Ruyi US Finance LLC, 7.50%, 5/1/25 (a) | 122,450 | |||||||||
TRANSPORTATION - 0.7% | |||||||||||
100,000 | Teekay Offshore Partners LP/Teekay Offshore Finance Corp., 8.50%, 7/15/23 (a) | 98,981 | |||||||||
368,000 | XPO Logistics, Inc., 6.50%, 6/15/22 (a) | 374,992 | |||||||||
473,973 | |||||||||||
TRUCKING & LEASING - 0.3% | |||||||||||
Fortress Transportation & Infrastructure Investors LLC | |||||||||||
145,000 | 6.75%, 3/15/22 (a) | 151,162 | |||||||||
85,000 | 6.50%, 10/1/25 (a) | 89,718 | |||||||||
240,880 | |||||||||||
TOTAL CORPORATE BONDS AND NOTES (Cost - $67,919,727) | 70,203,652 | ||||||||||
SHORT-TERM INVESTMENTS - 0.6% | |||||||||||
MONEY MARKET FUNDS - 0.6% | |||||||||||
441,981 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (c)(Cost - $441,981) | 441,981 | |||||||||
TOTAL INVESTMENTS - 98.6% (Cost - $68,361,708) | $ | 70,645,633 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET 1.4% | 981,676 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 71,627,309 |
(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 $39,271,358 or 54.8% of net assets.
(b) PIK - Pay-in-kind security.
(c) The rate shown is the annualized seven-day yield at period end.
(d) Sinking bond security.
PLC - Public Limited Company
REIT - Real Estate Investment Trust
See accompanying notes to financial statements.
82
Global Atlantic BlackRock High Yield Portfolio
Portfolio of Investments (Continued)
December 31, 2019
FUTURES CONTRACTS | |||||||||||||||||||||||
LONG FUTURES CONTRACTS | Counterparty | Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation (Depreciation) | ||||||||||||||||||
U.S. 10 Year Ultra Future | Morgan Stanley & Co. LLC | 3 | 3/20/2020 | $ | 422,109 | $ | (6,328 | ) | |||||||||||||||
U.S. 2 Year Note Future | JP Morgan Securities LLC | 4 | 3/31/2020 | 862,000 | (782 | ) | |||||||||||||||||
U.S. Long Bond Future | JP Morgan Securities LLC | 4 | 3/20/2020 | 623,625 | (13,877 | ) | |||||||||||||||||
(20,987 | ) | ||||||||||||||||||||||
SHORT FUTURES CONTRACTS | |||||||||||||||||||||||
U.S. 10 Year Note Future | JP Morgan Securities LLC | 7 | 3/20/2020 | 898,953 | 7,719 | ||||||||||||||||||
U.S. 5 Year Note Future | JP Morgan Securities LLC | 8 | 3/31/2020 | 948,875 | 3,495 | ||||||||||||||||||
11,214 | |||||||||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $ | (9,773 | ) |
See accompanying notes to financial statements.
83
Global Atlantic Goldman Sachs Core Fixed Income Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide total return consisting of capital appreciation and income.
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 Class I shares of Global Atlantic Goldman Sachs Core Fixed Income Portfolio outperformed its reference benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index. The Portfolio posted a return of 9.49% compared to a benchmark return of 8.72%, a difference of 77 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
Security selection was the main driver of the Portfolio's excess return in 2019. More specifically, credit curve positioning and selection of investment-grade industrial and financial holdings within corporate credit drove the Portfolio's outperformance. Within the securitized sector, selection of mortgage-backed securities (MBS) further contributed to results. Selection of sovereign debt in Mexico and Indonesia further benefited returns within emerging market debt. These gains were partly offset by selection of U.S. government debt.
The Portfolio's cross-sector strategy contributed to returns in 2019, primarily driven by an overweight exposure to investment-grade corporate credit. The Portfolio's overweight exposure to MBS and collateralized loan obligations (CLOs) further benefited returns. A long position in U.S. rates, which is paired to the Portfolio's credit exposure, was also additive for returns.
The Portfolio's country relative value strategy contributed to performance. This was driven by a long position in euro rates versus short positions in Japanese, Norwegian and UK rates. Furthermore, a long position in 10-year Treasury inflation-protected securities versus UK inflation further contributed to returns. These gains were partly offset by exposure to the New Zealand dollar.
The Portfolio's duration strategy contributed to returns over the year, primarily due to tactical duration positioning, as did exposure to the U.S. yield curve.
How was the Portfolio positioned at period end?
At year-end, the Portfolio was underweight U.S rates. The Portfolio had overweight positions in agency MBS, asset-backed securities (ABS), corporate credit, and emerging market sovereign debt.
The Portfolio's performance figures for the periods ended December 31, 2019 as compared to its benchmark:
Annualized | Operating Expense** | ||||||||||||||||||||||
Inception Date* | One Year | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | |||||||||||||||||||||||
Class I | November 1, 2017 | 9.49 | % | 3.92 | % | 0.47 | % | 0.44 | % | ||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72 | % | 4.11 | % |
84
Global Atlantic Goldman Sachs Core Fixed Income 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.
* Commencement of operations is November 6, 2017.
** The estimated operating expense ratios for Class I 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. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
The Bloomberg Barclays U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage-backed and asset-backed securities. 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 | ||||||
Agency Mortgage Backed Securities | 62.3 | % | |||||
Corporate Bonds and Notes | 44.7 | % | |||||
Asset Backed and Commercial Backed Securities | 7.4 | % | |||||
Municipal Bonds | 1.4 | % | |||||
Sovereign Debts | 1.0 | % | |||||
Short-Term Investments | 2.0 | % | |||||
Other Assets Less Liabilities - Net | (18.8 | )% | |||||
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.
Securities sold short and derivative exposure is included in "Other Assets Less Liabilities - Net".
85
Global Atlantic Goldman Sachs Core Fixed Income Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
AGENCY MORTGAGE BACKED SECURITIES - 62.3% | |||||||||||
FEDERAL FARM CREDIT BANKS FUNDING CORPORATION - 1.2% | |||||||||||
Federal Farm Credit Banks Funding Corp. | |||||||||||
$ | 370,000 | 3.43%, 12/6/28 | $ | 408,833 | |||||||
210,000 | 5.27%, 5/1/29 | 265,748 | |||||||||
360,000 | 3.29%, 1/25/30 | 395,137 | |||||||||
1,069,718 | |||||||||||
FEDERAL HOME LOAN MORTGAGE CORPORATION - 28.1% | |||||||||||
Freddie Mac Gold Pool | |||||||||||
436,320 | 4.00%, 3/1/48 | 455,342 | |||||||||
533,178 | 4.00%, 4/1/48 | 556,423 | |||||||||
Freddie Mac Pool | |||||||||||
1,872,118 | 4.00%, 1/1/49 | 1,985,723 | |||||||||
1,000,000 | 3.00%, 5/1/49 | 1,011,117 | |||||||||
2,420,307 | 5.00%, 10/1/49 | 2,584,771 | |||||||||
16,999,998 | 2.50%, 11/1/49 | 16,859,418 | |||||||||
999,900 | 2.50%, 12/1/49 | 989,044 | |||||||||
1,000,000 | 2.50%, 1/1/50 | 989,173 | |||||||||
25,431,011 | |||||||||||
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 13.1% | |||||||||||
Fannie Mae Pool | |||||||||||
656,684 | 4.50%, 6/1/31 | 696,928 | |||||||||
754,667 | 5.00%, 11/1/48 | 830,449 | |||||||||
Federal National Mortgage Association | |||||||||||
4,000,000 | 3.00%, 1/1/50 (a) | 4,056,250 | |||||||||
3,000,000 | 4.00%, 1/1/50 (a) | 3,120,000 | |||||||||
2,000,000 | 4.50%, 1/1/50 (a) | 2,105,312 | |||||||||
1,000,000 | 5.00%, 1/1/50 (a) | 1,069,063 | |||||||||
11,878,002 | |||||||||||
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 19.9% | |||||||||||
Ginnie Mae II Pool | |||||||||||
619,458 | 4.50%, 2/20/48 | 652,567 | |||||||||
741,210 | 4.50%, 5/20/48 | 780,196 | |||||||||
900,924 | 4.50%, 8/20/48 | 948,312 | |||||||||
3,303,026 | 4.50%, 9/20/48 | 3,472,062 | |||||||||
1,210,440 | 5.00%, 10/20/48 | 1,272,901 | |||||||||
77,291 | 5.00%, 11/20/48 | 82,402 | |||||||||
1,460,092 | 5.00%, 1/20/49 | 1,540,741 | |||||||||
983,236 | 5.00%, 3/20/49 | 1,043,794 | |||||||||
Government National Mortgage Association | |||||||||||
7,000,000 | 3.00%, 1/20/50 (a) | 7,189,219 | |||||||||
1,000,000 | 5.00%, 1/20/50 (a) | 1,051,563 | |||||||||
18,033,757 | |||||||||||
TOTAL AGENCY MORTGAGE BACKED SECURITIES (Cost - $56,097,675) | 56,412,488 |
Shares/ Principal | Fair Value | ||||||||||
CORPORATE BONDS AND NOTES - 44.7% | |||||||||||
AEROSPACE & DEFENSE - 2.4% | |||||||||||
Boeing Co. (The) | |||||||||||
$ | 150,000 | 2.60%, 10/30/25 | $ | 152,060 | |||||||
100,000 | 3.45%, 11/1/28 | 105,955 | |||||||||
General Dynamics Corp. | |||||||||||
125,000 | 2.19%, (3 Month US Libor + 0.29%), 5/11/20 (b) | 125,072 | |||||||||
150,000 | 2.88%, 5/11/20 | 150,520 | |||||||||
300,000 | Lockheed Martin Corp., 3.55%, 1/15/26 | 321,858 | |||||||||
Northrop Grumman Corp. | |||||||||||
350,000 | 2.93%, 1/15/25 | 360,920 | |||||||||
300,000 | 3.25%, 1/15/28 | 313,101 | |||||||||
50,000 | 4.75%, 6/1/43 | 60,435 | |||||||||
United Technologies Corp. | |||||||||||
50,000 | 2.55%, (3 Month US Libor + 0.65%), 8/16/21 (b) | 50,006 | |||||||||
50,000 | 3.35%, 8/16/21 | 51,200 | |||||||||
275,000 | 3.95%, 8/16/25 | 299,909 | |||||||||
75,000 | 4.13%, 11/16/28 | 84,382 | |||||||||
25,000 | 4.05%, 5/4/47 | 28,679 | |||||||||
50,000 | 4.63%, 11/16/48 | 62,659 | |||||||||
2,166,756 | |||||||||||
AGRICULTURE - 0.5% | |||||||||||
175,000 | Altria Group, Inc., 3.80%, 2/14/24 | 184,287 | |||||||||
25,000 | BAT Capital Corp., 4.76%, 9/6/49 | 25,849 | |||||||||
Reynolds American, Inc. | |||||||||||
200,000 | 3.25%, 6/12/20 | 200,910 | |||||||||
75,000 | 4.45%, 6/12/25 | 80,766 | |||||||||
491,812 | |||||||||||
AUTO MANUFACTURERS - 0.2% | |||||||||||
50,000 | General Motors Co., 4.00%, 4/1/25 | 52,712 | |||||||||
General Motors Financial Co., Inc. | |||||||||||
75,000 | 4.30%, 7/13/25 | 80,171 | |||||||||
25,000 | 5.65%, 1/17/29 | 28,270 | |||||||||
161,153 | |||||||||||
BANKS - 12.7% | |||||||||||
200,000 | Banco Santander SA, 4.25%, 4/11/27 | 215,137 | |||||||||
Bank of America Corp. | |||||||||||
250,000 | 2.82%, (3 Month US Libor + 0.93%), 7/21/23 (b) | 253,999 | |||||||||
225,000 | 3.86%, (3 Month US Libor + 0.94%), 7/23/24 (b) | 236,786 | |||||||||
150,000 | 4.20%, 8/26/24 | 161,072 | |||||||||
175,000 | 3.25%, 10/21/27 | 182,430 | |||||||||
25,000 | 4.18%, 11/25/27 | 27,111 | |||||||||
108,000 | 3.42%, (3 Month US Libor + 1.04%), 12/20/28 (b) | 113,416 | |||||||||
125,000 | 4.27%, (3 Month US Libor + 1.31%), 7/23/29 (b) | 138,939 |
See accompanying notes to financial statements.
86
Global Atlantic Goldman Sachs Core Fixed Income Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
BANKS - 12.7% (Continued) | |||||||||||
$ | 100,000 | 2.88%, (3 Month US Libor + 0.01%), 10/22/30 (b) | $ | 100,879 | |||||||
100,000 | 6.11%, 1/29/37 | 135,173 | |||||||||
225,000 | Barclays PLC, 4.61%, (3 Month US Libor + 1.40%), 2/15/23 (b) | 235,013 | |||||||||
BNP Paribas SA | |||||||||||
300,000 | 3.50%, 3/1/23 (c) | 310,463 | |||||||||
252,000 | 3.38%, 1/9/25 (c) | 261,736 | |||||||||
BPCE SA | |||||||||||
255,000 | 2.65%, 2/3/21 | 256,790 | |||||||||
250,000 | 4.00%, 9/12/23 (c) | 263,429 | |||||||||
Citigroup, Inc. | |||||||||||
200,000 | 2.70%, 10/27/22 | 203,330 | |||||||||
75,000 | 4.60%, 3/9/26 | 82,586 | |||||||||
200,000 | 3.40%, 5/1/26 | 210,134 | |||||||||
50,000 | 3.67%, (3 Month US Libor + 1.39%), 7/24/28 (b) | 53,307 | |||||||||
100,000 | 4.13%, 7/25/28 | 109,127 | |||||||||
100,000 | 2.98%, (SOFR + 1.42%), 11/5/30 (b) | 101,556 | |||||||||
300,000 | Comerica Bank, 2.50%, 7/23/24 | 303,641 | |||||||||
250,000 | Cooperatieve Rabobank UA, 2.37%, (3 Month US Libor + 0.43%), 4/26/21 (b) | 250,861 | |||||||||
250,000 | Credit Suisse AG, 2.10%, 11/12/21 | 251,183 | |||||||||
255,000 | Credit Suisse Group Funding Guernsey Ltd., 4.55%, 4/17/26 | 283,109 | |||||||||
250,000 | Deutsche Bank AG, 2.70%, 7/13/20 | 250,176 | |||||||||
250,000 | HSBC Bank USA NA, 4.88%, 8/24/20 | 254,310 | |||||||||
150,000 | Huntington Bancshares, Inc., 4.00%, 5/15/25 | 162,099 | |||||||||
225,000 | ING Groep NV, 4.63%, 1/6/26 (c) | 250,292 | |||||||||
JPMorgan Chase & Co. | |||||||||||
450,000 | 4.02%, (3 Month US Libor + 1.00%), 12/5/24 (b) | 479,912 | |||||||||
225,000 | 2.30%, (SOFR + 1.16%), 10/15/25 (b) | 224,746 | |||||||||
225,000 | 3.30%, 4/1/26 | 236,846 | |||||||||
200,000 | 2.95%, 10/1/26 | 206,120 | |||||||||
175,000 | 3.96%, (3 Month US Libor + 1.25%), 1/29/27 (b) | 189,933 | |||||||||
125,000 | 3.51%, (3 Month US Libor + 0.95%), 1/23/29 (b) | 132,864 | |||||||||
275,000 | Lloyds Bank PLC, 2.38%, (3 Month US Libor + 0.49%), 5/7/21 (b) | 275,895 | |||||||||
225,000 | Mitsubishi UFJ Financial Group, Inc., 3.75%, 7/18/39 | 246,673 | |||||||||
400,000 | Mizuho Financial Group, Inc., 2.60%, 9/11/22 | 405,310 | |||||||||
Morgan Stanley | |||||||||||
125,000 | 3.74%, (3 Month US Libor + 0.85%), 4/24/24 (b) | 130,612 | |||||||||
275,000 | 3.70%, 10/23/24 | 292,134 | |||||||||
75,000 | 2.72%, (SOFR + 1.15%), 7/22/25 (b) | 75,948 | |||||||||
400,000 | 3.63%, 1/20/27 | 425,926 | |||||||||
75,000 | 3.95%, 4/23/27 | 80,468 |
Shares/ Principal | Fair Value | ||||||||||
BANKS - 12.7% (Continued) | |||||||||||
$ | 100,000 | 4.43%, (3 Month US Libor + 1.63%), 1/23/30 (b) | $ | 113,108 | |||||||
150,000 | Royal Bank of Canada, 3.20%, 4/30/21 | 152,679 | |||||||||
300,000 | Royal Bank of Scotland Group PLC, 4.52%, (3 Month US Libor + 1.55%), 6/25/24 (b) | 318,712 | |||||||||
225,000 | Santander UK PLC, 2.88%, 6/18/24 | 230,131 | |||||||||
375,000 | Standard Chartered PLC, 4.25%, (3 Month US Libor + 1.15%), 1/20/23 (b),(c) | 388,054 | |||||||||
250,000 | Sumitomo Mitsui Banking Corp., 2.45%, 1/16/20 | 250,053 | |||||||||
200,000 | UBS Group AG, 2.65%, 2/1/22 (c) | 202,057 | |||||||||
Wells Fargo & Co. | |||||||||||
125,000 | 3.55%, 9/29/25 | 132,364 | |||||||||
325,000 | 3.00%, 10/23/26 | 333,094 | |||||||||
100,000 | 4.30%, 7/22/27 | 109,589 | |||||||||
25,000 | 4.15%, 1/24/29 | 27,849 | |||||||||
125,000 | Westpac Banking Corp., 4.11%, (5 Year US CMT + 2.00%), 7/24/34 (b) | 131,043 | |||||||||
11,450,204 | |||||||||||
BEVERAGES - 2.0% | |||||||||||
Anheuser-Busch Cos., LLC / Anheuser-Busch InBev Worldwide, Inc. | |||||||||||
200,000 | 4.70%, 2/1/36 | 231,751 | |||||||||
450,000 | 4.90%, 2/1/46 | 533,755 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. | |||||||||||
175,000 | 4.75%, 1/23/29 | 202,855 | |||||||||
50,000 | 5.55%, 1/23/49 | 64,966 | |||||||||
Constellation Brands, Inc. | |||||||||||
175,000 | 2.61%, (3 Month US Libor + 0.70%), 11/15/21 (b) | 175,030 | |||||||||
200,000 | 4.40%, 11/15/25 | 218,555 | |||||||||
100,000 | 3.60%, 2/15/28 | 105,827 | |||||||||
125,000 | 3.15%, 8/1/29 | 126,434 | |||||||||
125,000 | Keurig Dr Pepper, Inc., 4.06%, 5/25/23 | 131,838 | |||||||||
1,791,011 | |||||||||||
BIOTECHNOLOGY - 0.2% | |||||||||||
175,000 | Amgen, Inc., 3.13%, 5/1/25 | 182,588 | |||||||||
CHEMICALS - 0.5% | |||||||||||
325,000 | DuPont de Nemours, Inc., 4.21%, 11/15/23 | 347,733 | |||||||||
100,000 | Sherwin-Williams Co. (The), 4.50%, 6/1/47 | 113,668 | |||||||||
461,401 | |||||||||||
COMMERCIAL SERVICES - 0.5% | |||||||||||
Global Payments, Inc. | |||||||||||
75,000 | 2.65%, 2/15/25 | 75,341 | |||||||||
50,000 | 3.20%, 8/15/29 | 50,961 | |||||||||
225,000 | PayPal Holdings, Inc., 2.65%, 10/1/26 | 228,160 | |||||||||
50,000 | S&P Global, Inc., 2.95%, 1/22/27 | 51,649 | |||||||||
406,111 |
See accompanying notes to financial statements.
87
Global Atlantic Goldman Sachs Core Fixed Income Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
COMPUTERS - 1.2% | |||||||||||
Apple, Inc. | |||||||||||
$ | 175,000 | 2.75%, 1/13/25 | $ | 180,836 | |||||||
175,000 | 3.25%, 2/23/26 | 185,338 | |||||||||
200,000 | 2.45%, 8/4/26 | 202,856 | |||||||||
Dell International LLC / EMC Corp. | |||||||||||
200,000 | 5.45%, 6/15/23 (c) | 216,948 | |||||||||
175,000 | 6.02%, 6/15/26 (c) | 201,460 | |||||||||
Hewlett Packard Enterprise Co. | |||||||||||
50,000 | 4.90%, 10/15/25 | 55,579 | |||||||||
60,000 | 6.35%, 10/15/45 | 72,248 | |||||||||
1,115,265 | |||||||||||
DIVERSIFIED FINANCIAL SERVICES - 1.8% | |||||||||||
175,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.88%, 1/16/24 | 189,721 | |||||||||
175,000 | Air Lease Corp., 3.75%, 6/1/26 | 182,983 | |||||||||
175,000 | American Express Co., 3.63%, 12/5/24 | 185,024 | |||||||||
75,000 | Avolon Holdings Funding Ltd., 3.95%, 7/1/24 (c) | 78,158 | |||||||||
250,000 | GE Capital International Funding Co. Unlimited Co., 3.37%, 11/15/25 | 260,497 | |||||||||
75,000 | Nuveen LLC, 4.00%, 11/1/28 (c) | 83,525 | |||||||||
575,000 | Visa, Inc., 3.15%, 12/14/25 | 607,927 | |||||||||
1,587,835 | |||||||||||
ELECTRIC - 2.1% | |||||||||||
50,000 | Alliant Energy Finance LLC, 3.75%, 6/15/23 (c) | 52,196 | |||||||||
175,000 | Arizona Public Service Co., 2.95%, 9/15/27 | 179,744 | |||||||||
Berkshire Hathaway Energy Co. | |||||||||||
50,000 | 3.25%, 4/15/28 | 52,866 | |||||||||
74,000 | 6.13%, 4/1/36 | 101,654 | |||||||||
175,000 | Dominion Energy, Inc., 3.07%, 8/15/24 (d) | 180,279 | |||||||||
25,000 | Duke Energy Carolinas LLC, 3.95%, 3/15/48 | 28,071 | |||||||||
200,000 | Duke Energy Corp., 3.15%, 8/15/27 | 206,118 | |||||||||
175,000 | Entergy Corp., 2.95%, 9/1/26 | 177,828 | |||||||||
75,000 | MidAmerican Energy Co., 3.65%, 4/15/29 | 82,017 | |||||||||
150,000 | NRG Energy, Inc., 3.75%, 6/15/24 (c) | 155,108 | |||||||||
Sempra Energy | |||||||||||
50,000 | 2.50%, (3 Month US Libor + 0.50%), 1/15/21 (b) | 50,008 | |||||||||
125,000 | 3.40%, 2/1/28 | 129,585 | |||||||||
100,000 | Southern California Edison Co., 4.20%, 3/1/29 | 110,713 | |||||||||
350,000 | Southern Co. (The), 3.25%, 7/1/26 | 364,662 | |||||||||
1,870,849 | |||||||||||
ELECTRONICS - 0.2% | |||||||||||
125,000 | Roper Technologies, Inc., 4.20%, 9/15/28 | 137,000 | |||||||||
ENGINEERING & CONSTRUCTION - 0.2% | |||||||||||
200,000 | Mexico City Airport Trust, 3.88%, 4/30/28 (c) | 204,252 |
Shares/ Principal | Fair Value | ||||||||||
ENVIRONMENTAL CONTROL - 0.3% | |||||||||||
$ | 150,000 | Republic Services, Inc., 2.50%, 8/15/24 | $ | 151,718 | |||||||
100,000 | Waste Management, Inc., 3.20%, 6/15/26 | 104,768 | |||||||||
256,486 | |||||||||||
FOOD - 0.7% | |||||||||||
375,000 | General Mills, Inc., 2.54%, (3 Month US Libor + 0.54%), 4/16/21 (b) | 376,210 | |||||||||
Mars, Inc. | |||||||||||
50,000 | 2.70%, 4/1/25 (c) | 51,168 | |||||||||
75,000 | 3.20%, 4/1/30 (c) | 79,442 | |||||||||
125,000 | Tyson Foods, Inc., 3.90%, 9/28/23 | 132,557 | |||||||||
639,377 | |||||||||||
GAS - 0.6% | |||||||||||
NiSource, Inc. | |||||||||||
125,000 | 3.65%, 6/15/23 | 130,215 | |||||||||
400,000 | 3.49%, 5/15/27 | 420,809 | |||||||||
551,024 | |||||||||||
HAND & MACHINE TOOLS - 0.2% | |||||||||||
125,000 | Stanley Black & Decker, Inc., 4.25%, 11/15/28 | 141,030 | |||||||||
HEALTHCARE-PRODUCTS - 0.4% | |||||||||||
DH Europe Finance II SARL | |||||||||||
125,000 | 2.20%, 11/15/24 | 125,168 | |||||||||
50,000 | 2.60%, 11/15/29 | 49,819 | |||||||||
200,000 | Thermo Fisher Scientific, Inc., 3.65%, 12/15/25 | 213,824 | |||||||||
388,811 | |||||||||||
HEALTHCARE-SERVICES - 0.4% | |||||||||||
225,000 | Sutter Health, 4.09%, 8/15/48 | 246,157 | |||||||||
125,000 | UnitedHealth Group, Inc., 4.75%, 7/15/45 | 153,930 | |||||||||
400,087 | |||||||||||
INSURANCE - 1.4% | |||||||||||
200,000 | AIA Group Ltd., 3.20%, 3/11/25 (c) | 205,222 | |||||||||
American International Group, Inc. | |||||||||||
175,000 | 3.90%, 4/1/26 | 187,976 | |||||||||
75,000 | 4.20%, 4/1/28 | 82,561 | |||||||||
150,000 | Arch Capital Finance LLC, 5.03%, 12/15/46 | 187,594 | |||||||||
50,000 | Great-West Lifeco Finance 2018 LP, 4.05%, 5/17/28 (c) | 55,244 | |||||||||
100,000 | Marsh & McLennan Cos., Inc., 4.38%, 3/15/29 | 114,014 | |||||||||
275,000 | MetLife, Inc., 3.60%, 11/13/25 | 295,534 | |||||||||
75,000 | Principal Financial Group, Inc., 3.10%, 11/15/26 | 77,663 | |||||||||
50,000 | XLIT Ltd., 4.45%, 3/31/25 | 54,481 | |||||||||
1,260,289 |
See accompanying notes to financial statements.
88
Global Atlantic Goldman Sachs Core Fixed Income Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
INTERNET - 0.8% | |||||||||||
Amazon.com, Inc. | |||||||||||
$ | 475,000 | 5.20%, 12/3/25 | $ | 554,045 | |||||||
100,000 | 3.15%, 8/22/27 | 105,978 | |||||||||
50,000 | 3.88%, 8/22/37 | 56,830 | |||||||||
716,853 | |||||||||||
INVESTMENT COMPANIES - 0.2% | |||||||||||
200,000 | Huarong Finance 2019 Co. Ltd., 3.75%, 5/29/24 | 204,198 | |||||||||
LODGING - 0.1% | |||||||||||
100,000 | Marriott International, Inc., 2.30%, 1/15/22 | 100,474 | |||||||||
MEDIA - 1.4% | |||||||||||
Comcast Corp. | |||||||||||
275,000 | 3.70%, 4/15/24 | 293,313 | |||||||||
125,000 | 3.95%, 10/15/25 | 136,427 | |||||||||
325,000 | 4.15%, 10/15/28 | 366,062 | |||||||||
125,000 | 4.25%, 10/15/30 | 142,983 | |||||||||
Fox Corp. | |||||||||||
75,000 | 4.03%, 1/25/24 (c) | 79,924 | |||||||||
50,000 | 4.71%, 1/25/29 (c) | 57,019 | |||||||||
200,000 | Walt Disney Co. (The), 3.70%, 9/15/24 | 214,068 | |||||||||
1,289,796 | |||||||||||
MINING - 0.3% | |||||||||||
250,000 | Glencore Funding LLC, 4.63%, 4/29/24 (c) | 265,050 | |||||||||
MISCELLANEOUS MANUFACTURING - 0.1% | |||||||||||
General Electric Co. | |||||||||||
25,000 | 2.70%, 10/9/22 | 25,346 | |||||||||
75,000 | 3.10%, 1/9/23 | 76,631 | |||||||||
101,977 | |||||||||||
OIL & GAS - 2.1% | |||||||||||
BP Capital Markets America, Inc. | |||||||||||
25,000 | 3.22%, 4/14/24 | 26,102 | |||||||||
75,000 | 3.41%, 2/11/26 | 79,913 | |||||||||
100,000 | 4.23%, 11/6/28 | 113,105 | |||||||||
175,000 | BP Capital Markets PLC, 3.72%, 11/28/28 | 190,857 | |||||||||
400,000 | Gazprom PJSC Via Gaz Capital SA, 4.95%, 3/23/27 | 445,600 | |||||||||
Marathon Petroleum Corp. | |||||||||||
75,000 | 3.63%, 9/15/24 | 78,783 | |||||||||
50,000 | 3.80%, 4/1/28 | 52,635 | |||||||||
100,000 | Noble Energy, Inc., 3.25%, 10/15/29 | 101,358 | |||||||||
Occidental Petroleum Corp. | |||||||||||
425,000 | 2.90%, 8/15/24 | 431,944 | |||||||||
25,000 | 3.20%, 8/15/26 | 25,300 | |||||||||
150,000 | Phillips 66, 3.90%, 3/15/28 | 163,643 | |||||||||
125,000 | Pioneer Natural Resources Co., 3.95%, 7/15/22 | 129,737 | |||||||||
50,000 | Total Capital International SA, 3.46%, 7/12/49 | 52,608 | |||||||||
1,891,585 |
Shares/ Principal | Fair Value | ||||||||||
OIL & GAS SERVICES - 0.1% | |||||||||||
$ | 75,000 | Halliburton Co., 3.80%, 11/15/25 | $ | 80,009 | |||||||
PHARMACEUTICALS - 2.1% | |||||||||||
AbbVie, Inc. | |||||||||||
125,000 | 3.75%, 11/14/23 | 131,578 | |||||||||
125,000 | 4.05%, 11/21/39 (c) | 131,382 | |||||||||
325,000 | 4.25%, 11/21/49 (c) | 345,091 | |||||||||
Bristol-Myers Squibb Co. | |||||||||||
360,000 | 3.88%, 8/15/25 (c) | 389,168 | |||||||||
25,000 | 3.90%, 2/20/28 (c) | 27,560 | |||||||||
Cigna Corp. | |||||||||||
400,000 | 3.75%, 7/15/23 | 419,518 | |||||||||
50,000 | 4.90%, 12/15/48 | 59,725 | |||||||||
CVS Health Corp. | |||||||||||
25,000 | 3.88%, 7/20/25 | 26,628 | |||||||||
75,000 | 4.78%, 3/25/38 | 85,265 | |||||||||
50,000 | 5.05%, 3/25/48 | 59,251 | |||||||||
100,000 | McKesson Corp., 2.85%, 3/15/23 | 101,572 | |||||||||
150,000 | Pfizer, Inc., 3.45%, 3/15/29 | 161,652 | |||||||||
1,938,390 | |||||||||||
PIPELINES - 1.9% | |||||||||||
Energy Transfer Operating LP | |||||||||||
175,000 | 4.20%, 9/15/23 | 183,768 | |||||||||
100,000 | 5.25%, 4/15/29 | 112,371 | |||||||||
50,000 | 5.30%, 4/15/47 | 53,377 | |||||||||
300,000 | Enterprise Products Operating LLC, 3.70%, 2/15/26 | 319,394 | |||||||||
25,000 | Kinder Morgan Energy Partners LP, 5.40%, 9/1/44 | 28,806 | |||||||||
MPLX LP | |||||||||||
50,000 | 4.80%, 2/15/29 | 54,880 | |||||||||
100,000 | 4.50%, 4/15/38 | 101,757 | |||||||||
25,000 | 4.70%, 4/15/48 | 25,473 | |||||||||
Sabine Pass Liquefaction LLC | |||||||||||
100,000 | 5.63%, 4/15/23 | 108,842 | |||||||||
275,000 | 5.63%, 3/1/25 | 309,735 | |||||||||
100,000 | 5.00%, 3/15/27 | 110,079 | |||||||||
100,000 | Sunoco Logistics Partners Operations LP, 5.40%, 10/1/47 | 108,728 | |||||||||
175,000 | Williams Cos., Inc. (The), 4.00%, 9/15/25 | 185,683 | |||||||||
1,702,893 | |||||||||||
REITS - 2.0% | |||||||||||
Alexandria Real Estate Equities, Inc. | |||||||||||
75,000 | 3.80%, 4/15/26 | 80,187 | |||||||||
75,000 | 3.38%, 8/15/31 | 77,962 | |||||||||
100,000 | American Homes 4 Rent LP, 4.90%, 2/15/29 | 112,009 | |||||||||
200,000 | American Tower Corp., 3.38%, 5/15/24 | 207,340 | |||||||||
75,000 | Camden Property Trust, 3.15%, 7/1/29 | 78,124 |
See accompanying notes to financial statements.
89
Global Atlantic Goldman Sachs Core Fixed Income Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
REITS - 2.0% (Continued) | |||||||||||
Crown Castle International Corp. | |||||||||||
$ | 100,000 | 3.15%, 7/15/23 | $ | 103,190 | |||||||
75,000 | 3.65%, 9/1/27 | 79,374 | |||||||||
75,000 | CubeSmart LP, 4.38%, 12/15/23 | 79,863 | |||||||||
75,000 | Essex Portfolio LP, 3.00%, 1/15/30 | 75,907 | |||||||||
150,000 | Federal Realty Investment Trust, 3.25%, 7/15/27 | 155,529 | |||||||||
100,000 | Kilroy Realty LP, 4.75%, 12/15/28 | 113,483 | |||||||||
125,000 | Regency Centers LP, 2.95%, 9/15/29 | 124,929 | |||||||||
100,000 | Spirit Realty LP, 3.40%, 1/15/30 | 100,526 | |||||||||
VEREIT Operating Partnership, LP | |||||||||||
200,000 | 4.63%, 11/1/25 | 219,021 | |||||||||
75,000 | 4.88%, 6/1/26 | 83,099 | |||||||||
75,000 | WP Carey, Inc., 3.85%, 7/15/29 | 79,213 | |||||||||
1,769,756 | |||||||||||
RETAIL - 0.6% | |||||||||||
50,000 | Alimentation Couche-Tard, Inc., 3.55%, 7/26/27 (c) | 51,431 | |||||||||
Dollar Tree, Inc. | |||||||||||
75,000 | 4.00%, 5/15/25 | 80,242 | |||||||||
125,000 | 4.20%, 5/15/28 | 134,093 | |||||||||
50,000 | Home Depot, Inc. (The), 3.90%, 12/6/28 | 56,154 | |||||||||
150,000 | Starbucks Corp., 3.80%, 8/15/25 | 161,639 | |||||||||
75,000 | Walmart, Inc., 4.05%, 6/29/48 | 88,901 | |||||||||
572,460 | |||||||||||
SAVINGS & LOANS - 0.2% | |||||||||||
200,000 | Nationwide Building Society, 3.96%, (3 Month US Libor + 1.86%), 7/18/30 (b),(c) | 214,870 | |||||||||
SEMICONDUCTORS - 1.3% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | |||||||||||
240,000 | 3.63%, 1/15/24 | 248,742 | |||||||||
225,000 | 3.13%, 1/15/25 | 227,742 | |||||||||
Broadcom, Inc. | |||||||||||
225,000 | 3.13%, 10/15/22 (c) | 229,229 | |||||||||
150,000 | 3.63%, 10/15/24 (c) | 155,983 | |||||||||
125,000 | 4.25%, 4/15/26 (c) | 132,772 | |||||||||
75,000 | Microchip Technology, Inc., 3.92%, 6/1/21 | 76,701 | |||||||||
75,000 | NVIDIA Corp., 3.20%, 9/16/26 | 78,762 | |||||||||
1,149,931 | |||||||||||
SOFTWARE - 0.7% | |||||||||||
Fiserv, Inc. | |||||||||||
50,000 | 3.80%, 10/1/23 | 52,817 | |||||||||
150,000 | 2.75%, 7/1/24 | 152,650 | |||||||||
150,000 | 3.20%, 7/1/26 | 155,347 | |||||||||
100,000 | 4.20%, 10/1/28 | 110,925 | |||||||||
150,000 | Microsoft Corp., 3.70%, 8/8/46 | 169,613 | |||||||||
641,352 |
Shares/ Principal | Fair Value | ||||||||||
TELECOMMUNICATIONS - 2.2% | |||||||||||
AT&T, Inc. | |||||||||||
$ | 100,000 | 3.20%, 3/1/22 | $ | 102,374 | |||||||
225,000 | 3.40%, 5/15/25 | 235,636 | |||||||||
100,000 | 3.60%, 7/15/25 | 105,855 | |||||||||
150,000 | 4.25%, 3/1/27 | 164,757 | |||||||||
125,000 | 5.25%, 3/1/37 | 149,348 | |||||||||
50,000 | 4.90%, 8/15/37 | 57,571 | |||||||||
50,000 | 4.75%, 5/15/46 | 56,587 | |||||||||
50,000 | 5.15%, 11/15/46 | 59,867 | |||||||||
50,000 | 4.50%, 3/9/48 | 55,240 | |||||||||
Verizon Communications, Inc. | |||||||||||
25,000 | 3.38%, 2/15/25 | 26,483 | |||||||||
313,000 | 4.33%, 9/21/28 | 355,245 | |||||||||
75,000 | 3.88%, 2/8/29 | 82,734 | |||||||||
25,000 | 4.02%, 12/3/29 | 27,869 | |||||||||
100,000 | 5.25%, 3/16/37 | 125,593 | |||||||||
100,000 | 5.01%, 4/15/49 | 128,212 | |||||||||
275,000 | Vodafone Group PLC, 3.75%, 1/16/24 | 290,897 | |||||||||
2,024,268 | |||||||||||
TRANSPORTATION - 0.1% | |||||||||||
75,000 | Burlington Northern Santa Fe LLC, 3.25%, 6/15/27 | 80,066 | |||||||||
25,000 | FedEx Corp., 3.40%, 2/15/28 | 25,729 | |||||||||
105,795 | |||||||||||
TOTAL CORPORATE BONDS AND NOTES (Cost - $38,160,320) | 40,432,998 | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 7.4% | |||||||||||
337,503 | ACIS CLO 2014-4 Ltd, 3.33%, (3 Month US Libor + 1.42%), 5/1/26 (b),(c) | 337,331 | |||||||||
1,500,000 | ASSURANT CLO II LTD, 3.01%, (3 Month US Libor + 1.04%), 4/20/31 (b),(c) | 1,483,888 | |||||||||
400,000 | Catamaran CLO 2013-1 Ltd, 2.79%, (3 Month US Libor + 0.85%), 1/27/28 (b),(c) | 398,132 | |||||||||
350,000 | CBAM 2018-5 Ltd, 3.02%, (3 Month US Libor + 1.02%), 4/17/31 (b),(c) | 347,221 | |||||||||
102,403 | Harben Finance 2017-1 PLC, 1.60%, (3 Month BP Libor + 0.80%), 8/20/56 (b) | 135,824 | |||||||||
755,356 | Kentucky Higher Education Student Loan Corp, 2.38%, (1 Month US Libor + 0.60%), 9/1/28 (b) | 752,848 | |||||||||
152,133 | London Wall Mortgage Capital PLC, 1.64%, (3 Month BP Libor + 0.85%), 11/15/49 (b) | 201,882 | |||||||||
550,000 | OCP CLO 2015-10 Ltd, 2.76%, (3 Month US Libor + 0.82%), 10/26/27 (b),(c) | 549,521 | |||||||||
305,856 | PHEAA Student Loan Trust 2012-1, 2.34%, (1 Month US Libor + 0.55%), 5/25/57 (b),(c) | 301,120 | |||||||||
481,584 | Ripon Mortgages PLC, 1.60%, (3 Month BP Libor + 0.80%), 8/20/56 (b) | 638,859 |
See accompanying notes to financial statements.
90
Global Atlantic Goldman Sachs Core Fixed Income Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 7.4% (Continued) | |||||||||||
$ | 39,126 | Scholar Funding Trust 2010-A, 2.69%, (3 Month US Libor + 0.75%), 10/28/41 (b),(c) | $ | 38,610 | |||||||
1,550,000 | TICP CLO X Ltd, 2.97%, (3 Month US Libor + 1.00%), 4/20/31 (b),(c) | 1,534,080 | |||||||||
TOTAL ASSET BACKED AND COMMERCIAL BACKED SECURITIES (Cost - $6,790,241) | 6,719,316 | ||||||||||
MUNICIPAL BONDS - 1.4% | |||||||||||
480,000 | City of Chicago, 7.75%, 1/1/42 | 602,126 | |||||||||
25,000 | New Jersey Turnpike Authority, 7.10%, 1/1/41 | 38,126 | |||||||||
175,000 | State of California, 7.60%, 11/1/40 | 288,874 | |||||||||
325,000 | State of Illinois, 5.10%, 6/1/33 (g) | 350,360 | |||||||||
TOTAL MUNICIPAL BONDS (Cost - $1,216,178) | 1,279,486 | ||||||||||
SOVEREIGN DEBTS - 1.0% | |||||||||||
100,000 | Mexico Government International Bond, 1.63%, 4/8/26 | 117,231 | |||||||||
520,000 | Perusahaan Penerbit SBSN Indonesia III, 4.55%, 3/29/26 | 568,771 | |||||||||
200,000 | Qatar Government International Bond, 4.50%, 4/23/28 (c) | 229,004 | |||||||||
TOTAL SOVEREIGN DEBTS (Cost - $839,624) | 915,006 | ||||||||||
SHORT-TERM INVESTMENTS - 2.0% | |||||||||||
MONEY MARKET FUNDS - 1.2% | |||||||||||
1,052,704 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (e)(Cost - $1,052,704) | 1,052,704 |
Shares/ Principal | Fair Value | ||||||||||
COMMERCIAL PAPER - 0.8% | |||||||||||
$ | 700,000 | VW Credit Inc., 2.61%, 3/30/20 (Cost - $695,571) (f) | $ | 696,237 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $1,748,275) | 1,748,941 | ||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES SOLD SHORT - 118.8% (Cost - $104,852,313) | $ | 107,508,235 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET (18.8)% | (17,002,346 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 90,505,889 | |||||||||
SECURITIES SOLD SHORT - (17.6)% | |||||||||||
AGENCY MORTGAGE BACKED SECURITIES - (17.6)% | |||||||||||
FEDERAL NATIONAL MORTGAGE ASSOCIATION - (15.3)% | |||||||||||
$ | (14,000,000 | ) | Federal National Mortgage Association, 2.50%, 1/1/50 (a) | $ | (13,844,687 | ) | |||||
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - (2.3)% | |||||||||||
(2,000,000 | ) | Government National Mortgage Association, 4.50%, 1/20/50 (a) | (2,090,312) | ||||||||
TOTAL SECURITIES SOLD SHORT (Proceeds - $(15,892,578)) | $ | (15,934,999 | ) |
(a) When-issued, or delayed delivery. All or a portion may be subject to dollar-roll transactions.
(b) Variable rate security. The rate shown is the rate in effect at period end.
(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 $10,357,140 or 11.4% of net assets.
(d) Step coupon.
(e) The rate shown is the annualized seven-day yield at period end.
(f) Rate shown represents discount rate at the time of purchase.
(g) Sinking bond security.
CLO - Collateralized Loan Obligation
PLC - Public Limited Company
Libor - London Interbank Offered Rate
SOFR - Secured Overnight Financing Rate
See accompanying notes to financial statements.
91
Global Atlantic Goldman Sachs Core Fixed Income Portfolio
Portfolio of Investments (Continued)
December 31, 2019
FUTURES CONTRACTS
LONG FUTURES CONTRACTS | Counterparty | Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Australian 3 Year Bond Future | JP Morgan Securities LLC | 1 | 3/16/2020 | $ | 80,849 | $ | (158 | ) | |||||||||||||||
U.S. 10 Year Note Future | Citigroup Global Markets, Inc. | 2 | 3/20/2020 | 256,844 | 190 | ||||||||||||||||||
U.S. 5 Year Note Future | Citigroup Global Markets, Inc. | 6 | 3/31/2020 | 711,656 | 1,971 | ||||||||||||||||||
U.S. Long Bond Future | Citigroup Global Markets, Inc. | 5 | 3/20/2020 | 779,531 | (17,214 | ) | |||||||||||||||||
U.S. Ultra Bond Future | Citigroup Global Markets, Inc. | 44 | 3/20/2020 | 7,992,875 | (194,696 | ) | |||||||||||||||||
(209,907 | ) | ||||||||||||||||||||||
SHORT FUTURES CONTRACTS | |||||||||||||||||||||||
Australian 10 Year Bond Future | JP Morgan Securities LLC | 1 | 3/16/2020 | 100,492 | 0 | ||||||||||||||||||
U.S. 10 Year Ultra Future | Citigroup Global Markets, Inc. | 14 | 3/20/2020 | 1,969,844 | 27,280 | ||||||||||||||||||
U.S. 2 Year Note Future | JP Morgan Securities LLC | 6 | 3/31/2020 | 1,293,000 | (451 | ) | |||||||||||||||||
26,829 | |||||||||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $ | (183,078 | ) |
INTEREST RATE SWAPTIONS PURCHASED | |||||||||||||||||||||||||||||||||||
Counterparty | Description* | Put/Call | Exercise Rate | Expiration Date | Notional Amount | Fair Value | Premiums Paid | Unrealized Depreciation | |||||||||||||||||||||||||||
Bank of America | Pays 3 Month US Libor | Put | Receives 1.27% | 08/28/20 | $ | 280,000 | $ | 997 | $ | 5,574 | $ | (4,757 | ) | ||||||||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON INTEREST RATE SWAPTIONS PURCHASED | $ | 997 | $ | 5,574 | $ | (4,757 | ) |
* The fund may receive or pay a variable rate.
INTEREST RATE SWAPTIONS WRITTEN | |||||||||||||||||||||||||||||||||||
Counterparty | Description* | Put/Call | Exercise Rate | Expiration Date | Notional Amount | Fair Value | Premiums Received | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
Bank of America | Receives 6 Month Euribor | Put | Pays 0.26% | 08/28/20 | 340,000 | EUR | $ | (611 | ) | $ | (6,114 | ) | $ | 5,503 | |||||||||||||||||||||
JP Morgan Chase Bank | Pays 6 Month Euribor | Call | Receives 0.07% | 09/14/20 | 100,000 | EUR | (2,794 | ) | (2,136 | ) | (658 | ) | |||||||||||||||||||||||
JP Morgan Chase Bank | Pays 6 Month Euribor | Put | Receives 0.07% | 09/14/20 | 100,000 | EUR | (700 | ) | (2,136 | ) | 1,436 | ||||||||||||||||||||||||
JP Morgan Chase Bank | Pays 6 Month Euribor | Put | Receives 0.07% | 09/14/20 | 90,000 | EUR | (630 | ) | (1,923 | ) | 1,293 | ||||||||||||||||||||||||
JP Morgan Chase Bank | Pays 6 Month Euribor | Call | Receives 0.07% | 09/14/20 | 90,000 | EUR | (2,515 | ) | (1,923 | ) | (592 | ) | |||||||||||||||||||||||
JP Morgan Chase Bank | Pays 6 Month Euribor | Call | Receives 0.07% | 09/14/20 | 100,000 | EUR | (2,794 | ) | (2,094 | ) | (700 | ) | |||||||||||||||||||||||
JP Morgan Chase Bank | Pays 6 Month Euribor | Put | Receives 0.07% | 09/14/20 | 100,000 | EUR | (700 | ) | (2,093 | ) | 1,393 | ||||||||||||||||||||||||
Bank of America | Pays 6 Month Euribor | Put | Receives 0.07% | 09/14/20 | 100,000 | EUR | (793 | ) | (2,287 | ) | 1,494 | ||||||||||||||||||||||||
Bank of America | Pays 6 Month Euribor | Call | Receives 0.07% | 09/14/20 | 100,000 | EUR | (3,162 | ) | (1,955 | ) | (1,207 | ) | |||||||||||||||||||||||
Bank of America | Pays 6 Month Euribor | Put | Receives 0.07% | 09/14/20 | 110,000 | EUR | (770 | ) | (2,516 | ) | 1,746 | ||||||||||||||||||||||||
Bank of America | Pays 6 Month Euribor | Call | Receives 0.07% | 09/14/20 | 110,000 | EUR | (3,074 | ) | (2,150 | ) | (924 | ) | |||||||||||||||||||||||
Bank of America | Pays 6 Month Euribor | Call | Receives 0.07% | 09/14/20 | 80,000 | EUR | (2,235 | ) | (1,567 | ) | (668 | ) | |||||||||||||||||||||||
Bank of America | Pays 6 Month Euribor | Put | Receives 0.07% | 09/14/20 | 80,000 | EUR | (560 | ) | (1,830 | ) | 1,270 | ||||||||||||||||||||||||
Bank of America | Pays 6 Month Euribor | Put | Receives 0.07% | 09/14/20 | 270,000 | EUR | (2,140 | ) | (5,798 | ) | 3,658 | ||||||||||||||||||||||||
Bank of America | Pays 6 Month Euribor | Call | Receives 0.07% | 09/14/20 | 270,000 | EUR | (8,538 | ) | (5,799 | ) | (2,739 | ) | |||||||||||||||||||||||
Bank of America | Pays 6 Month Euribor | Put | Receives 0.07% | 09/14/20 | 140,000 | EUR | (981 | ) | (4,475 | ) | 3,494 | ||||||||||||||||||||||||
Bank of America | Pays 6 Month Euribor | Call | Receives 0.07% | 09/14/20 | 140,000 | EUR | (3,912 | ) | (1,846 | ) | (2,066 | ) | |||||||||||||||||||||||
Bank of America | Pays 6 Month Euribor | Call | Receives 0.07% | 09/14/20 | 140,000 | EUR | (3,912 | ) | (1,851 | ) | (2,061 | ) | |||||||||||||||||||||||
Bank of America | Pays 6 Month Euribor | Put | Receives 0.07% | 09/14/20 | 140,000 | EUR | (981 | ) | (4,476 | ) | 3,495 | ||||||||||||||||||||||||
Bank of America | Pays 6 Month Euribor | Put | Receives 0.33% | 05/10/21 | 240,000 | EUR | (5,525 | ) | (5,951 | ) | 426 | ||||||||||||||||||||||||
Bank of America | Pays 6 Month Euribor | Call | Receives 0.33% | 05/10/21 | 240,000 | EUR | (6,139 | ) | (6,138 | ) | (1 | ) | |||||||||||||||||||||||
Bank of America | Pays 6 Month Euribor | Call | Receives 0.33% | 05/10/21 | 140,000 | EUR | (3,580 | ) | (3,159 | ) | (421 | ) | |||||||||||||||||||||||
Bank of America | Pays 6 Month Euribor | Put | Receives 0.33% | 05/10/21 | 140,000 | EUR | (3,223 | ) | (3,884 | ) | 661 | ||||||||||||||||||||||||
Bank of America | Receives 6 Month Euribor | Put | Pays 0.35% | 05/27/20 | 1,180,000 | EUR | (796 | ) | (1,372 | ) | 576 | ||||||||||||||||||||||||
Bank of America | Receives 6 Month Euribor | Call | Pays 0.10% | 05/27/20 | 1,180,000 | EUR | (6,170 | ) | (4,050 | ) | (2,120 | ) |
See accompanying notes to financial statements.
92
Global Atlantic Goldman Sachs Core Fixed Income Portfolio
Portfolio of Investments (Continued)
December 31, 2019
INTEREST RATE SWAPTIONS WRITTEN (Continued) | |||||||||||||||||||||||||||||||||||
Counterparty | Description* | Put/Call | Exercise Rate | Expiration Date | Notional Amount | Fair Value | Premiums Received | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
JP Morgan Chase Bank | Receives 6 Month Euribor | Put | Pays 0.35% | 05/27/20 | 580,000 | EUR | $ | (391 | ) | $ | (738 | ) | $ | 347 | |||||||||||||||||||||
JP Morgan Chase Bank | Receives 6 Month Euribor | Call | Pays 0.10% | 05/27/20 | 580,000 | EUR | (3,033 | ) | (2,087 | ) | (946 | ) | |||||||||||||||||||||||
TOTAL NET UNREALIZED APPRECIATION ON WRITTEN INTEREST RATE SWAPTIONS | $ | (70,659 | ) | $ | (82,348 | ) | $ | 11,689 |
* The fund may receive or pay a variable rate.
INTEREST RATE 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 | 1 Month USD - LIBOR | 07/25/24 | $ | 1,900,000 | $ | 20 | $ | 42 | $ | (22 | ) | ||||||||||||||||||||||
Credit Suisse First Boston | Semi-Annually | 0.00 | % | 6 Month Euribor | 09/16/30 | 560,000 | EUR | 17,284 | 14,873 | 2,411 | |||||||||||||||||||||||||
Credit Suisse First Boston | Semi-Annually | 0.33 | % | 6 Month Euribor | 05/12/31 | 20,000 | EUR | 51 | 102 | (51 | ) | ||||||||||||||||||||||||
Credit Suisse First Boston | Quarterly | 1.75 | % | 3 Month US Libor | 03/18/22 | 4,560,000 | 8,914 | 9,844 | (930 | ) | |||||||||||||||||||||||||
Credit Suisse First Boston | Quarterly | 1.75 | % | Canadian Dollar Offered Rate | 03/18/22 | 3,460,000 | CAD | (13,196 | ) | (11,150 | ) | (2,046 | ) | ||||||||||||||||||||||
Credit Suisse First Boston | Quarterly | 0.50 | % | 3 Month Stibor | 03/18/30 | 5,370,000 | SEK | 11,943 | 4,773 | 7,170 | |||||||||||||||||||||||||
Credit Suisse First Boston | Semi-Annually | 2.00 | % | 3 Month Norway Ibor | 03/18/30 | 4,340,000 | NOK | 3,085 | (2,140 | ) | 5,225 | ||||||||||||||||||||||||
Credit Suisse First Boston | Semi-Annually | 0.00 | % | 6 Month Euribor | 03/18/25 | 710,000 | EUR | 3,493 | 6,136 | (2,643 | ) | ||||||||||||||||||||||||
Credit Suisse First Boston | Semi-Annually | 0.50 | % | 6 Month Euribor | 03/18/30 | 370,000 | EUR | 11,092 | 15,060 | (3,968 | ) | ||||||||||||||||||||||||
Credit Suisse First Boston | Semi-Annually | 2.00 | % | Canadian Dollar Offered Rate | 03/18/30 | 470,000 | CAD | (5,822 | ) | (1,476 | ) | (4,346 | ) | ||||||||||||||||||||||
Credit Suisse First Boston | Semi-Annually | 1.75 | % | Canadian Dollar Offered Rate | 03/18/25 | 820,000 | CAD | (9,359 | ) | (6,190 | ) | (3,169 | ) | ||||||||||||||||||||||
Credit Suisse First Boston | Semi-Annually | 1.75 | % | 6 Month Australian Bill | 03/18/30 | 280,000 | AUD | 3,757 | 7,984 | (4,227 | ) | ||||||||||||||||||||||||
Credit Suisse First Boston | Semi-Annually | 1.50 | % | 6 Month Australian Bill | 03/18/25 | 1,490,000 | AUD | 15,037 | 22,015 | (6,978 | ) | ||||||||||||||||||||||||
Credit Suisse First Boston | Semi-Annually | 2.00 | % | 3 Month Norway Ibor | 03/18/25 | 11,110,000 | NOK | 326 | (3,203 | ) | 3,529 | ||||||||||||||||||||||||
Credit Suisse First Boston | Quarterly | 1.50 | % | 3 Month New Zealand Bank Bill Rate | 03/18/25 | 470,000 | NZD | 499 | 1,535 | (1,036 | ) | ||||||||||||||||||||||||
Credit Suisse First Boston | Quarterly | 1.75 | % | 3 Month US Libor | 03/18/25 | 1,260,000 | (1,224 | ) | (5,865 | ) | 4,641 | ||||||||||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON INTEREST RATE SWAPS | $ | 52,340 | $ | (6,440 | ) |
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) | |||||||||||||||||||||||||||||||||
Bank of America | CD BA | Quarterly | Buy | 1.00 | % | - | 06/20/24 | $ | 100,000 | $ | 2,278 | $ | 2,142 | $ | 136 | ||||||||||||||||||||||||||||
Morgan Stanley & Company LLC | CD PRU | Quarterly | Buy | 1.00 | % | - | 06/20/24 | 175,000 | 4,127 | 2,817 | 1,310 | ||||||||||||||||||||||||||||||||
Bank of America | CD INDON | Quarterly | Buy | 1.00 | % | - | 06/20/24 | 550,000 | 11,074 | 3,179 | 7,895 | ||||||||||||||||||||||||||||||||
Bank of America | CD RUSSIA | Quarterly | Buy | 1.00 | % | - | 12/20/24 | 70,000 | 1,715 | (559 | ) | 2,274 | |||||||||||||||||||||||||||||||
Wells Fargo Securities | CD GE | Quarterly | Buy | 1.00 | % | - | 06/20/24 | 225,000 | 2,965 | (2,705 | ) | 5,670 | |||||||||||||||||||||||||||||||
BNP Paribas | CD GE | Quarterly | Buy | 1.00 | % | - | 12/20/24 | 125,000 | 1,224 | (1,981 | ) | 3,205 |
See accompanying notes to financial statements.
93
Global Atlantic Goldman Sachs Core Fixed Income Portfolio
Portfolio of Investments (Continued)
December 31, 2019
CREDIT DEFAULT SWAPS (Continued) | |||||||||||||||||||||||||||||||||||||||||||
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) | |||||||||||||||||||||||||||||||||
Securities Corp. | |||||||||||||||||||||||||||||||||||||||||||
Credit Suisse | CDX.NA.IG.32V1 | Quarterly | Buy | 1.00 | % | - | 06/20/24 | $ | 50,000 | $ | 1,370 | $ | 1,044 | $ | 326 | ||||||||||||||||||||||||||||
First Boston | |||||||||||||||||||||||||||||||||||||||||||
Bank of America | CD CDXIGS33 | Quarterly | Buy | 1.00 | % | - | 12/20/24 | 925,000 | 23,756 | 17,227 | 6,529 | ||||||||||||||||||||||||||||||||
TOTAL NET UNREALIZED APPRECIATION (DEPRECIATION) ON CREDIT DEFAULT SWAPS | $ | 21,164 | $ | 27,345 |
FORWARD FOREIGN CURRENCY CONTRACTS | |||||||||||||||||||
Settlement Date | Counterparty | Currency Units to Receive | In Exchange For | Unrealized Appreciation (Depreciation) | |||||||||||||||
02/12/20 | Morgan Stanley | 976,268 | USD | 754,771 | GBP | $ | (24,829 | ) | |||||||||||
02/20/20 | Morgan Stanley | 110,447 | USD | 99,713 | EUR | (1,838 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 99,012 | AUD | 90,654 | CAD | (195 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 99,539 | AUD | 62,026 | EUR | 140 | |||||||||||||
03/18/20 | Morgan Stanley | 76,943 | AUD | 476,999 | NOK | (105 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 285,804 | AUD | 196,332 | USD | 4,958 | |||||||||||||
03/18/20 | Morgan Stanley | 101,029 | AUD | 70,169 | USD | 986 | |||||||||||||
03/18/20 | Morgan Stanley | 99,037 | AUD | 69,402 | USD | 349 | |||||||||||||
03/18/20 | Morgan Stanley | 100,007 | AUD | 69,288 | USD | 1,146 | |||||||||||||
03/18/20 | Morgan Stanley | 91,004 | CAD | 67,389 | CHF | 223 | |||||||||||||
03/18/20 | Morgan Stanley | 181,789 | CAD | 124,030 | EUR | 323 | |||||||||||||
03/18/20 | Morgan Stanley | 91,289 | CAD | 61,977 | EUR | 508 | |||||||||||||
03/18/20 | Morgan Stanley | 91,033 | CAD | 623,729 | NOK | (777 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 90,536 | CAD | 68,957 | USD | 880 | |||||||||||||
03/18/20 | Morgan Stanley | 180,954 | CAD | 138,032 | USD | 1,551 | |||||||||||||
03/18/20 | Morgan Stanley | 90,586 | CAD | 69,000 | USD | 876 | |||||||||||||
03/18/20 | Morgan Stanley | 271,651 | CAD | 206,933 | USD | 2,611 | |||||||||||||
03/18/20 | Morgan Stanley | 183,855 | CAD | 139,680 | USD | 2,141 | |||||||||||||
03/18/20 | Morgan Stanley | 220,350 | CHF | 201,572 | EUR | 1,435 | |||||||||||||
03/18/20 | Morgan Stanley | 136,580 | CHF | 125,043 | EUR | 773 | |||||||||||||
03/18/20 | Morgan Stanley | 277,640 | CHF | 216,710 | GBP | 593 | |||||||||||||
03/18/20 | Morgan Stanley | 67,973 | CHF | 7,583,499 | JPY | 489 | |||||||||||||
03/18/20 | Morgan Stanley | 135,834 | CHF | 139,018 | USD | 2,029 | |||||||||||||
03/18/20 | Morgan Stanley | 26,353 | EUR | 38,537 | CAD | (1 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 124,021 | EUR | 106,009 | GBP | (841 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 62,018 | EUR | 52,698 | GBP | (5 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 62,005 | EUR | 628,116 | NOK | (1,555 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 62,026 | EUR | 622,523 | NOK | (895 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 125,984 | EUR | 1,288,533 | NOK | (4,561 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 1,353,456 | EUR | 1,510,239 | USD | 16,449 | |||||||||||||
03/18/20 | Morgan Stanley | 1,353,456 | EUR | 1,517,103 | USD | 9,585 | |||||||||||||
03/18/20 | Morgan Stanley | 124,966 | EUR | 139,561 | USD | 1,400 | |||||||||||||
03/18/20 | Morgan Stanley | 53,029 | GBP | 93,339 | CAD | (1,599 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 53,017 | GBP | 69,866 | CHF | (2,163 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 51,839 | GBP | 61,971 | EUR | (1,082 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 52,209 | GBP | 62,006 | EUR | (630 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 53,025 | GBP | 71,661 | USD | (1,266 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 52,015 | GBP | 68,824 | USD | 230 | |||||||||||||
03/18/20 | Morgan Stanley | 53,915 | GBP | 72,903 | USD | (1,326 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 7,472,810 | JPY | 99,982 | AUD | (1,347 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 7,582,728 | JPY | 63,014 | EUR | (995 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 14,996,234 | JPY | 138,986 | USD | (380 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 59,819,276 | JPY | 553,934 | USD | (1,043 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 7,500,927 | JPY | 68,958 | USD | 371 | |||||||||||||
03/18/20 | Morgan Stanley | 7,280,046 | NOK | 714,922 | EUR | 22,239 | |||||||||||||
03/18/20 | Morgan Stanley | 51,996 | NOK | 5,132 | EUR | 129 | |||||||||||||
03/18/20 | Morgan Stanley | 637,000 | NOK | 63,727 | EUR | 624 | |||||||||||||
03/18/20 | Morgan Stanley | 7,280,046 | NOK | 796,569 | USD | 32,096 | |||||||||||||
03/18/20 | Morgan Stanley | 3,099,176 | NOK | 338,715 | USD | 14,054 | |||||||||||||
03/18/20 | Morgan Stanley | 106,044 | NZD | 92,176 | CAD | 520 | |||||||||||||
03/18/20 | Morgan Stanley | 64,195 | NZD | 43,197 | USD | 160 |
See accompanying notes to financial statements.
94
Global Atlantic Goldman Sachs Core Fixed Income Portfolio
Portfolio of Investments (Continued)
December 31, 2019
FORWARD FOREIGN CURRENCY CONTRACTS (Continued) | |||||||||||||||||||
Settlement Date | Counterparty | Currency Units to Receive | In Exchange For | Unrealized Appreciation (Depreciation) | |||||||||||||||
03/18/20 | Morgan Stanley | 105,005 | NZD | 69,434 | USD | $ | 1,487 | ||||||||||||
03/18/20 | Morgan Stanley | 105,012 | NZD | 69,268 | USD | 1,657 | |||||||||||||
03/18/20 | Morgan Stanley | 315,941 | NZD | 208,614 | USD | 4,773 | |||||||||||||
03/18/20 | Morgan Stanley | 1,190,812 | SEK | 113,398 | EUR | (224 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 1,307,057 | SEK | 124,987 | EUR | (832 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 649,384 | SEK | 62,017 | EUR | (322 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 656,422 | SEK | 635,988 | NOK | (2,006 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 652,214 | SEK | 636,021 | NOK | (2,461 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 663,986 | SEK | 70,022 | USD | 1,176 | |||||||||||||
03/18/20 | Morgan Stanley | 138,618 | USD | 201,965 | AUD | (3,625 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 70,322 | USD | 101,989 | AUD | (1,509 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 86,562 | USD | 126,525 | AUD | (2,548 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 368,155 | USD | 535,048 | AUD | (8,675 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 613,513 | USD | 813,132 | CAD | (13,714 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 685,088 | USD | 905,980 | CAD | (13,761 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 113,468 | USD | 149,682 | CAD | (1,992 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 140,025 | USD | 137,461 | CHF | (2,712 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 206,877 | USD | 202,399 | CHF | (3,289 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 138,974 | USD | 136,081 | CHF | (2,329 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 918,053 | USD | 901,097 | CHF | (17,625 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 916,559 | USD | 901,097 | CHF | (19,119 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 69,635 | USD | 62,030 | EUR | (334 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 138,525 | USD | 124,020 | EUR | (1,369 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 181,463 | USD | 161,823 | EUR | (1,071 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 279,969 | USD | 249,829 | EUR | (1,837 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 57,211 | USD | 43,760 | GBP | (884 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 71,513 | USD | 54,322 | GBP | (604 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 273,838 | USD | 208,981 | GBP | (3,602 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 508,145 | USD | 773,667 | NZD | (14,392 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 113,376 | USD | 173,365 | NZD | (3,715 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 508,156 | USD | 773,667 | NZD | (14,381 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 607,260 | USD | 5,746,222 | SEK | (8,896 | ) | ||||||||||||
03/18/20 | Morgan Stanley | 605,896 | USD | 5,746,222 | SEK | (10,260 | ) | ||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON FORWARD FOREIGN CURRENCY CONTRACTS | $ | (76,560 | ) |
See accompanying notes to financial statements.
95
Global Atlantic Goldman Sachs Global Equity Insights Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide long-term capital appreciation.
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 Class I shares of Global Atlantic Goldman Sachs Global Equity Insights Portfolio underperformed its reference benchmark, the MSCI World Standard Index. The Portfolio posted a return of 22.59% compared to a benchmark return of 27.67%, a difference of -508 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
GSAM's Insights process uses a quantitative style of management, in combination with a qualitative overlay that emphasizes fundamentally-based stock and country/currency selection, careful portfolio construction and efficient implementation. The Portfolio's investments are selected using fundamental research and a variety of quantitative techniques based on certain investment themes, including, among others, Fundamental Mispricings ("Valuation"), High Quality Business Models ("Quality"), Sentiment Analysis, and Market Themes & Trends. Valuation seeks to identify high-quality businesses trading at an attractive price, which GSAM believes leads to strong performance over the long-term. Quality seeks to identify companies that are generating high-quality revenues with sustainable business models and aligned management incentives. Sentiment Analysis seeks to identify stocks experiencing improvements in their overall market sentiment. Market Themes and Trends seeks to identify companies positively positioned to benefit from themes and trends in the market and macroeconomic environment.
Among the Portfolio's investment themes, factors within the Quality theme detracted most from returns, followed by factors within Valuation, Market Themes and Trends, and Sentiment Analysis themes. None of the themes contributed to relative returns during the year.
Among sectors, holdings within the health care sector, especially an overweight position in the biotechnology industry, detracted the most from performance. Conversely, holdings within the real estate sector, especially an overweight position in the equity real estate investment trust industry, contributed most to returns.
At an individual stock level, an overweight position in Mylan NV (0%) was among the largest detractors from returns, despite the stock scoring highly on the Sentiment Analysis theme. Also scoring highly in the Sentiment Analysis theme, however, an overweight position in Apple, Inc. (3.9%) was among the largest contributors to returns.
Among countries, an overweight position in U.S. was among the largest detractors from returns. Conversely, an underweight position in France contributed the most to performance.
How was the Portfolio positioned at period end?
At the end of the year, against the MSCI World Standard Index, the Portfolio had its largest overweight position in the health care sector, mainly driven by exposure to the biotechnology industry. The Portfolio also had an overweight to the industrials sector, driven by positioning in the airlines industry. Conversely, the Portfolio's largest underweight was in the energy sector, primarily due to positioning in the oil, gas & consumable fuels industry. The Portfolio was also underweight in the consumer staples sector, largely driven by exposure in the food products industry.
At a country level, the Portfolio had its largest overweight positions in the U.S and Italy, primarily because GSAM believes they have relatively strong momentum characteristics, inexpensive valuations, and in Italy's case, high risk premia. Conversely, the Portfolio's largest underweight positions were in Canada, as GSAM believes it has relatively weaker momentum characteristics, and in Japan, as GSAM believes it has relatively weak macro-economic fundamentals.
96
Global Atlantic Goldman Sachs Global Equity Insights 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 | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | |||||||||||||||||||||||
Class I | November 1, 2017 | 22.59 | % | 5.93 | % | 0.77 | % | 0.72 | % | ||||||||||||||
Class II | November 1, 2017 | 22.43 | % | 5.67 | % | 1.02 | % | 0.97 | % | ||||||||||||||
MSCI World Standard Index (Net) | 27.67 | % | 8.97 | % |
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.
* Commencement of operations is November 6, 2017.
** The estimated operating expense ratios for Class I and 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. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
The MSCI World Standard Index (Net) represents large- and mid-cap equity performance across 23 developed markets countries, covering approximately 85% of the free float-adjusted market capitalization in each. 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 | ||||||
Common Stocks | 99.6 | % | |||||
Short-Term Investments | 0.2 | % | |||||
Other Assets Less Liabilities - Net | 0.2 | % | |||||
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.
97
Global Atlantic Goldman Sachs Global Equity Insights Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
COMMON STOCKS - 99.6% | |||||||||||
AEROSPACE & DEFENSE - 2.1% | |||||||||||
642 | Airbus SE | $ | 94,030 | ||||||||
1,099 | HEICO Corp. | 125,451 | |||||||||
551 | Lockheed Martin Corp. | 214,548 | |||||||||
1,073 | Safran SA | 165,792 | |||||||||
599,821 | |||||||||||
AIR FREIGHT & LOGISTICS - 0.0%† | |||||||||||
201 | Deutsche Post AG | 7,673 | |||||||||
AIRLINES - 2.6% | |||||||||||
838 | Copa Holdings SA, Class A | 90,571 | |||||||||
2,744 | Delta Air Lines, Inc. | 160,469 | |||||||||
7,599 | Deutsche Lufthansa AG | 139,975 | |||||||||
14,421 | International Consolidated Airlines Group SA | 119,402 | |||||||||
7,067 | JetBlue Airways Corp.* | 132,294 | |||||||||
1,725 | Southwest Airlines Co. | 93,116 | |||||||||
735,827 | |||||||||||
AUTO COMPONENTS - 0.2% | |||||||||||
797 | Gentex Corp. | 23,097 | |||||||||
700 | Magna International, Inc., Class A | 38,435 | |||||||||
61,532 | |||||||||||
AUTOMOBILES - 1.6% | |||||||||||
11,600 | Fiat Chrysler Automobiles NV | 171,799 | |||||||||
4,830 | General Motors Co. | 176,778 | |||||||||
4,800 | Subaru Corp. | 119,851 | |||||||||
468,428 | |||||||||||
BANKS - 5.7% | |||||||||||
197 | ABN AMRO Bank NV, CVA (a) | 3,587 | |||||||||
3,052 | Banco Santander SA | 12,778 | |||||||||
3,920 | BNP Paribas SA | 232,463 | |||||||||
4,514 | Citizens Financial Group, Inc. | 183,314 | |||||||||
10,671 | DNB ASA | 199,156 | |||||||||
1,791 | Fifth Third Bancorp | 55,055 | |||||||||
67,910 | Intesa Sanpaolo SpA | 179,024 | |||||||||
7,651 | Lloyds Banking Group PLC | 6,335 | |||||||||
830 | Mediobanca Banca di Credito Finanziario SpA | 9,143 | |||||||||
46,600 | Mizuho Financial Group, Inc. | 72,167 | |||||||||
2,792 | Popular, Inc. | 164,030 | |||||||||
1,147 | Signature Bank | 156,692 | |||||||||
100 | Toronto-Dominion Bank (The) | 5,616 | |||||||||
3,181 | Western Alliance Bancorp | 181,317 | |||||||||
3,497 | Zions Bancorp NA | 181,564 | |||||||||
1,642,241 | |||||||||||
BEVERAGES - 1.5% | |||||||||||
5,239 | Diageo PLC | 222,126 | |||||||||
3,034 | Monster Beverage Corp.* | 192,811 | |||||||||
414,937 |
Shares/ Principal | Fair Value | ||||||||||
BIOTECHNOLOGY - 3.4% | |||||||||||
2,110 | AbbVie, Inc. | $ | 186,819 | ||||||||
1,309 | Alexion Pharmaceuticals, Inc.* | 141,568 | |||||||||
539 | Biogen, Inc.* | 159,938 | |||||||||
485 | Galapagos NV* | 101,533 | |||||||||
3,209 | Gilead Sciences, Inc. | 208,521 | |||||||||
901 | Grifols SA | 31,787 | |||||||||
1,449 | Incyte Corp.* | 126,527 | |||||||||
73 | Vertex Pharmaceuticals, Inc.* | 15,983 | |||||||||
972,676 | |||||||||||
BUILDING PRODUCTS - 1.1% | |||||||||||
4,057 | Johnson Controls International PLC | 165,161 | |||||||||
8,300 | LIXIL Group Corp. | 144,271 | |||||||||
309,432 | |||||||||||
CAPITAL MARKETS - 2.5% | |||||||||||
51 | Ameriprise Financial, Inc. | 8,496 | |||||||||
481 | Azimut Holding SpA | 11,489 | |||||||||
3,080 | Bank of New York Mellon Corp. (The) | 155,016 | |||||||||
3,223 | Charles Schwab Corp. (The) | 153,286 | |||||||||
198 | Magellan Financial Group Ltd. | 7,926 | |||||||||
447 | Morgan Stanley | 22,851 | |||||||||
699 | S&P Global, Inc. | 190,862 | |||||||||
826 | State Street Corp. | 65,337 | |||||||||
7,618 | UBS Group AG* | 96,174 | |||||||||
711,437 | |||||||||||
CHEMICALS - 2.7% | |||||||||||
1,098 | Air Liquide SA | 155,542 | |||||||||
1,893 | Akzo Nobel NV | 192,600 | |||||||||
112 | Arkema SA | 11,906 | |||||||||
5,097 | Axalta Coating Systems Ltd.* | 154,949 | |||||||||
510 | Covestro AG (a) | 23,729 | |||||||||
402 | Sherwin-Williams Co. (The) | 234,583 | |||||||||
773,309 | |||||||||||
COMMERCIAL SERVICES & SUPPLIES - 1.6% | |||||||||||
596 | Cintas Corp. | 160,372 | |||||||||
5,400 | Dai Nippon Printing Co. Ltd. | 147,081 | |||||||||
1,700 | Secom Co. Ltd. | 152,941 | |||||||||
460,394 | |||||||||||
COMMUNICATIONS EQUIPMENT - 0.6% | |||||||||||
1,924 | Ciena Corp.* | 82,135 | |||||||||
1,733 | Cisco Systems, Inc. | 83,115 | |||||||||
165,250 | |||||||||||
CONSTRUCTION & ENGINEERING - 0.5% | |||||||||||
3,296 | ACS Actividades de Construccion y Servicios SA | 131,896 | |||||||||
CONSTRUCTION MATERIALS - 0.7% | |||||||||||
1,199 | HeidelbergCement AG | 87,428 | |||||||||
1,875 | LafargeHolcim Ltd.* | 103,979 | |||||||||
191,407 |
See accompanying notes to financial statements.
98
Global Atlantic Goldman Sachs Global Equity Insights Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
CONSUMER FINANCE - 1.2% | |||||||||||
6,101 | Ally Financial, Inc. | $ | 186,446 | ||||||||
4,678 | Synchrony Financial | 168,455 | |||||||||
354,901 | |||||||||||
DISTRIBUTORS - 0.1% | |||||||||||
202 | Pool Corp. | 42,901 | |||||||||
DIVERSIFIED FINANCIAL SERVICES - 1.3% | |||||||||||
6,748 | AXA Equitable Holdings, Inc. | 167,216 | |||||||||
300 | ORIX Corp. | 4,999 | |||||||||
3,502 | Voya Financial, Inc. | 213,552 | |||||||||
385,767 | |||||||||||
DIVERSIFIED TELECOMMUNICATION - 0.2% | |||||||||||
4,424 | Telefonica SA | 30,923 | |||||||||
11,531 | Telstra Corp. Ltd. | 28,694 | |||||||||
59,617 | |||||||||||
ELECTRIC UTILITIES - 1.5% | |||||||||||
500 | CLP Holdings Ltd. | 5,256 | |||||||||
18,819 | Enel SpA | 149,391 | |||||||||
4,835 | Exelon Corp. | 220,428 | |||||||||
395 | FirstEnergy Corp. | 19,197 | |||||||||
257 | PPL Corp. | 9,221 | |||||||||
403 | Southern Co. (The) | 25,671 | |||||||||
429,164 | |||||||||||
ELECTRICAL EQUIPMENT - 1.3% | |||||||||||
503 | Eaton Corp. PLC | 47,644 | |||||||||
145 | Legrand SA | 11,823 | |||||||||
2,345 | Schneider Electric SE | 240,852 | |||||||||
154 | Signify NV (a) | 4,816 | |||||||||
598 | Vestas Wind Systems A/S | 60,474 | |||||||||
365,609 | |||||||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 1.4% | |||||||||||
737 | Halma PLC | 20,659 | |||||||||
1,713 | Jabil, Inc. | 70,798 | |||||||||
2,008 | Keysight Technologies, Inc.* | 206,081 | |||||||||
900 | TDK Corp. | 102,609 | |||||||||
400,147 | |||||||||||
ENERGY EQUIPMENT & SERVICES - 0.5% | |||||||||||
2,004 | Baker Hughes Co. | 51,363 | |||||||||
4,305 | TechnipFMC PLC | 92,299 | |||||||||
178 | TGS NOPEC Geophysical Co. ASA | 5,410 | |||||||||
149,072 | |||||||||||
ENTERTAINMENT - 1.4% | |||||||||||
3,748 | Cinemark Holdings, Inc. | 126,870 | |||||||||
1,500 | Konami Holdings Corp. | 61,905 | |||||||||
596 | Take-Two Interactive Software, Inc.* | 72,968 | |||||||||
21,798 | Zynga, Inc., Class A* | 133,404 | |||||||||
395,147 |
Shares/ Principal | Fair Value | ||||||||||
EQUITY REAL ESTATE INVESTMENT - 3.4% | |||||||||||
1,099 | CubeSmart | $ | 34,596 | ||||||||
4,386 | Duke Realty Corp. | 152,063 | |||||||||
2,378 | Equity LifeStyle Properties, Inc. | 167,387 | |||||||||
447 | Extra Space Storage, Inc. | 47,212 | |||||||||
334 | Healthcare Trust of America, Inc., Class A | 10,114 | |||||||||
5,013 | Invitation Homes, Inc. | 150,240 | |||||||||
2,270 | Prologis, Inc. | 202,348 | |||||||||
2,785 | STORE Capital Corp. | 103,713 | |||||||||
630 | Sun Communities, Inc. | 94,563 | |||||||||
962,236 | |||||||||||
FOOD & STAPLES RETAILING - 3.1% | |||||||||||
4,800 | Alimentation Couche-Tard, Inc., Class B | 152,541 | |||||||||
779 | Costco Wholesale Corp. | 228,964 | |||||||||
1,855 | Koninklijke Ahold Delhaize NV | 46,423 | |||||||||
3,306 | US Foods Holding Corp.* | 138,488 | |||||||||
2,687 | Walgreens Boots Alliance, Inc. | 158,426 | |||||||||
6,842 | Woolworths Group Ltd. | 173,915 | |||||||||
898,757 | |||||||||||
FOOD PRODUCTS - 0.4% | |||||||||||
1,166 | Bunge Ltd. | 67,103 | |||||||||
33,000 | WH Group Ltd. (a) | 34,094 | |||||||||
101,197 | |||||||||||
HEALTH CARE EQUIPMENT & SUPPLIES - 3.0% | |||||||||||
372 | Align Technology, Inc.* | 103,803 | |||||||||
750 | Becton Dickinson and Co. | 203,977 | |||||||||
93 | DENTSPLY SIRONA, Inc. | 5,263 | |||||||||
495 | Edwards Lifesciences Corp.* | 115,479 | |||||||||
600 | Hoya Corp. | 57,695 | |||||||||
3,000 | Olympus Corp. | 46,625 | |||||||||
668 | Sonova Holding AG | 152,798 | |||||||||
1,039 | STERIS PLC | 158,364 | |||||||||
56 | Teleflex, Inc. | 21,081 | |||||||||
865,085 | |||||||||||
HEALTH CARE PROVIDERS & SERVICES - 3.2% | |||||||||||
756 | Anthem, Inc. | 228,335 | |||||||||
472 | Cigna Corp. | 96,519 | |||||||||
1,346 | HCA Healthcare, Inc. | 198,952 | |||||||||
482 | Humana, Inc. | 176,663 | |||||||||
562 | Molina Healthcare, Inc.* | 76,258 | |||||||||
1,042 | Universal Health Services, Inc., Class B | 149,485 | |||||||||
926,212 | |||||||||||
HOTELS, RESTAURANTS & LEISURE - 1.7% | |||||||||||
174 | Carnival PLC, ADR | 8,380 | |||||||||
91 | Chipotle Mexican Grill, Inc.* | 76,177 | |||||||||
482 | Hilton Grand Vacations, Inc.* | 16,576 | |||||||||
2,205 | Las Vegas Sands Corp. | 152,233 | |||||||||
4,667 | MGM Resorts International | 155,271 |
See accompanying notes to financial statements.
99
Global Atlantic Goldman Sachs Global Equity Insights Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
HOTELS, RESTAURANTS & LEISURE - 1.7% (Continued) | |||||||||||
47 | Starbucks Corp. | $ | 4,132 | ||||||||
608 | Yum! Brands, Inc. | 61,244 | |||||||||
474,013 | |||||||||||
HOUSEHOLD DURABLES - 1.1% | |||||||||||
3,130 | DR Horton, Inc. | 165,108 | |||||||||
167 | Electrolux AB | 4,101 | |||||||||
1,600 | Nikon Corp. | 19,787 | |||||||||
2,749 | Persimmon PLC | 98,145 | |||||||||
1,800 | Sekisui House Ltd. | 38,650 | |||||||||
325,791 | |||||||||||
HOUSEHOLD PRODUCTS - 0.0%† | |||||||||||
196 | Essity AB, Class B | 6,319 | |||||||||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS - 0.7% | |||||||||||
9,044 | AES Corp. | 179,976 | |||||||||
2,200 | TransAlta Corp. | 15,744 | |||||||||
587 | Vistra Energy Corp. | 13,495 | |||||||||
209,215 | |||||||||||
INDUSTRIAL CONGLOMERATES - 0.2% | |||||||||||
1,400 | Toshiba Corp. | 47,729 | |||||||||
INSURANCE - 5.0% | |||||||||||
14,400 | AIA Group Ltd. | 151,174 | |||||||||
295 | Aon PLC | 61,446 | |||||||||
2,114 | Athene Holding Ltd., Class A* | 99,421 | |||||||||
28,613 | Aviva PLC | 158,709 | |||||||||
291 | Brighthouse Financial, Inc.* | 11,416 | |||||||||
31,096 | Legal & General Group PLC | 124,819 | |||||||||
681 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 201,043 | |||||||||
111 | NN Group NV | 4,214 | |||||||||
1,786 | Poste Italiane SpA (a) | 20,288 | |||||||||
2,352 | Progressive Corp. (The) | 170,261 | |||||||||
1,091 | Prudential PLC | 20,943 | |||||||||
385 | Reinsurance Group of America, Inc. | 62,778 | |||||||||
287 | SCOR SE | 12,055 | |||||||||
304 | Swiss Life Holding AG | 152,510 | |||||||||
613 | Swiss Re AG | 68,811 | |||||||||
3,268 | Unum Group | 95,295 | |||||||||
1,415,183 | |||||||||||
INTERACTIVE MEDIA & SERVICES - 4.7% | |||||||||||
315 | Alphabet, Inc., Class A* | 421,908 | |||||||||
248 | Alphabet, Inc., Class C* | 331,581 | |||||||||
2,494 | Facebook, Inc., Class A* | 511,893 | |||||||||
1,071 | Match Group, Inc.* | 87,940 | |||||||||
1,353,322 |
Shares/ Principal | Fair Value | ||||||||||
INTERNET & DIRECT MARKETING RETAIL - 3.1% | |||||||||||
383 | Amazon.com, Inc.* | $ | 707,723 | ||||||||
4,572 | eBay, Inc. | 165,095 | |||||||||
872,818 | |||||||||||
IT SERVICES - 5.3% | |||||||||||
557 | CACI International, Inc., Class A* | 139,245 | |||||||||
798 | Capgemini SE | 97,548 | |||||||||
500 | CGI, Inc.* | 41,901 | |||||||||
2,100 | Fujitsu Ltd. | 198,454 | |||||||||
200 | NET One Systems Co. Ltd. | 5,148 | |||||||||
1,200 | Nomura Research Institute Ltd. | 25,816 | |||||||||
5,300 | NTT Data Corp. | 71,545 | |||||||||
2,573 | PayPal Holdings, Inc.* | 278,321 | |||||||||
2,100 | TIS, Inc. | 124,251 | |||||||||
824 | VeriSign, Inc.* | 158,768 | |||||||||
1,949 | Visa, Inc., Class A | 366,217 | |||||||||
1,507,214 | |||||||||||
LIFE SCIENCES TOOLS & SERVICES - 0.9% | |||||||||||
539 | IQVIA Holdings, Inc.* | 83,281 | |||||||||
222 | Mettler-Toledo International, Inc.* | 176,108 | |||||||||
259,389 | |||||||||||
MACHINERY - 0.7% | |||||||||||
290 | Allison Transmission Holdings, Inc. | 14,013 | |||||||||
600 | PACCAR, Inc. | 47,460 | |||||||||
869 | Sandvik AB | 16,956 | |||||||||
500 | Techtronic Industries Co. Ltd. | 4,078 | |||||||||
6,286 | Volvo AB, Class B | 105,359 | |||||||||
187,866 | |||||||||||
MARINE - 0.5% | |||||||||||
7,800 | Nippon Yusen KK | 142,184 | |||||||||
MEDIA - 1.1% | |||||||||||
146 | Charter Communications, Inc., Class A* | 70,822 | |||||||||
4,161 | Liberty Global PLC, Class C* | 90,689 | |||||||||
2,071 | New York Times Co. (The), Class A | 66,624 | |||||||||
5,879 | News Corp., Class A | 83,129 | |||||||||
311,264 | |||||||||||
METALS & MINING - 1.8% | |||||||||||
7,372 | Alcoa Corp.* | 158,572 | |||||||||
4,307 | BHP Group Ltd. | 117,834 | |||||||||
300 | Kirkland Lake Gold Ltd. | 13,242 | |||||||||
2,335 | Rio Tinto Ltd. | 164,795 | |||||||||
741 | Rio Tinto PLC, ADR | 43,986 | |||||||||
100 | Wheaton Precious Metals Corp. | 2,980 | |||||||||
501,409 |
See accompanying notes to financial statements.
100
Global Atlantic Goldman Sachs Global Equity Insights Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
MULTILINE RETAIL - 1.5% | |||||||||||
5,765 | Macy's, Inc. | $ | 98,005 | ||||||||
1,381 | Target Corp. | 177,058 | |||||||||
5,053 | Wesfarmers Ltd. | 147,053 | |||||||||
422,116 | |||||||||||
MULTI-UTILITIES - 0.3% | |||||||||||
201 | Ameren Corp. | 15,437 | |||||||||
552 | CMS Energy Corp. | 34,688 | |||||||||
192 | DTE Energy Co. | 24,935 | |||||||||
75,060 | |||||||||||
OIL, GAS & CONSUMABLE FUELS - 3.1% | |||||||||||
1,753 | ConocoPhillips | 113,997 | |||||||||
2,394 | Eni SpA | 37,208 | |||||||||
2,420 | HollyFrontier Corp. | 122,718 | |||||||||
2,400 | JXTG Holdings, Inc. | 10,996 | |||||||||
2,212 | Marathon Petroleum Corp. | 133,273 | |||||||||
715 | Phillips 66 | 79,658 | |||||||||
3,141 | Royal Dutch Shell PLC, Class A | 92,252 | |||||||||
638 | Royal Dutch Shell PLC, Class A | 18,890 | |||||||||
1,634 | Royal Dutch Shell PLC, Class B, ADR | 97,991 | |||||||||
133 | Royal Dutch Shell PLC, Class B | 3,946 | |||||||||
1,754 | Valero Energy Corp. | 164,262 | |||||||||
875,191 | |||||||||||
PERSONAL PRODUCTS - 1.1% | |||||||||||
800 | Estee Lauder Cos., Inc. (The), Class A | 165,232 | |||||||||
200 | Kao Corp. | 16,609 | |||||||||
1,512 | Unilever NV | 86,948 | |||||||||
563 | Unilever PLC, ADR | 32,187 | |||||||||
300,976 | |||||||||||
PHARMACEUTICALS - 4.0% | |||||||||||
300 | Bausch Health Cos., Inc.* | 8,992 | |||||||||
796 | Bayer AG | 65,056 | |||||||||
1,182 | Bristol-Myers Squibb Co. | 75,873 | |||||||||
358 | Jazz Pharmaceuticals PLC* | 53,442 | |||||||||
1,022 | Johnson & Johnson | 149,079 | |||||||||
470 | Merck KGaA | 55,580 | |||||||||
836 | Novartis AG | 79,340 | |||||||||
3,250 | Novo Nordisk A/S, Class B | 188,766 | |||||||||
886 | Roche Holding AG | 287,297 | |||||||||
309 | Sanofi | 31,085 | |||||||||
2,500 | Shionogi & Co. Ltd. | 155,671 | |||||||||
1,150,181 | |||||||||||
PROFESSIONAL SERVICES - 0.7% | |||||||||||
1,907 | Adecco Group AG | 120,562 | |||||||||
83 | CoStar Group, Inc.* | 49,659 | |||||||||
696 | Experian PLC | 23,530 | |||||||||
80 | Randstad NV | 4,889 | |||||||||
198,640 |
Shares/ Principal | Fair Value | ||||||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT - 0.0%† | |||||||||||
300 | Daiwa House Industry Co. Ltd. | $ | 9,358 | ||||||||
ROAD & RAIL - 0.9% | |||||||||||
1,462 | Union Pacific Corp. | 264,315 | |||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.9% | |||||||||||
1,441 | Analog Devices, Inc. | 171,248 | |||||||||
838 | BE Semiconductor Industries NV | 32,415 | |||||||||
460 | Dialog Semiconductor PLC* | 23,293 | |||||||||
185 | Lam Research Corp. | 54,094 | |||||||||
651 | Micron Technology, Inc.* | 35,011 | |||||||||
437 | NVIDIA Corp. | 102,826 | |||||||||
39 | Siltronic AG | 3,928 | |||||||||
236 | Texas Instruments, Inc. | 30,276 | |||||||||
375 | Universal Display Corp. | 77,276 | |||||||||
530,367 | |||||||||||
SOFTWARE - 4.5% | |||||||||||
2,323 | Cadence Design Systems, Inc.* | 161,123 | |||||||||
572 | Intuit, Inc. | 149,824 | |||||||||
5,924 | Microsoft Corp. | 934,215 | |||||||||
500 | Open Text Corp. | 22,063 | |||||||||
360 | Oracle Corp. | 19,073 | |||||||||
34 | SimCorp A/S | 3,869 | |||||||||
1,290,167 | |||||||||||
SPECIALTY RETAIL - 0.1% | |||||||||||
882 | AutoNation, Inc.* | 42,892 | |||||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS - 3.9% | |||||||||||
3,811 | Apple, Inc. | 1,119,100 | |||||||||
200 | FUJIFILM Holdings Corp. | 9,625 | |||||||||
1,128,725 | |||||||||||
TEXTILES, APPAREL & LUXURY GOODS - 0.9% | |||||||||||
338 | Kering SA | 222,028 | |||||||||
190 | Lululemon Athletica, Inc.* | 44,017 | |||||||||
266,045 | |||||||||||
TOBACCO - 1.0% | |||||||||||
2,298 | Imperial Brands PLC | 56,897 | |||||||||
2,773 | Philip Morris International, Inc. | 235,955 | |||||||||
292,852 | |||||||||||
WIRELESS TELECOMMUNICATION SERVICES - 0.1% | |||||||||||
243 | T-Mobile US, Inc.* | 19,056 | |||||||||
TOTAL COMMON STOCKS (Cost - $25,659,431) | $ | 28,461,729 |
See accompanying notes to financial statements.
101
Global Atlantic Goldman Sachs Global Equity Insights Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
SHORT-TERM INVESTMENTS - 0.2% | |||||||||||
MONEY MARKET FUNDS - 0.2% | |||||||||||
54,012 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (b)(Cost - $54,012) | $ | 54,012 | ||||||||
TOTAL INVESTMENTS - 99.8% (Cost - $25,713,443) | $ | 28,515,741 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET 0.2% | 58,835 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 28,574,576 |
* 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 $86,514 or 0.3% of net assets.
(b) The rate shown is the annualized seven-day yield at period end.
ADR - American Depositary Receipt
CVA - Certificate Van Aandelen (Bearer)
PLC - Public Limited Company
See accompanying notes to financial statements.
102
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio
Portfolio Review (Unaudited)
December 31, 2019
Investment Objective
The Portfolio seeks to provide long-term capital appreciation.
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 Class I shares of Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio underperformed its reference benchmark, the Russell 1000 Growth Index. The Portfolio posted a return of 31.14% compared to a benchmark return of 36.39%, a difference of -525 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
GSAM's Insights process uses a quantitative style of management, in combination with a qualitative overlay that emphasizes fundamentally-based stock and country/currency selection, careful portfolio construction and efficient implementation. The Portfolio's investments are selected using fundamental research and a variety of quantitative techniques based on certain investment themes, including, among others, Fundamental Mispricings ("Valuation"), High Quality Business Models ("Quality"), Sentiment Analysis, and Market Themes & Trends. Valuation seeks to identify high-quality businesses trading at an attractive price, which GSAM believes leads to strong performance over the long-term. Quality seeks to identify companies that are generating high-quality revenues with sustainable business models and aligned management incentives. Sentiment Analysis seeks to identify stocks experiencing improvements in their overall market sentiment. Market Themes and Trends seeks to identify companies positively positioned to benefit from themes and trends in the market and macroeconomic environment.
Among investment themes, factors within the Quality theme detracted most from returns, followed by factors within the themes relating to Valuation, Sentiment Analysis, and Market Themes and Trends.
Among sectors, holdings within the health care sector, especially an overweight position in the biotechnology industry, detracted the most from returns. Conversely, holdings within the consumer discretionary sector, particularly an overweight position in the hotels, restaurants & leisure industry, contributed most to returns.
At an individual stock level, an overweight position in Spirit AeroSystems Holdings, Inc. (0%) was among the top detractors from returns, despite the stock scoring highly in the Valuation theme. Conversely, an overweight position in Chipotle Mexican Grill, Inc. (0.06%) was among the top contributors to returns, as the stock scored highly in both the Sentiment and Quality themes.
How was the Portfolio positioned at period end?
At the end of the year, against the Russell 1000 Growth Index, the Portfolio had its largest overweight positions in the health care sector, driven by positioning within health care providers & services, and the financials sector, primarily within diversified financial services. Conversely, the Portfolio's largest underweight positions were in the consumer staples sector, largely due to positioning within beverages, and the consumer discretionary sector, primarily driven by the Portfolio's exposure to specialty retail.
103
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio
Portfolio Review (Unaudited)
December 31, 2019 (Continued)
The Portfolio's performance figures for the periods ended December 31, 2019 as compared to its benchmark:
Annualized | Operating Expense** | ||||||||||||||||||||||
Inception Date* | One Year | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | |||||||||||||||||||||||
Class I | November 1, 2017 | 31.14 | % | 12.81 | % | 0.49 | % | 0.46 | % | ||||||||||||||
Class II | November 1, 2017 | 30.89 | % | 12.53 | % | 0.74 | % | 0.71 | % | ||||||||||||||
Russell 1000® Growth Index (Total Return) | 36.39 | % | 16.66 | % |
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.
* Commencement of operations is November 6, 2017.
** The estimated operating expense ratios for Class I and 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. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
The Russell 1000® Growth Index (Total Return) is an unmanaged index of common stock prices that measures the performance of those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values. 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 | ||||||
Common Stocks | 100.2 | % | |||||
Other Assets Less Liabilities - Net | (0.2 | )% | |||||
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.
104
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
COMMON STOCKS - 100.2% | |||||||||||
AEROSPACE & DEFENSE - 2.7% | |||||||||||
385 | Boeing Co. (The) | $ | 125,418 | ||||||||
3,893 | HEICO Corp. | 444,386 | |||||||||
2,635 | Lockheed Martin Corp. | 1,026,016 | |||||||||
3,333 | Raytheon Co. | 732,393 | |||||||||
2,328,213 | |||||||||||
AIRLINES - 2.2% | |||||||||||
1,587 | Copa Holdings SA, Class A | 171,523 | |||||||||
11,827 | Delta Air Lines, Inc. | 691,643 | |||||||||
31,610 | JetBlue Airways Corp.* | 591,739 | |||||||||
8,707 | Southwest Airlines Co. | 470,004 | |||||||||
1,924,909 | |||||||||||
AUTOMOBILES - 0.6% | |||||||||||
13,518 | General Motors Co. | 494,759 | |||||||||
BANKS - 0.9% | |||||||||||
6,192 | Popular, Inc. | 363,780 | |||||||||
2,897 | Signature Bank | 395,759 | |||||||||
759,539 | |||||||||||
BEVERAGES - 0.8% | |||||||||||
10,717 | Monster Beverage Corp.* | 681,065 | |||||||||
425 | PepsiCo, Inc. | 58,085 | |||||||||
739,150 | |||||||||||
BIOTECHNOLOGY - 5.0% | |||||||||||
10,616 | AbbVie, Inc. | 939,941 | |||||||||
6,717 | Alexion Pharmaceuticals, Inc.* | 726,443 | |||||||||
2,174 | Biogen, Inc.* | 645,091 | |||||||||
8,670 | Gilead Sciences, Inc. | 563,377 | |||||||||
8,044 | Incyte Corp.* | 702,402 | |||||||||
3,596 | Vertex Pharmaceuticals, Inc.* | 787,344 | |||||||||
4,364,598 | |||||||||||
BUILDING PRODUCTS - 1.3% | |||||||||||
4,146 | Allegion PLC | 516,343 | |||||||||
16,050 | Johnson Controls International PLC | 653,395 | |||||||||
1,169,738 | |||||||||||
CAPITAL MARKETS - 1.4% | |||||||||||
1,618 | Bank of New York Mellon Corp. (The) | 81,434 | |||||||||
12,747 | Charles Schwab Corp. (The) | 606,247 | |||||||||
1,565 | E*TRADE Financial Corp. | 71,004 | |||||||||
1,569 | S&P Global, Inc. | 428,416 | |||||||||
1,187,101 | |||||||||||
CHEMICALS - 1.9% | |||||||||||
22,310 | Axalta Coating Systems Ltd.* | 678,224 | |||||||||
1,602 | Sherwin-Williams Co. (The) | 934,831 | |||||||||
1,613,055 |
Shares/ Principal | Fair Value | ||||||||||
COMMERCIAL SERVICES & SUPPLIES - 0.9% | |||||||||||
2,997 | Cintas `Corp. | $ | 806,433 | ||||||||
COMMUNICATIONS EQUIPMENT - 2.3% | |||||||||||
5,498 | Ciena Corp.* | 234,709 | |||||||||
37,455 | Cisco Systems, Inc. | 1,796,342 | |||||||||
2,031,051 | |||||||||||
CONSUMER FINANCE - 1.5% | |||||||||||
20,523 | Ally Financial, Inc. | 627,183 | |||||||||
18,360 | Synchrony Financial | 661,144 | |||||||||
1,288,327 | |||||||||||
DISTRIBUTORS - 0.4% | |||||||||||
1,671 | Pool Corp. | 354,887 | |||||||||
DIVERSIFIED CONSUMER SERVICES - 0.4% | |||||||||||
7,369 | Service Corp. International | 339,195 | |||||||||
DIVERSIFIED FINANCIAL SERVICES - 1.1% | |||||||||||
10,922 | AXA Equitable Holdings, Inc. | 270,647 | |||||||||
11,233 | Voya Financial, Inc. | 684,989 | |||||||||
955,636 | |||||||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 1.5% | |||||||||||
12,924 | Jabil, Inc. | 534,149 | |||||||||
7,285 | Keysight Technologies, Inc.* | 747,659 | |||||||||
1,281,808 | |||||||||||
ENERGY EQUIPMENT & SERVICES - 0.1% | |||||||||||
4,646 | TechnipFMC PLC | 99,610 | |||||||||
ENTERTAINMENT - 1.0% | |||||||||||
3,417 | Take-Two Interactive Software, Inc.* | 418,343 | |||||||||
67,790 | Zynga, Inc., Class A* | 414,875 | |||||||||
833,218 | |||||||||||
EQUITY REAL ESTATE INVESTMENT - 3.3% | |||||||||||
12,376 | American Homes 4 Rent, Class A | 324,375 | |||||||||
9,459 | Duke Realty Corp. | 327,943 | |||||||||
9,912 | Equity LifeStyle Properties, Inc. | 697,706 | |||||||||
11,668 | Invitation Homes, Inc. | 349,690 | |||||||||
7,142 | Prologis, Inc. | 636,638 | |||||||||
836 | SBA Communications Corp. | 201,468 | |||||||||
2,289 | Sun Communities, Inc. | 343,579 | |||||||||
2,881,399 | |||||||||||
FOOD & STAPLES RETAILING - 1.4% | |||||||||||
2,626 | Costco Wholesale Corp. | 771,834 | |||||||||
7,986 | Walgreens Boots Alliance, Inc. | 470,854 | |||||||||
1,242,688 |
See accompanying notes to financial statements.
105
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
HEALTH CARE EQUIPMENT & SUPPLIES - 3.9% | |||||||||||
1,215 | Align Technology, Inc.* | $ | 339,034 | ||||||||
1,028 | Becton Dickinson and Co. | 279,585 | |||||||||
647 | Cooper Cos., Inc. (The) | 207,875 | |||||||||
3,274 | Edwards Lifesciences Corp.* | 763,791 | |||||||||
4,334 | STERIS PLC | 660,588 | |||||||||
2,053 | Teleflex, Inc. | 772,831 | |||||||||
2,375 | West Pharmaceutical Services, Inc. | 357,034 | |||||||||
3,380,738 | |||||||||||
HEALTH CARE PROVIDERS & SERVICES - 5.0% | |||||||||||
2,649 | Anthem, Inc. | 800,077 | |||||||||
982 | Cigna Corp. | 200,809 | |||||||||
5,481 | HCA Healthcare, Inc. | 810,147 | |||||||||
2,049 | Humana, Inc. | 750,999 | |||||||||
4,298 | Molina Healthcare, Inc.* | 583,196 | |||||||||
2,417 | UnitedHealth Group, Inc. | 710,550 | |||||||||
3,530 | Universal Health Services, Inc., Class B | 506,414 | |||||||||
4,362,192 | |||||||||||
HOTELS, RESTAURANTS & LEISURE - 1.5% | |||||||||||
64 | Chipotle Mexican Grill, Inc.* | 53,575 | |||||||||
1,159 | Hilton Grand Vacations, Inc.* | 39,858 | |||||||||
8,127 | Las Vegas Sands Corp. | 561,088 | |||||||||
20,019 | MGM Resorts International | 666,032 | |||||||||
157 | Yum! Brands, Inc. | 15,815 | |||||||||
1,336,368 | |||||||||||
HOUSEHOLD DURABLES - 0.7% | |||||||||||
11,480 | DR Horton, Inc. | 605,570 | |||||||||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS - 0.2% | |||||||||||
8,017 | AES Corp. | 159,538 | |||||||||
INSURANCE - 0.4% | |||||||||||
1,622 | Aon PLC | 337,846 | |||||||||
183 | Reinsurance Group of America, Inc. | 29,840 | |||||||||
367,686 | |||||||||||
INTERACTIVE MEDIA & SERVICES - 9.5% | |||||||||||
1,486 | Alphabet, Inc., Class A* | 1,990,334 | |||||||||
1,908 | Alphabet, Inc., Class C* | 2,551,034 | |||||||||
17,032 | Facebook, Inc., Class A* | 3,495,818 | |||||||||
3,041 | Match Group, Inc.* | 249,696 | |||||||||
8,286,882 | |||||||||||
INTERNET & DIRECT MARKETING RETAIL - 6.8% | |||||||||||
2,745 | Amazon.com, Inc.* | 5,072,321 | |||||||||
22,807 | eBay, Inc. | 823,561 | |||||||||
5,895,882 |
Shares/ Principal | Fair Value | ||||||||||
IT SERVICES - 8.0% | |||||||||||
6,318 | Automatic Data Processing, Inc. | $ | 1,077,219 | ||||||||
1,324 | DXC Technology Co. | 49,769 | |||||||||
2,855 | Global Payments, Inc. | 521,209 | |||||||||
2,245 | Mastercard, Inc., Class A | 670,334 | |||||||||
12,699 | PayPal Holdings, Inc.* | 1,373,651 | |||||||||
3,850 | VeriSign, Inc.* | 741,818 | |||||||||
13,580 | Visa, Inc., Class A | 2,551,682 | |||||||||
6,985,682 | |||||||||||
LIFE SCIENCES TOOLS & SERVICES - 1.9% | |||||||||||
1,052 | Bruker Corp. | 53,620 | |||||||||
4,939 | IQVIA Holdings, Inc.* | 763,125 | |||||||||
974 | Mettler-Toledo International, Inc.* | 772,655 | |||||||||
251 | PRA Health Sciences, Inc.* | 27,899 | |||||||||
1,617,299 | |||||||||||
MACHINERY - 0.4% | |||||||||||
6,490 | Allison Transmission Holdings, Inc. | 313,597 | |||||||||
MEDIA - 0.5% | |||||||||||
362 | Charter Communications, Inc., Class A* | 175,599 | |||||||||
2,947 | Liberty Global PLC, Class C* | 64,230 | |||||||||
6,998 | New York Times Co. (The), Class A | 225,126 | |||||||||
464,955 | |||||||||||
METALS & MINING - 0.3% | |||||||||||
10,063 | Alcoa Corp.* | 216,455 | |||||||||
742 | Royal Gold, Inc. | 90,710 | |||||||||
307,165 | |||||||||||
MULTILINE RETAIL - 0.7% | |||||||||||
14,871 | Macy's, Inc. | 252,807 | |||||||||
2,704 | Target Corp. | 346,680 | |||||||||
599,487 | |||||||||||
PHARMACEUTICALS - 1.2% | |||||||||||
1,524 | Bristol-Myers Squibb Co. | 97,826 | |||||||||
3,330 | Jazz Pharmaceuticals PLC* | 497,102 | |||||||||
4,573 | Merck & Co., Inc. | 415,914 | |||||||||
1,010,842 | |||||||||||
PROFESSIONAL SERVICES - 1.0% | |||||||||||
4,163 | IHS Markit Ltd.* | 313,682 | |||||||||
6,186 | TransUnion | 529,584 | |||||||||
843,266 | |||||||||||
ROAD & RAIL - 0.4% | |||||||||||
1,916 | Union Pacific Corp. | 346,394 | |||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 3.6% | |||||||||||
2,711 | Analog Devices, Inc. | 322,175 | |||||||||
5,603 | Applied Materials, Inc. | 342,007 | |||||||||
3,020 | Lam Research Corp. | 883,048 |
See accompanying notes to financial statements.
106
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 3.6% (Continued) | |||||||||||
4,991 | NVIDIA Corp. | $ | 1,174,383 | ||||||||
2,015 | Universal Display Corp. | 415,231 | |||||||||
3,136,844 | |||||||||||
SOFTWARE - 12.9% | |||||||||||
2,830 | Adobe, Inc.* | 933,362 | |||||||||
11,169 | Cadence Design Systems, Inc.* | 774,682 | |||||||||
1,672 | Fair Isaac Corp.* | 626,465 | |||||||||
3,597 | Intuit, Inc. | 942,162 | |||||||||
41,179 | Microsoft Corp. | 6,493,928 | |||||||||
14,104 | Oracle Corp. | 747,230 | |||||||||
596 | ServiceNow, Inc.* | 168,263 | |||||||||
4,005 | SS&C Technologies Holdings, Inc. | 245,907 | |||||||||
1,111 | Synopsys, Inc.* | 154,651 | |||||||||
791 | Workday, Inc., Class A* | 130,080 | |||||||||
11,216,730 | |||||||||||
SPECIALTY RETAIL - 0.8% | |||||||||||
187 | AutoNation, Inc.* | 9,094 | |||||||||
3,332 | Home Depot, Inc. (The) | 727,642 | |||||||||
736,736 |
Shares/ Principal | Fair Value | ||||||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS - 9.2% | |||||||||||
27,182 | Apple, Inc. | $ | 7,981,994 | ||||||||
TEXTILES, APPAREL & LUXURY GOODS - 0.3% | |||||||||||
960 | Lululemon Athletica, Inc.* | 222,403 | |||||||||
TOBACCO - 0.3% | |||||||||||
3,253 | Philip Morris International, Inc. | 276,798 | |||||||||
TOTAL COMMON STOCKS (Cost - $72,591,960) | 87,150,362 | ||||||||||
TOTAL INVESTMENTS - 100.2% (Cost - $72,591,960) | $ | 87,150,362 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET (0.2)% | (160,487 | ) | |||||||||
TOTAL NET ASSETS - 100.0% | $ | 86,989,875 |
* Non-income producing security.
PLC - Public Limited Company
See accompanying notes to financial statements.
107
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio
Portfolio Review
December 31, 2019 (Unaudited)
Investment Objective
The Portfolio seeks to provide long-term capital appreciation.
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 Class I shares of Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio underperformed its reference benchmark, the Russell Midcap Value Index. The Portfolio posted a return of 20.91% compared to a benchmark return of 27.06%, a difference of -615 basis points. The following discussion of relative performance pertains to this benchmark.
What factors and allocation decisions influenced the Portfolio's performance?
GSAM's Insights process uses a quantitative style of management, in combination with a qualitative overlay that emphasizes fundamentally-based stock and country/currency selection, careful portfolio construction and efficient implementation. The Portfolio's investments are selected using fundamental research and a variety of quantitative techniques based on certain investment themes, including, among others, Fundamental Mispricings ("Valuation"), High Quality Business Models ("Quality"), Sentiment Analysis, and Market Themes & Trends. Valuation seeks to identify high-quality businesses trading at an attractive price, which GSAM believes leads to strong performance over the long-term. Quality seeks to identify companies that are generating high-quality revenues with sustainable business models and aligned management incentives. Sentiment Analysis seeks to identify stocks experiencing improvements in their overall market sentiment. Market Themes and Trends seeks to identify companies positively positioned to benefit from themes and trends in the market and macroeconomic environment.
Among investment themes, factors within the Quality theme detracted most from returns, followed by factors within the themes of Sentiment Analysis, Market Themes & Trends, and Valuation.
Among sectors, holdings within the industrials sector, driven primarily by positioning within construction & engineering, detracted the most from returns. Conversely, holdings within the consumer discretionary sector, particularly within multiline retail, contributed the most to returns.
At an individual stock level, an overweight position in Fluor Corp. (0%) was amongst the largest detractors from returns despite the stock scoring highly on the Valuation theme. Conversely, an overweight position in Jabil, Inc. (0.8%) was amongst the largest contributors to returns, as the stock also scored highly on the Valuation theme.
How was the Portfolio positioned at period end?
At the end of the year, against the Russell Mid Cap Value Index, the Portfolio had its largest overweight positions in the health care sector, driven by positioning in health care equipment and supplies, and the consumer discretionary sector, primarily due to exposure within household durables. Conversely, the Portfolio's largest underweight positions were in the utilities sector, largely due to exposure within electric utilities, and the consumer staples sector, driven by positioning within food products.
108
Global Atlantic Goldman Sachs Mid Cap Value Insights 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 | Since Inception | Gross Ratio | Net Ratio | |||||||||||||||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | |||||||||||||||||||||||
Class I | November 1, 2017 | 20.91 | % | 4.87 | % | 0.66 | % | 0.64 | % | ||||||||||||||
Class II | November 1, 2017 | 20.51 | % | 4.57 | % | 0.91 | % | 0.89 | % | ||||||||||||||
Russell Midcap® Value Index (Total Return) | 27.06 | % | 7.33 | % |
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.
* Commencement of operations is November 6, 2017.
** The estimated operating expense ratios for Class I and 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. The operating expense ratios presented here may differ from the expense ratios disclosed in the Financial Highlights table in this report.
The Russell Midcap® Value Index (Total Return) is an unmanaged index of common stock prices that measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. 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 | ||||||
Common Stocks | 99.4 | % | |||||
Short-Term Investments | 0.6 | % | |||||
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%.
109
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio
Portfolio of Investments
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
COMMON STOCKS - 99.4% | |||||||||||
AEROSPACE & DEFENSE - 0.7% | |||||||||||
4,698 | Curtiss-Wright Corp. | $ | 661,901 | ||||||||
6,001 | Textron, Inc. | 267,645 | |||||||||
929,546 | |||||||||||
AIRLINES - 3.2% | |||||||||||
20,438 | American Airlines Group, Inc. | 586,162 | |||||||||
9,629 | Copa Holdings SA, Class A | 1,040,702 | |||||||||
16,836 | Delta Air Lines, Inc. | 984,569 | |||||||||
56,193 | JetBlue Airways Corp.* | 1,051,933 | |||||||||
4,995 | United Airlines Holdings, Inc.* | 440,010 | |||||||||
4,103,376 | |||||||||||
AUTO COMPONENTS - 1.0% | |||||||||||
39,374 | Gentex Corp. | 1,141,059 | |||||||||
721 | Lear Corp. | 98,921 | |||||||||
1,239,980 | |||||||||||
AUTOMOBILES - 0.5% | |||||||||||
4,257 | General Motors Co. | 155,806 | |||||||||
14,482 | Harley-Davidson, Inc. | 538,586 | |||||||||
694,392 | |||||||||||
BANKS - 7.5% | |||||||||||
7,072 | Bank OZK | 215,731 | |||||||||
35,664 | Citizens Financial Group, Inc. | 1,448,315 | |||||||||
18,740 | Fifth Third Bancorp | 576,067 | |||||||||
304 | First Citizens BancShares, Inc., Class A | 161,792 | |||||||||
15,257 | First Hawaiian, Inc. | 440,164 | |||||||||
40,682 | First Horizon National Corp. | 673,694 | |||||||||
19,947 | PacWest Bancorp | 763,372 | |||||||||
18,725 | Popular, Inc. | 1,100,094 | |||||||||
7,734 | Signature Bank | 1,056,542 | |||||||||
3,490 | SVB Financial Group* | 876,130 | |||||||||
941 | Texas Capital Bancshares, Inc.* | 53,420 | |||||||||
19,109 | Western Alliance Bancorp | 1,089,213 | |||||||||
23,629 | Zions Bancorp NA | 1,226,818 | |||||||||
9,681,352 | |||||||||||
BIOTECHNOLOGY - 1.3% | |||||||||||
7,669 | Alexion Pharmaceuticals, Inc.* | 829,402 | |||||||||
1,149 | Biogen, Inc.* | 340,943 | |||||||||
5,988 | Incyte Corp.* | 522,872 | |||||||||
1,693,217 | |||||||||||
BUILDING PRODUCTS - 2.3% | |||||||||||
8,618 | Allegion PLC | 1,073,286 | |||||||||
20,135 | Johnson Controls International PLC | 819,696 | |||||||||
10,093 | Masco Corp. | 484,363 | |||||||||
9,312 | Owens Corning | 606,397 | |||||||||
2,983,742 |
Shares/ Principal | Fair Value | ||||||||||
CAPITAL MARKETS - 2.9% | |||||||||||
1,789 | Ameriprise Financial, Inc. | $ | 298,012 | ||||||||
3,118 | Bank of New York Mellon Corp. (The) | 156,929 | |||||||||
3,077 | Charles Schwab Corp. (The) | 146,342 | |||||||||
19,565 | E*TRADE Financial Corp. | 887,664 | |||||||||
8,506 | Evercore, Inc., Class A | 635,909 | |||||||||
19,603 | State Street Corp. | 1,550,597 | |||||||||
3,675,453 | |||||||||||
CHEMICALS - 3.4% | |||||||||||
35,398 | Axalta Coating Systems Ltd.* | 1,076,099 | |||||||||
3,308 | Cabot Corp. | 157,196 | |||||||||
29,634 | Corteva, Inc. | 875,981 | |||||||||
623 | Eastman Chemical Co. | 49,379 | |||||||||
14,619 | Element Solutions, Inc.* | 170,750 | |||||||||
15,593 | Huntsman Corp. | 376,727 | |||||||||
39,223 | Olin Corp. | 676,597 | |||||||||
1,604 | Sherwin-Williams Co. (The) | 935,998 | |||||||||
4,318,727 | |||||||||||
COMMERCIAL SERVICES & SUPPLIES - 0.1% | |||||||||||
4,064 | KAR Auction Services, Inc. | 88,555 | |||||||||
COMMUNICATIONS EQUIPMENT - 0.9% | |||||||||||
27,644 | Ciena Corp.* | 1,180,122 | |||||||||
CONSUMER FINANCE - 2.0% | |||||||||||
39,914 | Ally Financial, Inc. | 1,219,772 | |||||||||
38,962 | Synchrony Financial | 1,403,021 | |||||||||
2,622,793 | |||||||||||
CONTAINERS & PACKAGING - 0.1% | |||||||||||
5,849 | Graphic Packaging Holding Co. | 97,386 | |||||||||
DISTRIBUTORS - 0.3% | |||||||||||
9,428 | LKQ Corp.* | 336,580 | |||||||||
DIVERSIFIED CONSUMER SERVICES - 1.0% | |||||||||||
1,383 | frontdoor, Inc.* | 65,582 | |||||||||
3,832 | H&R Block, Inc. | 89,975 | |||||||||
23,722 | Service Corp. International | 1,091,924 | |||||||||
1,247,481 | |||||||||||
DIVERSIFIED FINANCIAL SERVICES - 2.0% | |||||||||||
50,169 | AXA Equitable Holdings, Inc. | 1,243,188 | |||||||||
7,170 | Jefferies Financial Group, Inc. | 153,223 | |||||||||
20,054 | Voya Financial, Inc. | 1,222,893 | |||||||||
2,619,304 | |||||||||||
ELECTRIC UTILITIES - 2.8% | |||||||||||
7,918 | Alliant Energy Corp. | 433,273 | |||||||||
1,365 | Avangrid, Inc. | 69,834 | |||||||||
16,565 | Exelon Corp. | 755,198 | |||||||||
15,504 | FirstEnergy Corp. | 753,494 | |||||||||
46,066 | PPL Corp. | 1,652,848 | |||||||||
3,664,647 |
See accompanying notes to financial statements.
110
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
ELECTRICAL EQUIPMENT - 0.5% | |||||||||||
2,609 | Hubbell, Inc. | $ | 385,662 | ||||||||
2,449 | Regal Beloit Corp. | 209,659 | |||||||||
595,321 | |||||||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 2.6% | |||||||||||
4,134 | Avnet, Inc. | 175,447 | |||||||||
705 | Coherent, Inc.* | 117,277 | |||||||||
25,253 | Jabil, Inc. | 1,043,707 | |||||||||
9,027 | Keysight Technologies, Inc.* | 926,441 | |||||||||
25,554 | National Instruments Corp. | 1,081,956 | |||||||||
3,344,828 | |||||||||||
ENERGY EQUIPMENT & SERVICES - 2.2% | |||||||||||
23,618 | Apergy Corp.* | 797,816 | |||||||||
14,622 | Baker Hughes Co. | 374,762 | |||||||||
15,204 | Helmerich & Payne, Inc. | 690,718 | |||||||||
42,783 | TechnipFMC PLC | 917,267 | |||||||||
2,780,563 | |||||||||||
ENTERTAINMENT - 2.1% | |||||||||||
30,213 | Cinemark Holdings, Inc. | 1,022,710 | |||||||||
7,449 | Take-Two Interactive Software, Inc.* | 911,981 | |||||||||
126,360 | Zynga, Inc., Class A* | 773,323 | |||||||||
2,708,014 | |||||||||||
EQUITY REAL ESTATE INVESTMENT - 14.6% | |||||||||||
39,153 | American Homes 4 Rent, Class A | 1,026,200 | |||||||||
12,457 | Apartment Investment & Management Co., Class A | 643,404 | |||||||||
49,690 | Brandywine Realty Trust | 782,617 | |||||||||
28,041 | Brixmor Property Group, Inc. | 605,966 | |||||||||
9,766 | Camden Property Trust | 1,036,173 | |||||||||
13,069 | Columbia Property Trust, Inc. | 273,273 | |||||||||
35,105 | CubeSmart | 1,105,105 | |||||||||
7,932 | Douglas Emmett, Inc. | 348,215 | |||||||||
36,918 | Duke Realty Corp. | 1,279,947 | |||||||||
48,907 | Empire State Realty Trust, Inc., Class A | 682,742 | |||||||||
13,362 | Equity LifeStyle Properties, Inc. | 940,551 | |||||||||
9,078 | Extra Space Storage, Inc. | 958,818 | |||||||||
2,391 | Gaming and Leisure Properties, Inc. | 102,932 | |||||||||
36,638 | Healthcare Trust of America, Inc., Class A | 1,109,399 | |||||||||
1,613 | Highwoods Properties, Inc. | 78,892 | |||||||||
47,792 | Invitation Homes, Inc. | 1,432,326 | |||||||||
1,041 | Kilroy Realty Corp. | 87,340 | |||||||||
23,066 | National Retail Properties, Inc. | 1,236,799 | |||||||||
1,291 | Paramount Group, Inc. | 17,971 | |||||||||
10,226 | Prologis, Inc. | 911,546 | |||||||||
73,335 | Retail Properties of America, Inc., Class A | 982,689 | |||||||||
17,330 | Spirit Realty Capital, Inc. | 852,289 | |||||||||
31,599 | STORE Capital Corp. | 1,176,747 | |||||||||
7,827 | Sun Communities, Inc. | 1,174,833 | |||||||||
18,846,774 |
Shares/ Principal | Fair Value | ||||||||||
FOOD & STAPLES RETAILING - 1.5% | |||||||||||
1,593 | Casey's General Stores, Inc. | $ | 253,271 | ||||||||
29,585 | US Foods Holding Corp.* | 1,239,316 | |||||||||
8,168 | Walgreens Boots Alliance, Inc. | 481,585 | |||||||||
1,974,172 | |||||||||||
FOOD PRODUCTS - 1.2% | |||||||||||
20,179 | Bunge Ltd. | 1,161,301 | |||||||||
4,329 | Ingredion, Inc. | 402,381 | |||||||||
1,563,682 | |||||||||||
GAS UTILITIES - 0.7% | |||||||||||
18,379 | National Fuel Gas Co. | 855,359 | |||||||||
HEALTH CARE EQUIPMENT & SUPPLIES - 2.9% | |||||||||||
2,033 | Cooper Cos., Inc. (The) | 653,182 | |||||||||
20,180 | DENTSPLY SIRONA, Inc. | 1,141,986 | |||||||||
2,676 | Hologic, Inc.* | 139,714 | |||||||||
8,454 | STERIS PLC | 1,288,559 | |||||||||
3,396 | West Pharmaceutical Services, Inc. | 510,521 | |||||||||
3,733,962 | |||||||||||
HEALTH CARE PROVIDERS & SERVICES - 2.7% | |||||||||||
2,242 | Acadia Healthcare Co., Inc.* | 74,479 | |||||||||
3,257 | Anthem, Inc. | 983,712 | |||||||||
1,035 | DaVita, Inc.* | 77,656 | |||||||||
7,499 | Molina Healthcare, Inc.* | 1,017,539 | |||||||||
9,017 | Universal Health Services, Inc., Class B | 1,293,579 | |||||||||
3,446,965 | |||||||||||
HOTELS, RESTAURANTS & LEISURE - 1.5% | |||||||||||
13,812 | Hilton Grand Vacations, Inc.* | 474,995 | |||||||||
8,493 | International Game Technology PLC | 127,140 | |||||||||
41,521 | MGM Resorts International | 1,381,404 | |||||||||
1,983,539 | |||||||||||
HOUSEHOLD DURABLES - 2.6% | |||||||||||
26,130 | DR Horton, Inc. | 1,378,357 | |||||||||
15,697 | Lennar Corp., Class A | 875,736 | |||||||||
27,328 | Toll Brothers, Inc. | 1,079,729 | |||||||||
3,333,822 | |||||||||||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS - 2.5% | |||||||||||
68,170 | AES Corp. | 1,356,583 | |||||||||
27,014 | NRG Energy, Inc. | 1,073,806 | |||||||||
35,731 | Vistra Energy Corp. | 821,456 | |||||||||
3,251,845 | |||||||||||
INDUSTRIAL CONGLOMERATES - 0.4% | |||||||||||
3,587 | Carlisle Cos., Inc. | 580,520 | |||||||||
INSURANCE - 4.5% | |||||||||||
22,946 | Athene Holding Ltd., Class A* | 1,079,150 | |||||||||
22,840 | Brighthouse Financial, Inc.* | 896,013 |
See accompanying notes to financial statements.
111
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
INSURANCE - 4.5% (Continued) | |||||||||||
6,108 | First American Financial Corp. | $ | 356,218 | ||||||||
16,146 | Mercury General Corp. | 786,795 | |||||||||
7,496 | Reinsurance Group of America, Inc. | 1,222,298 | |||||||||
36,766 | Unum Group | 1,072,097 | |||||||||
294 | White Mountains Insurance Group Ltd. | 327,960 | |||||||||
5,740,531 | |||||||||||
INTERACTIVE MEDIA & SERVICES - 0.4% | |||||||||||
2,258 | Facebook, Inc., Class A* | 463,454 | |||||||||
INTERNET & DIRECT MARKETING RETAIL - 0.3% | |||||||||||
228 | Amazon.com, Inc.* | 421,307 | |||||||||
IT SERVICES - 2.9% | |||||||||||
2,852 | Alliance Data Systems Corp. | 319,994 | |||||||||
1,789 | Amdocs Ltd. | 129,148 | |||||||||
4,730 | CACI International, Inc., Class A* | 1,182,453 | |||||||||
17,496 | DXC Technology Co. | 657,675 | |||||||||
2,257 | PayPal Holdings, Inc.* | 244,140 | |||||||||
5,983 | VeriSign, Inc.* | 1,152,804 | |||||||||
3,686,214 | |||||||||||
LEISURE PRODUCTS - 0.3% | |||||||||||
3,216 | Polaris, Inc. | 327,067 | |||||||||
LIFE SCIENCES TOOLS & SERVICES - 1.1% | |||||||||||
7,662 | IQVIA Holdings, Inc.* | 1,183,856 | |||||||||
332 | Mettler-Toledo International, Inc.* | 263,369 | |||||||||
1,447,225 | |||||||||||
MACHINERY - 2.1% | |||||||||||
11,821 | Allison Transmission Holdings, Inc. | 571,191 | |||||||||
3,903 | Crane Co. | 337,141 | |||||||||
6,432 | Oshkosh Corp. | 608,789 | |||||||||
14,710 | PACCAR, Inc. | 1,163,561 | |||||||||
2,680,682 | |||||||||||
MEDIA - 2.1% | |||||||||||
22,989 | Liberty Global PLC, Class C* | 501,045 | |||||||||
31,512 | New York Times Co. (The), Class A | 1,013,741 | |||||||||
82,583 | News Corp., Class A | 1,167,724 | |||||||||
2,682,510 | |||||||||||
METALS & MINING - 1.5% | |||||||||||
50,363 | Alcoa Corp.* | 1,083,308 | |||||||||
5,555 | Reliance Steel & Aluminum Co. | 665,267 | |||||||||
1,970 | Royal Gold, Inc. | 240,832 | |||||||||
1,989,407 | |||||||||||
MORTGAGE REAL ESTATE INVESTMENT - 0.1% | |||||||||||
10,568 | Two Harbors Investment Corp. | 154,504 |
Shares/ Principal | Fair Value | ||||||||||
MULTILINE RETAIL - 0.9% | |||||||||||
68,212 | Macy's, Inc. | $ | 1,159,604 | ||||||||
MULTI-UTILITIES - 3.0% | |||||||||||
17,917 | Ameren Corp. | 1,376,025 | |||||||||
15,519 | CMS Energy Corp. | 975,214 | |||||||||
12,133 | DTE Energy Co. | 1,575,713 | |||||||||
3,926,952 | |||||||||||
OIL, GAS & CONSUMABLE FUELS - 3.0% | |||||||||||
45,576 | Cabot Oil & Gas Corp. | 793,478 | |||||||||
20,543 | HollyFrontier Corp. | 1,041,736 | |||||||||
52,314 | Kosmos Energy Ltd. | 298,190 | |||||||||
81,530 | Range Resources Corp. | 395,420 | |||||||||
7,378 | Valero Energy Corp. | 690,950 | |||||||||
7,826 | Williams Cos., Inc. (The) | 185,633 | |||||||||
38,288 | WPX Energy, Inc.* | 526,077 | |||||||||
3,931,484 | |||||||||||
PAPER & FOREST PRODUCTS - 0.8% | |||||||||||
25,815 | Domtar Corp. | 987,166 | |||||||||
PHARMACEUTICALS - 1.1% | |||||||||||
5,546 | Jazz Pharmaceuticals PLC* | 827,907 | |||||||||
26,334 | Mylan NV* | 529,313 | |||||||||
1,357,220 | |||||||||||
PROFESSIONAL SERVICES - 0.4% | |||||||||||
6,981 | IHS Markit Ltd.* | 526,018 | |||||||||
ROAD & RAIL - 0.4% | |||||||||||
4,485 | Landstar System, Inc. | 510,707 | |||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.2% | |||||||||||
3,263 | Cree, Inc.* | 150,588 | |||||||||
253 | Lam Research Corp. | 73,977 | |||||||||
205 | Universal Display Corp. | 42,244 | |||||||||
266,809 | |||||||||||
SOFTWARE - 0.6% | |||||||||||
1,861 | NortonLifeLock, Inc. | 47,493 | |||||||||
37,393 | Nuance Communications, Inc.* | 666,717 | |||||||||
714,210 | |||||||||||
SPECIALTY RETAIL - 1.8% | |||||||||||
20,048 | AutoNation, Inc.* | 974,934 | |||||||||
22,667 | Dick's Sporting Goods, Inc. | 1,121,790 | |||||||||
5,584 | Foot Locker, Inc. | 217,720 | |||||||||
2,314,444 | |||||||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS - 0.4% | |||||||||||
8,184 | Western Digital Corp. | 519,438 |
See accompanying notes to financial statements.
112
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio
Portfolio of Investments (Continued)
December 31, 2019
Shares/ Principal | Fair Value | ||||||||||
TOBACCO - 0.5% | |||||||||||
8,177 | Philip Morris International, Inc. | $ | 695,781 | ||||||||
TRADING COMPANIES & DISTRIBUTORS - 1.0% | |||||||||||
28,198 | HD Supply Holdings, Inc.* | 1,134,124 | |||||||||
3,211 | WESCO International, Inc.* | 190,701 | |||||||||
1,324,825 | |||||||||||
TOTAL COMMON STOCKS (Cost - $117,916,176) | 128,003,578 | ||||||||||
SHORT-TERM INVESTMENTS - 0.6% | |||||||||||
MONEY MARKET FUNDS - 0.6% | |||||||||||
770,739 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 1.53% (a)(Cost - $770,739) | 770,739 | |||||||||
TOTAL INVESTMENTS - 100.0% (Cost - $118,686,915) | $ | 128,774,317 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET 0.0%† | 56,485 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 128,830,802 |
* Non-income producing security.
† Represents less than 0.05%.
(a) The rate shown is the annualized seven-day yield at period end.
PLC - Public Limited Company
See accompanying notes to financial statements.
113
Global Atlantic Portfolios
Statements of Assets and Liabilities
December 31, 2019
Assets: | Global Atlantic BlackRock Allocation Portfolio | Global Atlantic BlackRock Disciplined Core Portfolio | Global Atlantic BlackRock Disciplined Growth Portfolio | Global Atlantic BlackRock Disciplined International Core Portfolio | |||||||||||||||
Investments in securities, at cost | $ | 74,695,170 | $ | 496,696,979 | $ | 14,515,613 | $ | 136,066,575 | |||||||||||
Investments in securities, at fair value | $ | 82,058,146 | $ | 582,005,763 | $ | 18,058,484 | $ | 144,429,820 | |||||||||||
Cash | - | 8,922 | 1 | 4 | |||||||||||||||
Foreign cash (cost $-, $114, $- and $3,494,467, respectively) | - | 114 | - | 3,541,799 | |||||||||||||||
Deposits with broker + | - | 251,966 | 10,142 | 190,527 | |||||||||||||||
Unrealized appreciation on futures contracts | - | 123,819 | 4,628 | 8,044 | |||||||||||||||
Receivable for securities sold | 129,517 | - | - | - | |||||||||||||||
Receivable for portfolio shares sold | - | 43,672 | - | - | |||||||||||||||
Interest and dividends receivable | 670 | 776,068 | 15,365 | 610,135 | |||||||||||||||
Prepaid expenses | 2,878 | 20,170 | 626 | 5,134 | |||||||||||||||
Total Assets | 82,191,211 | 583,230,494 | 18,089,246 | 148,785,463 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Due to custodian | 116,667 | - | - | - | |||||||||||||||
Payable for portfolio shares redeemed | 75,270 | 173,143 | 1,068 | 102,688 | |||||||||||||||
Accrued distribution (12b-1) fees | 3,283 | 7,397 | 3,808 | 8,963 | |||||||||||||||
Accrued investment advisory fees | 12,467 | 174,032 | 5,929 | 59,652 | |||||||||||||||
Administrative service fees payable | 4,250 | 29,772 | 926 | 7,555 | |||||||||||||||
Accrued expenses and other liabilities | 894 | 5,950 | 220 | 16,695 | |||||||||||||||
Total Liabilities | 212,831 | 390,294 | 11,951 | 195,553 | |||||||||||||||
Net Assets | $ | 81,978,380 | $ | 582,840,200 | $ | 18,077,295 | $ | 148,589,910 | |||||||||||
Composition of Net Assets: | |||||||||||||||||||
Paid-in capital | $ | 71,224,879 | $ | 473,389,148 | $ | 13,608,031 | $ | 151,085,434 | |||||||||||
Total distributable earnings/(deficit) | 10,753,501 | 109,451,052 | 4,469,264 | (2,495,524 | ) | ||||||||||||||
Net Assets | $ | 81,978,380 | $ | 582,840,200 | $ | 18,077,295 | $ | 148,589,910 | |||||||||||
Class I Shares: | |||||||||||||||||||
Net assets | $ | 66,409,953 | $ | 547,724,462 | $ | - | $ | 105,876,399 | |||||||||||
Total shares outstanding at end of period ($0 par value, unlimited shares authorized) | 5,813,597 | 44,214,183 | - | 10,605,987 | |||||||||||||||
Net asset value, offering and redemption price per share (Net Assets ÷ Total shares of beneficial interest outstanding) | $ | 11.42 | $ | 12.39 | $ | - | $ | 9.98 | |||||||||||
Class II Shares: | |||||||||||||||||||
Net assets | $ | 15,568,427 | $ | 35,115,738 | $ | 18,077,295 | $ | 42,713,511 | |||||||||||
Total shares outstanding at end of period ($0 par value, unlimited shares authorized) | 1,366,812 | 2,838,375 | 1,427,992 | 4,284,368 | |||||||||||||||
Net asset value, offering and redemption price per share (Net Assets ÷ Total shares of beneficial interest outstanding) | $ | 11.39 | $ | 12.37 | $ | 12.66 | $ | 9.97 |
+ Collateral for futures contracts.
See accompanying notes to financial statements.
114
Global Atlantic Portfolios
Statements of Assets and Liabilities (Continued)
December 31, 2019
Assets: | Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | Global Atlantic BlackRock Disciplined Small Cap Portfolio | Global Atlantic BlackRock Disciplined U.S. Core Portfolio | Global Atlantic BlackRock Disciplined Value Portfolio | |||||||||||||||
Investments in securities, at cost | $ | 159,675,598 | $ | 16,988,216 | $ | 22,159,828 | $ | 245,928,534 | |||||||||||
Investments in securities, at fair value | $ | 191,609,060 | $ | 18,490,013 | $ | 25,909,628 | $ | 273,415,439 | |||||||||||
Cash | 7,015 | 1 | 1 | 176 | |||||||||||||||
Deposits with broker + | 74,678 | 9,348 | 13,912 | 121,969 | |||||||||||||||
Unrealized appreciation on futures contracts | 35,430 | 5,092 | 8,243 | 53,938 | |||||||||||||||
Interest and dividends receivable | 169,097 | 19,936 | 32,319 | 446,061 | |||||||||||||||
Prepaid expenses | 6,706 | 635 | 885 | 9,582 | |||||||||||||||
Total Assets | 191,901,986 | 18,525,025 | 25,964,988 | 274,047,165 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Payable for portfolio shares redeemed | 63,144 | 10,807 | 370,444 | 164,503 | |||||||||||||||
Accrued distribution (12b-1) fees | 10,708 | 1,856 | 801 | 1,565 | |||||||||||||||
Accrued investment advisory fees | 81,180 | 7,241 | 7,780 | 95,131 | |||||||||||||||
Administrative service fees payable | 9,921 | 941 | 1,313 | 14,115 | |||||||||||||||
Accrued expenses and other liabilities | 2,319 | 211 | 314 | 2,877 | |||||||||||||||
Total Liabilities | 167,272 | 21,056 | 380,652 | 278,191 | |||||||||||||||
Net Assets | $ | 191,734,714 | $ | 18,503,969 | $ | 25,584,336 | $ | 273,768,974 | |||||||||||
Composition of Net Assets: | |||||||||||||||||||
Paid-in capital | $ | 146,261,540 | $ | 16,099,920 | $ | 20,774,904 | $ | 236,149,671 | |||||||||||
Total distributable earnings | 45,473,174 | 2,404,049 | 4,809,432 | 37,619,303 | |||||||||||||||
Net Assets | $ | 191,734,714 | $ | 18,503,969 | $ | 25,584,336 | $ | 273,768,974 | |||||||||||
Class I Shares: | |||||||||||||||||||
Net assets | $ | 141,288,731 | $ | 9,731,734 | $ | 21,775,599 | $ | 266,398,620 | |||||||||||
Total shares outstanding at end of period ($0 par value, unlimited shares authorized) | 10,815,782 | 839,894 | 1,782,748 | 23,143,836 | |||||||||||||||
Net asset value, offering and redemption price per share (Net Assets ÷ Total shares of beneficial interest outstanding) | $ | 13.06 | $ | 11.59 | $ | 12.21 | $ | 11.51 | |||||||||||
Class II Shares: | |||||||||||||||||||
Net assets | $ | 50,445,983 | $ | 8,772,235 | $ | 3,808,737 | $ | 7,370,354 | |||||||||||
Total shares outstanding at end of period ($0 par value, unlimited shares authorized) | 3,863,539 | 757,771 | 312,229 | 639,848 | |||||||||||||||
Net asset value, offering and redemption price per share (Net Assets ÷ Total shares of beneficial interest outstanding) | $ | 13.06 | $ | 11.58 | $ | 12.20 | $ | 11.52 |
+ Collateral for futures contracts.
See accompanying notes to financial statements.
115
Global Atlantic Portfolios
Statements of Assets and Liabilities (Continued)
December 31, 2019
Assets: | Global Atlantic BlackRock High Yield Portfolio | Global Atlantic Goldman Sachs Core Fixed Income Portfolio | Global Atlantic Goldman Sachs Global Equity Insights Portfolio | Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | |||||||||||||||
Investments in securities, at cost | $ | 68,361,708 | $ | 104,852,313 | $ | 25,713,443 | $ | 72,591,960 | |||||||||||
Investments in securities, at fair value | $ | 70,645,633 | $ | 107,508,235 | $ | 28,515,741 | $ | 87,150,362 | |||||||||||
Swaptions purchased (premiums paid $-, $5,754, $- and $-) | - | 997 | - | - | |||||||||||||||
Cash | 1 | - | - | - | |||||||||||||||
Premiums paid on open swap contracts | - | 73,504 | - | - | |||||||||||||||
Foreign cash (cost $-, $70,162, $44,148 and $-, respectively) | - | 71,114 | 44,693 | - | |||||||||||||||
Deposits with broker + | 17,156 | 913,225 | - | - | |||||||||||||||
Unrealized appreciation on swap contracts | - | 20,905 | - | - | |||||||||||||||
Receivable for securities sold | - | 27,085,630 | - | - | |||||||||||||||
Receivable for portfolio shares sold | - | 317,601 | - | - | |||||||||||||||
Interest and dividends receivable | 1,038,349 | 578,484 | 38,445 | 41,486 | |||||||||||||||
Prepaid expenses | 2,514 | 3,213 | 1,010 | 3,075 | |||||||||||||||
Total Assets | 71,703,653 | 136,572,908 | 28,599,889 | 87,194,923 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Investments in securities sold short, proceeds | - | 15,892,578 | - | - | |||||||||||||||
Investments in securities sold short, at fair value | - | 15,934,999 | - | - | |||||||||||||||
Swaptions written (premiums received $-, $82,348, $- and $-) | - | 70,659 | - | - | |||||||||||||||
Unrealized depreciation on futures contracts | 9,773 | 183,078 | - | - | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | - | 76,560 | - | - | |||||||||||||||
Due to custodian | - | 10,011 | 75 | 160,475 | |||||||||||||||
Payable for securities purchased | 33,019 | 29,766,459 | - | - | |||||||||||||||
Payable for portfolio shares redeemed | 1,621 | - | 4,377 | 14,681 | |||||||||||||||
Accrued distribution (12b-1) fees | 190 | - | 2,730 | 849 | |||||||||||||||
Accrued investment advisory fees | 27,242 | 22,354 | 12,826 | 24,000 | |||||||||||||||
Administrative service fees payable | 3,719 | - | 1,488 | 4,518 | |||||||||||||||
Accrued expenses and other liabilities | 780 | 2,899 | 3,817 | 525 | |||||||||||||||
Total Liabilities | 76,344 | 46,067,019 | 25,313 | 205,048 | |||||||||||||||
Net Assets | $ | 71,627,309 | $ | 90,505,889 | $ | 28,574,576 | $ | 86,989,875 | |||||||||||
Composition of Net Assets: | |||||||||||||||||||
Paid-in capital | $ | 69,668,104 | $ | 83,688,147 | $ | 26,351,587 | $ | 67,925,401 | |||||||||||
Total distributable earnings | 1,959,205 | 6,817,742 | 2,222,989 | 19,064,474 | |||||||||||||||
Net Assets | $ | 71,627,309 | $ | 90,505,889 | $ | 28,574,576 | $ | 86,989,875 | |||||||||||
Class I Shares: | |||||||||||||||||||
Net assets | $ | 70,726,774 | $ | 90,505,889 | $ | 15,625,122 | $ | 82,880,256 | |||||||||||
Total shares outstanding at end of period ($0 par value, unlimited shares authorized) | 6,928,820 | 8,541,699 | 1,418,798 | 6,642,536 | |||||||||||||||
Net asset value, offering and redemption price per share (Net Assets ÷ Total shares of beneficial interest outstanding) | $ | 10.21 | $ | 10.60 | $ | 11.01 | $ | 12.48 | |||||||||||
Class II Shares: | |||||||||||||||||||
Net assets | $ | 900,535 | $ | - | $ | 12,949,454 | $ | 4,109,619 | |||||||||||
Total shares outstanding at end of period ($0 par value, unlimited shares authorized) | 88,359 | - | 1,177,568 | 329,921 | |||||||||||||||
Net asset value, offering and redemption price per share (Net Assets ÷ Total shares of beneficial interest outstanding) | $ | 10.19 | $ | - | $ | 11.00 | $ | 12.46 |
+ Collateral for futures contracts, swap contracts, swaptions purchased, swaptions written and forward foreign currency contracts.
See accompanying notes to financial statements.
116
Global Atlantic Portfolios
Statements of Assets and Liabilities (Continued)
December 31, 2019
Assets: | Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | ||||||
Investments in securities, at cost | $ | 118,686,915 | |||||
Investments in securities, at fair value | $ | 128,774,317 | |||||
Interest and dividends receivable | 254,057 | ||||||
Prepaid expenses | 4,502 | ||||||
Total Assets | 129,032,876 | ||||||
Liabilities: | |||||||
Payable for portfolio shares redeemed | 122,064 | ||||||
Accrued distribution (12b-1) fees | 16,611 | ||||||
Accrued investment advisory fees | 55,327 | ||||||
Administrative service fees payable | 6,632 | ||||||
Accrued expenses and other liabilities | 1,440 | ||||||
Total Liabilities | 202,074 | ||||||
Net Assets | $ | 128,830,802 | |||||
Composition of Net Assets: | |||||||
Paid-in capital | $ | 121,338,446 | |||||
Total distributable earnings | 7,492,356 | ||||||
Net Assets | $ | 128,830,802 | |||||
Class I Shares: | |||||||
Net assets | $ | 49,971,097 | |||||
Total shares outstanding at end of period ($0 par value, unlimited shares authorized) | 4,658,725 | ||||||
Net asset value, offering and redemption price per share (Net Assets ÷ Total shares of beneficial interest outstanding) | $ | 10.73 | |||||
Class II Shares: | |||||||
Net assets | $ | 78,859,705 | |||||
Total shares outstanding at end of period ($0 par value, unlimited shares authorized) | 7,365,313 | ||||||
Net asset value, offering and redemption price per share (Net Assets ÷ Total shares of beneficial interest outstanding) | $ | 10.71 |
See accompanying notes to financial statements.
117
Global Atlantic Portfolios
Statements of Operations
For the Year Ended December 31, 2019
Global Atlantic BlackRock Allocation Portfolio | Global Atlantic BlackRock Disciplined Core Portfolio | Global Atlantic BlackRock Disciplined Growth Portfolio | Global Atlantic BlackRock Disciplined International Core Portfolio | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income* | $ | 2,006,022 | $ | 11,166,309 | $ | 232,590 | $ | 4,794,479 | |||||||||||
Interest income | 998 | 165,066 | 6,562 | 14,459 | |||||||||||||||
Total Investment Income | 2,007,020 | 11,331,375 | 239,152 | 4,808,938 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees | 179,396 | 2,201,407 | 78,360 | 874,100 | |||||||||||||||
Distribution fees (12b-1) - Class II Shares | 37,487 | 86,109 | 43,533 | 106,438 | |||||||||||||||
Administrative service fees | 57,601 | 355,763 | 17,798 | 97,615 | |||||||||||||||
Legal fees | 21,611 | 149,794 | 4,528 | 38,385 | |||||||||||||||
Trustees' fees | 7,559 | 52,189 | 2,041 | 13,961 | |||||||||||||||
Custody fees | 568 | 4,640 | 134 | 20,049 | |||||||||||||||
Miscellaneous expenses | 7,009 | 40,277 | 1,314 | 11,402 | |||||||||||||||
Total Expenses | 311,231 | 2,890,179 | 147,708 | 1,161,950 | |||||||||||||||
Expenses waived | (19,679 | ) | (93,032 | ) | (10,039 | ) | (48,584 | ) | |||||||||||
Net Expenses | 291,552 | 2,797,147 | 137,669 | 1,113,366 | |||||||||||||||
Net Investment Income | 1,715,468 | 8,534,228 | 101,483 | 3,695,572 | |||||||||||||||
Net Realized and Change in Unrealized Gain/(Loss) | |||||||||||||||||||
Net realized gain/(loss) on: | |||||||||||||||||||
Investments | 1,918,527 | 23,957,385 | 907,661 | (5,589,363 | ) | ||||||||||||||
Futures contracts | - | 1,890,915 | 73,061 | 773,480 | |||||||||||||||
Forward foreign currency contracts | - | 8 | - | 4,709 | |||||||||||||||
Foreign currency translations | - | 1 | - | 14,187 | |||||||||||||||
1,918,527 | 25,848,309 | 980,722 | (4,796,987 | ) | |||||||||||||||
Net change in unrealized appreciation on: | |||||||||||||||||||
Investments | 11,861,210 | 108,259,940 | 3,870,837 | 27,889,507 | |||||||||||||||
Futures contracts | - | 319,977 | 2,946 | 114,999 | |||||||||||||||
Forward foreign currency contracts | - | - | - | 120 | |||||||||||||||
Foreign currency translations | - | 740 | - | 51,829 | |||||||||||||||
11,861,210 | 108,580,657 | 3,873,783 | 28,056,455 | ||||||||||||||||
Net Realized and Change in Unrealized Gain | 13,779,737 | 134,428,966 | 4,854,505 | 23,259,468 | |||||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 15,495,205 | $ | 142,963,194 | $ | 4,955,988 | $ | 26,955,040 | |||||||||||
* Foreign taxes withheld | $ | - | $ | 80,934 | $ | 8 | $ | 503,988 |
See accompanying notes to financial statements.
118
Global Atlantic Portfolios
Statements of Operations (Continued)
For the Year Ended December 31, 2019
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | Global Atlantic BlackRock Disciplined Small Cap Portfolio | Global Atlantic BlackRock Disciplined U.S. Core Portfolio | Global Atlantic BlackRock Disciplined Value Portfolio | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income* | $ | 1,982,224 | $ | 238,070 | $ | 481,040 | $ | 7,104,698 | |||||||||||
Interest income | 55,857 | 8,510 | 9,954 | 80,708 | |||||||||||||||
Total Investment Income | 2,038,081 | 246,580 | 490,994 | 7,185,406 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees | 1,047,472 | 96,272 | 95,496 | 1,221,692 | |||||||||||||||
Distribution fees (12b-1) - Class II Shares | 123,506 | 20,943 | 8,579 | 18,821 | |||||||||||||||
Administrative service fees | 125,260 | 18,988 | 22,271 | 175,230 | |||||||||||||||
Legal fees | 50,696 | 4,719 | 6,561 | 71,622 | |||||||||||||||
Trustees' fees | 17,933 | 1,832 | 2,121 | 25,889 | |||||||||||||||
Custody fees | 1,511 | 181 | 202 | 2,200 | |||||||||||||||
Miscellaneous expenses | 13,434 | 1,269 | 1,867 | 19,518 | |||||||||||||||
Total Expenses | 1,379,812 | 144,204 | 137,097 | 1,534,972 | |||||||||||||||
Expenses waived | (55,910 | ) | (10,872 | ) | (10,817 | ) | (49,384 | ) | |||||||||||
Net Expenses | 1,323,902 | 133,332 | 126,280 | 1,485,588 | |||||||||||||||
Net Investment Income | 714,179 | 113,248 | 364,714 | 5,699,818 | |||||||||||||||
Net Realized and Change in Unrealized Gain | |||||||||||||||||||
Net realized gain on: | |||||||||||||||||||
Investments | 13,110,532 | 719,150 | 991,833 | 10,144,509 | |||||||||||||||
Futures contracts | 597,212 | 73,079 | 99,064 | 923,414 | |||||||||||||||
13,707,744 | 792,229 | 1,090,897 | 11,067,923 | ||||||||||||||||
Net change in unrealized appreciation on: | |||||||||||||||||||
Investments | 38,074,189 | 3,733,279 | 4,725,742 | 43,631,959 | |||||||||||||||
Futures contracts | 122,375 | 14,893 | 23,265 | 160,690 | |||||||||||||||
38,196,564 | 3,748,172 | 4,749,007 | 43,792,649 | ||||||||||||||||
Net Realized and Change in Unrealized Gain | 51,904,308 | 4,540,401 | 5,839,904 | 54,860,572 | |||||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 52,618,487 | $ | 4,653,649 | $ | 6,204,618 | $ | 60,560,390 | |||||||||||
* Foreign taxes withheld | $ | 743 | $ | - | $ | 20 | $ | 154 |
See accompanying notes to financial statements.
119
Global Atlantic Portfolios
Statements of Operations (Continued)
For the Year Ended December 31, 2019
Global Atlantic BlackRock High Yield Portfolio | Global Atlantic Goldman Sachs Core Fixed Income Portfolio | Global Atlantic Goldman Sachs Global Equity Insights Portfolio | Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income* | $ | - | $ | - | $ | 619,449 | $ | 1,079,923 | |||||||||||
Interest income | 4,136,995 | 2,851,005 | 704 | 11,213 | |||||||||||||||
Total Investment Income | 4,136,995 | 2,851,005 | 620,153 | 1,091,136 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fees | 362,863 | 314,488 | 181,894 | 323,898 | |||||||||||||||
Distribution fees (12b-1) - Class II Shares | 2,337 | - | 32,128 | 9,649 | |||||||||||||||
Administrative service fees | 55,651 | 68,669 | 25,726 | 61,289 | |||||||||||||||
Legal fees | 19,047 | 24,564 | 7,041 | 23,087 | |||||||||||||||
Trustees' fees | 7,329 | 8,950 | 3,188 | 8,428 | |||||||||||||||
Custody fees | 621 | 1,345 | 2,967 | 611 | |||||||||||||||
Miscellaneous expenses | 5,282 | 44,775 | 3,197 | 6,729 | |||||||||||||||
Total Expenses | 453,130 | 462,791 | 256,141 | 433,691 | |||||||||||||||
Expenses waived | (22,317 | ) | (26,065 | ) | (14,959 | ) | (20,779 | ) | |||||||||||
Net Expenses | 430,813 | 436,726 | 241,182 | 412,912 | |||||||||||||||
Net Investment Income | 3,706,182 | 2,414,279 | 378,971 | 678,224 | |||||||||||||||
Net Realized and Change in Unrealized Gain/(Loss) | |||||||||||||||||||
Net realized gain/(loss) on: | |||||||||||||||||||
Investments | (2,173,414 | ) | 2,442,587 | (120,284 | ) | 4,644,441 | |||||||||||||
Futures contracts | (78,848 | ) | 834,656 | - | (7,350 | ) | |||||||||||||
Swap contracts | - | 167,900 | - | - | |||||||||||||||
Swaptions | - | 11,265 | - | - | |||||||||||||||
Forward foreign currency contracts | - | (164,382 | ) | 2,723 | - | ||||||||||||||
Foreign currency translations | - | 2,593 | 533 | - | |||||||||||||||
(2,252,262 | ) | 3,294,619 | (117,028 | ) | 4,637,091 | ||||||||||||||
Net change in unrealized appreciation/(depreciation) on: | |||||||||||||||||||
Investments | 8,638,820 | 3,150,509 | 5,558,806 | 18,078,560 | |||||||||||||||
Short Sales | - | (42,421 | ) | - | - | ||||||||||||||
Futures contracts | (6,389 | ) | (357,695 | ) | - | - | |||||||||||||
Swap contracts | - | (50,655 | ) | - | - | ||||||||||||||
Swaptions | - | 6,932 | - | - | |||||||||||||||
Forward foreign currency contracts | - | (64,257 | ) | - | - | ||||||||||||||
Foreign currency translations | - | (129 | ) | 847 | - | ||||||||||||||
8,632,431 | 2,642,284 | 5,559,653 | 18,078,560 | ||||||||||||||||
Net Realized and Change in Unrealized Gain | 6,380,169 | 5,936,903 | 5,442,625 | 22,715,651 | |||||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 10,086,351 | $ | 8,351,182 | $ | 5,821,596 | $ | 23,393,875 | |||||||||||
* Foreign taxes withheld | $ | - | $ | 1,209 | $ | 35,707 | $ | 1,209 |
See accompanying notes to financial statements.
120
Global Atlantic Portfolios
Statements of Operations (Continued)
For the Year Ended December 31, 2019
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | |||||||
Investment Income: | |||||||
Dividend income* | $ | 2,731,302 | |||||
Interest income | 17,668 | ||||||
Total Investment Income | 2,748,970 | ||||||
Expenses: | |||||||
Investment advisory fees | 712,672 | ||||||
Distribution fees (12b-1) - Class II Shares | 196,611 | ||||||
Administrative service fees | 87,286 | ||||||
Legal fees | 33,925 | ||||||
Trustees fees | 12,604 | ||||||
Custody fees | 886 | ||||||
Miscellaneous expenses | 11,645 | ||||||
Total Expenses | 1,055,629 | ||||||
Expenses waived | (27,176 | ) | |||||
Net Expenses | 1,028,453 | ||||||
Net Investment Income | 1,720,517 | ||||||
Net Realized and Change in Unrealized Gain/(Loss) | |||||||
Net realized loss on: | |||||||
Investments | (2,439,706 | ) | |||||
(2,439,706 | ) | ||||||
Net change in unrealized appreciation on: | |||||||
Investments | 24,881,598 | ||||||
24,881,598 | |||||||
Net Realized and Change in Unrealized Gain | 22,441,892 | ||||||
Net Increase in Net Assets Resulting from Operations | $ | 24,162,409 | |||||
* Foreign Taxes withheld | $ | 3,323 |
See accompanying notes to financial statements.
121
Global Atlantic Portfolios
Statements of Changes in Net Assets
Global Atlantic BlackRock Allocation Portfolio | Global Atlantic BlackRock Disciplined Core 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 | $ | 1,715,468 | $ | 1,766,322 | $ | 8,534,228 | $ | 8,338,625 | |||||||||||
Net realized gain (loss) | 1,918,527 | (488,644 | ) | 25,848,309 | (4,103,445 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation) | 11,861,210 | (5,623,615 | ) | 108,580,657 | (32,111,695 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 15,495,205 | (4,345,937 | ) | 142,963,194 | (27,876,515 | ) | |||||||||||||
From Distributions to Shareholders: | |||||||||||||||||||
Total distributions paid | (1,579,777 | ) | (361,277 | ) | (8,622,370 | ) | (8,261,415 | ) | |||||||||||
From Shares of Beneficial Interest: | |||||||||||||||||||
Proceeds from shares sold | |||||||||||||||||||
Class I | 982,681 | 4,710,096 | 321,643 | 275,178,625 | |||||||||||||||
Class II | 1,689,133 | 8,539,942 | 319,019 | 5,280,712 | |||||||||||||||
Reinvestment of distributions | |||||||||||||||||||
Class I | 1,292,091 | 319,042 | 8,178,502 | 7,813,964 | |||||||||||||||
Class II | 287,686 | 42,236 | 443,868 | 447,452 | |||||||||||||||
Cost of shares redeemed | |||||||||||||||||||
Class I | (10,728,603 | ) | (12,957,720 | ) | (73,400,471 | ) | (78,346,434 | ) | |||||||||||
Class II | (2,727,791 | ) | (2,903,952 | ) | (6,295,537 | ) | (7,914,091 | ) | |||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | (9,204,803 | ) | (2,250,356 | ) | (70,432,976 | ) | 202,460,228 | ||||||||||||
Total increase (decrease) in net assets | 4,710,625 | (6,957,570 | ) | 63,907,848 | 166,322,298 | ||||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of year | 77,267,755 | 84,225,325 | 518,932,352 | 352,610,054 | |||||||||||||||
End of year | $ | 81,978,380 | $ | 77,267,755 | $ | 582,840,200 | $ | 518,932,352 | |||||||||||
Share Activity: | |||||||||||||||||||
Class I | |||||||||||||||||||
Share sold | 91,433 | 458,954 | 28,571 | 26,048,710 | |||||||||||||||
Shares reinvested | 117,784 | 32,456 | 702,018 | 761,595 | |||||||||||||||
Shares redeemed | (995,752 | ) | (1,270,339 | ) | (6,477,327 | ) | (7,300,038 | ) | |||||||||||
Net increase (decrease) in shares of beneficial interest outstanding | (786,535 | ) | (778,929 | ) | (5,746,738 | ) | 19,510,267 | ||||||||||||
Share Activity: | |||||||||||||||||||
Class II | |||||||||||||||||||
Shares sold | 156,954 | 831,755 | 27,000 | 489,813 | |||||||||||||||
Shares reinvested | 26,273 | 4,301 | 38,133 | 43,654 | |||||||||||||||
Shares redeemed | (253,684 | ) | (285,815 | ) | (562,865 | ) | (735,161 | ) | |||||||||||
Net increase (decrease) in shares of beneficial interest outstanding | (70,457 | ) | 550,241 | (497,732 | ) | (201,694 | ) |
See accompanying notes to financial statements.
122
Global Atlantic Portfolios
Statements of Changes in Net Assets (Continued)
Global Atlantic BlackRock Disciplined Growth Portfolio | Global Atlantic BlackRock Disciplined International Core 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 | $ | 101,483 | $ | 147,181 | $ | 3,695,572 | $ | 3,320,882 | |||||||||||
Net realized gain (loss) | 980,722 | 427,787 | (4,796,987 | ) | (6,606,793 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation) | 3,873,783 | (793,512 | ) | 28,056,455 | (21,191,740 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 4,955,988 | (218,544 | ) | 26,955,040 | (24,477,651 | ) | |||||||||||||
From Distributions to Shareholders: | |||||||||||||||||||
Total distributions paid | (631,480 | ) | (283,113 | ) | (3,595,113 | ) | (3,135,099 | ) | |||||||||||
From Shares of Beneficial Interest: | |||||||||||||||||||
Proceeds from shares sold | |||||||||||||||||||
Class I | - | - | 648,695 | 60,436,711 | |||||||||||||||
Class II | 622,705 | 701,973 | 462,768 | 47,547,508 | |||||||||||||||
Reinvestment of distributions | |||||||||||||||||||
Class I | - | - | 2,631,989 | 2,260,346 | |||||||||||||||
Class II | 631,480 | 283,113 | 963,124 | 874,754 | |||||||||||||||
Cost of shares redeemed | |||||||||||||||||||
Class I | - | - | (12,653,484 | ) | (11,619,140 | ) | |||||||||||||
Class II | (3,308,021 | ) | (5,210,960 | ) | (6,569,623 | ) | (4,308,815 | ) | |||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | (2,053,836 | ) | (4,225,874 | ) | (14,516,531 | ) | 95,191,364 | ||||||||||||
Total increase (decrease) in net assets | 2,270,672 | (4,727,531 | ) | 8,843,396 | 67,578,614 | ||||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of year | 15,806,623 | 20,534,154 | 139,746,514 | 72,167,900 | |||||||||||||||
End of year | $ | 18,077,295 | $ | 15,806,623 | $ | 148,589,910 | $ | 139,746,514 | |||||||||||
Share Activity: | |||||||||||||||||||
Class I | |||||||||||||||||||
Share sold | - | - | 68,943 | 5,956,019 | |||||||||||||||
Shares reinvested | - | - | 277,929 | 259,512 | |||||||||||||||
Shares redeemed | - | - | (1,349,326 | ) | (1,184,435 | ) | |||||||||||||
Net increase (decrease) in shares of beneficial interest outstanding | - | - | (1,002,454 | ) | 5,031,096 | ||||||||||||||
Share Activity: | |||||||||||||||||||
Class II | |||||||||||||||||||
Shares sold | 54,262 | 63,002 | 49,569 | 4,680,473 | |||||||||||||||
Shares reinvested | 53,470 | 27,118 | 101,810 | 100,546 | |||||||||||||||
Shares redeemed | (284,633 | ) | (475,123 | ) | (702,284 | ) | (445,806 | ) | |||||||||||
Net increase (decrease) in shares of beneficial interest outstanding | (176,901 | ) | (385,003 | ) | (550,905 | ) | 4,335,213 |
See accompanying notes to financial statements.
123
Global Atlantic Portfolios
Statements of Changes in Net Assets (Continued)
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | Global Atlantic BlackRock Disciplined Small Cap 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 | $ | 714,179 | $ | 1,723,701 | $ | 113,248 | $ | 110,139 | |||||||||||
Net realized gain | 13,707,744 | 45,574 | 792,229 | 457,116 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | 38,196,564 | (8,548,365 | ) | 3,748,172 | (2,442,580 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 52,618,487 | (6,779,090 | ) | 4,653,649 | (1,875,325 | ) | |||||||||||||
From Distributions to Shareholders: | |||||||||||||||||||
Total distributions paid | (1,136,386 | ) | (2,125,079 | ) | (571,080 | ) | (104,521 | ) | |||||||||||
From Shares of Beneficial Interest: | |||||||||||||||||||
Proceeds from shares sold | |||||||||||||||||||
Class I | 950,665 | 60,544,967 | 162,453 | 154,274 | |||||||||||||||
Class II | 767,631 | 34,653,907 | 460,155 | 5,930,065 | |||||||||||||||
Reinvestment of distributions | |||||||||||||||||||
Class I | 925,644 | 1,648,223 | 311,529 | 65,101 | |||||||||||||||
Class II | 210,742 | 476,857 | 259,551 | 39,420 | |||||||||||||||
Cost of shares redeemed | |||||||||||||||||||
Class I | (24,967,414 | ) | (23,194,442 | ) | (1,731,313 | ) | (1,925,214 | ) | |||||||||||
Class II | (7,072,756 | ) | (7,045,289 | ) | (1,386,644 | ) | (1,470,068 | ) | |||||||||||
Net increase/(decrease) in net assets from share transactions of beneficial interest | (29,185,488 | ) | 67,084,223 | (1,924,269 | ) | 2,793,578 | |||||||||||||
Total increase in net assets | 22,296,613 | 58,180,054 | 2,158,300 | 813,732 | |||||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of year | 169,438,101 | 111,258,047 | 16,345,669 | 15,531,937 | |||||||||||||||
End of year | $ | 191,734,714 | $ | 169,438,101 | $ | 18,503,969 | $ | 16,345,669 | |||||||||||
Share Activity: | |||||||||||||||||||
Class I | |||||||||||||||||||
Share sold | 76,121 | 5,651,636 | 14,637 | 14,058 | |||||||||||||||
Shares reinvested | 74,529 | 160,177 | 28,739 | 6,523 | |||||||||||||||
Shares redeemed | (2,066,657 | ) | (2,110,745 | ) | (162,834 | ) | (182,058 | ) | |||||||||||
Net increase (decrease) in shares of beneficial interest outstanding | (1,916,007 | ) | 3,701,068 | (119,458 | ) | (161,477 | ) | ||||||||||||
Share Activity: | |||||||||||||||||||
Class II | |||||||||||||||||||
Shares sold | 63,573 | 3,246,172 | 42,771 | 556,716 | |||||||||||||||
Shares reinvested | 16,968 | 46,342 | 23,966 | 3,950 | |||||||||||||||
Shares redeemed | (588,096 | ) | (641,559 | ) | (129,724 | ) | (138,711 | ) | |||||||||||
Net increase/(decrease) in shares of beneficial interest outstanding | (507,555 | ) | 2,650,955 | (62,987 | ) | 421,955 |
See accompanying notes to financial statements.
124
Global Atlantic Portfolios
Statements of Changes in Net Assets (Continued)
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | Global Atlantic BlackRock Disciplined Value 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 | $ | 364,714 | $ | 364,690 | $ | 5,699,818 | $ | 5,777,992 | |||||||||||
Net realized gain (loss) | 1,090,897 | 54,199 | 11,067,923 | (2,539,434 | ) | ||||||||||||||
Net change in unrealized appreciation (depreciation) | 4,749,007 | (1,588,092 | ) | 43,792,649 | (25,151,739 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 6,204,618 | (1,169,203 | ) | 60,560,390 | (21,913,181 | ) | |||||||||||||
From Distributions to Shareholders: | |||||||||||||||||||
Total distributions paid | (564,891 | ) | (520,852 | ) | (5,750,591 | ) | (6,273,213 | ) | |||||||||||
From Shares of Beneficial Interest: | |||||||||||||||||||
Proceeds from shares sold | |||||||||||||||||||
Class I | 849,779 | 464,122 | 840,087 | 5,139,697 | |||||||||||||||
Class II | 481,432 | 3,681,529 | 89,913 | 132,447 | |||||||||||||||
Reinvestment of distributions | |||||||||||||||||||
Class I | 491,282 | 450,406 | 5,610,248 | 6,102,375 | |||||||||||||||
Class II | 73,609 | 70,446 | 140,343 | 170,839 | |||||||||||||||
Cost of shares redeemed | |||||||||||||||||||
Class I | (3,385,569 | ) | (3,743,802 | ) | (41,483,513 | ) | (45,420,543 | ) | |||||||||||
Class II | (493,930 | ) | (640,775 | ) | (1,539,753 | ) | (1,820,772 | ) | |||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | (1,983,397 | ) | 281,926 | (36,342,675 | ) | (35,695,957 | ) | ||||||||||||
Total increase (decrease) in net assets | 3,656,330 | (1,408,129 | ) | 18,467,124 | (63,882,351 | ) | |||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of year | 21,928,006 | 23,336,135 | 255,301,850 | 319,184,201 | |||||||||||||||
End of year | $ | 25,584,336 | $ | 21,928,006 | $ | 273,768,974 | $ | 255,301,850 | |||||||||||
Share Activity: | |||||||||||||||||||
Class I | |||||||||||||||||||
Share sold | 75,467 | 43,680 | 80,177 | 488,141 | |||||||||||||||
Shares reinvested | 42,720 | 44,157 | 513,289 | 616,402 | |||||||||||||||
Shares redeemed | (298,716 | ) | (347,902 | ) | (3,868,302 | ) | (4,342,073 | ) | |||||||||||
Net decrease in shares of beneficial interest outstanding | (180,529 | ) | (260,065 | ) | (3,274,836 | ) | (3,237,530 | ) | |||||||||||
Share Activity: | |||||||||||||||||||
Class II | |||||||||||||||||||
Shares sold | 43,025 | 340,460 | 8,362 | 12,505 | |||||||||||||||
Shares reinvested | 6,406 | 6,913 | 12,828 | 17,239 | |||||||||||||||
Shares redeemed | (44,494 | ) | (61,079 | ) | (143,258 | ) | (181,213 | ) | |||||||||||
Net increase (decrease) in shares of beneficial interest outstanding | 4,937 | 286,294 | (122,068 | ) | (151,469 | ) |
See accompanying notes to financial statements.
125
Global Atlantic Portfolios
Statements of Changes in Net Assets (Continued)
Global Atlantic BlackRock High Yield Portfolio | Global Atlantic Goldman Sachs Core Fixed Income 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 | $ | 3,706,182 | $ | 4,220,540 | $ | 2,414,279 | $ | 2,165,503 | |||||||||||
Net realized gain (loss) | (2,252,262 | ) | (1,733,564 | ) | 3,294,619 | (1,229,099 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation) | 8,632,431 | (5,876,562 | ) | 2,642,284 | (186,486 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 10,086,351 | (3,389,586 | ) | 8,351,182 | 749,918 | ||||||||||||||
From Distributions to Shareholders: | |||||||||||||||||||
Total distributions paid | (4,220,855 | ) | (483,027 | ) | (2,193,008 | ) | (47,084 | ) | |||||||||||
From Shares of Beneficial Interest: | |||||||||||||||||||
Proceeds from shares sold | |||||||||||||||||||
Class I | 6,574,298 | 8,510,950 | 4,326,942 | 71,228,815 | |||||||||||||||
Class II | 18,193 | 43,566 | - | - | |||||||||||||||
Reinvestment of distributions | |||||||||||||||||||
Class I | 4,170,653 | 475,788 | 2,193,008 | 47,084 | |||||||||||||||
Class II | 50,202 | 7,239 | - | - | |||||||||||||||
Cost of shares redeemed | |||||||||||||||||||
Class I | (15,055,923 | ) | (18,991,102 | ) | (14,931,782 | ) | (14,478,734 | ) | |||||||||||
Class II | (321,543 | ) | (322,915 | ) | (10 | ) | - | ||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | (4,564,120 | ) | (10,276,474 | ) | (8,411,842 | ) | 56,797,165 | ||||||||||||
Total increase (decrease) in net assets | 1,301,376 | (14,149,087 | ) | (2,253,668 | ) | 57,499,999 | |||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of year | 70,325,933 | 84,475,020 | 92,759,557 | 35,259,558 | |||||||||||||||
End of year | $ | 71,627,309 | $ | 70,325,933 | $ | 90,505,889 | $ | 92,759,557 | |||||||||||
Share Activity: | |||||||||||||||||||
Class I | |||||||||||||||||||
Share sold | 639,059 | 861,033 | 414,744 | 7,289,283 | |||||||||||||||
Shares reinvested | 415,818 | 48,649 | 208,065 | 4,829 | |||||||||||||||
Shares redeemed | (1,468,904 | ) | (1,938,480 | ) | (1,428,458 | ) | (1,478,494 | ) | |||||||||||
Net increase (decrease) in shares of beneficial interest outstanding | (414,027 | ) | (1,028,798 | ) | (805,649 | ) | 5,815,618 | ||||||||||||
Share Activity: | |||||||||||||||||||
Class II | |||||||||||||||||||
Shares sold | 1,791 | 4,390 | - | - | |||||||||||||||
Shares reinvested | 5,010 | 742 | - | - | |||||||||||||||
Shares redeemed | (32,225 | ) | (32,950 | ) | (1 | ) | - | ||||||||||||
Net decrease in shares of beneficial interest outstanding | (25,424 | ) | (27,818 | ) | (1 | ) | - |
See accompanying notes to financial statements.
126
Global Atlantic Portfolios
Statements of Changes in Net Assets (Continued)
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | Global Atlantic Goldman Sachs Large Cap Growth Insights 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 | $ | 378,971 | $ | 392,332 | $ | 678,224 | $ | 756,082 | |||||||||||
Net realized gain (loss) | (117,028 | ) | (537,574 | ) | 4,637,091 | 1,091,018 | |||||||||||||
Net change in unrealized appreciation (depreciation) | 5,559,653 | (3,311,680 | ) | 18,078,560 | (5,347,626 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 5,821,596 | (3,456,922 | ) | 23,393,875 | (3,500,526 | ) | |||||||||||||
From Distributions to Shareholders: | |||||||||||||||||||
Total distributions paid | (369,107 | ) | (406,910 | ) | (2,122,032 | ) | (1,225,121 | ) | |||||||||||
From Shares of Beneficial Interest: | |||||||||||||||||||
Proceeds from shares sold | |||||||||||||||||||
Class I | 366,317 | 762,193 | 384,001 | 11,264,824 | |||||||||||||||
Class II | 303,097 | 11,946,181 | 513,720 | 4,150,216 | |||||||||||||||
Reinvestment of distributions | |||||||||||||||||||
Class I | 222,785 | 239,600 | 2,034,016 | 1,181,346 | |||||||||||||||
Class II | 146,322 | 167,310 | 88,016 | 43,775 | |||||||||||||||
Cost of shares redeemed | |||||||||||||||||||
Class I | (3,279,585 | ) | (3,663,162 | ) | (17,825,720 | ) | (15,403,543 | ) | |||||||||||
Class II | (2,081,522 | ) | (2,600,439 | ) | (661,185 | ) | (522,157 | ) | |||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | (4,322,586 | ) | 6,851,683 | (15,467,152 | ) | 714,461 | |||||||||||||
Total increase (decrease) in net assets | 1,129,903 | 2,987,851 | 5,804,691 | (4,011,186 | ) | ||||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of year | 27,444,673 | 24,456,822 | 81,185,184 | 85,196,370 | |||||||||||||||
End of year | $ | 28,574,576 | $ | 27,444,673 | $ | 86,989,875 | $ | 81,185,184 | |||||||||||
Share Activity: | |||||||||||||||||||
Class I | |||||||||||||||||||
Share sold | 35,299 | 71,956 | 31,833 | 1,025,070 | |||||||||||||||
Shares reinvested | 21,218 | 24,881 | 173,996 | 115,141 | |||||||||||||||
Shares redeemed | (316,492 | ) | (354,007 | ) | (1,551,344 | ) | (1,423,308 | ) | |||||||||||
Net decrease in shares of beneficial interest outstanding | (259,975 | ) | (257,170 | ) | (1,345,515 | ) | (283,097 | ) | |||||||||||
Share Activity: | |||||||||||||||||||
Class II | |||||||||||||||||||
Shares sold | 29,832 | 1,129,288 | 45,220 | 376,728 | |||||||||||||||
Shares reinvested | 13,949 | 17,392 | 7,542 | 4,271 | |||||||||||||||
Shares redeemed | (202,749 | ) | (251,916 | ) | (57,054 | ) | (48,588 | ) | |||||||||||
Net increase (decrease) in shares of beneficial interest outstanding | (158,968 | ) | 894,764 | (4,292 | ) | 332,411 |
See accompanying notes to financial statements.
127
Global Atlantic Portfolios
Statements of Changes in Net Assets (Continued)
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | |||||||||||
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | ||||||||||
Increase/(Decrease) in Net Assets: | |||||||||||
From Operations: | |||||||||||
Net investment income | $ | 1,720,517 | $ | 1,736,542 | |||||||
Net realized loss | (2,439,706 | ) | (252,318 | ) | |||||||
Net change in unrealized appreciation (depreciation) | 24,881,598 | (16,219,628 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | 24,162,409 | (14,735,404 | ) | ||||||||
From Distributions to Shareholders: | |||||||||||
Total distributions paid | (2,671,957 | ) | (1,157,852 | ) | |||||||
From Shares of Beneficial Interest: | |||||||||||
Proceeds from shares sold | |||||||||||
Class I | 502,610 | 608,534 | |||||||||
Class II | 454,307 | 79,279,639 | |||||||||
Reinvestment of distributions | |||||||||||
Class I | 1,117,081 | 516,181 | |||||||||
Class II | 1,554,876 | 641,671 | |||||||||
Cost of shares redeemed | |||||||||||
Class I | (9,183,366 | ) | (11,691,655 | ) | |||||||
Class II | (11,269,119 | ) | (9,860,791 | ) | |||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | (16,823,611 | ) | 59,493,579 | ||||||||
Total increase in net assets | 4,666,841 | 43,600,323 | |||||||||
Net Assets: | |||||||||||
Beginning of year | 124,163,961 | 80,563,638 | |||||||||
End of year | $ | 128,830,802 | $ | 124,163,961 | |||||||
Share Activity: | |||||||||||
Class I | |||||||||||
Share sold | 46,476 | 58,962 | |||||||||
Shares reinvested | 108,244 | 53,380 | |||||||||
Shares redeemed | (899,330 | ) | (1,130,804 | ) | |||||||
Net decrease in shares of beneficial interest outstanding | (744,610 | ) | (1,018,462 | ) | |||||||
Share Activity: | |||||||||||
Class II | |||||||||||
Shares sold | 40,384 | 7,862,414 | |||||||||
Shares reinvested | 150,812 | 66,494 | |||||||||
Shares redeemed | (1,107,479 | ) | (950,389 | ) | |||||||
Net increase (decrease) in shares of beneficial interest outstanding | (916,283 | ) | 6,978,519 |
See accompanying notes to financial statements.
128
Global Atlantic Portfolios
Financial Highlights
Global Atlantic BlackRock Allocation Portfolio
Selected data for a Class I share outstanding throughout each period indicated.
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.62 | $ | 10.19 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b,c) | 0.23 | 0.21 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 1.79 | (0.73 | ) | 0.13 | |||||||||||
Total income (loss) from investment operations | 2.02 | (0.52 | ) | 0.19 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.22 | ) | (0.05 | ) | - | ||||||||||
Net realized gain | - | 0.00 | (d) | - | |||||||||||
Total distributions from net investment income and net realized gains | (0.22 | ) | (0.05 | ) | - | ||||||||||
Net asset value, end of period | $ | 11.42 | $ | 9.62 | $ | 10.19 | |||||||||
Total return (e) | 21.09 | % | (5.14 | )% (j) | 1.90 | % (j) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 66,410 | $ | 63,462 | $ | 75,191 | |||||||||
Ratio of net expenses to average net assets (f) | 0.31 | % | 0.31 | % | 0.31 | % (g) | |||||||||
Ratio of gross expenses to average net assets (f,h) | 0.34 | % | 0.32 | % | 0.32 | % (g) | |||||||||
Ratio of net investment income to average net assets (c,f) | 2.15 | % | 2.06 | % | 4.15 | % (g) | |||||||||
Portfolio turnover rate | 61 | % | 54 | % | 2 | % (i) |
(a) Global Atlantic BlackRock Allocation Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(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.
(j) For the period ended December 31, 2017 and the year ended December 31, 2018, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
See accompanying notes to financial statements.
129
Global Atlantic Portfolios
Financial Highlights
Global Atlantic BlackRock 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 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.61 | $ | 10.18 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b,c) | 0.21 | 0.20 | 0.14 | ||||||||||||
Net realized and unrealized gain (loss) | 1.78 | (0.74 | ) | 0.04 | |||||||||||
Total income (loss) from investment operations | 1.99 | (0.54 | ) | 0.18 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.21 | ) | (0.03 | ) | - | ||||||||||
Net realized gain | - | 0.00 | (d) | - | |||||||||||
Total distributions from net investment income and net realized gains | (0.21 | ) | (0.03 | ) | - | ||||||||||
Net asset value, end of period | $ | 11.39 | $ | 9.61 | $ | 10.18 | |||||||||
Total return (e) | 20.82 | % | (5.33 | )% (j) | 1.80 | % (j) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 15,568 | $ | 13,806 | $ | 9,034 | |||||||||
Ratio of net expenses to average net assets (f) | 0.56 | % | 0.56 | % | 0.56 | % (g) | |||||||||
Ratio of gross expenses to average net assets (f,h) | 0.59 | % | 0.57 | % | 0.56 | % (g) | |||||||||
Ratio of net investment income to average net assets (c,f) | 1.91 | % | 1.99 | % | 9.11 | % (g) | |||||||||
Portfolio turnover rate | 61 | % | 54 | % | 2 | % (i) |
(a) Global Atlantic BlackRock Allocation Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(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.
(j) For the period ended December 31, 2017 and the year ended December 31, 2018, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
See accompanying notes to financial statements.
130
Global Atlantic Portfolios
Financial Highlights
Global Atlantic BlackRock Disciplined Core Portfolio
Selected data for a Class I share outstanding throughout each period indicated.
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.74 | $ | 10.38 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.17 | 0.16 | 0.03 | ||||||||||||
Net realized and unrealized gain (loss) | 2.66 | (0.64 | ) | 0.35 | |||||||||||
Total income (loss) from investment operations | 2.83 | (0.48 | ) | 0.38 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.18 | ) | (0.12 | ) | - | ||||||||||
Net realized gain | - | (0.04 | ) | - | |||||||||||
Total distributions from net investment income and net realized gains | (0.18 | ) | (0.16 | ) | - | ||||||||||
Net asset value, end of period | $ | 12.39 | $ | 9.74 | $ | 10.38 | |||||||||
Total return (c) | 29.21 | % | (4.75 | )% (d) | 3.80 | % (d) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 547,724 | $ | 486,491 | $ | 315,936 | |||||||||
Ratio of net expenses to average net assets | 0.48 | % | 0.48 | % | 0.48 | % (e) | |||||||||
Ratio of gross expenses to average net assets (f) | 0.50 | % | 0.49 | % | 0.48 | % (e) | |||||||||
Ratio of net investment income to average net assets | 1.53 | % | 1.51 | % | 1.67 | % (e) | |||||||||
Portfolio turnover rate | 130 | % | 156 | % | 18 | % (g) |
(a) Global Atlantic BlackRock Disciplined Core Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) For the period ended December 31, 2017 and the year ended December 31, 2018, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
(e) Annualized.
(f) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(g) Not annualized.
See accompanying notes to financial statements.
131
Global Atlantic Portfolios
Financial Highlights
Global Atlantic BlackRock Disciplined Core 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 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.72 | $ | 10.37 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.14 | 0.13 | 0.02 | ||||||||||||
Net realized and unrealized gain (loss) | 2.66 | (0.65 | ) | 0.35 | |||||||||||
Total income (loss) from investment operations | 2.80 | (0.52 | ) | 0.37 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.15 | ) | (0.09 | ) | - | ||||||||||
Net realized gain | - | (0.04 | ) | - | |||||||||||
Total distributions from net investment income and net realized gains | (0.15 | ) | (0.13 | ) | - | ||||||||||
Net asset value, end of period | $ | 12.37 | $ | 9.72 | $ | 10.37 | |||||||||
Total return (c) | 28.94 | % | (5.06 | )% (d) | 3.70 | % (d) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 35,116 | $ | 32,442 | $ | 36,674 | |||||||||
Ratio of net expenses to average net assets | 0.73 | % | 0.73 | % | 0.72 | % (e) | |||||||||
Ratio of gross expenses to average net assets (f) | 0.75 | % | 0.74 | % | 0.72 | % (e) | |||||||||
Ratio of net investment income to average net assets | 1.28 | % | 1.24 | % | 1.00 | % (e) | |||||||||
Portfolio turnover rate | 130 | % | 156 | % | 18 | % (g) |
(a) Global Atlantic BlackRock Disciplined Core Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) For the period ended December 31, 2017 and the year ended December 31, 2018, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
(e) Annualized.
(f) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(g) Not annualized.
See accompanying notes to financial statements.
132
Global Atlantic Portfolios
Financial Highlights
Global Atlantic BlackRock Disciplined Growth 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 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.85 | $ | 10.32 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.07 | 0.08 | 0.02 | ||||||||||||
Net realized and unrealized gain (loss) | 3.18 | (0.38 | ) | 0.30 | |||||||||||
Total income (loss) from investment operations | 3.25 | (0.30 | ) | 0.32 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.06 | ) | (0.08 | ) | - | ||||||||||
Net realized gain | (0.38 | ) | (0.09 | ) | - | ||||||||||
Total distributions from net investment income and net realized gains | (0.44 | ) | (0.17 | ) | - | ||||||||||
Net asset value, end of period | $ | 12.66 | $ | 9.85 | $ | 10.32 | |||||||||
Total return (c) | 33.38 | % | (2.98 | )% | 3.20 | % (g) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 18,077 | $ | 15,807 | $ | 20,534 | |||||||||
Ratio of net expenses to average net assets | 0.79 | % | 0.79 | % | 0.79 | % (d) | |||||||||
Ratio of gross expenses to average net assets (e) | 0.85 | % | 0.81 | % | 0.80 | % (d) | |||||||||
Ratio of net investment income to average net assets | 0.58 | % | 0.75 | % | 1.14 | % (d) | |||||||||
Portfolio turnover rate | 144 | % | 156 | % | 23 | % (f) |
(a) Global Atlantic BlackRock Disciplined Growth Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) Annualized.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Not annualized.
(g) For the period ended December 31, 2017, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
See accompanying notes to financial statements.
133
Global Atlantic Portfolios
Financial Highlights
Global Atlantic BlackRock Disciplined International Core Portfolio
Selected data for a Class I share outstanding throughout each period indicated.
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 8.50 | $ | 10.20 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b,c) | 0.25 | 0.23 | 0.03 | ||||||||||||
Net realized and unrealized gain (loss) | 1.48 | (1.74 | ) | 0.17 | |||||||||||
Total income (loss) from investment operations | 1.73 | (1.51 | ) | 0.20 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.25 | ) | (0.19 | ) | - | ||||||||||
Net realized gain | - | 0.00 | (k) | - | |||||||||||
Total distributions from net investment income and net realized gains | (0.25 | ) | (0.19 | ) | - | ||||||||||
Net asset value, end of period | $ | 9.98 | $ | 8.50 | $ | 10.20 | |||||||||
Total return (d) | 20.50 | % | (14.80 | )% (j) | 2.00 | % (i) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 105,876 | $ | 98,694 | $ | 67,071 | |||||||||
Ratio of net expenses to average net assets (e) | 0.69 | % | 0.69 | % | 0.69 | % (g) | |||||||||
Ratio of gross expenses to average net assets (e,f) | 0.72 | % | 0.70 | % | 0.69 | % (g) | |||||||||
Ratio of net investment income to average net assets (c,e) | 2.61 | % | 2.30 | % | 1.99 | % (g) | |||||||||
Portfolio turnover rate | 86 | % | 67 | % | 4 | % (h) |
(a) Global Atlantic BlackRock Disciplined International Core Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(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 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) Annualized.
(h) Not annualized.
(i) For the period ended December 31, 2017, 0.13% of the Portfolio's total return consisted of a reimbursement from an affiliate. Excluding this item, total return would have been 1.87%.
(j) For the year ended December 31, 2018, 0.10% of the Portfolio's total return consisted of a reimbursement from an affiliate. Excluding this item, total return would have been (14.90)%.
(k) Less than $0.005 per share.
See accompanying notes to financial statements.
134
Global Atlantic Portfolios
Financial Highlights
Global Atlantic BlackRock Disciplined International Core 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 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 8.49 | $ | 10.19 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b,c) | 0.22 | 0.22 | 0.05 | ||||||||||||
Net realized and unrealized gain (loss) | 1.48 | (1.74 | ) | 0.14 | |||||||||||
Total income (loss) from investment operations | 1.70 | (1.52 | ) | 0.19 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.22 | ) | (0.18 | ) | - | ||||||||||
Net realized gain | - | 0.00 | (k) | - | |||||||||||
Total distributions from net investment income and net realized gains | (0.22 | ) | (0.18 | ) | - | ||||||||||
Net asset value, end of period | $ | 9.97 | $ | 8.49 | $ | 10.19 | |||||||||
Total return (d) | 20.22 | % | (14.95 | )% (j) | 1.90 | % (i) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 42,714 | $ | 41,052 | $ | 5,097 | |||||||||
Ratio of net expenses to average net assets (e) | 0.94 | % | 0.94 | % | 0.93 | % (g) | |||||||||
Ratio of gross expenses to average net assets (e,f) | 0.97 | % | 0.95 | % | 0.93 | % (g) | |||||||||
Ratio of net investment income to average net assets (c,e) | 2.36 | % | 2.23 | % | 3.34 | % (g) | |||||||||
Portfolio turnover rate | 86 | % | 67 | % | 4 | % (h) |
(a) Global Atlantic BlackRock Disciplined International Core Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(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 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) Annualized.
(h) Not annualized.
(i) For the period ended December 31, 2017, the Portfolio received a reimbursement from a related party. This reimbursement had no impact on the Portfolio's total return.
(j) For the year ended December 31, 2018, 0.10% of the Portfolio's total return consisted of a reimbursement from an affiliate. Excluding this item, total return would have been (15.05)%.
(k) Less than $0.005 per share.
See accompanying notes to financial statements.
135
Global Atlantic Portfolios
Financial Highlights
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio
Selected data for a Class I share outstanding throughout each period indicated.
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.91 | $ | 10.35 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.05 | 0.11 | 0.01 | ||||||||||||
Net realized and unrealized gain (loss) | 3.18 | (0.43 | ) | 0.34 | |||||||||||
Total income (loss) from investment operations | 3.23 | (0.32 | ) | 0.35 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.03 | ) | (0.09 | ) | - | ||||||||||
Net realized gain | (0.05 | ) | (0.03 | ) | - | ||||||||||
Total distributions from net investment income and net realized gains | (0.08 | ) | (0.12 | ) | - | ||||||||||
Net asset value, end of period | $ | 13.06 | $ | 9.91 | $ | 10.35 | |||||||||
Total return (c) | 32.68 | % | (3.07 | )% (g) | 3.50 | % (g) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 141,289 | $ | 126,149 | $ | 93,457 | |||||||||
Ratio of net expenses to average net assets | 0.63 | % | 0.63 | % | 0.63 | % (d) | |||||||||
Ratio of gross expenses to average net assets (e) | 0.66 | % | 0.65 | % | 0.64 | % (d) | |||||||||
Ratio of net investment income to average net assets | 0.44 | % | 0.99 | % | 0.79 | % (d) | |||||||||
Portfolio turnover rate | 148 | % | 168 | % | 26 | % (f) |
(a) Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) Annualized.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Not annualized.
(g) For the period ended December 31, 2017 and the year ended December 31, 2018, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
See accompanying notes to financial statements.
136
Global Atlantic Portfolios
Financial Highlights
Global Atlantic BlackRock Disciplined Mid Cap Growth 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 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.90 | $ | 10.35 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.02 | 0.08 | 0.01 | ||||||||||||
Net realized and unrealized gain (loss) | 3.19 | (0.43 | ) | 0.34 | |||||||||||
Total income (loss) from investment operations | 3.21 | (0.35 | ) | 0.35 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.00 | ) (h) | (0.07 | ) | - | ||||||||||
Net realized gain | (0.05 | ) | (0.03 | ) | - | ||||||||||
Total distributions from net investment income and net realized gains | (0.05 | ) | (0.10 | ) | - | ||||||||||
Net asset value, end of period | $ | 13.06 | $ | 9.90 | $ | 10.35 | |||||||||
Total return (c) | 32.48 | % | (3.35 | )% (g) | 3.50 | % (g) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 50,446 | $ | 43,290 | $ | 17,801 | |||||||||
Ratio of net expenses to average net assets | 0.88 | % | 0.88 | % | 0.88 | % (d) | |||||||||
Ratio of gross expenses to average net assets (e) | 0.91 | % | 0.90 | % | 0.89 | % (d) | |||||||||
Ratio of net investment income to average net assets | 0.19 | % | 0.77 | % | 0.41 | % (d) | |||||||||
Portfolio turnover rate | 148 | % | 168 | % | 26 | % (f) |
(a) Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) Annualized.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Not annualized.
(g) For the period ended December 31, 2017 and the year ended December 31, 2018, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
(h) Less than $0.005 per share.
See accompanying notes to financial statements.
137
Global Atlantic Portfolios
Financial Highlights
Global Atlantic BlackRock Disciplined Small Cap Portfolio
Selected data for a Class I share outstanding throughout each period indicated.
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.19 | $ | 10.22 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.08 | 0.07 | 0.01 | ||||||||||||
Net realized and unrealized gain (loss) | 2.69 | (1.04 | ) | 0.21 | |||||||||||
Total income (loss) from investment operations | 2.77 | (0.97 | ) | 0.22 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.09 | ) | (0.03 | ) | - | ||||||||||
Net realized gain | (0.28 | ) | (0.03 | ) | - | ||||||||||
Total distributions from net investment income and net realized gains | (0.37 | ) | (0.06 | ) | - | ||||||||||
Net asset value, end of period | $ | 11.59 | $ | 9.19 | $ | 10.22 | |||||||||
Total return (c) | 30.46 | % | (9.49 | )% (g) | 2.20 | % (g) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 9,732 | $ | 8,813 | $ | 11,457 | |||||||||
Ratio of net expenses to average net assets | 0.63 | % | 0.63 | % | 0.63 | % (d) | |||||||||
Ratio of gross expenses to average net assets (e) | 0.69 | % | 0.65 | % | 0.64 | % (d) | |||||||||
Ratio of net investment income to average net assets | 0.75 | % | 0.67 | % | 0.89 | % (d) | |||||||||
Portfolio turnover rate | 41 | % | 40 | % | 15 | % (f) |
(a) Global Atlantic BlackRock Disciplined Small Cap Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) Annualized.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Not annualized.
(g) For the period ended December 31, 2017 and the year ended December 31, 2018, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
See accompanying notes to financial statements.
138
Global Atlantic Portfolios
Financial Highlights
Global Atlantic BlackRock Disciplined Small Cap 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 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.18 | $ | 10.22 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.05 | 0.05 | 0.01 | ||||||||||||
Net realized and unrealized gain (loss) | 2.69 | (1.05 | ) | 0.21 | |||||||||||
Total income (loss) from investment operations | 2.74 | (1.00 | ) | 0.22 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.06 | ) | (0.01 | ) | - | ||||||||||
Net realized gain | (0.28 | ) | (0.03 | ) | - | ||||||||||
Total distributions from net investment income and net realized gains | (0.34 | ) | (0.04 | ) | - | ||||||||||
Net asset value, end of period | $ | 11.58 | $ | 9.18 | $ | 10.22 | |||||||||
Total return (c) | 30.17 | % | (9.75 | )% (g) | 2.20 | % (g) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 8,772 | $ | 7,533 | $ | 4,075 | |||||||||
Ratio of net expenses to average net assets | 0.88 | % | 0.88 | % | 0.87 | % (d) | |||||||||
Ratio of gross expenses to average net assets (e) | 0.94 | % | 0.90 | % | 0.87 | % (d) | |||||||||
Ratio of net investment income to average net assets | 0.50 | % | 0.44 | % | 0.75 | % (d) | |||||||||
Portfolio turnover rate | 41 | % | 40 | % | 15 | % (f) |
(a) Global Atlantic BlackRock Disciplined Small Cap Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) Annualized.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Not annualized.
(g) For the period ended December 31, 2017 and the year ended December 31, 2018, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
See accompanying notes to financial statements.
139
Global Atlantic Portfolios
Financial Highlights
Global Atlantic BlackRock Disciplined U.S. Core Portfolio
Selected data for a Class I share outstanding throughout each period indicated.
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.66 | $ | 10.40 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.17 | 0.16 | 0.03 | ||||||||||||
Net realized and unrealized gain (loss) | 2.66 | (0.67 | ) | 0.37 | |||||||||||
Total income (loss) from investment operations | 2.83 | (0.51 | ) | 0.40 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.18 | ) | (0.14 | ) | - | ||||||||||
Net realized gain | (0.10 | ) | (0.09 | ) | - | ||||||||||
Total distributions from net investment income and net realized gains | (0.28 | ) | (0.23 | ) | - | ||||||||||
Net asset value, end of period | $ | 12.21 | $ | 9.66 | $ | 10.40 | |||||||||
Total return (c) | 29.41 | % | (5.03 | )% (g) | 4.00 | % (g) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 21,776 | $ | 18,963 | $ | 23,118 | |||||||||
Ratio of net expenses to average net assets | 0.48 | % | 0.48 | % | 0.48 | % (d) | |||||||||
Ratio of gross expenses to average net assets (e) | 0.52 | % | 0.50 | % | 0.49 | % (d) | |||||||||
Ratio of net investment income to average net assets | 1.52 | % | 1.48 | % | 1.88 | % (d) | |||||||||
Portfolio turnover rate | 142 | % | 172 | % | 24 | % (f) |
(a) Global Atlantic BlackRock Disciplined U.S. Core Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) Annualized.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Not annualized.
(g) For the period ended December 31, 2017 and the year ended December 31, 2018, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
See accompanying notes to financial statements.
140
Global Atlantic Portfolios
Financial Highlights
Global Atlantic BlackRock Disciplined U.S. Core 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 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.65 | $ | 10.39 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.14 | 0.14 | 0.02 | ||||||||||||
Net realized and unrealized gain (loss) | 2.66 | (0.67 | ) | 0.37 | |||||||||||
Total income (loss) from investment operations | 2.80 | (0.53 | ) | 0.39 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.15 | ) | (0.12 | ) | - | ||||||||||
Net realized gain | (0.10 | ) | (0.09 | ) | - | ||||||||||
Total distributions from net investment income and net realized gains | (0.25 | ) | (0.21 | ) | - | ||||||||||
Net asset value, end of period | $ | 12.20 | $ | 9.65 | $ | 10.39 | |||||||||
Total return (c) | 29.13 | % | (5.17 | )% (g) | 3.90 | % (g) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 3,809 | $ | 2,965 | $ | 218 | |||||||||
Ratio of net expenses to average net assets | 0.73 | % | 0.73 | % | 0.72 | % (d) | |||||||||
Ratio of gross expenses to average net assets (e) | 0.78 | % | 0.75 | % | 0.72 | % (d) | |||||||||
Ratio of net investment income to average net assets | 1.28 | % | 1.25 | % | 0.98 | % (d) | |||||||||
Portfolio turnover rate | 142 | % | 172 | % | 24 | % (f) |
(a) Global Atlantic BlackRock Disciplined U.S. Core Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) Annualized.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Not annualized.
(g) For the period ended December 31, 2017 and the year ended December 31, 2018, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
See accompanying notes to financial statements.
141
Global Atlantic Portfolios
Financial Highlights
Global Atlantic BlackRock Disciplined Value Portfolio
Selected data for a Class I share outstanding throughout each period indicated.
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.39 | $ | 10.44 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.23 | 0.20 | 0.03 | ||||||||||||
Net realized and unrealized gain (loss) | 2.13 | (1.02 | ) | 0.41 | |||||||||||
Total income (loss) from investment operations | 2.36 | (0.82 | ) | 0.44 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.24 | ) | (0.16 | ) | - | ||||||||||
Net realized gain | - | (0.07 | ) | - | |||||||||||
Total distributions from net investment income and net realized gains | (0.24 | ) | (0.23 | ) | - | ||||||||||
Net asset value, end of period | $ | 11.51 | $ | 9.39 | $ | 10.44 | |||||||||
Total return (c) | 25.28 | % | (7.97 | )% (g) | 4.40 | % (g) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 266,399 | $ | 248,141 | $ | 309,640 | |||||||||
Ratio of net expenses to average net assets | 0.54 | % | 0.54 | % | 0.54 | % (d) | |||||||||
Ratio of gross expenses to average net assets (e) | 0.56 | % | 0.55 | % | 0.54 | % (d) | |||||||||
Ratio of net investment income to average net assets | 2.11 | % | 1.93 | % | 1.99 | % (d) | |||||||||
Portfolio turnover rate | 132 | % | 140 | % | 17 | % (f) |
(a) Global Atlantic BlackRock Disciplined Value Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) Annualized.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Not annualized.
(g) For the period ended December 31, 2017 and the year ended December 31, 2018, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
See accompanying notes to financial statements.
142
Global Atlantic Portfolios
Financial Highlights
Global Atlantic BlackRock Disciplined Value 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 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.40 | $ | 10.45 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.20 | 0.18 | 0.02 | ||||||||||||
Net realized and unrealized gain (loss) | 2.13 | (1.02 | ) | 0.43 | |||||||||||
Total income (loss) from investment operations | 2.33 | (0.84 | ) | 0.45 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.21 | ) | (0.14 | ) | - | ||||||||||
Net realized gain | - | (0.07 | ) | - | |||||||||||
Total distributions from net investment income and net realized gains | (0.21 | ) | (0.21 | ) | - | ||||||||||
Net asset value, end of period | $ | 11.52 | $ | 9.40 | $ | 10.45 | |||||||||
Total return (c) | 24.92 | % | (8.16 | )% (g) | 4.50 | % (g) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 7,370 | $ | 7,160 | $ | 9,545 | |||||||||
Ratio of net expenses to average net assets | 0.79 | % | 0.79 | % | 0.78 | % (d) | |||||||||
Ratio of gross expenses to average net assets (e) | 0.81 | % | 0.80 | % | 0.78 | % (d) | |||||||||
Ratio of net investment income to average net assets | 1.86 | % | 1.68 | % | 1.34 | % (d) | |||||||||
Portfolio turnover rate | 132 | % | 140 | % | 17 | % (f) |
(a) Global Atlantic BlackRock Disciplined Value Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) Annualized.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Not annualized.
(g) For the period ended December 31, 2017 and the year ended December 31, 2018, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
See accompanying notes to financial statements.
143
Global Atlantic Portfolios
Financial Highlights
Global Atlantic BlackRock High Yield Portfolio
Selected data for a Class I share outstanding throughout each period indicated.
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.43 | $ | 9.92 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.52 | 0.52 | 0.07 | ||||||||||||
Net realized and unrealized gain (loss) | 0.89 | (0.95 | ) | (0.15 | ) | ||||||||||
Total income (loss) from investment operations | 1.41 | (0.43 | ) | (0.08 | ) | ||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.63 | ) | (0.06 | ) | - | ||||||||||
Total distributions from net investment income and net realized gains | (0.63 | ) | (0.06 | ) | - | ||||||||||
Net asset value, end of period | $ | 10.21 | $ | 9.43 | $ | 9.92 | |||||||||
Total return (c) | 15.06 | % | (4.32 | )% | (0.80 | )% (g) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 70,727 | $ | 69,255 | $ | 83,070 | |||||||||
Ratio of net expenses to average net assets | 0.59 | % | 0.59 | % | 0.59 | % (d) | |||||||||
Ratio of gross expenses to average net assets (e) | 0.62 | % | 0.60 | % | 0.59 | % (d) | |||||||||
Ratio of net investment income to average net assets | 5.11 | % | 5.24 | % | 4.54 | % (d) | |||||||||
Portfolio turnover rate | 45 | % | 36 | % | 3 | % (f) |
(a) Global Atlantic BlackRock High Yield Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) Annualized.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Not annualized.
(g) For the period ended December 31, 2017, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
See accompanying notes to financial statements.
144
Global Atlantic Portfolios
Financial Highlights
Global Atlantic BlackRock High Yield 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 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.41 | $ | 9.92 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.50 | 0.49 | 0.07 | ||||||||||||
Net realized and unrealized gain (loss) | 0.87 | (0.94 | ) | (0.15 | ) | ||||||||||
Total income (loss) from investment operations | 1.37 | (0.45 | ) | (0.08 | ) | ||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.59 | ) | (0.06 | ) | - | ||||||||||
Total distributions from net investment income and net realized gains | (0.59 | ) | (0.06 | ) | - | ||||||||||
Net asset value, end of period | $ | 10.19 | $ | 9.41 | $ | 9.92 | |||||||||
Total return (c) | 14.70 | % | (4.56 | )% | (0.80 | )% (g) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 900 | $ | 1,071 | $ | 1,405 | |||||||||
Ratio of net expenses to average net assets | 0.84 | % | 0.84 | % | 0.83 | % (d) | |||||||||
Ratio of gross expenses to average net assets (e) | 0.87 | % | 0.85 | % | 0.83 | % (d) | |||||||||
Ratio of net investment income to average net assets | 4.86 | % | 4.99 | % | 4.31 | % (d) | |||||||||
Portfolio turnover rate | 45 | % | 36 | % | 3 | % (f) |
(a) Global Atlantic BlackRock High Yield Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) Annualized.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Not annualized.
(g) For the period ended December 31, 2017, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
See accompanying notes to financial statements.
145
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Goldman Sachs Core Fixed Income Portfolio
Selected data for a Class I share outstanding throughout each period indicated.
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.92 | $ | 9.98 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.27 | 0.25 | 0.03 | ||||||||||||
Net realized and unrealized gain (loss) | 0.67 | (0.31 | ) | (0.05 | ) | ||||||||||
Total income (loss) from investment operations | 0.94 | (0.06 | ) | (0.02 | ) | ||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.26 | ) | (0.00 | ) (h) | - | ||||||||||
Total distributions from net investment income and net realized gains | (0.26 | ) | - | - | |||||||||||
Net asset value, end of period | $ | 10.60 | $ | 9.92 | $ | 9.98 | |||||||||
Total return (c) | 9.49 | % | (0.55 | )% (g) | (0.20 | )% (g) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 90,506 | $ | 92,760 | $ | 35,260 | |||||||||
Ratio of net expenses to average net assets | 0.43 | % | 0.43 | % | 0.43 | % (d) | |||||||||
Ratio of gross expenses to average net assets (e) | 0.46 | % | 0.44 | % | 0.44 | % (d) | |||||||||
Ratio of net investment income to average net assets | 2.61 | % | 2.51 | % | 1.64 | % (d) | |||||||||
Portfolio turnover rate | 150 | % (i) | 248 | % (i) | 69 | % (f) |
(a) Global Atlantic Goldman Sachs Core Fixed Income Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) Annualized.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Not annualized.
(g) For the period ended December 31, 2017 and the year ended December 31, 2018, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
(h) Less than $0.005 per share.
(i) The portfolio turnover rate excludes mortgage dollar roll transactions for the years ended December 31, 2019 and December 31, 2018. If these were included in the calculation, the portfolio turnover would be 689% and 486%, respectively. See Note 3 in the accompanying notes to financial statements.
See accompanying notes to financial statements.
146
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Goldman Sachs Global Equity Insights Portfolio
Selected data for a Class I share outstanding throughout each period indicated.
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.11 | $ | 10.29 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.15 | 0.14 | 0.02 | ||||||||||||
Net realized and unrealized gain (loss) | 1.90 | (1.18 | ) | 0.27 | |||||||||||
Total income (loss) from investment operations | 2.05 | (1.04 | ) | 0.29 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.15 | ) | (0.12 | ) | - | ||||||||||
Net realized gain | - | (0.02 | ) | - | |||||||||||
Total distributions from net investment income and net realized gains | (0.15 | ) | (0.14 | ) | - | ||||||||||
Net asset value, end of period | $ | 11.01 | $ | 9.11 | $ | 10.29 | |||||||||
Total return (c) | 22.59 | % | (10.20 | )% (d) | 2.90 | % (d) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 15,625 | $ | 15,290 | $ | 19,915 | |||||||||
Ratio of net expenses to average net assets | 0.72 | % | 0.72 | % | 0.72 | % (f) | |||||||||
Ratio of gross expenses to average net assets (e) | 0.78 | % | 0.74 | % | 0.73 | % (f) | |||||||||
Ratio of net investment income to average net assets | 1.42 | % | 1.32 | % | 1.15 | % (f) | |||||||||
Portfolio turnover rate | 146 | % | 138 | % | 11 | % (g) |
(a) Global Atlantic Goldman Sachs Global Equity Insights Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) For the period ended December 31, 2017 and the year ended December 31, 2018, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Annualized.
(g) Not annualized.
See accompanying notes to financial statements.
147
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Goldman Sachs Global Equity Insights 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 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.09 | $ | 10.28 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.12 | 0.12 | 0.01 | ||||||||||||
Net realized and unrealized gain (loss) | 1.91 | (1.19 | ) | 0.27 | |||||||||||
Total income (loss) from investment operations | 2.03 | (1.07 | ) | 0.28 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.12 | ) | (0.10 | ) | - | ||||||||||
Net realized gain | - | (0.02 | ) | - | |||||||||||
Total distributions from net investment income and net realized gains | (0.12 | ) | (0.12 | ) | - | ||||||||||
Net asset value, end of period | $ | 11.00 | $ | 9.09 | $ | 10.28 | |||||||||
Total return (c) | 22.43 | % | (10.47 | )% (d) | 2.80 | % (d) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 12,950 | $ | 12,154 | $ | 4,542 | |||||||||
Ratio of net expenses to average net assets | 0.97 | % | 0.97 | % | 0.96 | % (f) | |||||||||
Ratio of gross expenses to average net assets (e) | 1.03 | % | 0.99 | % | 0.96 | % (f) | |||||||||
Ratio of net investment income to average net assets | 1.17 | % | 1.12 | % | 0.74 | % (f) | |||||||||
Portfolio turnover rate | 146 | % | 138 | % | 11 | % (g) |
(a) Global Atlantic Goldman Sachs Global Equity Insights Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) For the period ended December 31, 2017 and the year ended December 31, 2018, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Annualized.
(g) Not annualized.
See accompanying notes to financial statements.
148
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio
Selected data for a Class I share outstanding throughout each period indicated.
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.76 | $ | 10.30 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.09 | 0.09 | 0.02 | ||||||||||||
Net realized and unrealized gain (loss) | 2.93 | (0.48 | ) | 0.28 | |||||||||||
Total income (loss) from investment operations | 3.02 | (0.39 | ) | 0.30 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.10 | ) | (0.09 | ) | - | ||||||||||
Net realized gain | (0.20 | ) | (0.06 | ) | - | ||||||||||
Total distributions from net investment income and net realized gains | (0.30 | ) | (0.15 | ) | - | ||||||||||
Net asset value, end of period | $ | 12.48 | $ | 9.76 | $ | 10.30 | |||||||||
Total return (c) | 31.14 | % | (3.89 | )% (d) | 3.00 | % (d) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 82,880 | $ | 77,930 | $ | 85,178 | |||||||||
Ratio of net expenses to average net assets | 0.46 | % | 0.46 | % | 0.46 | % (f) | |||||||||
Ratio of gross expenses to average net assets (e) | 0.48 | % | 0.47 | % | 0.47 | % (f) | |||||||||
Ratio of net investment income to average net assets | 0.79 | % | 0.81 | % | 1.41 | % (f) | |||||||||
Portfolio turnover rate | 200 | % | 192 | % | 21 | % (g) |
(a) Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) For the period ended December 31, 2017 and the year ended December 31, 2018, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Annualized.
(g) Not annualized.
See accompanying notes to financial statements.
149
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Goldman Sachs Large Cap Growth Insights 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 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.74 | $ | 10.29 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.06 | 0.06 | 0.02 | ||||||||||||
Net realized and unrealized gain (loss) | 2.93 | (0.48 | ) | 0.27 | |||||||||||
Total income (loss) from investment operations | 2.99 | (0.42 | ) | 0.29 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.07 | ) | (0.07 | ) | - | ||||||||||
Net realized gain | (0.20 | ) | (0.06 | ) | - | ||||||||||
Total distributions from net investment income and net realized gains | (0.27 | ) | (0.13 | ) | - | ||||||||||
Net asset value, end of period | $ | 12.46 | $ | 9.74 | $ | 10.29 | |||||||||
Total return (c) | 30.89 | % | (4.13 | )% (d) | 2.90 | % (d) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 4,110 | $ | 3,255 | $ | 19 | |||||||||
Ratio of net expenses to average net assets | 0.71 | % | 0.71 | % | 0.71 | % (f) | |||||||||
Ratio of gross expenses to average net assets (e) | 0.73 | % | 0.72 | % | 0.72 | % (f) | |||||||||
Ratio of net investment income to average net assets | 0.53 | % | 0.57 | % | 1.16 | % (f) | |||||||||
Portfolio turnover rate | 200 | % | 192 | % | 21 | % (g) |
(a) Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) For the period ended December 31, 2017 and the year ended December 31, 2018, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Annualized.
(g) Not annualized.
See accompanying notes to financial statements.
150
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio
Selected data for a Class I share outstanding throughout each period indicated.
For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.08 | $ | 10.43 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.15 | 0.14 | 0.04 | ||||||||||||
Net realized and unrealized gain (loss) | 1.74 | (1.39 | ) | 0.39 | |||||||||||
Total income (loss) from investment operations | 1.89 | (1.25 | ) | 0.43 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.17 | ) | (0.08 | ) | - | ||||||||||
Net realized gain | (0.07 | ) | (0.02 | ) | - | ||||||||||
Total distributions from net investment income and net realized gains | (0.24 | ) | (0.10 | ) | - | ||||||||||
Net asset value, end of period | $ | 10.73 | $ | 9.08 | $ | 10.43 | |||||||||
Total return (c) | 20.91 | % | (12.10 | )% (d) | 4.30 | % (d) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 49,971 | $ | 49,080 | $ | 66,982 | |||||||||
Ratio of net expenses to average net assets | 0.64 | % | 0.64 | % | 0.64 | % (f) | |||||||||
Ratio of gross expenses to average net assets (e) | 0.66 | % | 0.65 | % | 0.64 | % (f) | |||||||||
Ratio of net investment income to average net assets | 1.48 | % | 1.33 | % | 2.56 | % (f) | |||||||||
Portfolio turnover rate | 200 | % | 205 | % | 12 | % (g) |
(a) Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) For the period ended December 31, 2017 and the year ended December 31, 2018, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Annualized.
(g) Not annualized.
See accompanying notes to financial statements.
151
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Goldman Sachs Mid Cap Value Insights 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 | Period Ended December 31, 2017 (a) | |||||||||||||
Net asset value, beginning of period | $ | 9.07 | $ | 10.42 | $ | 10.00 | |||||||||
Income from investment operations | |||||||||||||||
Net investment income (b) | 0.13 | 0.13 | 0.04 | ||||||||||||
Net realized and unrealized gain (loss) | 1.72 | (1.40 | ) | 0.38 | |||||||||||
Total income (loss) from investment operations | 1.85 | (1.27 | ) | 0.42 | |||||||||||
Less distributions from | |||||||||||||||
Net investment income | (0.14 | ) | (0.06 | ) | - | ||||||||||
Net realized gain | (0.07 | ) | (0.02 | ) | - | ||||||||||
Total distributions from net investment income and net realized gains | (0.21 | ) | (0.08 | ) | - | ||||||||||
Net asset value, end of period | $ | 10.71 | $ | 9.07 | $ | 10.42 | |||||||||
Total return (c) | 20.51 | % | (12.26 | )% (d) | 4.20 | % (d) | |||||||||
Ratios and Supplemental Data | |||||||||||||||
Net assets, end of period (in 000's) | $ | 78,860 | $ | 75,084 | $ | 13,581 | |||||||||
Ratio of net expenses to average net assets | 0.89 | % | 0.89 | % | 0.88 | % (f) | |||||||||
Ratio of gross expenses to average net assets (e) | 0.91 | % | 0.90 | % | 0.88 | % (f) | |||||||||
Ratio of net investment income to average net assets | 1.23 | % | 1.22 | % | 2.69 | % (f) | |||||||||
Portfolio turnover rate | 200 | % | 205 | % | 12 | % (g) |
(a) Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio inception date is November 1, 2017. The Fund commenced operations on November 6, 2017.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(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 for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(d) For the period ended December 31, 2017 and the year ended December 31, 2018, the Portfolio received reimbursements from a related party. The reimbursements had no impact on the Portfolio's total return.
(e) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(f) Annualized.
(g) Not annualized.
See accompanying notes to financial statements.
152
Global Atlantic Portfolios
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, thirteen 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 BlackRock Allocation Portfolio | November 6, 2017 | Total return. | |||||||||
Global Atlantic BlackRock Disciplined Core Portfolio | November 6, 2017 | Long-term capital appreciation. | |||||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | November 6, 2017 | Long-term capital appreciation. | |||||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | November 6, 2017 | Long-term capital appreciation. | |||||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | November 6, 2017 | Long-term capital appreciation. | |||||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | November 6, 2017 | Long-term capital appreciation. | |||||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | November 6, 2017 | Long-term capital appreciation. | |||||||||
Global Atlantic BlackRock Disciplined Value Portfolio | November 6, 2017 | Long-term capital appreciation. | |||||||||
Global Atlantic BlackRock High Yield Portfolio | November 6, 2017 | Total return. | |||||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | November 6, 2017 | Total return consisting of capital appreciation and income. | |||||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | November 6, 2017 | Long-term capital appreciation. | |||||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | November 6, 2017 | Long-term capital appreciation. | |||||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | November 6, 2017 | Long-term capital appreciation. |
* The Portfolios' inception date is November 1, 2017. The Portfolios commenced operations on November 6, 2017.
The Global Atlantic BlackRock Allocation Portfolio is a non-diversified series of the Trust; all other Portfolios in this report are 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 and variable life insurance contracts offered by separate accounts of insurance companies. 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 I and Class II shares at net asset value, except the Global Atlantic BlackRock Disciplined Growth Portfolio (which only offers Class II shares) and Global Atlantic Goldman Sachs Core Fixed Income Portfolio (which only offers Class I shares). All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans. Each Portfolio's income, expenses (other than class specific distribution fees) and realized and unrealized gains and losses are allocated proportionately each day based upon the relative net assets of each class.
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.
153
Global Atlantic Portfolios
Notes to Financial Statements (Continued)
December 31, 2019
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".
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
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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 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 BlackRock Allocation Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Exchange Traded Funds | $ | 82,058,146 | $ | - | $ | - | $ | 82,058,146 | |||||||||||
Total | $ | 82,058,146 | $ | - | $ | - | $ | 82,058,146 |
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Global Atlantic BlackRock Disciplined Core Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 575,067,015 | $ | - | $ | - | $ | 575,067,015 | |||||||||||
Rights | 46,414 | - | - | 46,414 | |||||||||||||||
Short-Term Investments | 6,892,334 | - | - | 6,892,334 | |||||||||||||||
Futures Contracts * | 123,819 | - | - | 123,819 | |||||||||||||||
Total | $ | 582,129,582 | $ | - | $ | - | $ | 582,129,582 |
Global Atlantic BlackRock Disciplined Growth Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 17,713,657 | $ | - | $ | - | $ | 17,713,657 | |||||||||||
Rights | 2,520 | - | - | 2,520 | |||||||||||||||
Short-Term Investments | 342,307 | - | - | 342,307 | |||||||||||||||
Futures Contracts * | 4,628 | - | - | 4,628 | |||||||||||||||
Total | $ | 18,063,112 | $ | - | $ | - | $ | 18,063,112 |
Global Atlantic BlackRock Disciplined International Core Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 134,871,513 | $ | - | $ | - | $ | 134,871,513 | |||||||||||
Exchange Traded Funds | 8,914,348 | - | - | �� | 8,914,348 | ||||||||||||||
Rights | 10,333 | - | - | 10,333 | |||||||||||||||
Short-Term Investments | 633,626 | - | - | 633,626 | |||||||||||||||
Futures Contracts * | 17,246 | - | - | 17,246 | |||||||||||||||
Total | $ | 144,447,066 | $ | - | $ | - | $ | 144,447,066 | |||||||||||
Liabilities | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures Contracts * | $ | 9,202 | $ | - | $ | - | $ | 9,202 | |||||||||||
Total | $ | 9,202 | $ | - | $ | - | $ | 9,202 |
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 189,509,547 | $ | - | $ | - | $ | 189,509,547 | |||||||||||
Short-Term Investments | 2,099,513 | - | - | 2,099,513 | |||||||||||||||
Futures Contracts * | 35,430 | - | - | 35,430 | |||||||||||||||
Total | $ | 191,644,490 | $ | - | $ | - | $ | 191,644,490 |
Global Atlantic BlackRock Disciplined Small Cap Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 18,168,804 | $ | - | $ | - | $ | 18,168,804 | |||||||||||
Rights | - | 561 | - | 561 | |||||||||||||||
Warrants | - | 0 | - | 0 | |||||||||||||||
Short-Term Investments | 320,648 | - | - | 320,648 | |||||||||||||||
Futures Contracts * | 5,092 | - | - | 5,092 | |||||||||||||||
Total | $ | 18,494,544 | $ | 561 | $ | - | $ | 18,495,105 |
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Global Atlantic BlackRock Disciplined U.S. Core Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 25,449,717 | $ | - | $ | - | $ | 25,449,717 | |||||||||||
Rights | 2,053 | - | - | 2,053 | |||||||||||||||
Short-Term Investments | 457,858 | - | - | 457,858 | |||||||||||||||
Futures Contracts * | 8,243 | - | - | 8,243 | |||||||||||||||
Total | $ | 25,917,871 | $ | - | $ | - | $ | 25,917,871 |
Global Atlantic BlackRock Disciplined Value Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 270,429,445 | $ | - | $ | - | $ | 270,429,445 | |||||||||||
Short-Term Investments | 2,985,994 | - | - | 2,985,994 | |||||||||||||||
Futures Contracts * | 53,938 | - | - | 53,938 | |||||||||||||||
Total | $ | 273,469,377 | $ | - | $ | - | $ | 273,469,377 |
Global Atlantic BlackRock High Yield Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Corporate Bonds & Notes | $ | - | $ | 70,203,652 | $ | - | $ | 70,203,652 | |||||||||||
Short-Term Investments | 441,981 | - | - | 441,981 | |||||||||||||||
Futures Contracts * | 11,214 | - | - | 11,214 | |||||||||||||||
Total | $ | 453,195 | $ | 70,203,652 | $ | - | $ | 70,656,847 | |||||||||||
Liabilities | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures Contracts * | $ | 20,987 | $ | - | $ | - | $ | 20,987 | |||||||||||
Total | $ | 20,987 | $ | - | $ | - | $ | 20,987 |
Global Atlantic Goldman Sachs Core Fixed Income Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Agency Mortgage Backed Securities | $ | - | $ | 56,412,488 | $ | - | $ | 56,412,488 | |||||||||||
Corporate Bonds & Notes | - | 40,432,998 | - | 40,432,998 | |||||||||||||||
Asset Backed and Commercial Backed Securities | - | 6,719,316 | - | 6,719,316 | |||||||||||||||
Municipal Bonds | - | 1,279,486 | - | 1,279,486 | |||||||||||||||
Sovereign Debts | - | 915,006 | - | 915,006 | |||||||||||||||
Short-Term Investments | 1,052,704 | 696,237 | - | 1,748,941 | |||||||||||||||
Futures Contracts * | 29,441 | - | - | 29,441 | |||||||||||||||
Swap Contracts * | - | 50,321 | - | 50,321 | |||||||||||||||
Swaptions purchased | - | 997 | - | 997 | |||||||||||||||
Forward Foreign Exchange Contracts * | - | 128,961 | - | 128,961 | |||||||||||||||
Total | $ | 1,082,145 | $ | 106,635,810 | $ | - | $ | 107,717,955 | |||||||||||
Liabilities | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures Contracts * | $ | 212,519 | $ | - | $ | - | $ | 212,519 | |||||||||||
Agency Mortgage Backed Securities (Securities Sold Short) | - | 15,934,999 | - | 15,934,999 | |||||||||||||||
Swap Contracts * | - | 29,416 | - | 29,416 | |||||||||||||||
Swaptions written | - | 70,659 | - | 70,659 | |||||||||||||||
Forward Foreign Exchange Contracts * | - | 205,521 | - | 205,521 | |||||||||||||||
Total | $ | 212,519 | $ | 16,240,595 | $ | - | $ | 16,453,114 |
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Global Atlantic Goldman Sachs Global Equity Insights Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 28,461,729 | $ | - | $ | - | $ | 28,461,729 | |||||||||||
Short-Term Investments | 54,012 | - | - | 54,012 | |||||||||||||||
Total | $ | 28,515,741 | $ | - | $ | - | $ | 28,515,741 |
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 87,150,362 | $ | - | $ | - | $ | 87,150,362 | |||||||||||
Total | $ | 87,150,362 | $ | - | $ | - | $ | 87,150,362 |
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 128,003,578 | $ | - | $ | - | $ | 128,003,578 | |||||||||||
Short-Term Investments | 770,739 | - | - | 770,739 | |||||||||||||||
Total | $ | 128,774,317 | $ | - | $ | - | $ | 128,774,317 |
* 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.
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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 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 BlackRock Allocation Portfolio | $ | - | $ | - | |||||||
Global Atlantic BlackRock Disciplined Core Portfolio | 8 | - | |||||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | - | - | |||||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | 4,709 | 120 | |||||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | - | - | |||||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | - | - | |||||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | - | - | |||||||||
Global Atlantic BlackRock Disciplined Value Portfolio | - | - | |||||||||
Global Atlantic BlackRock High Yield Portfolio | - | - | |||||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | (164,382 | ) | (64,257 | ) | |||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | 2,723 | - | |||||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | - | - | |||||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | - | - |
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, but not the obligation, 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, but not the obligation, to buy, 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.
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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 right, but not the obligation, to buy, 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.
For the year ended December 31, 2019, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on options contracts, as disclosed in the Statements of Operations, is as follows:
Risk Type | Realized Gain | Change in Unrealized Appreciation | |||||||||||||
Global Atlantic BlackRock Allocation Portfolio | N/A | $ | - | $ | - | ||||||||||
Global Atlantic BlackRock Disciplined Core Portfolio | N/A | - | - | ||||||||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | N/A | - | - | ||||||||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | N/A | - | - | ||||||||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | N/A | - | - | ||||||||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | N/A | - | - | ||||||||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | N/A | - | - | ||||||||||||
Global Atlantic BlackRock Disciplined Value Portfolio | N/A | - | - | ||||||||||||
Global Atlantic BlackRock High Yield Portfolio | N/A | - | - | ||||||||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | Interest Rate | 11,265 | 6,932 | ||||||||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | N/A | - | - | ||||||||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | N/A | - | - | ||||||||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | N/A | - | - |
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
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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 BlackRock Allocation Portfolio | N/A | $ | - | $ | - | ||||||||||
Global Atlantic BlackRock Disciplined Core Portfolio | Equity | 1,890,915 | 319,977 | ||||||||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | Equity | 73,061 | 2,946 | ||||||||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | Equity | 773,480 | 114,999 | ||||||||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | Equity | 597,212 | 122,375 | ||||||||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | Equity | 73,079 | 14,893 | ||||||||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | Equity | 99,064 | 23,265 | ||||||||||||
Global Atlantic BlackRock Disciplined Value Portfolio | Equity | 923,414 | 160,690 | ||||||||||||
Global Atlantic BlackRock High Yield Portfolio | Interest Rate | (78,848 | ) | (6,389 | ) | ||||||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | Interest Rate | 834,656 | (357,695 | ) | |||||||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | N/A | - | - | ||||||||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | Equity | (7,350 | ) | - | |||||||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | N/A | - | - |
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 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
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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 BlackRock Allocation Portfolio | N/A | $ | - | $ | - | ||||||||||
Global Atlantic BlackRock Disciplined Core Portfolio | N/A | - | - | ||||||||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | N/A | - | - | ||||||||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | N/A | - | - | ||||||||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | N/A | - | - | ||||||||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | N/A | - | - | ||||||||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | N/A | - | - | ||||||||||||
Global Atlantic BlackRock Disciplined Value Portfolio | N/A | - | - | ||||||||||||
Global Atlantic BlackRock High Yield Portfolio | N/A | - | - | ||||||||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | Interest Rate | 172,263 | (61,834 | ) | |||||||||||
Credit | (4,363 | ) | 11,179 | ||||||||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | N/A | - | - | ||||||||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | N/A | - | - | ||||||||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | N/A | - | - |
Offsetting of Financial Assets/Liabilities and Derivative Assets/Liabilities – The following tables present 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 BlackRock Disciplined Core 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 | |||||||||||||||||||||||||||||||||
Credit Suisse First Boston | $ | 123,819 | $ | - | $ | 123,819 | $ | - | $ | 123,819 | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||||||||
Total | $ | 123,819 | $ | - | $ | 123,819 | $ | - | $ | 123,819 | $ | - | $ | - | $ | - | $ | - | $ | - |
(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.
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Global Atlantic BlackRock Disciplined Growth 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 | |||||||||||||||||||||||||||||||||
Goldman Sachs & Co. | $ | 4,628 | $ | - | $ | 4,628 | $ | - | $ | 4,628 | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||||||||
Total | $ | 4,628 | $ | - | $ | 4,628 | $ | - | $ | 4,628 | $ | - | $ | - | $ | - | $ | - | $ | - |
(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.
Global Atlantic BlackRock Disciplined International Core 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 | |||||||||||||||||||||||||||||||||
Goldman Sachs & Co. | $ | 13,940 | $ | (2,840 | ) | $ | 11,100 | $ | - | $ | 11,100 | $ | 2,840 | $ | (2,840 | ) | $ | - | $ | - | $ | - | |||||||||||||||||||||
HSBC Securities, Inc. | 2,550 | - | 2,550 | - | 2,550 | - | - | - | - | - | |||||||||||||||||||||||||||||||||
JP Morgan Securities LLC | (6,362 | ) | - | (6,362 | ) | - | (6,362 | ) | - | - | - | - | - | ||||||||||||||||||||||||||||||
RBC Capital Markets LLC | 121 | - | 121 | - | 121 | - | - | - | - | - | |||||||||||||||||||||||||||||||||
UBS Securities LLC | 635 | - | 635 | - | 635 | - | - | - | - | - | |||||||||||||||||||||||||||||||||
Total | $ | 10,884 | $ | (2,840 | ) | $ | 8,044 | $ | - | $ | 8,044 | $ | 2,840 | $ | (2,840 | ) | $ | - | $ | - | $ | - |
(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.
Global Atlantic BlackRock Disciplined Mid Cap Growth 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 | |||||||||||||||||||||||||||||||||
UBS Securities LLC | $ | 35,430 | $ | - | $ | 35,430 | $ | - | $ | 35,430 | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||||||||
Total | $ | 35,430 | $ | - | $ | 35,430 | $ | - | $ | 35,430 | $ | - | $ | - | $ | - | $ | - | $ | - |
(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.
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Global Atlantic BlackRock Disciplined Small Cap 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 | |||||||||||||||||||||||||||||||||
UBS Securities LLC | $ | 5,092 | $ | - | $ | 5,092 | $ | - | $ | 5,092 | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||||||||
Total | $ | 5,092 | $ | - | $ | 5,092 | $ | - | $ | 5,092 | $ | - | $ | - | $ | - | $ | - | $ | - |
(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.
Global Atlantic BlackRock Disciplined U.S. Core 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 | |||||||||||||||||||||||||||||||||
Goldman Sachs & Co. | $ | 8,243 | $ | - | $ | 8,243 | $ | - | $ | 8,243 | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||||||||
Total | $ | 8,243 | $ | - | $ | 8,243 | $ | - | $ | 8,243 | $ | - | $ | - | $ | - | $ | - | $ | - |
(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.
Global Atlantic BlackRock Disciplined Value 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 | |||||||||||||||||||||||||||||||||
UBS Securities LLC | $ | 53,938 | $ | - | $ | 53,938 | $ | - | $ | 53,938 | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||||||||
Total | $ | 53,938 | $ | - | $ | 53,938 | $ | - | $ | 53,938 | $ | - | $ | - | $ | - | $ | - | $ | - |
(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.
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December 31, 2019
Global Atlantic BlackRock High Yield 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 | $ | 11,214 | $ | (11,214 | ) | $ | - | $ | - | $ | - | $ | 14,659 | $ | (11,214 | ) | $ | 3,445 | $ | (3,445 | ) | $ | - | ||||||||||||||||||||
Morgan Stanley & Co. LLC | - | - | - | - | - | 6,328 | - | 6,328 | (6,328 | ) | - | ||||||||||||||||||||||||||||||||
Total | $ | 11,214 | $ | (11,214 | ) | $ | - | $ | - | $ | - | $ | 20,987 | $ | (11,214 | ) | $ | 9,773 | $ | (9,773 | ) | $ | - |
(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.
Global Atlantic Goldman Sachs Core Fixed Income 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 | |||||||||||||||||||||||||||||||||
Bank of America | $ | 39,158 | $ | (16,965 | ) | $ | 22,193 | $ | - | $ | 22,193 | $ | 16,965 | $ | (16,965 | ) | $ | - | $ | - | $ | - | |||||||||||||||||||||
BNP Paribas Securities Corp. | 3,205 | - | 3,205 | - | 3,205 | - | - | - | - | - | |||||||||||||||||||||||||||||||||
Citibank NA | - | - | - | - | - | 22 | - | 22 | (22 | ) | - | ||||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. | 29,441 | (29,441 | ) | - | - | - | 211,910 | (29,441 | ) | 182,469 | (182,469 | ) | - | ||||||||||||||||||||||||||||||
Credit Suisse First Boston | 23,302 | (23,302 | ) | - | - | - | 29,394 | (23,302 | ) | 6,092 | (6,092 | ) | - | ||||||||||||||||||||||||||||||
JP Morgan Chase Bank | 4,469 | (2,896 | ) | 1,573 | - | 1,573 | 2,896 | (2,896 | ) | - | - | - | |||||||||||||||||||||||||||||||
JP Morgan Securities LLC | - | - | - | - | - | 609 | - | 609 | (609 | ) | - | ||||||||||||||||||||||||||||||||
Morgan Stanley | 128,961 | (128,961 | ) | - | - | - | 205,521 | (128,961 | ) | 76,560 | (76,560 | ) | - | ||||||||||||||||||||||||||||||
Morgan Stanley & Company LLC | 1,310 | - | 1,310 | - | 1,310 | - | - | - | - | - | |||||||||||||||||||||||||||||||||
Wells Fargo Securities | 5,670 | - | 5,670 | - | 5,670 | - | - | - | - | - | |||||||||||||||||||||||||||||||||
Total | $ | 235,516 | $ | (201,565 | ) | $ | 33,951 | $ | - | $ | 33,951 | $ | 467,317 | $ | (201,565 | ) | $ | 265,752 | $ | (265,752 | ) | $ | - |
(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 BlackRock Disciplined Core Portfolio
Interest Rate Contracts | Credit Contracts | Equity | Total | ||||||||||||||||
Assets | |||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | 123,819 | $ | 123,819 |
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December 31, 2019
Global Atlantic BlackRock Disciplined Core Portfolio (Continued)
Interest Rate Contracts | Credit Contracts | Equity | Total | ||||||||||||||||
Liabilities | |||||||||||||||||||
Unrealized depreciation on Futures Contracts | $ | - | $ | - | $ | - | $ | - | |||||||||||
Total | $ | - | $ | - | $ | 123,819 | $ | 123,819 |
Global Atlantic BlackRock Disciplined Growth Portfolio
Interest Rate Contracts | Credit Contracts | Equity | Total | ||||||||||||||||
Assets | |||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | 4,628 | $ | 4,628 | |||||||||||
Liabilities | |||||||||||||||||||
Unrealized depreciation on Futures Contracts | - | - | - | - | |||||||||||||||
Total | $ | - | $ | - | $ | 4,628 | $ | 4,628 |
Global Atlantic BlackRock Disciplined International Core Portfolio
Interest Rate Contracts | Credit Contracts | Equity | Total | ||||||||||||||||
Assets | |||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | 8,044 | $ | 8,044 | |||||||||||
Liabilities | |||||||||||||||||||
Unrealized depreciation on Futures Contracts | - | - | - | - | |||||||||||||||
Total | $ | - | $ | - | $ | 8,044 | $ | 8,044 |
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio
Interest Rate Contracts | Credit Contracts | Equity | Total | ||||||||||||||||
Assets | |||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | 35,430 | $ | 35,430 | |||||||||||
Liabilities | |||||||||||||||||||
Unrealized depreciation on Futures Contracts | - | - | - | - | |||||||||||||||
Total | $ | - | $ | - | $ | 35,430 | $ | 35,430 |
Global Atlantic BlackRock Disciplined Small Cap Portfolio
Interest Rate Contracts | Credit Contracts | Equity | Total | ||||||||||||||||
Assets | |||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | 5,092 | $ | 5,092 |
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December 31, 2019
Global Atlantic BlackRock Disciplined Small Cap Portfolio (Continued)
Interest Rate Contracts | Credit Contracts | Equity | Total | ||||||||||||||||
Liabilities | |||||||||||||||||||
Unrealized depreciation on Futures Contracts | $ | - | $ | - | $ | - | $ | - | |||||||||||
Total | $ | - | $ | - | $ | 5,092 | $ | 5,092 |
Global Atlantic BlackRock Disciplined U.S. Core Portfolio
Interest Rate Contracts | Credit Contracts | Equity | Total | ||||||||||||||||
Assets | |||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | 8,243 | $ | 8,243 | |||||||||||
Liabilities | |||||||||||||||||||
Unrealized depreciation on Futures Contracts | - | - | - | - | |||||||||||||||
Total | $ | - | $ | - | $ | 8,243 | $ | 8,243 |
Global Atlantic BlackRock Disciplined Value Portfolio
Interest Rate Contracts | Credit Contracts | Equity | Total | ||||||||||||||||
Assets | |||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | 53,938 | $ | 53,938 | |||||||||||
Liabilities | |||||||||||||||||||
Unrealized depreciation on Futures Contracts | - | - | - | - | |||||||||||||||
Total | $ | - | $ | - | $ | 53,938 | $ | 53,938 |
Global Atlantic BlackRock High Yield Portfolio
Interest Rate Contracts | Credit Contracts | Equity | Total | ||||||||||||||||
Assets | |||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | - | $ | - | |||||||||||
Liabilities | |||||||||||||||||||
Unrealized depreciation on Futures Contracts | (9,773 | ) | - | - | (9,773 | ) | |||||||||||||
Total | $ | (9,773 | ) | $ | - | $ | - | $ | (9,773 | ) |
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December 31, 2019
Global Atlantic Goldman Sachs Core Fixed Income Portfolio
Interest Rate Contracts | Credit Contracts | Equity | Total | ||||||||||||||||
Assets | |||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | - | $ | - | |||||||||||
Unrealized appreciation on Swap Contracts | (6,440 | ) | 27,345 | - | 20,905 | ||||||||||||||
Unrealized appreciation on Swaptions | 6,932 | - | - | 6,932 | |||||||||||||||
Unrealized appreciation on Forward Foreign Exchange Contracts | - | - | - | - | |||||||||||||||
Liabilities | |||||||||||||||||||
Unrealized depreciation on Futures Contracts | (183,078 | ) | - | - | (183,078 | ) | |||||||||||||
Unrealized depreciation on Swap Contracts | - | - | - | - | |||||||||||||||
Unrealized depreciation on Forward Foreign Exchange Contracts | - | - | (76,560 | ) | (76,560 | ) | |||||||||||||
Total | $ | (182,586 | ) | $ | 27,345 | $ | (76,560 | ) | $ | (231,801 | ) |
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
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December 31, 2019
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 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 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
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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.
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.
Quantitative Investing Risk – Investments selected using quantitative analysis or "models" may perform differently than expected as a result of the factors used in the models, the weight placed on each factor, changes from the factors' historical trends, and technical issues in the construction and implementation of the models (including, for example, data problems and/or software issues). In addition, investments selected using models may react differently to issuer, political, market, and economic developments from the market as a whole or securities selected using only fundamental analysis. There is no guarantee that the use of quantitative analysis will result in effective investment decisions for a Portfolio. Additionally, commonality of holdings across quantitative money managers may amplify losses.
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
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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 BlackRock Allocation Portfolio | $ | 49,599,993 | $ | 58,649,963 | |||||||
Global Atlantic BlackRock Disciplined Core Portfolio | 721,774,813 | 788,655,641 | |||||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | 24,458,310 | 26,987,988 | |||||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | 120,377,118 | 134,463,332 | |||||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | 277,062,433 | 305,324,484 | |||||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | 7,105,348 | 9,337,904 | |||||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | 33,943,660 | 35,724,415 | |||||||||
Global Atlantic BlackRock Disciplined Value Portfolio | 351,969,522 | 385,917,887 | |||||||||
Global Atlantic BlackRock High Yield Portfolio | 32,164,746 | 37,207,351 | |||||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | 639,412,934 | 648,693,312 | |||||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | 41,777,387 | 46,154,222 | |||||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | 172,994,993 | 189,842,151 | |||||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | 256,696,957 | 274,571,096 |
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 BlackRock Allocation Portfolio | BlackRock Investment Management, LLC | ||||||
Global Atlantic BlackRock Disciplined Core Portfolio | BlackRock Investment Management, LLC | ||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | BlackRock Investment Management, LLC | ||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | BlackRock Investment Management, LLC | ||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | BlackRock Investment Management, LLC | ||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | BlackRock Investment Management, LLC | ||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | BlackRock Investment Management, LLC | ||||||
Global Atlantic BlackRock Disciplined Value Portfolio | BlackRock Investment Management, LLC | ||||||
Global Atlantic BlackRock High Yield Portfolio | BlackRock Investment Management, LLC | ||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | Goldman Sachs Asset Management, L.P. | ||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | Goldman Sachs Asset Management, L.P. | ||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | Goldman Sachs Asset Management, L.P. | ||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | Goldman Sachs Asset Management, L.P. |
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.
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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.
The following chart details the annual advisory fee for each Portfolio.
Advisory Fee* | |||||||
Global Atlantic BlackRock Allocation Portfolio | 0.22% of the first $1 billion | ||||||
0.21% of the next $1 billion | |||||||
0.20% over $2 billion | |||||||
Global Atlantic BlackRock Disciplined Core Portfolio | 0.39% of the first $1 billion | ||||||
0.37% of the next $1 billion | |||||||
0.35% over $2 billion | |||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | 0.45% of the first $1 billion | ||||||
0.43% of the next $1 billion | |||||||
0.41% over $2 billion | |||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | 0.60% of the first $1 billion | ||||||
0.58% of the next $1 billion | |||||||
0.56% over $2 billion | |||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | 0.55% of the first $1 billion | ||||||
0.53% of the next $1 billion | |||||||
0.51% over $2 billion | |||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | 0.54% of the first $1 billion | ||||||
0.52% of the next $1 billion | |||||||
0.50% over $2 billion | |||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | 0.39% of the first $1 billion | ||||||
0.37% of the next $1 billion | |||||||
0.35% over $2 billion | |||||||
Global Atlantic BlackRock Disciplined Value Portfolio | 0.45% of the first $1 billion | ||||||
0.43% of the next $1 billion | |||||||
0.41% over $2 billion | |||||||
Global Atlantic BlackRock High Yield Portfolio | 0.50% of the first $1 billion | ||||||
0.48% of the next $1 billion | |||||||
0.46% over $2 billion | |||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | 0.34% of the first $250 million | ||||||
0.32% of the next $250 million | |||||||
0.26% over $500 million | |||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | 0.63% of the first $250 million | ||||||
0.61% of the next $250 million | |||||||
0.58% of the next $500 million | |||||||
0.55% over $1 billion | |||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | 0.37% of the first $250 million | ||||||
0.35% of the next $250 million | |||||||
0.34% of the next $500 million | |||||||
0.32% over $1 billion | |||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | 0.55% of the first $250 million | ||||||
0.53% of the next $250 million | |||||||
0.51% of the next $500 million | |||||||
0.48% over $1 billion |
* Calculated daily based on the average daily net assets.
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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.
Class I | Class II | Expiration Date | |||||||||||||
Global Atlantic BlackRock Allocation Portfolio | 0.31 | % | 0.56 | % | April 30, 2021 | ||||||||||
Global Atlantic BlackRock Disciplined Core Portfolio | 0.48 | % | 0.73 | % | April 30, 2021 | ||||||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | 0.79 | % | April 30, 2021 | ||||||||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | 0.69 | % | 0.94 | % | April 30, 2021 | ||||||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | 0.63 | % | 0.88 | % | April 30, 2021 | ||||||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | 0.63 | % | 0.88 | % | April 30, 2021 | ||||||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | 0.48 | % | 0.73 | % | April 30, 2021 | ||||||||||
Global Atlantic BlackRock Disciplined Value Portfolio | 0.54 | % | 0.79 | % | April 30, 2021 | ||||||||||
Global Atlantic BlackRock High Yield Portfolio | 0.59 | % | 0.84 | % | April 30, 2021 | ||||||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | 0.43 | % | April 30, 2021 | ||||||||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | 0.72 | % | 0.97 | % | April 30, 2021 | ||||||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | 0.46 | % | 0.71 | % | April 30, 2021 | ||||||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | 0.64 | % | 0.89 | % | April 30, 2021 |
For the year ended December 31, 2019, the Adviser waived fees as follows:
Waiver | |||||||
Global Atlantic BlackRock Allocation Portfolio | $ | 19,679 | |||||
Global Atlantic BlackRock Disciplined Core Portfolio | 93,032 | ||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | 10,039 | ||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | 48,584 | ||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | 55,910 | ||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | 10,872 | ||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | 10,817 | ||||||
Global Atlantic BlackRock Disciplined Value Portfolio | 49,384 | ||||||
Global Atlantic BlackRock High Yield Portfolio | 22,317 | ||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | 26,065 | ||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | 14,959 | ||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | 20,779 | ||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | 27,176 |
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.
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The Adviser may recapture the following amounts by the following dates:
December 31, 2020 | December 31, 2021 | December 31, 2022 | |||||||||||||
Global Atlantic BlackRock Allocation Portfolio | $ | 853 | $ | 8,542 | $ | 19,679 | |||||||||
Global Atlantic BlackRock Disciplined Core Portfolio | - | 50,540 | 93,032 | ||||||||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | 310 | 3,754 | 10,039 | ||||||||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | 190 | 9,810 | 48,584 | ||||||||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | 1,748 | 35,853 | 55,910 | ||||||||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | 119 | 3,138 | 10,872 | ||||||||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | 307 | 3,915 | 10,817 | ||||||||||||
Global Atlantic BlackRock Disciplined Value Portfolio | - | 25,935 | 49,384 | ||||||||||||
Global Atlantic BlackRock High Yield Portfolio | 191 | 8,365 | 22,317 | ||||||||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | 378 | 9,926 | 26,065 | ||||||||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | 225 | 4,573 | 14,959 | ||||||||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | 1,279 | 9,822 | 20,779 | ||||||||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | - | 12,865 | 27,176 |
On May 23, 2017, the U.S. Securities and Exchange Commission ("SEC") granted an order allowing Commonwealth Annuity and Life Insurance Company ("Commonwealth") to substitute certain variable investment options in which subaccounts of its Separate Accounts invest with the Portfolios included in this report.
As a condition of this order, the SEC required that Commonwealth or an affiliate thereof (other than the Trust) pay all expenses and transaction costs of the substitutions, including legal and accounting expenses, any applicable brokerage expenses and other fees and expenses so that no fees or charges were assessed to the affected contract owners to effect the substitutions. There were no substitution-related expenses for the year ended December 31, 2019.
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 Trustees received fees in the amounts as follows:
Fees Received | |||||||
Global Atlantic BlackRock Allocation Portfolio | $ | 7,559 | |||||
Global Atlantic BlackRock Disciplined Core Portfolio | 52,189 | ||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | 2,041 | ||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | 13,961 | ||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | 17,933 | ||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | 1,832 | ||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | 2,121 | ||||||
Global Atlantic BlackRock Disciplined Value Portfolio | 25,889 | ||||||
Global Atlantic BlackRock High Yield Portfolio | 7,329 | ||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | 8,950 | ||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | 3,188 | ||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | 8,428 | ||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | 12,604 |
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.
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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, Commonwealth Annuity and Life Insurance Company 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 – Commonwealth Annuity and 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 BlackRock Allocation Portfolio | $ | 74,885,399 | $ | 7,362,976 | $ | (190,229 | ) | $ | 7,172,747 | ||||||||||
Global Atlantic BlackRock Disciplined Core Portfolio | 498,984,831 | 88,200,697 | (5,055,946 | ) | 83,144,751 | ||||||||||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | 14,589,173 | 3,615,036 | (141,097 | ) | 3,473,939 | ||||||||||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | 137,433,887 | 15,215,454 | (8,205,236 | ) | 7,010,218 | ||||||||||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | 160,867,250 | 33,954,170 | (3,176,930 | ) | 30,777,240 | ||||||||||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | 16,994,360 | 3,214,678 | (1,713,933 | ) | 1,500,745 | ||||||||||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | 22,275,002 | 3,865,844 | (222,975 | ) | 3,642,869 | ||||||||||||||
Global Atlantic BlackRock Disciplined Value Portfolio | 247,119,510 | 30,504,530 | (4,154,663 | ) | 26,349,867 | ||||||||||||||
Global Atlantic BlackRock High Yield Portfolio | 68,354,713 | 2,641,557 | (360,410 | ) | 2,281,147 | ||||||||||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | 104,628,073 | 2,743,736 | (102,149 | ) | 2,641,587 | ||||||||||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | 25,724,560 | 3,101,103 | (309,922 | ) | 2,791,181 | ||||||||||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | 72,900,886 | 14,873,804 | (624,328 | ) | 14,249,476 | ||||||||||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | 119,337,430 | 11,800,763 | (2,363,876 | ) | 9,436,887 |
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 BlackRock Allocation Portfolio | $ | 1,579,777 | $ | - | $ | - | $ | 1,579,777 | |||||||||||
Global Atlantic BlackRock Disciplined Core Portfolio | 8,622,370 | - | - | 8,622,370 | |||||||||||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | 601,045 | 30,435 | - | 631,480 | |||||||||||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | 3,595,113 | - | - | 3,595,113 | |||||||||||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | 749,059 | 387,327 | - | 1,136,386 | |||||||||||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | 571,080 | - | - | 571,080 | |||||||||||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | 564,891 | - | - | 564,891 | |||||||||||||||
Global Atlantic BlackRock Disciplined Value Portfolio | 5,750,591 | - | - | 5,750,591 | |||||||||||||||
Global Atlantic BlackRock High Yield Portfolio | 4,220,855 | - | - | 4,220,855 |
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Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | ||||||||||||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | $ | 2,193,008 | $ | - | $ | - | $ | 2,193,008 | |||||||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | 369,107 | - | - | 369,107 | |||||||||||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | 2,090,635 | 31,397 | - | 2,122,032 | |||||||||||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | 2,671,957 | - | - | 2,671,957 | |||||||||||||||
For fiscal year ended 12/31/2018 | Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | |||||||||||||||
Global Atlantic BlackRock Allocation Portfolio | $ | 361,277 | $ | - | $ | - | $ | 361,277 | |||||||||||
Global Atlantic BlackRock Disciplined Core Portfolio | 7,952,766 | 308,649 | - | 8,261,415 | |||||||||||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | 263,078 | 20,035 | - | 283,113 | |||||||||||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | 3,135,099 | - | - | 3,135,099 | |||||||||||||||
Global Atlantic BlackRock Disciplined Mid Cap | |||||||||||||||||||
Growth Portfolio | 2,025,737 | 99,342 | - | 2,125,079 | |||||||||||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | 93,096 | 11,425 | - | 104,521 | |||||||||||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | 498,157 | 22,695 | - | 520,852 | |||||||||||||||
Global Atlantic BlackRock Disciplined Value Portfolio | 5,978,801 | 294,412 | - | 6,273,213 | |||||||||||||||
Global Atlantic BlackRock High Yield Portfolio | 476,776 | 6,251 | - | 483,027 | |||||||||||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | 47,084 | - | - | 47,084 | |||||||||||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | 362,130 | 44,780 | - | 406,910 | |||||||||||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | 1,222,604 | 2,517 | - | 1,225,121 | |||||||||||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | 1,136,829 | 21,023 | - | 1,157,852 |
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 Carry Forward | Unrealized Appreciation/ (Depreciation) | Total Accumulated Earnings/ (Deficits) | ||||||||||||||||||||||
Global Atlantic BlackRock Allocation Portfolio | $ | 3,579,222 | $ | 1,532 | $ | - | $ | - | $ | 7,172,747 | $ | 10,753,501 | |||||||||||||||
Global Atlantic BlackRock Disciplined Core Portfolio | 12,179,153 | 14,127,034 | - | - | 83,144,865 | 109,451,052 | |||||||||||||||||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | 491,187 | 504,138 | - | - | 3,473,939 | 4,469,264 | |||||||||||||||||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | 950,951 | - | - | (10,499,672 | ) | 7,053,197 | (2,495,524 | ) | |||||||||||||||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | 5,393,919 | 9,302,015 | - | - | 30,777,240 | 45,473,174 | |||||||||||||||||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | 358,300 | 545,004 | - | - | 1,500,745 | 2,404,049 | |||||||||||||||||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | 727,601 | 438,963 | - | - | 3,642,868 | 4,809,432 | |||||||||||||||||||||
Global Atlantic BlackRock Disciplined Value Portfolio | 5,047,769 | 6,221,667 | - | - | 26,349,867 | 37,619,303 | |||||||||||||||||||||
Global Atlantic BlackRock High Yield Portfolio | 3,704,548 | - | - | (4,026,490 | ) | 2,281,147 | 1,959,205 | ||||||||||||||||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | 2,815,497 | 1,397,176 | - | - | 2,605,069 | 6,817,742 | |||||||||||||||||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | 76,334 | - | - | (645,025 | ) | 2,791,680 | 2,222,989 |
176
Global Atlantic Portfolios
Notes to Financial Statements (Continued)
December 31, 2019
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Post-October Loss and Late Year Loss | Capital Loss Carry Forward | Unrealized Appreciation/ (Depreciation) | Total Accumulated Earnings/ (Deficits) | ||||||||||||||||||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | $ | 2,522,422 | $ | 2,292,576 | $ | - | $ | - | $ | 14,249,476 | $ | 19,064,474 | |||||||||||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | 832,113 | - | - | (2,776,644 | ) | 9,436,887 | 7,492,356 |
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, return of capital distributions from C-Corporations and the mark-to-market on passive foreign investment companies, 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 $114, $49,220, $(871) and $499 for Global Atlantic BlackRock Disciplined Core Portfolio, Global Atlantic BlackRock Disciplined International Core Portfolio, Global Atlantic Goldman Sachs Core Fixed Income Portfolio, and Global Atlantic Goldman Sachs Global Equity Insights 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 BlackRock Allocation Portfolio | $ | - | $ | - | $ | - | |||||||||
Global Atlantic BlackRock Disciplined Core Portfolio | - | - | - | ||||||||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | - | - | - | ||||||||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | (5,011,255 | ) | (5,488,417 | ) | (10,499,672 | ) | |||||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | - | - | - | ||||||||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | - | - | - | ||||||||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | - | - | - | ||||||||||||
Global Atlantic BlackRock Disciplined Value Portfolio | - | - | - | ||||||||||||
Global Atlantic BlackRock High Yield Portfolio | (2,239,915 | ) | (1,786,575 | ) | (4,026,490 | ) | |||||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | - | - | - | ||||||||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | (645,025 | ) | - | (645,025 | ) | ||||||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | - | - | - | ||||||||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | (2,317,720 | ) | (458,924 | ) | (2,776,644 | ) |
During the year ended December 31, 2019, the following Funds utilized capital loss carryforwards:
Utilized | |||||||
Global Atlantic BlackRock Allocation Portfolio | $ | 76,913 | |||||
Global Atlantic BlackRock Disciplined Core Portfolio | 1,290,780 | ||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | 113,377 | ||||||
Global Atlantic BlackRock Disciplined Value Portfolio | 1,157,196 | ||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | 953,311 | ||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | 40,725 |
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 BlackRock Allocation Portfolio | $ | - | $ | - | |||||||
Global Atlantic BlackRock Disciplined Core Portfolio | (21,884 | ) | 21,884 | ||||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | (345 | ) | 345 | ||||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | - | - | |||||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | (6,909 | ) | 6,909 |
177
Global Atlantic Portfolios
Notes to Financial Statements (Continued)
December 31, 2019
Paid-In Capital | Accumulated Earnings (Losses) | ||||||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | $ | (21,132 | ) | $ | 21,132 | ||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | (804 | ) | 804 | ||||||||
Global Atlantic BlackRock Disciplined Value Portfolio | (21,134 | ) | 21,134 | ||||||||
Global Atlantic BlackRock High Yield Portfolio | - | - | |||||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | - | - | |||||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | (929 | ) | 929 | ||||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | (11,056 | ) | 11,056 | ||||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | (87,001 | ) | 87,001 |
8. 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.
9. 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.
10. 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.
11. 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.
12. 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.
178
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Forethought Variable Insurance 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 BlackRock Allocation Portfolio, Global Atlantic BlackRock Disciplined Core Portfolio, Global Atlantic BlackRock Disciplined Growth Portfolio, Global Atlantic BlackRock Disciplined International Core Portfolio, Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio, Global Atlantic BlackRock Disciplined Small Cap Portfolio, Global Atlantic BlackRock Disciplined U.S. Core Portfolio, Global Atlantic BlackRock Disciplined Value Portfolio, Global Atlantic BlackRock High Yield Portfolio, Global Atlantic Goldman Sachs Core Fixed Income Portfolio, Global Atlantic Goldman Sachs Global Equity Insights Portfolio, Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio, and Global Atlantic Goldman Sachs Mid Cap Value Insights 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 two years in the period then ended and for the period from November 6, 2017 (commencement of operations) through December 31, 2017 (collectively, the financial statements). In our opinion, the financial statements present fairly, in all material respects, the financial position of each 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 two years in the period then ended and for the period from November 6, 2017 (commencement of operations) through December 31, 2017, 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 their 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 investments owned as of December 31, 2019, by correspondence with the custodians and brokers or by other appropriate auditing procedures where 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
179
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 | 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 BlackRock Allocation Portfolio | I | 0.31 | % | $ | 1,000 | $ | 1,069.70 | $ | 1.62 | $ | 1,023.64 | $ | 1.58 | ||||||||||||||||||
Global Atlantic BlackRock Allocation Portfolio | II | 0.56 | % | $ | 1,000 | $ | 1,068.20 | $ | 2.92 | $ | 1,022.38 | $ | 2.85 | ||||||||||||||||||
Global Atlantic BlackRock Disciplined Core Portfolio | I | 0.48 | % | $ | 1,000 | $ | 1,092.50 | $ | 2.53 | $ | 1,022.79 | $ | 2.45 | ||||||||||||||||||
Global Atlantic BlackRock Disciplined Core Portfolio | II | 0.73 | % | $ | 1,000 | $ | 1,090.80 | $ | 3.85 | $ | 1,021.53 | $ | 3.72 | ||||||||||||||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | I | 0.79 | % | $ | 1,000 | $ | 1,102.20 | $ | 4.19 | $ | 1,021.22 | $ | 4.02 | ||||||||||||||||||
Global Atlantic BlackRock Disciplined Growth Portfolio | II | 0.69 | % | $ | 1,000 | $ | 1,057.00 | $ | 3.58 | $ | 1,021.73 | $ | 3.52 | ||||||||||||||||||
Global Atlantic BlackRock Disciplined International Core Portfolio | II | 0.94 | % | $ | 1,000 | $ | 1,055.40 | $ | 4.87 | $ | 1,020.47 | $ | 4.79 |
* 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).
180
Global Atlantic Portfolios
Expense Examples (Continued)
December 31, 2019 (Unaudited)
Actual | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||
Class | 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 BlackRock Disciplined Mid Cap Growth Portfolio | I | 0.63 | % | $ | 1,000 | $ | 1,057.00 | $ | 3.27 | $ | 1,022.03 | $ | 3.21 | ||||||||||||||||||
Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio | II | 0.88 | % | $ | 1,000 | $ | 1,056.00 | $ | 4.56 | $ | 1,020.77 | $ | 4.48 | ||||||||||||||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | I | 0.63 | % | $ | 1,000 | $ | 1,101.00 | $ | 3.34 | $ | 1,022.03 | $ | 3.21 | ||||||||||||||||||
Global Atlantic BlackRock Disciplined Small Cap Portfolio | II | 0.88 | % | $ | 1,000 | $ | 1,099.30 | $ | 4.66 | $ | 1,020.77 | $ | 4.48 | ||||||||||||||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | I | 0.48 | % | $ | 1,000 | $ | 1,093.70 | $ | 2.53 | $ | 1,022.79 | $ | 2.45 | ||||||||||||||||||
Global Atlantic BlackRock Disciplined U.S. Core Portfolio | II | 0.73 | % | $ | 1,000 | $ | 1,093.10 | $ | 3.85 | $ | 1,021.53 | $ | 3.72 | ||||||||||||||||||
Global Atlantic BlackRock Disciplined Value Portfolio | I | 0.54 | % | $ | 1,000 | $ | 1,076.30 | $ | 2.83 | $ | 1,022.48 | $ | 2.75 | ||||||||||||||||||
Global Atlantic BlackRock Disciplined Value Portfolio | II | 0.79 | % | $ | 1,000 | $ | 1,075.30 | $ | 4.13 | $ | 1,021.22 | $ | 4.02 | ||||||||||||||||||
Global Atlantic BlackRock High Yield Portfolio | I | 0.59 | % | $ | 1,000 | $ | 1,040.30 | $ | 3.03 | $ | 1,022.23 | $ | 3.01 | ||||||||||||||||||
Global Atlantic BlackRock High Yield Portfolio | II | 0.84 | % | $ | 1,000 | $ | 1,038.80 | $ | 4.32 | $ | 1,020.97 | $ | 4.28 | ||||||||||||||||||
Global Atlantic Goldman Sachs Core Fixed Income Portfolio | I | 0.43 | % | $ | 1,000 | $ | 1,024.70 | $ | 2.19 | $ | 1,023.04 | $ | 2.19 | ||||||||||||||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | I | 0.72 | % | $ | 1,000 | $ | 1,073.80 | $ | 3.76 | $ | 1,021.58 | $ | 3.67 | ||||||||||||||||||
Global Atlantic Goldman Sachs Global Equity Insights Portfolio | II | 0.97 | % | $ | 1,000 | $ | 1,073.20 | $ | 5.07 | $ | 1,020.32 | $ | 4.94 | ||||||||||||||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | I | 0.46 | % | $ | 1,000 | $ | 1,098.60 | $ | 2.43 | $ | 1,022.89 | $ | 2.35 | ||||||||||||||||||
Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio | II | 0.71 | % | $ | 1,000 | $ | 1,098.00 | $ | 3.75 | $ | 1,021.63 | $ | 3.62 | ||||||||||||||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | I | 0.64 | % | $ | 1,000 | $ | 1,064.80 | $ | 3.33 | $ | 1,021.98 | $ | 3.26 | ||||||||||||||||||
Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio | II | 0.89 | % | $ | 1,000 | $ | 1,064.20 | $ | 4.63 | $ | 1,020.72 | $ | 4.53 |
* 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).
181
Global Atlantic Portfolios
Supplemental Information
December 31, 2019 (Unaudited)
Approval of Renewal of Investment Advisory Agreement and Sub-Advisory Agreements for Global Atlantic BlackRock Allocation Portfolio, Global Atlantic BlackRock Disciplined Core Portfolio, Global Atlantic BlackRock Disciplined Growth Portfolio, Global Atlantic BlackRock Disciplined International Core Portfolio, Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio, Global Atlantic BlackRock Disciplined Small Cap Portfolio, Global Atlantic BlackRock Disciplined U.S. Core Portfolio, Global Atlantic BlackRock Disciplined Value Portfolio, Global Atlantic BlackRock High Yield Portfolio, Global Atlantic Goldman Sachs Core Fixed Income Portfolio, Global Atlantic Goldman Sachs Global Equity Insights Portfolio, Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio and Global Atlantic Goldman Sachs Mid Cap Value Insights 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 BlackRock Allocation Portfolio ("GA BlackRock Allocation"), Global Atlantic BlackRock Disciplined Core Portfolio ("GA BlackRock Core"), Global Atlantic BlackRock Disciplined Growth Portfolio ("GA BlackRock Growth"), Global Atlantic BlackRock Disciplined International Core Portfolio ("GA BlackRock International"), Global Atlantic BlackRock Disciplined Mid Cap Growth Portfolio ("GA BlackRock Mid Cap Growth"), Global Atlantic BlackRock Disciplined Small Cap Portfolio ("GA BlackRock Small Cap"), Global Atlantic BlackRock Disciplined U.S. Core Portfolio ("GA BlackRock U.S. Core"), Global Atlantic BlackRock Disciplined Value Portfolio ("GA BlackRock Value"), Global Atlantic BlackRock High Yield Portfolio ("GA BlackRock High Yield"), Global Atlantic Goldman Sachs Core Fixed Income Portfolio ("GA Goldman Core Fixed"), Global Atlantic Goldman Sachs Global Equity Insights Portfolio ("GA Goldman Global Equity"), Global Atlantic Goldman Sachs Large Cap Growth Insights Portfolio ("GA Goldman Large Cap") and Global Atlantic Goldman Sachs Mid Cap Value Insights Portfolio ("GA Goldman Mid Cap") (each a "Fund" and collectively the "Funds") (the "Advisory Agreement"); (ii) a sub-advisory agreement between the Adviser, the Trust, on behalf of GA BlackRock Allocation, GA BlackRock International, GA BlackRock Growth, GA Blackrock Value, GA BlackRock Mid Cap Growth, GA BlackRock Small Cap, GA BlackRock Core, GA BlackRock U.S. Core and GA BlackRock High Yield, and BlackRock Investment Management, LLC ("BIM") (the "BIM Sub-Advisory Agreement"); and (iii) a sub-advisory agreement between the Adviser, the Trust, on behalf of GA Goldman Core Fixed, GA Goldman Global Equity, GA Goldman Large Cap and GA Goldman Mid Cap, and Goldman Sachs Asset Management, L.P. ("GSAM" and together with BIM, the "Sub-Advisers") (the "GSAM Sub-Advisory Agreement" and collectively with the BIM 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.
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.
182
Global Atlantic Portfolios
Supplemental Information (Continued)
December 31, 2019 (Unaudited)
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. 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 and since inception periods. 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-year and/or 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 BlackRock Core, GA BlackRock High Yield, GA BlackRock Growth, GA BlackRock International, GA BlackRock U.S. Core, GA Goldman Global Equity, GA Goldman Large Cap and GA Goldman Mid Cap had underperformed their respective benchmarks for the 1-year and since-inception periods; and (ii) GA Goldman Core Fixed had underperformed its respective benchmark for the since inception period. 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 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 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 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.
183
Global Atlantic Portfolios
Supplemental Information (Continued)
December 31, 2019 (Unaudited)
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 Commonwealth Annuity and Life Insurance Company ("CWA") and the fact that FLIC and CWA or their 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 BIM and GSAM 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.
184
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). |
185
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. (1968)2 | 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 |
186
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 (1978)3 | 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 (1971) | Treasurer and Principal Financial Officer since 2019 | Senior Director, Foreside Management Services, LLC (since 2008). | N/A | N/A | |||||||||||||||
Sarah M. Patterson (1976) | 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 | |||||||||||||||
David Capalbo (1968) | 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 |
187
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 | |||||||||||||||
Deborah Schunder (1967) | 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 (1976) | 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.
188
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 |
189
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. |
190
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 Investment Management, LLC
1 University Square Drive
Princeton, NJ 08540-6455
Goldman Sachs Asset Management, L.P.
200 West Street
New York, NY 10282
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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