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
Forethought Variable Insurance Trust | ||
(Exact name of registrant as specified in charter) |
10 West Market Street, Suite 2300 | ||
Indianapolis, Indiana 46204 | ||
(Address of principal executive offices) (Zip code) |
The Corporation Trust Company | ||
1209 Orange Street Wilmington, DE 19801 | ||
(Name and address of agent for service) |
Registrant's telephone number, including area code: 317-223-2703
Date of fiscal year end: December 31
Date of reporting period: June 30, 2020
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.
Semi-Annual Report
June 30, 2020
Global Atlantic Portfolios
Global Atlantic American Funds® Managed Risk Portfolio
Global Atlantic Balanced Managed Risk Portfolio
Global Atlantic BlackRock Selects Managed Risk Portfolio
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
Global Atlantic Growth Managed Risk Portfolio
Global Atlantic Moderate Growth Managed Risk Portfolio
Global Atlantic PIMCO Tactical Allocation Portfolio
Global Atlantic Select Advisor Managed Risk Portfolio
Global Atlantic Wellington Research Managed Risk Portfolio
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 strong 2019 that saw many global equity markets record double-digit positive returns, the six months ending June 30, 2020 was one of the most volatile periods in financial market history due primarily to the impact of the COVID-19 pandemic. Beginning in late February and continuing through late March, the S&P 500 fell approximately 30%, while other domestic and global equity markets were down 30-40%. In fixed income, the 10-year Treasury yield hit an all-time low of 0.39% as the U.S. Federal Reserve lowered interest rates to 0%. Commodities, as measured by the S&P GSCI, were also down. In particular, oil fell 50% to $25 per barrel, a level not seen in 20 years. Even gold, typically a safe-haven asset in periods of market decline, was down 6%. Another noteworthy aspect of this decline was the speed with which it occurred, just 23 trading days, a pace matched only by the Great Crash of 1929. In comparison, the S&P 500's decline during the 2008 Global Financial Crisis occurred over 18 months, while the S&P 500's decline during the 2001 Technology Bubble took place over 2 years. The closest most recent comparison is the Stock Market Crash of 1987, where the S&P 500 declined approximately 30% in 70 trading days.
Not only were the declines over the late February through late March period significant, but also intraday and day-to-day (interday) market volatility was extreme as the VIX spiked to 85, a level not seen since the 2008 Global Financial Crisis. During March alone, there were five consecutive trading days where the intraday swing (the difference between the high and low points of the day) in the S&P 500 exceeded 7% and eight days where the daily gain or loss was greater than 5%. While the markets had begun to recover upon the close of the first quarter of 2020 ("Q1"), this time period represented the 8th worst on record for the S&P 500.
Beginning in late March and continuing through the second quarter of 2020 ("Q2"), the markets recovered a significant percentage of the losses experienced in Q1. While the correction in the S&P 500 was -33.79% at the bottom, it has since rebounded 39.31%. While this might suggest that the S&P 500 has recovered fully and is now positive year-to-date, a decline of -33.79% actually requires a recovery of approximately 51% to return to the point when the correction started. The strength of the rebound in the equity markets has largely been driven by investors looking through what is expected to be poor Q2 economic and earnings data, and the belief that a meaningful recovery will be evident in the third and fourth quarters of 2020. This expectation of a "V-shaped" (quick) recovery, however, as opposed to a "W" (decline, recovery, another decline, recovery) or "U" shaped (slower) recovery, could be a best-case scenario in an environment with many unknowns. Some of the most obvious and notable among these are the impact of the resurgence of COVID-19 cases in many states, the degree to which reversals of economic opening procedures are necessary, and the upcoming presidential election.
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. 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 American Funds® Managed Risk Portfolio | S&P Global Managed Risk LargeMidCap Index – Moderate Conservative | ||||||
Global Atlantic Balanced Managed Risk Portfolio | S&P Global Managed Risk LargeMidCap Index – Conservative | ||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | S&P Global Managed Risk LargeMidCap Index – Moderate Conservative | ||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | S&P 500 Managed Risk Index – Moderate | ||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | S&P Global Managed Risk LargeMidCap Index – Conservative | ||||||
Global Atlantic Growth Managed Risk Portfolio | S&P Global Managed Risk LargeMidCap Index – Moderate Aggressive | ||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | S&P Global Managed Risk LargeMidCap Index – Moderate Conservative | ||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | S&P Global Managed Risk LargeMidCap Index – Moderate | ||||||
Global Atlantic Select Advisor Managed Risk Portfolio | S&P Global Managed Risk LargeMidCap Index – Moderate | ||||||
Global Atlantic Wellington Research Managed Risk Portfolio | S&P 500 Managed Risk Index – Moderate Conservative |
The indices shown are for informational purposes only and are not reflective of any investment. As it is not possible to invest directly in the indices, the data shown does not reflect or compare features of an actual investment, such as its objectives, costs and expenses, liquidity, safety, guarantees or insurance, fluctuation of principal or return, or tax features. Past performance is no guarantee of future results.
This report contains the current opinions of Global Atlantic Investment Advisors, LLC and/or sub-advisers at the time of its publication and should not be considered investment advice or a recommendation of any particular security, strategy or investment product. Such opinions are subject to change without notice and securities described herein may no longer be included in, or may at any time be removed from, a Portfolio's portfolio. This report is distributed for informational purposes only. Information contained herein has been obtained from sources believed to be reliable, but not guaranteed.
Index Definitions:
S&P Global Managed Risk LargeMidCap Index – Conservative. An index that is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 50% to the underlying bond index.
S&P Global Managed Risk LargeMidCap Index – Moderate Conservative. An index that is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 40% to the underlying bond index.
S&P Global Managed Risk LargeMidCap Index – Moderate. An index that is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 30% to the underlying bond index.
S&P Global Managed Risk LargeMidCap Index – Moderate Aggressive. An index that is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 20% to the underlying bond index.
S&P 500 Managed Risk Index – Moderate Conservative. An index that is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 40% to the underlying bond index.
S&P 500 Managed Risk Index – Moderate. An index that is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 30% to the underlying bond index.
Bloomberg Barclays US Aggregate Bond Index ("Bbg Barc US Agg"). An index weighted according to market capitalization and includes, among other categories, Treasury securities, mortgage backed securities, government agency
2
bonds and corporate bonds. To be included in the index, bonds must be rated investment grade by Moody's and Standard & Poor's.
Chicago Board Options Exchange S&P 500 Volatility Index ("VIX"). An index that reflects a market estimate of future volatility, based on the weighted average of the implied volatilities for a wide range of strikes.
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.
Russell 2000 Total Return Index ("Russell 2000"). An index measuring the performance of approximately 2,000 small-cap companies in the Russell 3000 Index, which is made up of 3,000 of the biggest U.S. stocks. The Russell 2000 serves as a benchmark for small-cap stocks in the United States.
S&P MidCap 400 Total Return Index ("S&P MidCap 400"). A capitalization-weighted index which measures the performance of the mid-range sector of the U.S. stock market.
S&P 500 Total Return Index ("S&P 500"). A market capitalization weighted price index composed of 500 widely held U.S. common stocks. Frequently used as a measure of U.S. stock market performance.
S&P GSCI Total Return Index ("S&P GSCI"). A broad based, production weighted index meant to be representative of the global commodity market beta. The S&P Goldman Sachs Commodity Index (GSCI) consists of 24 commodity futures on physical commodities across five sectors: energy, agriculture, livestock, industrial metals, and precious metals.
3
Table of Contents
Page | |||||||||||
• | Global Atlantic Portfolio Performance | 5 | |||||||||
• | Global Atlantic Portfolio of Investments | ||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | 7 | ||||||||||
Global Atlantic Balanced Managed Risk Portfolio | 8 | ||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 9 | ||||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 10 | ||||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 21 | ||||||||||
Global Atlantic Growth Managed Risk Portfolio | 22 | ||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 23 | ||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 24 | ||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 30 | ||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 31 | ||||||||||
• | Financial Statements: | ||||||||||
Statements of Assets and Liabilities | 43 | ||||||||||
Statements of Operations | 46 | ||||||||||
Statements of Changes in Net Assets | 49 | ||||||||||
Financial Highlights | 54 | ||||||||||
• | Notes to Financial Statements | 64 | |||||||||
• | Expense Examples | 93 | |||||||||
• | Privacy Notice | 95 | |||||||||
• | Proxy Voting Policy | Back Cover | |||||||||
• | Portfolio Holdings | Back Cover |
4
Performance Summary
The Portfolio's performance figures for the periods ended June 30, 2020 as compared to its benchmarks:
Annualized | Operating Expenses | ||||||||||||||||||||||||||||||||||
Inception Date | Six Months Ended 6/30/20 | One Year Ended 6/30/20 | Three Years Ended 6/30/20 | Five Years Ended 6/30/20 | Since Inception 6/30/20 | Gross Ratios | Net Ratios | ||||||||||||||||||||||||||||
Global Atlantic American Funds® Managed Risk Portfolio^ | |||||||||||||||||||||||||||||||||||
Class II | 10/31/13 | (2.08 | )% | 4.19 | % | 5.07 | % | 5.01 | % | 5.20 | % | 1.67 | % | 1.27 | % | ||||||||||||||||||||
S&P Global Managed Risk LargeMidCap Index - Moderate Conservative1 | (3.28 | )% | 2.93 | % | 5.08 | % | 4.53 | % | 4.69 | % | |||||||||||||||||||||||||
Global Atlantic Balanced Managed Risk Portfolio^ | |||||||||||||||||||||||||||||||||||
Class II | 10/31/13 | (1.12 | )% | 3.50 | % | 4.05 | % | 3.94 | % | 4.27 | % | 0.99 | % | 0.99 | % | ||||||||||||||||||||
S&P Global Managed Risk LargeMidCap Index - Conservative2 | (2.17 | )% | 3.43 | % | 4.99 | % | 4.54 | % | 4.60 | % | |||||||||||||||||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio^^ | |||||||||||||||||||||||||||||||||||
Class II | 10/31/13 | (1.53 | )% | 4.13 | % | 3.22 | % | 2.13 | % | 2.39 | % | 1.21 | % | 1.21 | % | ||||||||||||||||||||
S&P Global Managed Risk LargeMidCap Index - Moderate Conservative1 | (3.28 | )% | 2.93 | % | 5.08 | % | 4.53 | % | 4.69 | % | |||||||||||||||||||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio^^^ | |||||||||||||||||||||||||||||||||||
Class II | 4/30/14 | (4.91 | )% | 0.93 | % | 5.41 | % | 5.06 | % | 4.81 | % | 1.21 | % | 1.16 | % | ||||||||||||||||||||
S&P 500 Managed Risk Index - Moderate3 | (2.18 | )% | 5.20 | % | 7.34 | % | 6.83 | % | 7.02 | % | |||||||||||||||||||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio^^ | |||||||||||||||||||||||||||||||||||
Class II | 4/30/15 | 1.11 | % | 5.65 | % | 4.44 | % | 3.30 | % | 2.94 | % | 1.28 | % | 1.22 | % | ||||||||||||||||||||
S&P Global Managed Risk LargeMidCap Index - Conservative2 | (2.17 | )% | 3.43 | % | 4.99 | % | 4.54 | % | 4.60 | % | |||||||||||||||||||||||||
Global Atlantic Growth Managed Risk Portfolio^ | |||||||||||||||||||||||||||||||||||
Class II | 4/30/14 | (4.63 | )% | 1.34 | % | 3.98 | % | 3.41 | % | 3.51 | % | 0.99 | % | 0.96 | % | ||||||||||||||||||||
S&P Global Managed Risk LargeMidCap Index - Moderate Agressive4 | (5.57 | )% | 1.76 | % | 5.19 | % | 4.43 | % | 4.43 | % | |||||||||||||||||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio^ | |||||||||||||||||||||||||||||||||||
Class II | 4/30/14 | (2.79 | )% | 2.55 | % | 4.10 | % | 3.99 | % | 4.14 | % | 0.99 | % | 0.99 | % | ||||||||||||||||||||
S&P Global Managed Risk LargeMidCap Index - Moderate Conservative1 | (3.28 | )% | 2.93 | % | 5.08 | % | 4.53 | % | 4.69 | % | |||||||||||||||||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio^ | |||||||||||||||||||||||||||||||||||
Class II | 4/30/15 | 0.69 | % | 6.80 | % | 6.15 | % | 5.17 | % | 4.65 | % | 1.31 | % | 1.21 | % | ||||||||||||||||||||
S&P Global Managed Risk LargeMidCap Index - Moderate5 | (4.38 | )% | 2.42 | % | 5.15 | % | 4.47 | % | 4.74 | % | |||||||||||||||||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio^ | |||||||||||||||||||||||||||||||||||
Class II | 10/31/13 | (5.29 | )% | 1.38 | % | 4.58 | % | 4.50 | % | 4.91 | % | 1.89 | % | 1.26 | % | ||||||||||||||||||||
S&P Global Managed Risk LargeMidCap Index - Moderate5 | (4.38 | )% | 2.42 | % | 5.15 | % | 4.47 | % | 4.74 | % |
5
Performance Summary (Continued)
Annualized | Operating Expenses | ||||||||||||||||||||||||||||||||||
Inception Date | Six Months Ended 6/30/20 | One Year Ended 6/30/20 | Three Years Ended 6/30/20 | Five Years Ended 6/30/20 | Since Inception 6/30/20 | Gross Ratios | Net Ratios | ||||||||||||||||||||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio^^ | |||||||||||||||||||||||||||||||||||
Class II | 10/31/13 | (1.21 | )% | 5.13 | % | 5.75 | % | 5.66 | % | 6.44 | % | 1.21 | % | 1.21 | % | ||||||||||||||||||||
S&P 500 Managed Risk Index - Moderate Conservative6 | (1.24 | )% | 5.67 | % | 7.09 | % | 6.64 | % | 7.11 | % |
^ The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Total returns would have been lower absent fee waivers by the Adviser. Performance figures for periods greater than one year are annualized. The returns shown do not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Prior to October 1, 2016, the Capital Appreciation and Income Component of the Portfolio were managed by the Adviser without the use of a sub-adviser. The performance prior to that date is attributable to the Adviser's asset allocation decisions.
^^ The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Total returns would have been lower absent fee waivers by the Adviser. Performance figures for periods greater than one year are annualized. The returns shown do not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account.
^^^ The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Total returns would have been lower absent fee waivers by the Adviser. Performance figures for periods greater than one year are annualized. The returns shown do not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Prior to October 1, 2016, the Fixed Income Component of the Portfolio was managed by the Adviser without the use of a sub-adviser.
* The estimated operating expense ratios for Class II shares, as disclosed in the most recent prospectus dated April 30, 2020. 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.
1 S&P Global Managed Risk LargeMidCap Index - Moderate Conservative. An index that is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 40% to the underlying bond index.
2 S&P Global Managed Risk LargeMidCap Index - Conservative. An index that is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 50% to the underlying bond index.
3 S&P 500 Managed Risk Index - Moderate. An index that is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 30% to the underlying bond index.
4 S&P Global Managed Risk LargeMidCap Index - Moderate Aggressive. An index that is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 20% to the underlying bond index.
5 S&P Global Managed Risk LargeMidCap Index - Moderate. An index that is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 30% to the underlying bond index.
6 S&P 500 Managed Risk Index - Moderate Conservative. An index that is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 40% to the underlying bond index.
6
Global Atlantic American Funds® Managed Risk Portfolio
Portfolio of Investments
June 30, 2020 (Unaudited)
Shares/ Principal | Fair Value | ||||||||||
VARIABLE INSURANCE TRUSTS - 95.5% | |||||||||||
ASSET ALLOCATION FUND - 0.9% | |||||||||||
84,656 | American Funds Insurance Series - New World Fund, Class 1 | $ | 2,073,215 | ||||||||
TOTAL ASSET ALLOCATION FUND | 2,073,215 | ||||||||||
DEBT FUNDS - 33.5% | |||||||||||
4,394,077 | American Funds Insurance Series - Bond Fund, Class 1 | 51,586,458 | |||||||||
509,885 | American Funds Insurance Series - Global Bond Fund, Class 1 | 6,190,006 | |||||||||
659,945 | American Funds Insurance Series - High-Income Bond Fund, Class 1 | 6,104,494 | |||||||||
632,954 | American Funds Insurance Series - U.S. Government/AAA-Rated Securities Fund, Class 1 | 8,279,040 | |||||||||
TOTAL DEBT FUNDS | 72,159,998 | ||||||||||
EQUITY FUNDS - 61.1% | |||||||||||
3,177,193 | American Funds Insurance Series - Blue Chip Income And Growth Fund, Class 1 | 38,888,839 | |||||||||
1,794,414 | American Funds Insurance Series - Global Growth And Income Fund, Class 1 | 24,655,251 | |||||||||
255,328 | American Funds Insurance Series - Global Small Capitalization Fund, Class 1 | 6,204,468 | |||||||||
257,862 | American Funds Insurance Series - Growth Fund, Class 1 | 22,846,580 | |||||||||
651,528 | American Funds Insurance Series - Growth-Income Fund, Class 1 | 30,882,412 | |||||||||
533,560 | American Funds Insurance Series - International Growth And Income Fund, Class 1 | 8,216,817 | |||||||||
TOTAL EQUITY FUNDS | 131,694,367 | ||||||||||
TOTAL VARIABLE INSURANCE TRUSTS (Cost - $188,354,373) | 205,927,580 |
Shares/ Principal | Fair Value | ||||||||||
SHORT-TERM INVESTMENTS - 3.3% | |||||||||||
MONEY MARKET FUNDS - 3.3% | |||||||||||
7,121,850 | Dreyfus Government Cash Management, 0.09% (a) | $ | 7,121,850 | ||||||||
4,536 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 0.10% (a) | 4,536 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $7,126,386) | 7,126,386 | ||||||||||
TOTAL INVESTMENTS - 98.8% (Cost - $195,480,759) | $ | 213,053,966 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET 1.2% | 2,507,367 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 215,561,333 |
(a) The rate shown is the annualized seven-day yield at period end.
Holdings by Asset Class | % of Net Assets | ||||||
Variable Insurance Trusts | 95.5 | % | |||||
Money Market Funds | 3.3 | % | |||||
Other Assets Less Liabilities - Net | 1.2 | % | |||||
100.0 | % |
FUTURES CONTRACTS | |||||||||||||||||||||||
Counterparty | Number of Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||||||
SHORT FUTURES CONTRACTS | |||||||||||||||||||||||
E-Mini Russell 2000 Future | Goldman Sachs & Co. | 26 | 9/18/2020 | $ | 1,868,880 | $ | (75,395 | ) | |||||||||||||||
MSCI EAFE Future | Goldman Sachs & Co. | 78 | 9/18/2020 | 6,935,760 | (74,550 | ) | |||||||||||||||||
MSCI Emerging Market Index Future | Goldman Sachs & Co. | 77 | 9/18/2020 | 3,794,945 | (68,870 | ) | |||||||||||||||||
S&P 500 E-Mini Future | Goldman Sachs & Co. | 118 | 9/18/2020 | 18,232,180 | (392,930 | ) | |||||||||||||||||
S&P MID 400 E-Mini Future | Goldman Sachs & Co. | 20 | 9/18/2020 | 3,558,200 | (67,850 | ) | |||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $ | (679,595 | ) |
See accompanying notes to financial statements.
7
Global Atlantic Balanced Managed Risk Portfolio
Portfolio of Investments
June 30, 2020 (Unaudited)
Shares/ Principal | Fair Value | ||||||||||
EXCHANGE TRADED FUNDS - 95.4% | |||||||||||
DEBT FUNDS - 45.1% | |||||||||||
47,756 | iShares 0-5 Year High Yield Corporate Bond ETF | $ | 2,048,255 | ||||||||
5,862 | iShares 20+ Year Treasury Bond ETF | 960,958 | |||||||||
33,898 | iShares 3-7 Year Treasury Bond ETF | 4,531,146 | |||||||||
4,658 | iShares 7-10 Year Treasury Bond ETF | 567,670 | |||||||||
17,488 | iShares Intermediate-Term Corporate Bond ETF | 1,055,925 | |||||||||
113,972 | iShares Long-Term Corporate Bond ETF | 7,982,599 | |||||||||
30,198 | �� | iShares Short Maturity Bond ETF | 1,510,202 | ||||||||
144,089 | iShares Short-Term Corporate Bond ETF | 7,883,109 | |||||||||
324,796 | iShares U.S. Treasury Bond ETF | 9,091,040 | |||||||||
TOTAL DEBT FUNDS | 35,630,904 | ||||||||||
EQUITY FUNDS - 50.3% | |||||||||||
81,183 | iShares Core MSCI EAFE ETF | 4,640,420 | |||||||||
49,573 | iShares Core S&P 500 ETF | 15,352,262 | |||||||||
16,811 | iShares Core S&P Mid-Cap ETF | 2,989,332 | |||||||||
66,119 | iShares Core S&P Small-Cap ETF | 4,515,267 | |||||||||
18,483 | iShares Edge MSCI Min Vol USA ETF | 1,120,624 | |||||||||
30,730 | iShares Edge MSCI USA Value Factor ETF | 2,221,164 | |||||||||
3,263 | iShares Global Tech ETF | 768,567 | |||||||||
17,982 | iShares MSCI EAFE Growth ETF | 1,494,484 | |||||||||
72,547 | iShares Trust iShares ESG MSCI USA ETF | 5,077,565 | |||||||||
6,076 | iShares U.S. Financial Services ETF | 725,475 | |||||||||
23,553 | iShares, Inc. iShares ESG MSCI EM ETF | 754,638 | |||||||||
TOTAL EQUITY FUNDS | 39,659,798 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $67,230,006) | 75,290,702 |
Shares/ Principal | Fair Value | ||||||||||
SHORT-TERM INVESTMENTS - 3.6% | |||||||||||
MONEY MARKET FUNDS - 3.6% | |||||||||||
2,801,008 | Dreyfus Government Cash Management, 0.09% (a) | $ | 2,801,008 | ||||||||
5,069 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 0.10% (a) | 5,069 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $2,806,077) | 2,806,077 | ||||||||||
TOTAL INVESTMENTS - 99.0% (Cost - $70,036,083) | $ | 78,096,779 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET 1.0% | 821,344 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 78,918,123 |
(a) The rate shown is the annualized seven-day yield at period end.
Holdings by Asset Class | % of Net Assets | ||||||
Exchange Traded Funds | 95.4 | % | |||||
Money Market Funds | 3.6 | % | |||||
Other Assets Less Liabilities - Net | 1.0 | % | |||||
100.0 | % |
FUTURES CONTRACTS | |||||||||||||||||||||||
Counterparty | Number of Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||||||
SHORT FUTURES CONTRACTS | |||||||||||||||||||||||
E-Mini Russell 2000 Future | Goldman Sachs & Co. | 23 | 9/18/2020 | $ | 1,653,240 | $ | (42,175 | ) | |||||||||||||||
MSCI EAFE Future | Goldman Sachs & Co. | 21 | 9/18/2020 | 1,867,320 | (10,480 | ) | |||||||||||||||||
MSCI Emerging Market Index Future | Goldman Sachs & Co. | 8 | 9/18/2020 | 394,280 | (7,750 | ) | |||||||||||||||||
NASDAQ 100 E-Mini Future | Goldman Sachs & Co. | 1 | 9/18/2020 | 202,945 | (3,560 | ) | |||||||||||||||||
S&P 500 E-Mini Future | Goldman Sachs & Co. | 40 | 9/18/2020 | 6,180,400 | (145,200 | ) | |||||||||||||||||
S&P MID 400 E-Mini Future | Goldman Sachs & Co. | 8 | 9/18/2020 | 1,423,280 | (25,690 | ) | |||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $ | (234,855 | ) |
See accompanying notes to financial statements.
8
Global Atlantic BlackRock Selects Managed Risk Portfolio
Portfolio of Investments
June 30, 2020 (Unaudited)
Shares/ Principal | Fair Value | ||||||||||
EXCHANGE TRADED FUNDS - 73.3% | |||||||||||
DEBT FUNDS - 27.3% | |||||||||||
87,986 | iShares 1-3 Year Treasury Bond ETF | $ | 7,620,467 | ||||||||
20,093 | iShares 20+ Year Treasury Bond ETF | 3,293,846 | |||||||||
89,749 | iShares 3-7 Year Treasury Bond ETF | 11,996,749 | |||||||||
130,018 | iShares iBoxx $ Investment Grade Corporate Bond ETF | 17,487,421 | |||||||||
78,804 | iShares iBoxx High Yield Corporate Bond ETF | 6,431,983 | |||||||||
59,915 | iShares JP Morgan USD Emerging Markets Bond ETF | 6,543,916 | |||||||||
78,595 | iShares Short Treasury Bond ETF | 8,703,610 | |||||||||
TOTAL DEBT FUNDS | 62,077,992 | ||||||||||
EQUITY FUNDS - 46.0% | |||||||||||
355,600 | iShares Core MSCI EAFE ETF | 20,326,096 | |||||||||
45,163 | iShares Core MSCI Emerging Markets ETF | 2,149,759 | |||||||||
542,600 | iShares Core S&P U.S. Growth ETF | 39,002,088 | |||||||||
165,000 | iShares Core S&P U.S. Value ETF | 8,617,950 | |||||||||
123,189 | iShares Edge MSCI Min Vol Global ETF | 10,788,892 | |||||||||
33,280 | iShares Edge MSCI USA Momentum Factor ETF | 4,359,680 | |||||||||
202,353 | iShares Edge MSCI USA Quality Factor ETF | 19,409,700 | |||||||||
TOTAL EQUITY FUNDS | 104,654,165 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $155,031,616) | 166,732,157 | ||||||||||
VARIABLE INSURANCE TRUSTS - 21.9% | |||||||||||
ASSET ALLOCATION FUND - 21.9% | |||||||||||
2,897,477 | BlackRock Global Allocation VI Fund, Class I (Cost - $43,420,319) | 49,836,606 |
Shares/ Principal | Fair Value | ||||||||||
SHORT-TERM INVESTMENTS - 3.7% | |||||||||||
MONEY MARKET FUNDS - 3.7% | |||||||||||
8,391,263 | Dreyfus Government Cash Management, 0.09% (a) | $ | 8,391,263 | ||||||||
3,485 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 0.10% (a) | 3,485 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $8,394,748) | 8,394,748 | ||||||||||
TOTAL INVESTMENTS - 98.9% (Cost - $206,846,683) | $ | 224,963,511 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET 1.1% | 2,436,969 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 227,400,480 |
(a) The rate shown is the annualized seven-day yield at period end.
Holdings by Asset Class | % of Net Assets | ||||||
Exchange Traded Funds | 73.3 | % | |||||
Variable Insurance Trusts | 21.9 | % | |||||
Money Market Funds | 3.7 | % | |||||
Other Assets Less Liabilities - Net | 1.1 | % | |||||
100.0 | % |
FUTURES CONTRACTS | |||||||||||||||||||||||
Counterparty | Number of Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||||||
SHORT FUTURES CONTRACTS | |||||||||||||||||||||||
E-Mini Russell 2000 Future | Goldman Sachs & Co. | 11 | 9/18/2020 | $ | 790,680 | $ | (35,290 | ) | |||||||||||||||
MSCI EAFE Future | Goldman Sachs & Co. | 98 | 9/18/2020 | 8,714,160 | (115,690 | ) | |||||||||||||||||
MSCI Emerging Market Index Future | Goldman Sachs & Co. | 56 | 9/18/2020 | 2,759,960 | (44,390 | ) | |||||||||||||||||
S&P 500 E-Mini Future | Goldman Sachs & Co. | 142 | 9/18/2020 | 21,940,420 | (627,810 | ) | |||||||||||||||||
S&P MID 400 E-Mini Future | Goldman Sachs & Co. | 10 | 9/18/2020 | 1,779,100 | (48,940 | ) | |||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $ | (872,120 | ) |
See accompanying notes to financial statements.
9
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments
June 30, 2020 (Unaudited)
Shares/ Principal | Fair Value | ||||||||||
COMMON STOCKS - 71.5% | |||||||||||
AEROSPACE & DEFENSE - 2.5% | |||||||||||
19,170 | General Dynamics Corp. | $ | 2,865,148 | ||||||||
60,655 | Raytheon Technologies Corp. | 3,737,561 | |||||||||
6,602,709 | |||||||||||
AIR FREIGHT & LOGISTICS - 1.0% | |||||||||||
22,610 | United Parcel Service, Inc., Class B | 2,513,780 | |||||||||
BEVERAGES - 1.3% | |||||||||||
26,400 | PepsiCo, Inc. | 3,491,664 | |||||||||
BIOTECHNOLOGY - 0.7% | |||||||||||
18,660 | AbbVie, Inc. | 1,832,039 | |||||||||
BUILDING PRODUCTS - 0.9% | |||||||||||
70,075 | Johnson Controls International PLC | 2,392,361 | |||||||||
CAPITAL MARKETS - 0.3% | |||||||||||
5,090 | Nasdaq, Inc. | 608,102 | |||||||||
4,300 | State Street Corp. | 273,265 | |||||||||
881,367 | |||||||||||
CHEMICALS - 8.1% | |||||||||||
28,100 | Air Products and Chemicals, Inc. | 6,785,026 | |||||||||
48,945 | Albemarle Corp. | 3,779,043 | |||||||||
18,000 | Ecolab, Inc. | 3,581,100 | |||||||||
33,550 | Linde PLC | 7,116,291 | |||||||||
21,261,460 | |||||||||||
COMMERCIAL SERVICES & SUPPLIES - 1.3% | |||||||||||
11,800 | Cintas Corp. | 3,143,048 | |||||||||
19,000 | Matthews International Corp., Class A | 362,900 | |||||||||
3,505,948 | |||||||||||
ELECTRICAL EQUIPMENT - 0.4% | |||||||||||
49,170 | nVent Electric PLC | 920,954 | |||||||||
ENERGY EQUIPMENT & SERVICES - 0.0%† | |||||||||||
1,897 | Weatherford International PLC* | 3,737 | |||||||||
FOOD & STAPLES RETAILING - 1.2% | |||||||||||
25,400 | Walmart, Inc. | 3,042,412 | |||||||||
FOOD PRODUCTS - 1.3% | |||||||||||
18,660 | McCormick & Co., Inc. | 3,347,791 | |||||||||
HEALTH CARE EQUIPMENT & SUPPLIES - 10.7% | |||||||||||
41,700 | Abbott Laboratories | 3,812,631 | |||||||||
25,500 | Becton Dickinson and Co. | 6,101,385 | |||||||||
23,200 | DENTSPLY SIRONA, Inc. | 1,022,192 | |||||||||
54,300 | Medtronic PLC | 4,979,310 | |||||||||
35,900 | Stryker Corp. | 6,468,821 | |||||||||
24,700 | West Pharmaceutical Services, Inc. | 5,611,099 | |||||||||
27,995,438 |
Shares/ Principal | Fair Value | ||||||||||
HEALTH CARE PROVIDERS & SERVICES - 1.4% | |||||||||||
21,790 | CVS Health Corp. | $ | 1,415,696 | ||||||||
8,000 | UnitedHealth Group, Inc. | 2,359,600 | |||||||||
3,775,296 | |||||||||||
HOTELS, RESTAURANTS & LEISURE - 1.2% | |||||||||||
17,470 | McDonald's Corp. | 3,222,691 | |||||||||
HOUSEHOLD PRODUCTS - 2.3% | |||||||||||
35,366 | Colgate-Palmolive Co. | 2,590,913 | |||||||||
28,500 | Procter & Gamble Co. (The) | 3,407,745 | |||||||||
5,998,658 | |||||||||||
INDUSTRIAL CONGLOMERATES - 6.6% | |||||||||||
13,680 | Carlisle Cos., Inc. | 1,637,086 | |||||||||
34,860 | Honeywell International, Inc. | 5,040,408 | |||||||||
27,140 | Roper Technologies, Inc. | 10,537,376 | |||||||||
17,214,870 | |||||||||||
INSURANCE - 1.1% | |||||||||||
28,900 | Aflac, Inc. | 1,041,267 | |||||||||
8,900 | Erie Indemnity Co., Class A | 1,707,910 | |||||||||
2,749,177 | |||||||||||
IT SERVICES - 4.4% | |||||||||||
35,100 | Accenture PLC, Class A | 7,536,672 | |||||||||
20,290 | Visa, Inc., Class A | 3,919,419 | |||||||||
11,456,091 | |||||||||||
MACHINERY - 2.5% | |||||||||||
26,829 | Donaldson Co., Inc. | 1,248,085 | |||||||||
28,200 | Dover Corp. | 2,722,992 | |||||||||
13,800 | Otis Worldwide Corp. | 784,668 | |||||||||
43,470 | Pentair PLC | 1,651,425 | |||||||||
6,407,170 | |||||||||||
MULTILINE RETAIL - 1.4% | |||||||||||
31,300 | Target Corp. | 3,753,809 | |||||||||
OIL, GAS & CONSUMABLE FUELS - 1.4% | |||||||||||
13,700 | Chevron Corp. | 1,222,451 | |||||||||
29,800 | EOG Resources, Inc. | 1,509,668 | |||||||||
21,000 | Exxon Mobil Corp. | 939,120 | |||||||||
3,671,239 | |||||||||||
PHARMACEUTICALS - 2.4% | |||||||||||
27,300 | Johnson & Johnson | 3,839,199 | |||||||||
15,600 | Perrigo Co. PLC | 862,212 | |||||||||
48,200 | Pfizer, Inc. | 1,576,140 | |||||||||
6,277,551 | |||||||||||
ROAD & RAIL - 0.9% | |||||||||||
13,400 | Norfolk Southern Corp. | 2,352,638 |
See accompanying notes to financial statements.
10
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Continued)
June 30, 2020 (Unaudited)
Shares/ Principal | Fair Value | ||||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 4.7% | |||||||||||
50,671 | Analog Devices, Inc. | $ | 6,214,292 | ||||||||
48,100 | Texas Instruments, Inc. | 6,107,257 | |||||||||
12,321,549 | |||||||||||
SOFTWARE - 6.7% | |||||||||||
85,810 | Microsoft Corp. | 17,463,193 | |||||||||
SPECIALTY RETAIL - 2.6% | |||||||||||
27,000 | Lowe's Cos., Inc. | 3,648,240 | |||||||||
37,700 | Ross Stores, Inc. | 3,213,548 | |||||||||
6,861,788 | |||||||||||
TEXTILES, APPAREL & LUXURY GOODS - 1.5% | |||||||||||
41,240 | NIKE, Inc., Class B | 4,043,582 | |||||||||
TRADING COMPANIES & DISTRIBUTORS - 0.7% | |||||||||||
5,400 | WW Grainger, Inc. | 1,696,464 | |||||||||
TOTAL COMMON STOCKS (Cost - $115,726,564) | 187,057,426 | ||||||||||
CORPORATE BONDS AND NOTES - 10.4% | |||||||||||
AEROSPACE & DEFENSE - 0.2% | |||||||||||
$ | 300,000 | Lockheed Martin Corp., 4.70%, 5/15/46 | 409,337 | ||||||||
100,000 | Northrop Grumman Corp., 5.25%, 5/1/50 | 143,446 | |||||||||
552,783 | |||||||||||
AGRICULTURE - 0.2% | |||||||||||
250,000 | Altria Group, Inc., 3.40%, 5/6/30 | 268,988 | |||||||||
300,000 | Reynolds American, Inc., 5.70%, 8/15/35 | 368,589 | |||||||||
637,577 | |||||||||||
APPAREL - 0.1% | |||||||||||
NIKE, Inc. | |||||||||||
100,000 | 2.38%, 11/1/26 | 108,837 | |||||||||
100,000 | 3.88%, 11/1/45 | 120,584 | |||||||||
229,421 | |||||||||||
AUTO PARTS & EQUIPMENT - 0.1% | |||||||||||
100,000 | Adient US LLC, 7.00%, 5/15/26 (a) | 103,500 | |||||||||
200,000 | Aptiv Corp., 4.15%, 3/15/24 | 213,359 | |||||||||
316,859 | |||||||||||
BANKS - 1.5% | |||||||||||
Bank of America Corp. | |||||||||||
500,000 | 3.50%, 4/19/26 | 562,823 | |||||||||
100,000 | 2.59%, (SOFR + 2.15%), 4/29/31 (b) | 105,814 | |||||||||
100,000 | Bank of Montreal, 1.85%, 5/1/25 | 103,530 | |||||||||
150,000 | BDO Unibank, Inc., 2.95%, 3/6/23 (c) | 153,359 | |||||||||
200,000 | BNP Paribas SA, 2.22%, (SOFR + 2.07%), 6/9/26 (a,b) | 204,803 | |||||||||
100,000 | Citigroup, Inc., 2.57%, (SOFR + 2.11%), 6/3/31 (b) | 103,426 |
Shares/ Principal | Fair Value | ||||||||||
BANKS - 1.5% (Continued) | |||||||||||
$ | 50,000 | Comerica, Inc., 5.63%, (US 5 Year CMT T-Note + 5.29%) (b) | $ | 50,750 | |||||||
100,000 | Fifth Third Bancorp, 2.55%, 5/5/27 | 107,128 | |||||||||
500,000 | Goldman Sachs Group, Inc. (The), 3.75%, 2/25/26 | 557,650 | |||||||||
200,000 | HSBC Holdings PLC, 2.85%, (SOFR + 2.39%), 6/4/31 (b) | 204,237 | |||||||||
400,000 | JPMorgan Chase & Co., 4.49%, (SOFR + 3.79%), 3/24/31 (b) | 487,629 | |||||||||
200,000 | Lloyds Banking Group PLC, 3.87%, (US 1 Year CMT T-Note + 3.50%), 7/9/25 (b) | 217,182 | |||||||||
Morgan Stanley | |||||||||||
500,000 | 3.88%, 1/27/26 | 565,602 | |||||||||
100,000 | 2.19%, (SOFR + 1.99%), 4/28/26 (b) | 104,121 | |||||||||
100,000 | Royal Bank of Canada, 1.95%, 1/17/23 | 103,124 | |||||||||
50,000 | SVB Financial Group, 3.13%, 6/5/30 | 53,608 | |||||||||
100,000 | UBS AG, 1.75%, 4/21/22 (a) | 101,912 | |||||||||
100,000 | Wells Fargo & Co., 2.39%, (SOFR + 2.10%), 6/2/28 (b) | 103,321 | |||||||||
3,890,019 | |||||||||||
BEVERAGES - 0.3% | |||||||||||
100,000 | Anheuser-Busch Cos., LLC / Anheuser-Busch InBev Worldwide, Inc., 4.70%, 2/1/36 | 117,807 | |||||||||
200,000 | Anheuser-Busch InBev Worldwide, Inc., 3.50%, 6/1/30 | 224,887 | |||||||||
100,000 | Coca-Cola Co. (The), 1.45%, 6/1/27 | 102,890 | |||||||||
300,000 | Diageo Capital PLC, 2.00%, 4/29/30 | 310,366 | |||||||||
755,950 | |||||||||||
BIOTECHNOLOGY - 0.2% | |||||||||||
100,000 | Amgen, Inc., 2.20%, 2/21/27 | 105,457 | |||||||||
Biogen, Inc. | |||||||||||
50,000 | 2.25%, 5/1/30 | 50,408 | |||||||||
200,000 | 5.20%, 9/15/45 | 262,230 | |||||||||
100,000 | Gilead Sciences, Inc., 3.25%, 9/1/22 | 105,731 | |||||||||
523,826 | |||||||||||
CHEMICALS - 0.3% | |||||||||||
100,000 | Air Products and Chemicals, Inc., 2.05%, 5/15/30 | 104,960 | |||||||||
200,000 | Braskem Netherlands Finance BV, 4.50%, 1/31/30 (a) | 183,000 | |||||||||
200,000 | CNAC HK Finbridge Co. Ltd., 3.88%, 6/19/29 (c) | 216,439 | |||||||||
50,000 | Westlake Chemical Corp., 3.38%, 6/15/30 | 51,029 | |||||||||
100,000 | Yara International ASA, 3.15%, 6/4/30 (a) | 103,375 | |||||||||
658,803 |
See accompanying notes to financial statements.
11
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Continued)
June 30, 2020 (Unaudited)
Shares/ Principal | Fair Value | ||||||||||
COAL - 0.0%† | |||||||||||
$ | 100,000 | SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp., 7.50%, 6/15/25 (a) | $ | 84,520 | |||||||
COMPUTERS - 0.0%† | |||||||||||
100,000 | Presidio Holdings, Inc., 8.25%, 2/1/28 (a) | 100,000 | |||||||||
COSMETICS & PERSONAL CARE - 0.1% | |||||||||||
135,000 | Avon Products, Inc., 7.00%, 3/15/23 | 133,354 | |||||||||
100,000 | Procter & Gamble Co. (The), 3.55%, 3/25/40 | 120,229 | |||||||||
253,583 | |||||||||||
DISTRIBUTION & WHOLESALE - 0.0%† | |||||||||||
100,000 | Resideo Funding, Inc., 6.13%, 11/1/26 (a) | 97,750 | |||||||||
DIVERSIFIED FINANCIAL SERVICES - 0.3% | |||||||||||
Capital One Financial Corp. | |||||||||||
300,000 | 3.20%, 2/5/25 | 322,110 | |||||||||
100,000 | 3.75%, 3/9/27 | 110,434 | |||||||||
200,000 | 3.65%, 5/11/27 | 219,241 | |||||||||
100,000 | Springleaf Finance Corp., 5.38%, 11/15/29 | 93,500 | |||||||||
745,285 | |||||||||||
ELECTRIC - 1.1% | |||||||||||
100,000 | Calpine Corp., 5.13%, 3/15/28 (a) | 98,000 | |||||||||
200,000 | Colbun SA, 3.15%, 3/6/30 (a) | 202,100 | |||||||||
Dominion Energy, Inc. | |||||||||||
200,000 | 3.90%, 10/1/25 | 226,545 | |||||||||
100,000 | 3.38%, 4/1/30 | 110,383 | |||||||||
100,000 | Duke Energy Carolinas LLC, 6.10%, 6/1/37 | 142,676 | |||||||||
100,000 | Duke Energy Corp., 3.75%, 9/1/46 | 113,263 | |||||||||
100,000 | Duke Energy Indiana LLC, 3.75%, 7/15/20 | 100,119 | |||||||||
200,000 | EDP Finance BV, 3.63%, 7/15/24 (a) | 214,753 | |||||||||
400,000 | Electricite de France SA, 5.25%, (USD 10 Year Swap + 3.71%) (a,b) | 409,000 | |||||||||
200,000 | Exelon Corp., 4.05%, 4/15/30 | 230,940 | |||||||||
200,000 | Israel Electric Corp. Ltd., 4.25%, 8/14/28 (a,c) | 225,952 | |||||||||
100,000 | PacifiCorp, 6.10%, 8/1/36 | 139,856 | |||||||||
300,000 | Southern Co. (The), 3.25%, 7/1/26 | 332,460 | |||||||||
100,000 | Talen Energy Supply LLC, 7.25%, 5/15/27 (a) | 99,500 | |||||||||
200,000 | TNB Global Ventures Capital BHD, 3.24%, 10/19/26 (c) | 212,302 | |||||||||
2,857,849 | |||||||||||
ELECTRICAL COMPONENTS & EQUIPMENT - 0.1% | |||||||||||
50,000 | Emerson Electric Co., 2.75%, 10/15/50 | 50,378 | |||||||||
100,000 | WESCO Distribution, Inc., 7.13%, 6/15/25 (a) | 105,313 | |||||||||
155,691 | |||||||||||
ENGINEERING & CONSTRUCTION - 0.1% | |||||||||||
200,000 | Mexico City Airport Trust, 5.50%, 7/31/47 (a) | 177,000 |
Shares/ Principal | Fair Value | ||||||||||
ENVIRONMENTAL CONTROL - 0.0%† | |||||||||||
$ | 100,000 | Harsco Corp., 5.75%, 7/31/27 (a) | $ | 100,250 | |||||||
FOOD - 0.3% | |||||||||||
200,000 | Cencosud SA, 4.38%, 7/17/27 (a) | 203,460 | |||||||||
100,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 5.50%, 1/15/30 (a) | 102,500 | |||||||||
100,000 | Kraft Heinz Foods Co., 3.88%, 5/15/27 (a) | 104,499 | |||||||||
200,000 | Kroger Co. (The), 2.20%, 5/1/30 | 208,015 | |||||||||
100,000 | Post Holdings, Inc., 4.63%, 4/15/30 (a) | 97,880 | |||||||||
716,354 | |||||||||||
HEALTHCARE-PRODUCTS - 0.0%† | |||||||||||
100,000 | Abbott Laboratories, 4.75%, 11/30/36 | 135,465 | |||||||||
HEALTHCARE-SERVICES - 0.4% | |||||||||||
Anthem, Inc. | |||||||||||
100,000 | 4.10%, 3/1/28 | 117,191 | |||||||||
55,000 | 2.25%, 5/15/30 | 56,424 | |||||||||
100,000 | 4.65%, 1/15/43 | 125,492 | |||||||||
100,000 | CHS/Community Health Systems, Inc., 6.25%, 3/31/23 | 94,125 | |||||||||
140,000 | Kaiser Foundation Hospitals, 3.27%, 11/1/49 | 156,393 | |||||||||
35,000 | Orlando Health Obligated Group, 3.78%, 10/1/28 | 39,296 | |||||||||
355,000 | Quest Diagnostics, Inc., 2.80%, 6/30/31 | 372,428 | |||||||||
40,000 | RWJ Barnabas Health, Inc., 3.48%, 7/1/49 | 42,161 | |||||||||
1,003,510 | |||||||||||
INSURANCE - 0.6% | |||||||||||
100,000 | Aflac, Inc., 3.60%, 4/1/30 | 116,374 | |||||||||
200,000 | Arch Capital Group Ltd., 3.64%, 6/30/50 | 209,646 | |||||||||
300,000 | Liberty Mutual Group, Inc., 4.57%, 2/1/29 (a) | 351,400 | |||||||||
Marsh & McLennan Cos., Inc. | |||||||||||
100,000 | 4.38%, 3/15/29 | 119,072 | |||||||||
200,000 | 2.25%, 11/15/30 | 207,550 | |||||||||
300,000 | Metropolitan Life Global Funding I, 2.95%, 4/9/30 (a) | 328,764 | |||||||||
200,000 | Prudential PLC, 3.13%, 4/14/30 | 215,060 | |||||||||
50,000 | Willis North America, Inc., 2.95%, 9/15/29 | 52,928 | |||||||||
1,600,794 | |||||||||||
INTERNET - 0.2% | |||||||||||
200,000 | Alibaba Group Holding Ltd., 4.40%, 12/6/57 | 256,933 | |||||||||
100,000 | Netflix, Inc., 5.38%, 11/15/29 (a) | 109,520 | |||||||||
200,000 | Tencent Holdings Ltd., 2.39%, 6/3/30 (a) | 199,753 | |||||||||
566,206 | |||||||||||
LEISURE TIME - 0.0%† | |||||||||||
24,628 | 24 Hour Fitness Worldwide, Inc., 8.00%, 6/22/21 | 23,890 |
See accompanying notes to financial statements.
12
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Continued)
June 30, 2020 (Unaudited)
Shares/ Principal | Fair Value | ||||||||||
MACHINERY-CONSTRUCTION & MINING - 0.1% | |||||||||||
Caterpillar, Inc. | |||||||||||
$ | 200,000 | 2.60%, 4/9/30 | $ | 217,529 | |||||||
100,000 | 3.25%, 4/9/50 | 111,474 | |||||||||
329,003 | |||||||||||
MACHINERY-DIVERSIFIED - 0.0%† | |||||||||||
50,000 | Westinghouse Air Brake Technologies Corp., 3.20%, 6/15/25 | 50,950 | |||||||||
MEDIA - 0.4% | |||||||||||
100,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 5.13%, 5/1/27 (a) | 103,460 | |||||||||
200,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 2.80%, 4/1/31 | 202,604 | |||||||||
200,000 | Comcast Corp., 3.15%, 2/15/28 | 223,341 | |||||||||
100,000 | Diamond Sports Group LLC / Diamond Sports Finance Co., 5.38%, 8/15/26 (a) | 72,375 | |||||||||
100,000 | Nexstar Broadcasting, Inc., 5.63%, 7/15/27 (a) | 99,256 | |||||||||
100,000 | Univision Communications, Inc., 5.13%, 2/15/25 (a) | 94,188 | |||||||||
Walt Disney Co. (The) | |||||||||||
100,000 | 2.20%, 1/13/28 | 104,403 | |||||||||
100,000 | 2.00%, 9/1/29 | 101,902 | |||||||||
1,001,529 | |||||||||||
MINING - 0.1% | |||||||||||
200,000 | Glencore Finance Canada Ltd., 4.95%, 11/15/21 (a) | 208,736 | |||||||||
MULTI-NATIONAL - 0.1% | |||||||||||
200,000 | Banque Ouest Africaine de Developpement, 5.00%, 7/27/27 (a) | 208,000 | |||||||||
OIL & GAS - 0.2% | |||||||||||
100,000 | BP Capital Markets America, Inc., 3.94%, 9/21/28 | 114,506 | |||||||||
100,000 | Chevron Corp., 2.36%, 12/5/22 | 104,103 | |||||||||
50,000 | EOG Resources, Inc., 4.38%, 4/15/30 | 59,652 | |||||||||
100,000 | Exxon Mobil Corp., 2.61%, 10/15/30 | 107,054 | |||||||||
100,000 | Harvest Operations Corp., 4.20%, 6/1/23 (a) | 108,803 | |||||||||
100,000 | Total Capital International SA, 3.46%, 2/19/29 | 113,053 | |||||||||
607,171 | |||||||||||
OIL & GAS SERVICES - 0.0%† | |||||||||||
50,000 | Baker Hughes A GE Co. LLC / Baker Hughes Co.-Obligor, Inc., 4.49%, 5/1/30 | 57,720 | |||||||||
PACKAGING & CONTAINERS - 0.2% | |||||||||||
50,000 | Bemis Co., Inc., 2.63%, 6/19/30 | 51,264 | |||||||||
100,000 | CCL Industries, Inc., 3.05%, 6/1/30 (a) | 102,070 | |||||||||
100,000 | Plastipak Holdings, Inc., 6.25%, 10/15/25 (a) | 97,000 |
Shares/ Principal | Fair Value | ||||||||||
PACKAGING & CONTAINERS - 0.2% (Continued) | |||||||||||
$ | 100,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 7.00%, 7/15/24 (a) | $ | 100,281 | |||||||
50,000 | WRKCo, Inc., 3.00%, 6/15/33 | 52,079 | |||||||||
402,694 | |||||||||||
PHARMACEUTICALS - 0.6% | |||||||||||
AbbVie, Inc. | |||||||||||
100,000 | 2.95%, 11/21/26 (a) | 108,765 | |||||||||
100,000 | 4.25%, 11/14/28 | 117,046 | |||||||||
100,000 | 3.20%, 11/21/29 (a) | 110,039 | |||||||||
100,000 | 4.55%, 3/15/35 (a) | 121,271 | |||||||||
100,000 | AstraZeneca PLC, 3.38%, 11/16/25 | 112,420 | |||||||||
100,000 | Bausch Health Americas, Inc., 9.25%, 4/1/26 (a) | 108,490 | |||||||||
100,000 | Bayer US Finance II LLC, 4.38%, 12/15/28 (a) | 116,866 | |||||||||
100,000 | Bristol-Myers Squibb Co., 2.60%, 5/16/22 (a) | 103,969 | |||||||||
Cigna Corp. | |||||||||||
100,000 | 4.13%, 11/15/25 | 114,952 | |||||||||
200,000 | 4.38%, 10/15/28 | 236,698 | |||||||||
CVS Health Corp. | |||||||||||
100,000 | 4.30%, 3/25/28 | 116,957 | |||||||||
100,000 | 4.78%, 3/25/38 | 124,260 | |||||||||
50,000 | Perrigo Finance Unlimited Co., 3.15%, 6/15/30 | 50,536 | |||||||||
1,542,269 | |||||||||||
PIPELINES - 0.6% | |||||||||||
100,000 | Enable Midstream Partners LP, 4.95%, 5/15/28 | 92,629 | |||||||||
100,000 | Energy Transfer Operating LP, 4.75%, 1/15/26 | 108,566 | |||||||||
Enterprise Products Operating LLC | |||||||||||
100,000 | 3.13%, 7/31/29 | 107,040 | |||||||||
100,000 | 4.45%, 2/15/43 | 110,786 | |||||||||
MPLX LP | |||||||||||
100,000 | 4.88%, 6/1/25 | 111,628 | |||||||||
100,000 | 4.70%, 4/15/48 | 100,790 | |||||||||
400,000 | Sabine Pass Liquefaction LLC, 5.00%, 3/15/27 | 447,557 | |||||||||
TransCanada PipeLines Ltd. | |||||||||||
100,000 | 4.25%, 5/15/28 | 114,482 | |||||||||
200,000 | 4.88%, 5/15/48 | 248,141 | |||||||||
50,000 | Williams Cos., Inc. (The), 3.50%, 11/15/30 | 52,422 | |||||||||
1,494,041 | |||||||||||
REITS - 0.2% | |||||||||||
100,000 | AvalonBay Communities, Inc., 2.45%, 1/15/31 | 106,354 | |||||||||
300,000 | National Retail Properties, Inc., 4.30%, 10/15/28 | 326,679 | |||||||||
433,033 |
See accompanying notes to financial statements.
13
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Continued)
June 30, 2020 (Unaudited)
Shares/ Principal | Fair Value | ||||||||||
RETAIL - 0.2% | |||||||||||
$ | 100,000 | Beacon Roofing Supply, Inc., 4.88%, 11/1/25 (a) | $ | 89,250 | |||||||
100,000 | Costco Wholesale Corp., 1.38%, 6/20/27 | 102,120 | |||||||||
200,000 | Dollar Tree, Inc., 4.20%, 5/15/28 | 232,161 | |||||||||
100,000 | Target Corp., 2.25%, 4/15/25 | 106,951 | |||||||||
100,000 | Walmart, Inc., 3.55%, 6/26/25 | 113,396 | |||||||||
643,878 | |||||||||||
SEMICONDUCTORS - 0.0%† | |||||||||||
100,000 | Intel Corp., 3.90%, 3/25/30 | 120,801 | |||||||||
SOFTWARE - 0.2% | |||||||||||
Fiserv, Inc. | |||||||||||
200,000 | 3.85%, 6/1/25 | 225,785 | |||||||||
100,000 | 2.65%, 6/1/30 | 105,957 | |||||||||
100,000 | Microsoft Corp., 3.30%, 2/6/27 | 114,425 | |||||||||
446,167 | |||||||||||
TELECOMMUNICATIONS - 0.7% | |||||||||||
200,000 | Altice France SA, 5.50%, 1/15/28 (a) | 202,000 | |||||||||
AT&T, Inc. | |||||||||||
50,000 | 2.30%, 6/1/27 | 51,763 | |||||||||
300,000 | 4.30%, 2/15/30 | 351,585 | |||||||||
100,000 | CommScope Technologies LLC, 5.00%, 3/15/27 (a) | 90,070 | |||||||||
200,000 | Juniper Networks, Inc., 4.35%, 6/15/25 | 222,049 | |||||||||
100,000 | Sprint Corp., 7.13%, 6/15/24 | 112,914 | |||||||||
200,000 | Telefonica Emisiones SA, 4.10%, 3/8/27 | 228,287 | |||||||||
300,000 | T-Mobile USA, Inc., 3.88%, 4/15/30 (a) | 333,888 | |||||||||
100,000 | Verizon Communications, Inc., 4.02%, 12/3/29 | 119,258 | |||||||||
1,711,814 | |||||||||||
TEXTILES - 0.1% | |||||||||||
200,000 | Mohawk Industries, Inc., 3.63%, 5/15/30 | 217,867 | |||||||||
TRANSPORTATION - 0.6% | |||||||||||
200,000 | Burlington Northern Santa Fe LLC, 4.15%, 4/1/45 | 246,130 | |||||||||
100,000 | CSX Corp., 4.10%, 3/15/44 | 122,298 | |||||||||
FedEx Corp. | |||||||||||
200,000 | 3.80%, 5/15/25 | 222,322 | |||||||||
200,000 | 3.25%, 4/1/26 | 217,633 | |||||||||
200,000 | 4.05%, 2/15/48 | 205,544 | |||||||||
200,000 | Russian Railways Via RZD Capital PLC, 5.70%, 4/5/22 (c) | 211,968 | |||||||||
United Parcel Service, Inc. | |||||||||||
100,000 | 3.90%, 4/1/25 | 113,478 | |||||||||
200,000 | 5.30%, 4/1/50 | 287,823 | |||||||||
1,627,196 | |||||||||||
TOTAL CORPORATE BONDS AND NOTES (Cost - $25,829,976) | 27,286,254 |
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 6.6% | |||||||||||
$ | 250,000 | Adagio CLO VIII DAC, 1.65%, (3 Month EUR Libor + 1.65%), 4/15/32 (a,b) | $ | 275,164 | |||||||
300,000 | Alinea CLO 2018-1 Ltd., 2.79%, (3 Month US Libor + 1.65%), 7/20/31 (a,b) | 286,999 | |||||||||
300,000 | AMMC CLO 21 Ltd., 2.66%, (3 Month US Libor + 2.10%), 11/2/30 (a,b) | 283,319 | |||||||||
400,000 | AMMC CLO XI Ltd., 2.66%, (3 Month US Libor + 1.90%), 4/30/31 (a,b) | 371,120 | |||||||||
250,000 | Antares CLO 2018-1 Ltd., 2.79%, (3 Month US Libor + 1.65%), 4/20/31 (a,b) | 241,218 | |||||||||
250,000 | Ares European CLO VIII BV, 0.92%, (3 Month EUR Libor + 0.92%), 4/17/32 (a,b) | 274,872 | |||||||||
300,000 | Atrium XIV LLC, 2.63%, (3 Month US Libor + 1.45%), 8/23/30 (a,b) | 291,295 | |||||||||
250,000 | Avoca CLO XVII Designated Activity Co., 1.70%, (3 Month EUR Libor + 1.70%), 10/15/32 (a,b) | 276,167 | |||||||||
56,005 | Bellemeade Re 2018-1 Ltd., 1.78%, (1 Month US Libor + 1.60%), 4/25/28 (a,b) | 55,438 | |||||||||
BlueMountain Fuji Eur CLO V DAC | |||||||||||
300,000 | 0.91%, (3 Month EUR Libor + 0.91%), 1/15/33 (a,b) | 329,436 | |||||||||
250,000 | 1.55%, (3 Month EUR Libor + 1.55%), 1/15/33 (a,b) | 272,971 | |||||||||
112,796 | BRAVO Residential Funding Trust 2019-1, 3.50%, 3/25/58 (a) | 115,766 | |||||||||
152,327 | BRAVO Residential Funding Trust 2019-NQM2, 3.50%, 10/25/44 (a,b) | 159,160 | |||||||||
250,000 | Carlyle GMS Finance MM CLO 2015-1 LLC, 3.42%, (3 Month US Libor + 2.20%), 10/15/31 (a,b) | 229,674 | |||||||||
200,000 | CARLYLE US CLO 2017-4 Ltd., 4.02%, (3 Month US Libor + 2.80%), 1/15/30 (a,b) | 174,327 | |||||||||
130,543 | CIM Trust 2018-INV1, 4.00%, 8/25/48 (a,b) | 132,839 | |||||||||
142,269 | CIM Trust 2019-INV1, 3.85%, 2/25/49 (a,b) | 142,456 | |||||||||
160,000 | DBCG 2017-BBG Mortgage Trust, 0.88%, (1 Month US Libor + 0.70%), 6/15/34 (a,b) | 156,018 | |||||||||
250,000 | Eleven Madison Trust 2015-11MD Mortgage Trust, 3.67%, 9/10/35 (a,b) | 269,692 | |||||||||
250,000 | Ellington CLO III Ltd., 2.79%, (3 Month US Libor + 1.65%), 7/20/30 (a,b) | 247,394 | |||||||||
Fannie Mae Connecticut Avenue Securities | |||||||||||
151,260 | 5.43%, (1 Month US Libor + 5.25%), 10/25/23 (b) | 131,802 | |||||||||
215,623 | 4.58%, (1 Month US Libor + 4.40%), 1/25/24 (b) | 181,174 | |||||||||
234,759 | 2.78%, (1 Month US Libor + 2.60%), 5/25/24 (b) | 208,285 | |||||||||
246,371 | 2.78%, (1 Month US Libor + 2.60%), 5/25/24 (b) | 225,934 | |||||||||
207,576 | 3.08%, (1 Month US Libor + 2.90%), 7/25/24 (b) | 195,057 | |||||||||
349,154 | 3.18%, (1 Month US Libor + 3.00%), 7/25/24 (b) | 314,480 |
See accompanying notes to financial statements.
14
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Continued)
June 30, 2020 (Unaudited)
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 6.6% (Continued) | |||||||||||
$ | 257,076 | 5.08%, (1 Month US Libor + 4.90%), 11/25/24 (b) | $ | 264,005 | |||||||
102,007 | 4.18%, (1 Month US Libor + 4.00%), 5/25/25 (b) | 103,749 | |||||||||
104,469 | 4.18%, (1 Month US Libor + 4.00%), 5/25/25 (b) | 106,828 | |||||||||
150,957 | 5.18%, (1 Month US Libor + 5.00%), 7/25/25 (b) | 154,386 | |||||||||
98,180 | 5.18%, (1 Month US Libor + 5.00%), 7/25/25 (b) | 99,987 | |||||||||
169,601 | 6.18%, (1 Month US Libor + 6.00%), 9/25/28 (b) | 175,891 | |||||||||
234,956 | 4.43%, (1 Month US Libor + 4.25%), 1/25/29 (b) | 243,147 | |||||||||
125,276 | 4.63%, (1 Month US Libor + 4.45%), 1/25/29 (b) | 130,815 | |||||||||
219,359 | 3.73%, (1 Month US Libor + 3.55%), 7/25/29 (b) | 225,064 | |||||||||
130,000 | 5.93%, (1 Month US Libor + 5.75%), 7/25/29 (b) | 136,805 | |||||||||
227,093 | 3.83%, (1 Month US Libor + 3.65%), 9/25/29 (b) | 226,810 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | |||||||||||
299,695 | 4.18%, (1 Month US Libor + 4.00%), 8/25/24 (b) | 300,547 | |||||||||
116,975 | 4.33%, (1 Month US Libor + 4.15%), 1/25/25 (b) | 118,655 | |||||||||
123,689 | 3.98%, (1 Month US Libor + 3.80%), 3/25/25 (b) | 125,423 | |||||||||
350,000 | 3.43%, (1 Month US Libor + 3.25%), 5/25/25 (b) | 361,287 | |||||||||
236,338 | 4.08%, (1 Month US Libor + 3.90%), 12/25/27 (b) | 240,043 | |||||||||
250,000 | 4.88%, (1 Month US Libor + 4.70%), 4/25/28 (b) | 259,182 | |||||||||
596,318 | 5.72%, (1 Month US Libor + 5.55%), 7/25/28 (b) | 623,052 | |||||||||
378,594 | 4.83%, (1 Month US Libor + 4.65%), 10/25/28 (b) | 394,129 | |||||||||
235,145 | 5.33%, (1 Month US Libor + 5.15%), 11/25/28 (b) | 245,458 | |||||||||
216,624 | 3.73%, (1 Month US Libor + 3.55%), 8/25/29 (b) | 218,971 | |||||||||
185,342 | 2.53%, (1 Month US Libor + 2.35%), 4/25/30 (b) | 183,488 | |||||||||
170,000 | Halcyon Loan Advisors Funding 2018-1 Ltd., 2.94%, (3 Month US Libor + 1.80%), 7/21/31 (a,b) | 154,972 | |||||||||
200,000 | Hayfin Kingsland IX Ltd., 2.69%, (3 Month US Libor + 1.80%), 4/28/31 (a,b) | 193,369 | |||||||||
500,000 | Holland Park CLO DAC, 0.92%, (3 Month EUR Libor + 0.92%), 11/14/32 (a,b) | 549,676 |
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 6.6% (Continued) | |||||||||||
$ | 145,943 | Invitation Homes 2017-SFR2 Trust, 1.04%, (1 Month US Libor + 0.85%), 12/17/36 (a,b) | $ | 143,387 | |||||||
440,000 | LCM XXV Ltd., 3.44%, (3 Month US Libor + 2.30%), 7/20/30 (a,b) | 415,661 | |||||||||
Madison Park Euro Funding VIII DAC | |||||||||||
600,000 | 0.95%, (3 Month EUR Libor + 0.95%), 4/15/32 (a,b) | 660,439 | |||||||||
250,000 | 1.70%, (3 Month EUR Libor + 1.70%), 4/15/32 (a,b) | 274,748 | |||||||||
250,000 | Madison Park Euro Funding XIV DAC, 1.12%, (3 Month EUR Libor + 1.12%), 7/15/32 (a,b) | 279,864 | |||||||||
250,000 | Madison Park Funding XXII Ltd., 3.22%, (3 Month US Libor + 2.00%), 1/15/33 (a,b) | 235,660 | |||||||||
113,235 | Mill City Mortgage Loan Trust 2016-1, 2.50%, 4/25/57 (a,b) | 113,746 | |||||||||
203,405 | Mill City Mortgage Loan Trust 2018-4, 3.50%, 4/25/66 (a,b) | 216,491 | |||||||||
649,000 | Neuberger Berman Loan Advisers CLO 27 Ltd., 2.32%, (3 Month US Libor + 1.10%), 1/15/30 (a,b) | 632,471 | |||||||||
200,000 | NZCG Funding Ltd., 1.91%, (3 Month US Libor + 1.55%), 2/26/31 (a,b) | 191,882 | |||||||||
Octagon Investment Partners 33 Ltd. | |||||||||||
300,000 | 2.64%, (3 Month US Libor + 1.50%), 1/20/31 (a,b) | 283,533 | |||||||||
100,000 | 3.89%, (3 Month US Libor + 2.75%), 1/20/31 (a,b) | 90,446 | |||||||||
500,000 | OCTAGON INVESTMENT PARTNERS 35 Ltd., 2.24%, (3 Month US Libor + 1.10%), 1/20/31 (a,b) | 481,780 | |||||||||
132,861 | Provident Funding Mortgage Trust 2019-1, 3.00%, 12/25/49 (a,b) | 140,151 | |||||||||
221,576 | Provident Funding Mortgage Trust 2020-1, 3.00%, 2/25/50 (a,b) | 225,933 | |||||||||
250,000 | Race Point X CLO Ltd., 2.64%, (3 Month US Libor + 1.65%), 7/25/31 (a,b) | 237,002 | |||||||||
5,888 | Radnor Re 2018-1 Ltd., 1.58%, (1 Month US Libor + 1.40%), 3/25/28 (a,b) | 5,456 | |||||||||
200,000 | Strata CLO I Ltd., 3.42%, (3 Month US Libor + 2.20%), 1/15/31 (a,b) | 191,769 | |||||||||
97,690 | Towd Point Mortgage Trust 2015-2, 2.75%, 11/25/60 (a,b) | 96,277 | |||||||||
111,699 | Towd Point Mortgage Trust 2017-1, 2.75%, 10/25/56 (a,b) | 114,830 | |||||||||
146,237 | Towd Point Mortgage Trust 2017-2, 2.75%, 4/25/57 (a,b) | 143,969 | |||||||||
103,293 | Towd Point Mortgage Trust 2017-3, 2.75%, 7/25/57 (a,b) | 104,552 | |||||||||
85,994 | Towd Point Mortgage Trust 2017-4, 2.75%, 6/25/57 (a,b) | 85,934 | |||||||||
200,000 | Voya CLO 2014-1 Ltd., 3.94%, (3 Month US Libor + 2.80%), 4/18/31 (a,b) | 170,355 | |||||||||
TOTAL ASSET BACKED AND COMMERCIAL BACKED SECURITIES (Cost - $17,985,240) | 17,214,132 |
See accompanying notes to financial statements.
15
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Continued)
June 30, 2020 (Unaudited)
Shares/ Principal | Fair Value | ||||||||||
AGENCY MORTGAGE BACKED SECURITIES - 4.9% | |||||||||||
FEDERAL HOME LOAN MORTGAGE CORPORATION - 0.2% | |||||||||||
$ | 353,332 | Freddie Mac Gold Pool, 3.50%, 9/1/47 | $ | 373,095 | |||||||
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 4.7% | |||||||||||
Fannie Mae Pool | |||||||||||
1,147,401 | 3.50%, 9/1/47 | 1,219,279 | |||||||||
193,338 | 3.50%, 5/1/48 | 204,377 | |||||||||
1,264,790 | 3.00%, 11/1/48 | 1,335,177 | |||||||||
Federal National Mortgage Association | |||||||||||
1,170,000 | 2.00%, 7/1/35 (d) | 1,210,402 | |||||||||
50,000 | 2.50%, 7/1/35 (d) | 52,344 | |||||||||
500,000 | 2.50%, 7/1/50 (d) | 521,328 | |||||||||
7,440,000 | 3.00%, 7/1/50 (d) | 7,836,412 | |||||||||
12,379,319 | |||||||||||
TOTAL AGENCY MORTGAGE BACKED SECURITIES (Cost - $12,558,880) | 12,752,414 | ||||||||||
U.S. TREASURY SECURITIES - 2.3% | |||||||||||
U.S. Treasury Bond | |||||||||||
210,000 | 3.13%, 11/15/41 | 284,370 | |||||||||
715,000 | 2.50%, 5/15/46 | 886,795 | |||||||||
485,000 | 2.25%, 8/15/46 | 575,237 | |||||||||
150,000 | 2.75%, 8/15/47 | 195,990 | |||||||||
230,000 | 2.75%, 11/15/47 | 300,923 | |||||||||
100,000 | 3.13%, 5/15/48 | 140,148 | |||||||||
320,000 | 3.00%, 8/15/48 | 440,075 | |||||||||
100,000 | 2.25%, 8/15/49 | 120,262 | |||||||||
U.S. Treasury Inflation Indexed Note | |||||||||||
593,879 | 0.13%, 7/15/24 | 620,284 | |||||||||
486,518 | 0.38%, 7/15/25 | 519,563 | |||||||||
52,406 | 0.38%, 7/15/27 | 56,954 | |||||||||
U.S. Treasury Inflation Indexed Bond | |||||||||||
367,149 | 1.75%, 1/15/28 | 437,949 | |||||||||
951,114 | 3.63%, 4/15/28 | 1,279,818 | |||||||||
TOTAL U.S. TREASURY SECURITIES (Cost - $5,024,855) | 5,858,368 | ||||||||||
SOVEREIGN DEBTS - 1.4% | |||||||||||
200,000 | Angolan Government International Bond, 8.25%, 5/9/28 (a) | 164,000 | |||||||||
200,000 | EUR | Banque Centrale de Tunisie International Bond, 5.63%, 2/17/24 (c) | 206,143 | ||||||||
Colombia Government International Bond | |||||||||||
400,000,000 | COP | 9.85%, 6/28/27 | 134,675 | ||||||||
200,000 | 5.00%, 6/15/45 | 226,500 | |||||||||
8,000,000 | DOP | Dominican Republic International Bond, 8.90%, 2/15/23 (a) | 126,055 | ||||||||
200,000 | Gabon Government International Bond, 6.63%, 2/6/31 (a) | 178,193 |
Shares/ Principal | Fair Value | ||||||||||
SOVEREIGN DEBTS - 1.4% (Continued) | |||||||||||
$ | 200,000 | Indonesia Government International Bond, 4.35%, 1/8/27 (a) | $ | 221,968 | |||||||
250,000 | Iraq International Bond, 5.80%, 1/15/28 (a) | 225,000 | |||||||||
200,000 | Kazakhstan Government International Bond, 4.88%, 10/14/44 (a) | 253,529 | |||||||||
4,400,000 | MXN | Mexican Bonos, 8.50%, 5/31/29 | 225,393 | ||||||||
300,000 | Mexico Government International Bond, 4.15%, 3/28/27 | 322,500 | |||||||||
200,000 | Peruvian Government International Bond, 2.78%, 1/23/31 | 213,300 | |||||||||
200,000 | Republic of Belarus International Bond, 7.63%, 6/29/27 (a) | 205,870 | |||||||||
4,000,000 | ZAR | Republic of South Africa Government Bond, 7.00%, 2/28/31 | 189,283 | ||||||||
200,000 | Russian Foreign Bond — Eurobond, 4.88%, 9/16/23 (a) | 222,000 | |||||||||
200,000 | Ukraine Government International Bond, 7.38%, 9/25/32 (a) | 200,695 | |||||||||
7,467,233 | UYU | Uruguay Government International Bond, 3.70%, 6/26/37 | 175,890 | ||||||||
TOTAL SOVEREIGN DEBTS (Cost - $3,521,850) | 3,490,994 | ||||||||||
TERM LOANS - 0.7% | |||||||||||
59,545 | 24 Hour Fitness Worldwide, Inc., 4.95%, 5/26/25 | 14,799 | |||||||||
59,400 | Adient US LLC, 4.47%, 5/6/24 | 56,900 | |||||||||
38,809 | Alliant Holdings Intermediate LLC, 0.00%, 5/9/25 | 36,701 | |||||||||
16,283 | Altra Industrial Motion Corp., 2.18%, 10/1/25 | 15,469 | |||||||||
88,582 | Aramark Services, Inc., 1.93%, 3/28/24 | 83,577 | |||||||||
24,859 | ASHCO LLC, 6.07%, 9/25/24 | 23,856 | |||||||||
19,900 | AssuredPartners, Inc., 3.68%, 2/12/27 | 18,990 | |||||||||
44,763 | Asurion LLC, 3.18%, 11/3/23 | 43,234 | |||||||||
19,949 | AthenaHealth, Inc., 4.82%, 2/11/26 | 19,285 | |||||||||
85,940 | Avis Budget Car Rental LLC, 2.43%, 8/6/27 | 76,165 | |||||||||
27,013 | B&G Foods, Inc., 2.68%, 10/10/26 | 26,607 | |||||||||
Bausch Health Companies, Inc. | |||||||||||
37,638 | 0.00%, 6/2/25 | 36,524 | |||||||||
16,000 | 2.94%, 11/27/25 | 15,442 | |||||||||
20,703 | Buckeye Partners LP, 2.92%, 11/1/26 | 19,802 | |||||||||
19,949 | BWay Holding Co., 4.56%, 4/3/24 | 17,862 | |||||||||
59,391 | Caesars Resort Collection LLC, 2.93%, 12/23/24 | 52,654 | |||||||||
11,517 | Cardtronics USA, Inc., 5.00%, 6/29/27 | 11,286 | |||||||||
98,747 | Charter Communications Operating LLC, 1.93%, 2/1/27 | 94,810 | |||||||||
29,850 | Commscope, Inc., 3.43%, 4/4/26 | 28,208 | |||||||||
9,975 | Coty, Inc., 2.55%, 4/7/25 | 8,927 | |||||||||
97,000 | CSC Holdings LLC, 2.43%, 7/17/25 | 91,544 | |||||||||
74,438 | DaVita, Inc., 1.93%, 8/12/26 | 71,898 | |||||||||
19,950 | DCert Buyer, Inc., 4.18%, 10/16/26 | 19,227 |
See accompanying notes to financial statements.
16
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Continued)
June 30, 2020 (Unaudited)
Shares/ Principal | Fair Value | ||||||||||
TERM LOANS - 0.7% (Continued) | |||||||||||
Dynasty Acquisition Co., Inc. | |||||||||||
$ | 18,000 | 3.81%, 4/6/26 | $ | 15,323 | |||||||
9,678 | 3.81%, 4/6/26 | 8,238 | |||||||||
7,273 | eResearch Technology, Inc., 5.50%, 2/4/27 | 7,111 | |||||||||
39,473 | Global Tel Link Corp., 4.43%, 11/29/25 | 33,905 | |||||||||
73,499 | Go Daddy Operating Company LLC, 1.93%, 2/15/24 | 70,620 | |||||||||
55,504 | Gray Television, Inc., 2.67%, 1/2/26 | 53,603 | |||||||||
19,900 | Grifols Worldwide Operations USA, Inc., 2.11%, 11/15/27 | 19,127 | |||||||||
96,835 | Horizon Therapeutics USA, Inc., 2.44%, 5/22/26 | 93,567 | |||||||||
7,481 | Hyland Software, Inc., 4.00%, 7/1/24 | 7,253 | |||||||||
2,951 | Inovalon Holdings, Inc., 3.19%, 4/2/25 | 2,856 | |||||||||
137,030 | JBS USA LUX SA, 3.07%, 5/1/26 | 130,578 | |||||||||
16,115 | Kenan Advantage Group, Inc. (The), 4.00%, 7/29/22 | 14,497 | |||||||||
3,832 | Kenan Canada GP, 4.00%, 7/29/22 | 3,447 | |||||||||
9,103 | Knowlton Development Corp., Inc., 4.06%, 12/22/25 | 8,687 | |||||||||
17,562 | Legalzoom.com, Inc., 4.68%, 11/21/24 | 17,123 | |||||||||
19,950 | Navicure, Inc., 4.18%, 10/22/26 | 19,102 | |||||||||
59,543 | Navistar, Inc., 3.70%, 11/6/24 | 56,243 | |||||||||
19,900 | Panther BF Aggregator 2 LP, 3.68%, 4/30/26 | 18,905 | |||||||||
5,960 | Pathway Vet Alliance LLC, 4.18%, 3/31/27 | 5,782 | |||||||||
22,682 | Phoenix Guarantor, Inc., 3.43%, 3/5/26 | 21,775 | |||||||||
29,625 | Pitney Bowes, Inc., 5.68%, 1/17/25 | 24,648 | |||||||||
9,750 | Playtika Holding Corp., 7.07%, 12/10/24 | 9,726 | |||||||||
19,950 | Prime Security Services Borrower LLC (aka Protection 1 Security Solutions), 4.25%, 9/23/26 | 19,139 | |||||||||
97,722 | Sinclair Television Group, Inc., 2.43%, 1/3/24 | 92,917 | |||||||||
9,707 | Staples, Inc., 5.69%, 4/16/26 | 8,324 | |||||||||
56,571 | Strike LLC, 9.00%, 11/30/22 | 45,257 | |||||||||
11,436 | Surf Holdings SARL, 3.83%, 3/5/27 | 10,938 | |||||||||
56,599 | Thor Industries, Inc., 3.94%, 2/2/26 | 55,254 | |||||||||
10,000 | TIBCO Software, Inc., 3.93%, 6/30/26 | 9,425 | |||||||||
5,253 | Ultimate Software Group, Inc. (The), 4.75%, 5/4/26 | 5,182 | |||||||||
43,043 | Ventia Finco Pty Ltd., 4.95%, 5/21/26 | 41,967 | |||||||||
9,949 | Verscend Holding Corp., 4.68%, 8/27/25 | 9,594 | |||||||||
9,975 | Vertafore, Inc., 3.63%, 7/2/25 | 9,382 | |||||||||
15,788 | Vertical US Newco, Inc., 4.25%, 7/15/27 | 15,472 | |||||||||
TOTAL TERM LOANS (Cost - $1,988,827) | 1,848,734 | ||||||||||
MUNICIPAL BONDS - 0.6% | |||||||||||
California Health Facilities Financing Authority | |||||||||||
45,000 | 2.93%, 6/1/32 | 46,667 | |||||||||
40,000 | 2.98%, 6/1/33 | 41,433 | |||||||||
30,000 | 3.03%, 6/1/34 | 31,034 | |||||||||
85,000 | City of Austin TX Electric Utility Revenue, 6.26%, 11/15/32 | 110,268 |
Shares/ Principal | Fair Value | ||||||||||
MUNICIPAL BONDS - 0.6% (Continued) | |||||||||||
$ | 165,000 | City of San Francisco CA Public Utilities Commission Water Revenue, 3.47%, 11/1/43 | $ | 176,556 | |||||||
110,000 | Foothill-Eastern Transportation Corridor Agency, 4.09%, 1/15/49 | 112,948 | |||||||||
95,000 | Gilroy Unified School District, 3.36%, 8/1/47 | 97,495 | |||||||||
85,000 | Massachusetts School Building Authority, 3.40%, 10/15/40 | 86,696 | |||||||||
70,000 | Metro Wastewater Reclamation District, 3.16%, 4/1/41 | 73,358 | |||||||||
50,000 | New Jersey Transportation Trust Fund Authority, 4.13%, 6/15/42 | 46,570 | |||||||||
45,000 | New York State Dormitory Authority, 3.14%, 7/1/43 | 46,379 | |||||||||
140,000 | Pennsylvania Turnpike Commission, 3.58%, 12/1/43 | 146,794 | |||||||||
45,000 | Regional Transportation District Sales Tax Revenue, 3.26%, 11/1/38 | 49,080 | |||||||||
40,000 | Salt Lake City Corp., 3.10%, 4/1/38 | 40,652 | |||||||||
30,000 | San Bernardino Community College District, 3.27%, 8/1/39 | 32,647 | |||||||||
35,000 | San Diego County Regional Transportation Commission, 3.25%, 4/1/48 | 37,265 | |||||||||
90,000 | San Jose Redevelopment Agency Successor Agency, 3.23%, 8/1/27 | 100,470 | |||||||||
60,000 | State of Oregon Department of Transportation, 3.17%, 11/15/38 | 64,731 | |||||||||
85,000 | State of Texas, 3.21%, 4/1/44 | 90,051 | |||||||||
Texas State University System | |||||||||||
35,000 | 2.94%, 3/15/33 | 36,134 | |||||||||
30,000 | 3.29%, 3/15/40 | 30,841 | |||||||||
80,000 | University of Pittsburgh-of the Commonwealth System of Higher Education, 3.01%, 9/15/41 | 85,517 | |||||||||
60,000 | Utah Transit Authority, 3.44%, 12/15/42 | 62,183 | |||||||||
TOTAL MUNICIPAL BONDS (Cost - $1,565,811) | 1,645,769 | ||||||||||
SHORT-TERM INVESTMENTS - 3.5% | |||||||||||
MONEY MARKET FUNDS - 3.5% | |||||||||||
5,788,754 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 0.10% (e) | 5,788,754 | |||||||||
3,416,180 | Dreyfus Government Cash Management, 0.09% (e) | 3,416,180 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $9,204,934) | 9,204,934 | ||||||||||
TOTAL INVESTMENTS - 101.9% (Cost - $193,406,937) | $ | 266,359,025 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET (1.9)% | (4,839,876) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 261,519,149 |
See accompanying notes to financial statements.
17
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Continued)
June 30, 2020 (Unaudited)
* 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 June 30, 2020, these securities amounted to $19,504,269 or 7.5% of net assets.
(b) Variable rate security. The rate shown is the rate in effect at period end.
(c) All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.
(d) When-issued, or delayed delivery. All or a portion may be subject to dollar-roll transactions.
(e) The rate shown is the annualized seven-day yield at period end.
CLO - Collateralized Loan Obligation
CMT - Treasury Constant Maturity Rate
GO - General Obligation
Libor - London Interbank Offer Rate
PLC - Public Limited Company
SOFR - Secured Overnight Financing Rate
Holdings by Asset Class | % of Net Assets | ||||||
Common Stocks | 71.5 | % | |||||
Corporate Bonds and Notes | 10.4 | % | |||||
Asset Backed and Commercial Backed Securities | 6.6 | % | |||||
Agency Mortgage Backed Securities | 4.9 | % | |||||
Money Market Funds | 3.5 | % | |||||
U.S. Treasury Securities | 2.3 | % | |||||
Sovereign Debts | 1.4 | % | |||||
Term Loans | 0.7 | % | |||||
Municipal Bonds | 0.6 | % | |||||
Other Assets Less Liabilities - Net | (1.9 | )% | |||||
100.0 | % |
FUTURES CONTRACTS | |||||||||||||||||||||||
LONG FUTURES CONTRACTS | Counterparty | Number of Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Australian 10 Year Bond Future | JP Morgan Securities LLC | 2 | 9/15/2020 | $ | 204,882 | $ | 2,105 | ||||||||||||||||
Australian 3 Year Bond Future | JP Morgan Securities LLC | 25 | 9/15/2020 | 2,014,891 | 564 | ||||||||||||||||||
Canadian 10 Year Bond Future | JP Morgan Securities LLC | 23 | 9/21/2020 | 2,597,548 | 6,625 | ||||||||||||||||||
Euro-OAT Future | JP Morgan Securities LLC | 14 | 9/8/2020 | 2,636,145 | 43,543 | ||||||||||||||||||
U.S. 10 Year Note Future | JP Morgan Securities LLC | 1 | 9/21/2020 | 139,172 | 289 | ||||||||||||||||||
U.S. 2 Year Note Future | JP Morgan Securities LLC | 28 | 9/30/2020 | 6,183,188 | 1,202 | ||||||||||||||||||
U.S. 5 Year Note Future | JP Morgan Securities LLC | 27 | 9/30/2020 | 3,395,039 | 6,641 | ||||||||||||||||||
U.S. Long Bond Future | JP Morgan Securities LLC | 9 | 9/21/2020 | 1,607,062 | 5,519 | ||||||||||||||||||
U.S. Ultra Bond Future | JP Morgan Securities LLC | 8 | 9/21/2020 | 1,745,250 | 10,375 | ||||||||||||||||||
76,863 | |||||||||||||||||||||||
SHORT FUTURES CONTRACTS | |||||||||||||||||||||||
MSCI Emerging Market Index Future | Goldman Sachs & Co. | 16 | 9/18/2020 | 788,560 | (14,115 | ) | |||||||||||||||||
S&P 500 E-Mini Future | Goldman Sachs & Co. | 301 | 9/18/2020 | 46,507,510 | (1,246,013 | ) | |||||||||||||||||
S&P Mid 400 Future | Goldman Sachs & Co. | 66 | 9/18/2020 | 11,742,060 | (319,640 | ) | |||||||||||||||||
U.S. 10 Year Ultra Future | JP Morgan Securities LLC | 15 | 9/21/2020 | 2,362,266 | (10,654 | ) | |||||||||||||||||
(1,590,422 | ) | ||||||||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $ | (1,513,559 | ) |
INTEREST RATE SWAPS | |||||||||||||||||||||||||||||||||||
Counterparty | Payment Frequency | Fund Receives | Fund Pays | Expiration Date | Notional Amount | Fair Value | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
Citibank NA | At Maturity | US-CPI | 1.91 | % | 01/14/29 | $ | (500,000 | ) | $ | (25,502 | ) | $ | - | $ | (25,502 | ) | |||||||||||||||||||
Citibank NA | At Maturity | US-CPI | 1.94 | % | 01/15/29 | (850,000 | ) | (45,885 | ) | - | (45,885 | ) | |||||||||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON INTEREST RATE SWAPS | $ | - | $ | (71,387 | ) |
See accompanying notes to financial statements.
18
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Continued)
June 30, 2020 (Unaudited)
CURRENCY SWAPS | |||||||||||||||||||||||||||||||||||
Counterparty | Payment Frequency | Fund Receives | Fund Pays | Expiration Date | Notional Amount | Fair Value | Premiums Paid (Received) | Unrealized Appreciation (Depreciation | |||||||||||||||||||||||||||
Citibank NA | Quarterly | 3 Month US Libor | 2.5 | % | 05/04/21 | $ | 232,400 | $ | 7,981 | $ | - | $ | 7,981 | ||||||||||||||||||||||
Citibank NA | Quarterly | 3 Month US Libor | 3 Month Euribor | 07/10/21 | 280,000 | (161 | ) | - | (161 | ) | |||||||||||||||||||||||||
Citibank NA | Quarterly | 3 Month US Libor | 3 Month Euribor | 10/15/21 | 275,000 | (4,946 | ) | - | (4,946 | ) | |||||||||||||||||||||||||
Citibank NA | Quarterly | 3 Month US Libor | 3 Month Euribor | 10/30/21 | 555,000 | (5,650 | ) | - | (5,650 | ) | |||||||||||||||||||||||||
Citibank NA | Quarterly | 3 Month US Libor | 3 Month Euribor | 11/22/21 | 552,500 | (8,618 | ) | - | (8,618 | ) | |||||||||||||||||||||||||
Citibank NA | Quarterly | 3 Month US Libor | 3 Month Euribor | 12/12/21 | 610,500 | (7,755 | ) | - | (7,755 | ) | |||||||||||||||||||||||||
Citibank NA | Quarterly | 3 Month US Libor | 3 Month Euribor | 12/20/21 | 943,500 | (11,788 | ) | - | (11,788 | ) | |||||||||||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON CURRENCY SWAPS | $ | - | $ | (30,937 | ) |
CREDIT DEFAULT SWAPS | |||||||||||||||||||||||||||||||||||||||||||
Counterparty | Reference Obligation/ Index | Payment Frequency | Buy/Sell Protection | Fixed Rate Received | Fixed Rate Paid | Expiration Date | Notional Amount | Fair Value | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||||||
Citibank NA | Nabors Industries, Inc. | Quarterly | Sell | - | 1.00 | % | 12/20/21 | $ | 170,000 | $ | 52,829 | $ | 3,632 | $ | 49,197 | ||||||||||||||||||||||||||||
Citibank NA | Avon Products, Inc. | Quarterly | Sell | - | 5.00 | % | 03/20/23 | 135,000 | (1,279 | ) | (10,683 | ) | 9,404 | ||||||||||||||||||||||||||||||
JP Morgan | Italy Government Int'l Bond | Quarterly | Sell | - | 1.00 | % | 06/20/23 | 170,000 | 1,775 | 1,190 | 585 | ||||||||||||||||||||||||||||||||
JP Morgan | Italy Government Int'l Bond | Quarterly | Buy | 1.00 | % | - | 06/20/23 | 170,000 | (1,775 | ) | (4,910 | ) | 3,135 | ||||||||||||||||||||||||||||||
Citibank NA | Nabors Industries, Inc. | Quarterly | Buy | 1.00 | % | - | 12/20/23 | 170,000 | (96,808 | ) | (17,648 | ) | (79,160 | ) | |||||||||||||||||||||||||||||
Citibank NA | MCDX.NA.31 | Quarterly | Buy | 1.00 | % | - | 12/20/23 | 1,050,000 | (4,722 | ) | 7,387 | (12,109 | ) | ||||||||||||||||||||||||||||||
JP Morgan | Ally Financials, Inc. | Quarterly | Sell | - | 5.00 | % | 12/20/24 | 350,000 | (56,178 | ) | (58,496 | ) | 2,318 | ||||||||||||||||||||||||||||||
JP Morgan | Goldman Sachs Group | Quarterly | Buy | 1.00 | % | - | 12/20/24 | 350,000 | 3,448 | 5,391 | (1,943 | ) | |||||||||||||||||||||||||||||||
JP Morgan | Morgan Stanley | Quarterly | Buy | 1.00 | % | - | 12/20/24 | 350,000 | 5,664 | 5,917 | (253 | ) | |||||||||||||||||||||||||||||||
Citibank NA | ICE CDX.NA.IG.33 | Quarterly | Buy | 1.00 | % | - | 12/20/24 | 1,200,000 | 14,738 | 12,960 | 1,778 | ||||||||||||||||||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON CREDIT DEFAULT SWAPS | $ | (55,260 | ) | $ | (27,048 | ) |
FORWARD FOREIGN CURRENCY CONTRACTS | |||||||||||||||||||
Settlement Date | Counterparty | Currency Units to Receive | In Exchange For | Unrealized Appreciation (Depreciation) | |||||||||||||||
07/02/20 | JP Morgan Chase Bank | 530,000 | AUD | 364,825 | USD | $ | 86 | ||||||||||||
07/02/20 | JP Morgan Chase Bank | 365,398 | USD | 530,000 | AUD | 487 | |||||||||||||
07/14/20 | JP Morgan Chase Bank | 965,000 | TRY | 139,964 | USD | 393 | |||||||||||||
07/16/20 | Citibank NA | 85,920,800 | JPY | 800,000 | USD | (3,435 | ) | ||||||||||||
07/16/20 | Citibank NA | 793,450 | USD | 85,920,800 | JPY | (3,114 | ) | ||||||||||||
07/21/20 | JP Morgan Chase Bank | 103,022 | USD | 150,000 | AUD | (267 | ) | ||||||||||||
07/21/20 | JP Morgan Chase Bank | 150,000 | USD | 89,481 | AUD | 13,807 | |||||||||||||
07/22/20 | JP Morgan Chase Bank | 108,600,000 | JPY | 1,003,502 | USD | 3,400 | |||||||||||||
07/22/20 | JP Morgan Chase Bank | 195,519 | USD | 21,000,000 | JPY | 814 | |||||||||||||
07/23/20 | JP Morgan Chase Bank | 130,000 | CAD | 91,724 | USD | 3,730 | |||||||||||||
07/23/20 | JP Morgan Chase Bank | 518,924 | DKK | 3,475,024 | USD | (4,989 | ) | ||||||||||||
07/23/20 | JP Morgan Chase Bank | 3,265,000 | NOK | 361,016 | USD | (22,538 | ) | ||||||||||||
07/23/20 | JP Morgan Chase Bank | 144,554 | USD | 190,000 | CAD | 5,045 | |||||||||||||
07/23/20 | JP Morgan Chase Bank | 3,475,024 | USD | 507,467 | DKK | 16,446 | |||||||||||||
07/23/20 | JP Morgan Chase Bank | 141,686 | USD | 127,124 | EUR | (1,167 | ) | ||||||||||||
07/23/20 | JP Morgan Chase Bank | 320,349 | USD | 3,265,000 | NOK | (18,129 | ) | ||||||||||||
08/05/20 | JP Morgan Chase Bank | 240,000 | EUR | 262,351 | USD | 7,421 | |||||||||||||
08/05/20 | JP Morgan Chase Bank | 270,228 | USD | 240,000 | EUR | 456 | |||||||||||||
08/06/20 | JP Morgan Chase Bank | 580,090 | USD | 960,000 | AUD | (80,993 | ) | ||||||||||||
08/13/20 | JP Morgan Chase Bank | 141,702,095 | JPY | 1,900,000 | SGD | (47,909 | ) | ||||||||||||
08/13/20 | JP Morgan Chase Bank | 579,433 | JPY | 62,200,000 | USD | 2,578 | |||||||||||||
08/13/20 | JP Morgan Chase Bank | 140,000 | SGD | 10,766,099 | JPY | 517 | |||||||||||||
08/13/20 | JP Morgan Chase Bank | 62,200,000 | USD | 583,380 | JPY | (6,526 | ) | ||||||||||||
08/21/20 | JP Morgan Chase Bank | 2,370,000 | USD | 339,576 | CHN | (5,176 | ) | ||||||||||||
08/21/20 | JP Morgan Chase Bank | 336,619 | USD | 2,370,000 | CNH | 2,220 | |||||||||||||
09/14/20 | JP Morgan Chase Bank | 45,150,000 | JPY | 431,931 | USD | (13,012 | ) | ||||||||||||
09/15/20 | Deutsche Bank | 84,000 | EUR | 95,246 | USD | (741 | ) | ||||||||||||
09/15/20 | JP Morgan Chase Bank | 3,590,000 | NOK | 355,453 | USD | 16,790 | |||||||||||||
09/15/20 | Deutsche Bank | 28,878 | USD | 40,000 | CAD | (496 | ) | ||||||||||||
09/15/20 | Citibank NA | 158,913 | USD | 220,000 | CAD | (2,638 | ) | ||||||||||||
09/15/20 | JP Morgan Chase Bank | 318,458 | USD | 441,000 | CAD | (5,379 | ) | ||||||||||||
09/15/20 | JP Morgan Chase Bank | 815,382 | USD | 729,001 | EUR | (4,788 | ) | ||||||||||||
09/15/20 | Deutsche Bank | 515,314 | USD | 458,000 | EUR | 37 |
See accompanying notes to financial statements.
19
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Continued)
June 30, 2020 (Unaudited)
FORWARD FOREIGN CURRENCY CONTRACTS (Continued) | |||||||||||||||||||
Settlement Date | Counterparty | Currency Units to Receive | In Exchange For | Unrealized Appreciation (Depreciation) | |||||||||||||||
09/15/20 | JP Morgan Chase Bank | 729,001 | USD | 812,644 | EUR | $ | 7,525 | ||||||||||||
09/15/20 | JP Morgan Chase Bank | 351,961 | USD | 3,590,000 | NOK | (20,282 | ) | ||||||||||||
09/16/20 | JP Morgan Chase Bank | 67,000,000 | KRW | 54,783 | USD | 950 | |||||||||||||
09/16/20 | JP Morgan Chase Bank | 193,890 | USD | 238,000,000 | KRW | (4,087 | ) | ||||||||||||
12/07/20 | JP Morgan Chase Bank | 1,062,000,000 | IDR | 72,428 | USD | 617 | |||||||||||||
12/07/20 | Deutsche Bank | 2,000,000,000 | IDR | 136,822 | USD | 739 | |||||||||||||
12/08/20 | JP Morgan Chase Bank | 57,674 | MXN | 1,330,000 | USD | 1,254 | |||||||||||||
12/08/20 | Deutsche Bank | 1,950,000 | MXN | 87,090 | USD | (4,369 | ) | ||||||||||||
12/08/20 | JP Morgan Chase Bank | 1,330,000 | USD | 59,359 | MXN | (2,939 | ) | ||||||||||||
12/08/20 | Deutsche Bank | 85,515 | USD | 1,950,000 | MXN | 2,793 | |||||||||||||
12/24/20 | JP Morgan Chase Bank | 364,810 | USD | 530,000 | AUD | (171 | ) | ||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON FORWARD FOREIGN CURRENCY CONTRACTS | $ | (165,040 | ) |
AUD - Australian Dollar
CAD - Canadian Dollar
CNH - Chinese Offshore Yuan
DKK - Danish Krone
EUR - Euro
IDR - Indonesian Rupiah
JPY - Japanese Yen
KRW - South Korean Won
MXN - Mexican Peso
NOK - Norwegian Krone
SGD - Singapore Dollar
TRY - Turkish Lira
See accompanying notes to financial statements.
20
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
Portfolio of Investments
June 30, 2020 (Unaudited)
Shares/ Principal | Fair Value | ||||||||||
U.S. TREASURY SECURITIES - 52.2% | |||||||||||
$ | 15,920,000 | U.S. Treasury Note, 1.63%, 8/15/29 (Cost - $16,712,684) | $ | 17,370,834 | |||||||
EXCHANGE TRADED FUNDS - 32.4% | |||||||||||
DEBT FUNDS - 12.5% | |||||||||||
6,800 | iShares 7-10 Year Treasury Bond ETF | 828,716 | |||||||||
32,757 | iShares Short Maturity Bond ETF | 1,638,178 | |||||||||
18,250 | SPDR Bloomberg Barclays 1-3 Month T-Bill ETF | 1,670,422 | |||||||||
TOTAL DEBT FUNDS | 4,137,316 | ||||||||||
EQUITY FUNDS - 19.9% | |||||||||||
7,536 | iShares Core S&P 500 ETF | 2,333,824 | |||||||||
6,363 | SPDR S&P 500 ETF Trust | 1,962,095 | |||||||||
8,221 | Vanguard S&P 500 ETF | 2,330,078 | |||||||||
TOTAL EQUITY FUNDS | 6,625,997 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $8,652,354) | 10,763,313 |
Shares/ Principal | Fair Value | ||||||||||
SHORT-TERM INVESTMENTS - 14.5% | |||||||||||
MONEY MARKET FUNDS - 14.5% | |||||||||||
4,807,747 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 0.10% (a) (Cost - $4,807,747) | $ | 4,807,747 | ||||||||
TOTAL INVESTMENTS - 99.1% (Cost - $30,172,785) | $ | 32,941,894 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET 0.9% | 312,526 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 33,254,420 |
(a) The rate shown is the annualized seven-day yield at period end.
Holdings by Asset Class | % of Net Assets | ||||||
U.S. Treasury Securities | 52.2 | % | |||||
Exchange Traded Funds | 32.4 | % | |||||
Money Market Funds | 14.5 | % | |||||
Other Assets Less Liabilities - Net | 0.9 | % | |||||
100.0 | % |
FUTURES CONTRACTS | |||||||||||||||||||||||
Counterparty | Number of Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||||||
LONG FUTURES CONTRACTS | |||||||||||||||||||||||
Nikkei 225 (OSE) Future | Credit Suisse | 9 | 9/10/2020 | $ | 1,857,812 | $ | (47,662 | ) | |||||||||||||||
SHORT FUTURES CONTRACTS | |||||||||||||||||||||||
S&P 500 E-Mini Future | Credit Suisse | 6 | 9/18/2020 | 927,060 | (8,162 | ) | |||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $ | (55,824 | ) |
See accompanying notes to financial statements.
21
Global Atlantic Growth Managed Risk Portfolio
Portfolio of Investments
June 30, 2020 (Unaudited)
Shares/ Principal | Fair Value | ||||||||||
EXCHANGE TRADED FUNDS - 95.3% | |||||||||||
DEBT FUNDS - 14.5% | |||||||||||
29,086 | iShares 20+ Year Treasury Bond ETF | $ | 4,768,068 | ||||||||
21,024 | iShares 3-7 Year Treasury Bond ETF | 2,810,278 | |||||||||
15,409 | iShares 7-10 Year Treasury Bond ETF | 1,877,895 | |||||||||
37,187 | iShares Intermediate-Term Corporate Bond ETF | 2,245,351 | |||||||||
195,747 | iShares Long-Term Corporate Bond ETF | 13,710,120 | |||||||||
131,102 | iShares Short Maturity Bond ETF | 6,556,411 | |||||||||
157,350 | iShares Short-Term Corporate Bond ETF | 8,608,618 | |||||||||
570,747 | iShares U.S. Treasury Bond ETF | 15,975,209 | |||||||||
TOTAL DEBT FUNDS | 56,551,950 | ||||||||||
EQUITY FUNDS - 80.8% | |||||||||||
570,364 | iShares Core MSCI EAFE ETF | 32,602,006 | |||||||||
415,143 | iShares Core S&P 500 ETF | 128,565,636 | |||||||||
137,631 | iShares Core S&P Mid-Cap ETF | 24,473,544 | |||||||||
453,815 | iShares Core S&P Small-Cap ETF | 30,991,026 | |||||||||
183,409 | iShares Edge MSCI Min Vol USA ETF | 11,120,088 | |||||||||
190,589 | iShares Edge MSCI USA Value Factor ETF | 13,775,773 | |||||||||
32,376 | iShares Global Tech ETF | 7,625,843 | |||||||||
178,438 | iShares MSCI EAFE Growth ETF | 14,829,982 | |||||||||
559,927 | iShares Trust iShares ESG MSCI USA ETF | 39,189,291 | |||||||||
45,220 | iShares U.S. Financial Services ETF | 5,399,268 | |||||||||
222,036 | iShares, Inc. iShares ESG MSCI EM ETF | 7,114,034 | |||||||||
TOTAL EQUITY FUNDS | 315,686,491 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $313,718,591) | 372,238,441 |
Shares/ Principal | Fair Value | ||||||||||
SHORT-TERM INVESTMENTS - 2.1% | |||||||||||
MONEY MARKET FUNDS - 2.1% | |||||||||||
8,360,929 | Dreyfus Government Cash Management, 0.09% (a) | $ | 8,360,929 | ||||||||
3,299 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 0.10% (a) | 3,299 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $8,364,228) | 8,364,228 | ||||||||||
TOTAL INVESTMENTS - 97.4% (Cost - $322,082,819) | $ | 380,602,669 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET 2.6% | 9,993,324 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 390,595,993 |
(a) The rate shown is the annualized seven-day yield at period end.
Holdings by Asset Class | % of Net Assets | ||||||
Exchange Traded Funds | 95.3 | % | |||||
Money Market Funds | 2.1 | % | |||||
Other Assets Less Liabilities - Net | 2.6 | % | |||||
100.0 | % |
FUTURES CONTRACTS | |||||||||||||||||||||||
Counterparty | Number of Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||||||
SHORT FUTURES CONTRACTS | |||||||||||||||||||||||
E-Mini Russell 2000 Future | Goldman Sachs & Co. | 234 | 9/18/2020 | $ | 16,819,920 | $ | (437,960 | ) | |||||||||||||||
MSCI EAFE Future | Goldman Sachs & Co. | 246 | 9/18/2020 | 21,874,320 | (139,000 | ) | |||||||||||||||||
MSCI Emerging Market Index Future | Goldman Sachs & Co. | 72 | 9/18/2020 | 3,548,520 | (53,320 | ) | |||||||||||||||||
NASDAQ 100 E-Mini Future | Goldman Sachs & Co. | 17 | 9/18/2020 | 3,450,065 | (89,155 | ) | |||||||||||||||||
S&P 500 E-Mini Future | Goldman Sachs & Co. | 516 | 9/18/2020 | 79,727,160 | (2,385,688 | ) | |||||||||||||||||
S&P MID 400 E-Mini Future | Goldman Sachs & Co. | 82 | 9/18/2020 | 14,588,620 | (156,775 | ) | |||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $ | (3,261,898 | ) |
See accompanying notes to financial statements.
22
Global Atlantic Moderate Growth Managed Risk Portfolio
Portfolio of Investments
June 30, 2020 (Unaudited)
Shares/ Principal | Fair Value | ||||||||||
EXCHANGE TRADED FUNDS - 95.2% | |||||||||||
DEBT FUNDS - 30.7% | |||||||||||
36,777 | iShares 0-5 Year High Yield Corporate Bond ETF | $ | 1,577,365 | ||||||||
9,932 | iShares 20+ Year Treasury Bond ETF | 1,628,153 | |||||||||
38,287 | iShares 3-7 Year Treasury Bond ETF | 5,117,823 | |||||||||
5,262 | iShares 7-10 Year Treasury Bond ETF | 641,280 | |||||||||
9,550 | iShares iBoxx $ Investment Grade Corporate Bond ETF | 1,284,475 | |||||||||
21,163 | iShares Intermediate-Term Corporate Bond ETF | 1,277,822 | |||||||||
139,252 | iShares Long-Term Corporate Bond ETF | 9,753,210 | |||||||||
51,162 | iShares Short Maturity Bond ETF | 2,558,612 | |||||||||
116,804 | iShares Short-Term Corporate Bond ETF | 6,390,347 | |||||||||
389,783 | iShares U.S. Treasury Bond ETF | 10,910,026 | |||||||||
TOTAL DEBT FUNDS | 41,139,113 | ||||||||||
EQUITY FUNDS - 64.5% | |||||||||||
165,051 | iShares Core MSCI EAFE ETF | 9,434,315 | |||||||||
111,235 | iShares Core S&P 500 ETF | 34,448,367 | |||||||||
37,027 | iShares Core S&P Mid-Cap ETF | 6,584,141 | |||||||||
123,223 | iShares Core S&P Small-Cap ETF | 8,414,899 | |||||||||
41,752 | iShares Edge MSCI Min Vol USA ETF | 2,531,424 | |||||||||
52,064 | iShares Edge MSCI USA Value Factor ETF | 3,763,186 | |||||||||
9,673 | iShares Global Tech ETF | 2,278,378 | |||||||||
45,698 | iShares MSCI EAFE Growth ETF | 3,797,961 | |||||||||
172,987 | iShares Trust iShares ESG MSCI USA ETF | 12,107,360 | |||||||||
10,294 | iShares U.S. Financial Services ETF | 1,229,104 | |||||||||
51,875 | iShares, Inc. iShares ESG MSCI EM ETF | 1,662,075 | |||||||||
TOTAL EQUITY FUNDS | 86,251,210 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $110,652,236) | 127,390,323 |
Shares/ Principal | Fair Value | ||||||||||
SHORT-TERM INVESTMENTS - 3.2% | |||||||||||
MONEY MARKET FUNDS - 3.2% | |||||||||||
4,280,375 | Dreyfus Government Cash Management, 0.09% (a) | $ | 4,280,375 | ||||||||
66,373 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 0.10% (a) | 66,373 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $4,346,748) | 4,346,748 | ||||||||||
TOTAL INVESTMENTS - 98.4% (Cost - $114,998,984) | $ | 131,737,071 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET 1.6% | 2,100,186 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 133,837,257 |
(a) The rate shown is the annualized seven-day yield at period end.
Holdings by Asset Class | % of Net Assets | ||||||
Exchange Traded Funds | 95.2 | % | |||||
Money Market Funds | 3.2 | % | |||||
Other Assets Less Liabilities - Net | 1.6 | % | |||||
100.0 | % |
FUTURES CONTRACTS | |||||||||||||||||||||||
Counterparty | Number of Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||||||
SHORT FUTURES CONTRACTS | |||||||||||||||||||||||
E-Mini Russell 2000 Future | Goldman Sachs & Co. | 51 | 9/18/2020 | $ | 3,665,880 | $ | (104,965 | ) | |||||||||||||||
MSCI EAFE Future | Goldman Sachs & Co. | 55 | 9/18/2020 | 4,890,600 | (31,515 | ) | |||||||||||||||||
MSCI Emerging Market Index Future | Goldman Sachs & Co. | 18 | 9/18/2020 | 887,130 | (15,195 | ) | |||||||||||||||||
NASDAQ 100 E-Mini Future | Goldman Sachs & Co. | 4 | 9/18/2020 | 811,780 | (20,945 | ) | |||||||||||||||||
S&P 500 E-Mini Future | Goldman Sachs & Co. | 113 | 9/18/2020 | 17,459,630 | (447,975 | ) | |||||||||||||||||
S&P MID 400 E-Mini Future | Goldman Sachs & Co. | 19 | 9/18/2020 | 3,380,290 | (62,165 | ) | |||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $ | (682,760 | ) |
See accompanying notes to financial statements.
23
Global Atlantic PIMCO Tactical Allocation Portfolio
Portfolio of Investments (Unaudited)
June 30, 2020
Shares/ Principal | Fair Value | ||||||||||
U.S. TREASURY SECURITIES - 46.5% | |||||||||||
U.S. Treasury Note | |||||||||||
$ | 700,000 | 1.13%, 8/31/21 | $ | 707,656 | |||||||
100,000 | 2.00%, 12/31/21 | 102,727 | |||||||||
1,500,000 | 1.88%, 3/31/22 | 1,544,473 | |||||||||
500,000 | 1.88%, 4/30/22 | 515,527 | |||||||||
100,000 | 1.88%, 7/31/22 | 103,547 | |||||||||
100,000 | 1.38%, 10/15/22 | 102,742 | |||||||||
205,000 | 2.00%, 11/30/22 | 214,025 | |||||||||
390,000 | 2.75%, 8/31/23 | 421,535 | |||||||||
200,000 | 2.63%, 12/31/23 | 216,906 | |||||||||
400,000 | 2.00%, 6/30/24 | 428,266 | |||||||||
1,200,000 | 0.50%, 3/31/25 | 1,212,797 | |||||||||
500,000 | 0.38%, 4/30/25 | 502,266 | |||||||||
110,000 | 2.13%, 5/15/25 | 119,780 | |||||||||
100,000 | 1.63%, 5/15/26 | 107,168 | |||||||||
500,000 | 2.00%, 11/15/26 | 549,023 | |||||||||
1,300,000 | 1.50%, 2/15/30 | 1,405,320 | |||||||||
U.S. Treasury Bond | |||||||||||
520,000 | 6.25%, 5/15/30 | 801,206 | |||||||||
230,000 | 4.25%, 5/15/39 | 355,359 | |||||||||
100,000 | 4.50%, 8/15/39 | 159,270 | |||||||||
240,000 | 4.25%, 11/15/40 | 374,972 | |||||||||
100,000 | 4.38%, 5/15/41 | 159,031 | |||||||||
80,000 | 3.13%, 11/15/41 | 108,331 | |||||||||
100,000 | 2.88%, 11/15/46 | 132,984 | |||||||||
25,000 | 2.75%, 11/15/47 | 32,709 | |||||||||
140,000 | 3.13%, 5/15/48 | 196,208 | |||||||||
980,000 | 2.00%, 2/15/50 (a) | 1,122,330 | |||||||||
103,942 | U.S. Treasury Inflation Indexed Note, | ||||||||||
0.50%, 1/15/28 (a) | 113,941 | ||||||||||
127,136 | U.S. Treasury Inflation Indexed Bond, | ||||||||||
2.38%, 1/15/27 (a) | 154,357 | ||||||||||
TOTAL U.S. TREASURY SECURITIES (Cost - $11,179,373) | 11,964,456 | ||||||||||
EXCHANGE TRADED FUNDS - 30.2% | |||||||||||
EQUITY FUNDS - 30.2% | |||||||||||
21,186 | iShares MSCI EAFE ETF | 1,289,592 | |||||||||
21,056 | SPDR S&P 500 ETF Trust | 6,492,828 | |||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $6,085,019) | 7,782,420 | ||||||||||
AGENCY MORTGAGE BACKED SECURITIES - 26.2% | |||||||||||
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 21.7% | |||||||||||
Federal National Mortgage Association | |||||||||||
600,000 | 3.00%, 8/1/50 (b) | 630,726 | |||||||||
4,700,000 | 3.50%, 8/1/50 (b) | 4,942,160 | |||||||||
5,572,886 |
Shares/ Principal | Fair Value | ||||||||||
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 4.5% | |||||||||||
$ | 1,100,000 | Government National Mortgage Association, 3.50%, 7/20/50 (b) | $ | 1,160,672 | |||||||
TOTAL AGENCY MORTGAGE BACKED SECURITIES (Cost - $6,740,391) | 6,733,558 | ||||||||||
CORPORATE BONDS AND NOTES - 13.4% | |||||||||||
AEROSPACE & DEFENSE - 0.2% | |||||||||||
10,000 | Boeing Co. (The), 5.81%, 5/1/50 | 11,810 | |||||||||
50,000 | Spirit AeroSystems Inc, 3.95%, 6/15/23 | 42,250 | |||||||||
54,060 | |||||||||||
AIRLINES - 0.5% | |||||||||||
22,536 | American Airlines 2013-1 Class A Pass Through Trust, 4.00%, 7/15/25 | 17,018 | |||||||||
9,846 | American Airlines 2019-1 Class A Pass Through Trust, 3.50%, 2/15/32 | 8,074 | |||||||||
36,612 | Spirit Airlines Pass Through Trust 2015-1A, 4.10%, 4/1/28 | 31,017 | |||||||||
86,808 | United Airlines 2016-1 Class AA Pass Through Trust, 3.10%, 7/7/28 | 82,051 | |||||||||
138,160 | |||||||||||
AUTO MANUFACTURERS - 0.1% | |||||||||||
30,000 | Nissan Motor Acceptance Corp., 2.80%, 1/13/22 (c) | 29,714 | |||||||||
BANKS - 4.2% | |||||||||||
100,000 | Banco La Hipotecaria SA, 4.75%, 11/15/22 (c) | 102,400 | |||||||||
Bank of America Corp. | |||||||||||
100,000 | 3.09%, (3 Month US Libor + 1.09%), 10/1/25 (d) | 108,184 | |||||||||
11,000 | 3.42%, (3 Month US Libor + 1.04%), 12/20/28 (d) | 12,253 | |||||||||
200,000 | Barclays PLC, 4.61%, (3 Month US Libor + 1.40%), 2/15/23 (d) | 210,582 | |||||||||
100,000 | Lloyds Bank Corporate Markets PLC/ New York NY, 0.77%, (3 Month US Libor + 0.50%), 10/26/20 (d) | 100,142 | |||||||||
100,000 | Mitsubishi UFJ Financial Group, Inc., 3.41%, 3/7/24 | 107,975 | |||||||||
100,000 | GBP | Royal Bank of Scotland Group PLC, 2.88%, (1 Year ICE GBP Swap + 1.49%), 9/19/26 (a),(d) | 128,277 | ||||||||
200,000 | UBS Group AG, 2.65%, 2/1/22 (c) | 205,958 | |||||||||
100,000 | Wells Fargo & Co., 1.99%, (3 Month US Libor + 1.23%), 10/31/23 (d) | 100,723 | |||||||||
1,076,494 | |||||||||||
CHEMICALS - 0.2% | |||||||||||
30,000 | Huntsman International LLC, 4.50%, 5/1/29 | 31,562 | |||||||||
30,000 | Syngenta Finance NV, 3.13%, 3/28/22 | 30,406 | |||||||||
61,968 |
See accompanying notes to financial statements.
24
Global Atlantic PIMCO Tactical Allocation Portfolio
Portfolio of Investments (Unaudited) (Continued)
June 30, 2020
Shares/ Principal | Fair Value | ||||||||||
COMPUTERS - 0.4% | |||||||||||
$ | 100,000 | Dell International LLC / EMC Corp., 5.30%, 10/1/29 (c) | $ | 110,373 | |||||||
DIVERSIFIED FINANCIAL SERVICES - 0.2% | |||||||||||
40,000 | Avolon Holdings Funding Ltd., 4.38%, 5/1/26 (c) | 33,635 | |||||||||
20,000 | Stifel Financial Corp., 4.00%, 5/15/30 | 20,976 | |||||||||
54,611 | |||||||||||
ELECTRIC - 0.8% | |||||||||||
20,000 | Duke Energy Corp., 2.45%, 6/1/30 | 21,077 | |||||||||
20,000 | Entergy Corp., 2.80%, 6/15/30 | 21,135 | |||||||||
50,000 | FirstEnergy Corp., 2.25%, 9/1/30 | 50,275 | |||||||||
20,000 | NextEra Energy Capital Holdings, Inc., 2.25%, 6/1/30 | 20,598 | |||||||||
Southern California Edison Co. | |||||||||||
20,000 | 4.65%, 10/1/43 | 24,488 | |||||||||
50,000 | 4.00%, 4/1/47 | 56,977 | |||||||||
194,550 | |||||||||||
ELECTRONICS - 0.1% | |||||||||||
30,000 | Flex Ltd., 4.88%, 6/15/29 | 33,107 | |||||||||
FOOD - 0.1% | |||||||||||
26,000 | Kraft Heinz Foods Co., 3.95%, 7/15/25 | 27,587 | |||||||||
GAS - 0.1% | |||||||||||
30,000 | Washington Gas Light Co., 3.80%, 9/15/46 | 33,648 | |||||||||
HEALTHCARE-PRODUCTS - 0.1% | |||||||||||
30,000 | Boston Scientific Corp., 2.65%, 6/1/30 | 31,262 | |||||||||
HEALTHCARE-SERVICES - 0.3% | |||||||||||
40,000 | Adventist Health System/West, 2.43%, 9/1/24 | 41,521 | |||||||||
20,000 | Memorial Sloan-Kettering Cancer Center, 2.96%, 1/1/50 | 21,474 | |||||||||
62,995 | |||||||||||
INSURANCE - 0.2% | |||||||||||
50,000 | Fairfax Financial Holdings Ltd., 4.63%, 4/29/30 (c) | 53,880 | |||||||||
LODGING - 0.1% | |||||||||||
30,000 | Las Vegas Sands Corp., 2.90%, 6/25/25 | 29,139 | |||||||||
MACHINERY-DIVERSIFIED - 0.2% | |||||||||||
40,000 | Westinghouse Air Brake Technologies Corp., 4.40%, 3/15/24 | 42,406 | |||||||||
MEDIA - 0.4% | |||||||||||
100,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.75%, 2/15/28 | 109,011 |
Shares/ Principal | Fair Value | ||||||||||
MISCELLANEOUS MANUFACTURING - 0.2% | |||||||||||
$ | 40,000 | General Electric Co., 4.25%, 5/1/40 | $ | 39,803 | |||||||
OIL & GAS - 0.3% | |||||||||||
30,000 | Diamondback Energy, Inc., 2.88%, 12/1/24 | 30,018 | |||||||||
40,000 | Equinor ASA, 3.13%, 4/6/30 | 44,120 | |||||||||
74,138 | |||||||||||
PHARMACEUTICALS - 0.4% | |||||||||||
10,000 | AbbVie Inc, 2.60%, 11/21/24 (c) | 10,616 | |||||||||
100,000 | Bayer US Finance II LLC, 2.75%, 7/15/21 (c) | 101,724 | |||||||||
112,340 | |||||||||||
PIPELINES - 1.3% | |||||||||||
30,000 | NGPL PipeCo LLC, 4.88%, 8/15/27 (c) | 32,968 | |||||||||
100,000 | ONEOK Inc, 4.35%, 3/15/29 | 105,201 | |||||||||
40,000 | Rockies Express Pipeline LLC, 4.80%, 5/15/30 (c) | 36,800 | |||||||||
100,000 | Sabine Pass Liquefaction LLC, 5.75%, 5/15/24 | 112,615 | |||||||||
40,000 | Tennessee Gas Pipeline Co. LLC, 2.90%, 3/1/30 (c) | 40,994 | |||||||||
328,578 | |||||||||||
REITS - 1.7% | |||||||||||
40,000 | American Campus Communities Operating Partnership LP, 2.85%, 2/1/30 | 38,635 | |||||||||
100,000 | American Tower Corp., 2.25%, 1/15/22 | 102,493 | |||||||||
40,000 | CubeSmart LP, 3.00%, 2/15/30 | 42,449 | |||||||||
10,000 | Equinix, Inc., 2.63%, 11/18/24 | 10,646 | |||||||||
40,000 | GLP Capital LP / GLP Financing II Inc, 5.38%, 4/15/26 | 43,704 | |||||||||
10,000 | Host Hotels & Resorts LP, 4.00%, 6/15/25 | 10,376 | |||||||||
100,000 | Hudson Pacific Properties LP, 4.65%, 4/1/29 | 108,041 | |||||||||
60,000 | Weyerhaeuser Co., 4.00%, 4/15/30 | 67,901 | |||||||||
424,245 | |||||||||||
SEMICONDUCTORS - 0.3% | |||||||||||
20,000 | Marvell Technology Group Ltd., 4.20%, 6/22/23 | 21,491 | |||||||||
50,000 | NXP BV / NXP Funding LLC/NXP USA, Inc., 3.88%, 6/18/26 (c) | 55,950 | |||||||||
77,441 | |||||||||||
SOFTWARE - 0.3% | |||||||||||
30,000 | Fair Isaac Corp., 4.00%, 6/15/28 (c) | 30,075 | |||||||||
40,000 | Oracle Corp., 2.80%, 4/1/27 | 43,684 | |||||||||
73,759 | |||||||||||
TELECOMMUNICATIONS - 0.6% | |||||||||||
AT&T, Inc. | |||||||||||
20,000 | 2.30%, 6/1/27 | 20,705 | |||||||||
30,000 | 4.10%, 2/15/28 | 34,319 | |||||||||
20,000 | 3.65%, 6/1/51 | 20,940 | |||||||||
30,000 | Level 3 Financing, Inc., 3.88%, 11/15/29 (c) | 31,630 |
See accompanying notes to financial statements.
25
Global Atlantic PIMCO Tactical Allocation Portfolio
Portfolio of Investments (Unaudited) (Continued)
June 30, 2020
Shares/ Principal | Fair Value | ||||||||||
TELECOMMUNICATIONS - 0.6% (continued) | |||||||||||
$ | 30,000 | Sprint Corp, 7.25%, 9/15/21 | $ | 31,451 | |||||||
20,000 | Vodafone Group PLC, 3.75%, 1/16/24 | 21,842 | |||||||||
160,887 | |||||||||||
TRUCKING & LEASING - 0.1% | |||||||||||
30,000 | Aviation Capital Group LLC, 4.13%, 8/1/25 (c) | 26,910 | |||||||||
TOTAL CORPORATE BONDS AND NOTES (Cost - $3,360,951) | 3,461,066 | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 5.0% | |||||||||||
182,488 | Aames Mortgage Investment Trust 2006-1, 0.66%, (1 Month US Libor + 0.48%), 4/25/36 (d) | 149,494 | |||||||||
9,087 | ACE Securities Corp Home Equity Loan Trust Series 2002-HE2, 1.46%, (1 Month US Libor + 1.28%), 8/25/32 (d) | 8,399 | |||||||||
6,356 | ACE Securities Corp Home Equity Loan Trust Series 2006-OP1, 0.33%, (1 Month US Libor + 0.15%), 4/25/36 (d) | 6,247 | |||||||||
48,866 | Alternative Loan Trust 2005-14, 0.39%, (1 Month US Libor + 0.21%), 5/25/35 (d) | 42,149 | |||||||||
22,384 | Alternative Loan Trust 2005-J12, 0.72%, (1 Month US Libor + 0.54%), 8/25/35 (d) | 12,672 | |||||||||
14,407 | Alternative Loan Trust 2006-OA9, 0.40%, (1 Month US Libor + 0.21%), 7/20/46 (d) | 7,734 | |||||||||
23,150 | American Home Mortgage Assets Trust 2006-2, 0.37%, (1 Month US Libor + 0.19%), 9/25/46 (d) | 16,879 | |||||||||
9,072 | Bear Stearns ALT-A Trust 2005-8, 3.72%, 10/25/35 (d) | 7,843 | |||||||||
23,375 | ChaseFlex Trust Series 2007-2, 0.46%, (1 Month US Libor + 0.28%), 5/25/37 (d) | 19,412 | |||||||||
10,341 | Chevy Chase Funding LLC Mortgage- Backed Certificates Series 2004-3, 0.43%, (1 Month US Libor + 0.25%), 8/25/35 (c),(d) | 9,578 | |||||||||
11,891 | Chevy Chase Funding LLC Mortgage- Backed Certificates Series 2004-4, 0.41%, (1 Month US Libor + 0.23%), 10/25/35 (c),(d) | 10,123 | |||||||||
104,294 | CHL Mortgage Pass-Through Trust 2006-6, 6.00%, 4/25/36 | 79,036 | |||||||||
100,000 | Citigroup Commercial Mortgage Trust 2019-SMRT, 4.15%, 1/10/36 (c) | 107,632 | |||||||||
26,445 | Citigroup Mortgage Loan Trust 2007-AMC1, 0.34%, (1 Month US Libor + 0.16%), 12/25/36 (c),(d) | 15,471 | |||||||||
Countrywide Asset-Backed Certificates | |||||||||||
110,692 | 0.55%, (1 Month US Libor + 0.37%), 4/25/36 (d) | 103,439 | |||||||||
14,432 | 0.31%, (1 Month US Libor + 0.13%), 12/25/36 (d) | 13,226 | |||||||||
33,109 | 0.33%, (1 Month US Libor + 0.15%), 5/25/37 (d) | 31,567 | |||||||||
20,458 | 0.32%, (1 Month US Libor + 0.14%), 6/25/47 (d) | 16,007 |
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 5.0% (continued) | |||||||||||
$ | 5,234 | Credit Suisse First Boston Mortgage Securities Corp, 4.50%, 7/25/20 | $ | 5,058 | |||||||
8,600 | CWABS Asset-Backed Certificates Trust 2006-17, 0.33%, (1 Month US Libor + 0.15%), 3/25/47 (d) | 7,877 | |||||||||
18,827 | Encore Credit Receivables Trust 2005-1, 0.84%, (1 Month US Libor + 0.66%), 7/25/35 (d) | 17,978 | |||||||||
20,744 | FBR Securitization Trust, 0.86%, (1 Month US Libor + 0.68%), 10/25/35 (d) | 19,266 | |||||||||
4,690 | Freddie Mac Multifamily Structured Pass Through Certificates, 0.88%, (1 Month US Libor + 0.70%), 9/25/22 (d) | 4,690 | |||||||||
Government National Mortgage Association | |||||||||||
70,564 | 0.90%, (1 Month US Libor + 0.60%), 5/20/65 (d) | 70,329 | |||||||||
75,223 | 0.92%, (1 Month US Libor + 0.62%), 8/20/65 (d) | 75,020 | |||||||||
1,269 | 1.00%, (1 Month US Libor + 0.70%), 10/20/65 (d) | 1,275 | |||||||||
70,854 | 1.30%, (1 Month US Libor + 1.00%), 12/20/65 (d) | 71,683 | |||||||||
24,381 | Great Hall Mortgages No 1 PLC, 0.44%, (3 Month US Libor + 0.13%), 6/18/39 (c),(d) | 23,160 | |||||||||
23,063 | GreenPoint Mortgage Funding Trust 2006-AR2, 3.50%, (1 Year CMT + 2.00%), 3/25/36 (d) | 20,446 | |||||||||
16,390 | GSAMP Trust 2006-HE4, 0.32%, (1 Month US Libor + 0.14%), 6/25/36 (d) | 14,880 | |||||||||
7,564 | GSR Mortgage Loan Trust 2005-AR6, 4.07%, 9/25/35 (d) | 7,341 | |||||||||
9,068 | Impac CMB Trust Series 2005-8, 0.88%, (1 Month US Libor + 0.70%), 2/25/36 (d) | 7,708 | |||||||||
14,644 | IndyMac INDX Mortgage Loan Trust 2006-AR4, 0.39%, (1 Month US Libor + 0.21%), 5/25/46 (d) | 12,684 | |||||||||
1,430 | JP Morgan Mortgage Trust 2006-S2, 5.88%, 6/25/21 | 1,398 | |||||||||
6,482 | Long Beach Mortgage Loan Trust 2004-2, 1.80%, (1 Month US Libor + 1.62%), 6/25/34 (d) | 6,368 | |||||||||
23,507 | Long Beach Mortgage Loan Trust 2005-3, 0.70%, (1 Month US Libor + 0.52%), 8/25/45 (d) | 19,946 | |||||||||
27,114 | Long Beach Mortgage Loan Trust 2006-7, 0.34%, (1 Month US Libor + 0.16%), 8/25/36 (d) | 13,731 | |||||||||
7,804 | MortgageIT Trust 2005-4, 0.46%, (1 Month US Libor + 0.28%), 10/25/35 (d) | 7,092 | |||||||||
92,444 | New Residential Mortgage Loan Trust 2019-RPL3, 2.75%, 7/25/59 (c),(d) | 96,916 | |||||||||
18,722 | RASC Series 2004-KS10 Trust, 1.91%, (1 Month US Libor + 1.73%), 11/25/34 (d) | 15,523 |
See accompanying notes to financial statements.
26
Global Atlantic PIMCO Tactical Allocation Portfolio
Portfolio of Investments (Unaudited) (Continued)
June 30, 2020
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 5.0% (continued) | |||||||||||
$ | 9,210 | Reperforming Loan REMIC Trust 2006-R1, 0.52%, (1 Month US Libor + 0.34%), 1/25/36 (c),(d) | $ | 7,464 | |||||||
14,343 | SLC Student Loan Trust 2006-2, 0.41%, (3 Month US Libor + 0.10%), 9/15/26 (d) | 13,998 | |||||||||
16,490 | Soundview Home Loan Trust 2007-WMC1, 0.29%, (1 Month US Libor + 0.11%), 2/25/37 (d) | 4,936 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust | |||||||||||
4,937 | 3.77%, 2/25/34 (d) | 4,319 | |||||||||
4,943 | 3.72%, 9/25/34 (d) | 4,583 | |||||||||
7,917 | Structured Adjustable Rate Mortgage Loan Trust Series 2005-19XS, 0.48%, (1 Month US Libor + 0.30%), 10/25/35 (d) | 7,450 | |||||||||
5,337 | Structured Asset Investment Loan Trust 2004-7, 1.23%, (1 Month US Libor + 1.05%), 8/25/34 (d) | 4,965 | |||||||||
15,453 | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC2, 0.33%, (1 Month US Libor + 0.15%), 9/25/36 (d) | 13,161 | |||||||||
39,291 | WaMu Mortgage Pass-Through Certificates Series 2006-AR9 Trust, 2.24%, (COFI + 1.50%), 8/25/46 (d) | 34,210 | |||||||||
13,307 | WaMu Mortgage Pass-Through Certificates 2007-HY4 Trust, 3.18%, 4/25/37 (d) | 11,001 | |||||||||
TOTAL ASSET BACKED AND COMMERCIAL BACKED SECURITIES (Cost - $1,339,633) | 1,283,364 | ||||||||||
SOVEREIGN DEBTS - 1.7% | |||||||||||
200,000 | Development Bank of Japan, Inc., 1.63%, 9/1/21 (c) | 202,547 | |||||||||
200,000 | Japan Finance Organization for Municipalities, 2.13%, 10/25/23 (c) | 209,511 | |||||||||
100,000 | Peruvian Government International Bond, 8.20%, 8/12/26 (c) | PEN | 36,568 | ||||||||
TOTAL SOVEREIGN DEBTS (Cost - $435,949) | 448,626 | ||||||||||
MUNICIPAL BONDS - 0.4% | |||||||||||
30,000 | New Jersey Transportation Trust Fund Authority, 2.55%, 6/15/23 | 28,834 | |||||||||
40,000 | New York State Urban Development Corp., 1.83%, 3/15/29 | 40,299 | |||||||||
20,000 | State of Wisconsin, 2.10%, 5/1/26 | 20,752 | |||||||||
TOTAL MUNICIPAL BONDS (Cost - $90,000) | 89,885 |
Shares/ Principal | Fair Value | ||||||||||
SHORT-TERM INVESTMENTS - 8.4% | |||||||||||
U.S. TREASURY SECURITIES - 8.2% | |||||||||||
U.S. Treasury Bill | |||||||||||
$ | 400,000 | 0.12%, 7/9/20 (e) | $ | 399,989 | |||||||
400,000 | 0.15%, 7/30/20 (e) | 399,958 | |||||||||
400,000 | 0.13%, 8/6/20 (e) | 399,952 | |||||||||
500,000 | 0.16%, 9/24/20 (e) | 499,829 | |||||||||
400,000 | 0.18%, 9/29/20 (e) | 399,862 | |||||||||
TOTAL U.S. TREASURY SECURITIES (Cost - $2,099,791) | 2,099,590 | ||||||||||
MONEY MARKET FUNDS - 0.2% | |||||||||||
62,536 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 0.10% (f) (Cost - $62,536) | 62,536 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $2,162,327) | 2,162,126 | ||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES SOLD - 131.8% (Cost - $31,393,643) | $ | 33,925,501 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET (31.8)% | (8,189,370) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 25,736,131 | |||||||||
SECURITIES SOLD - (0.4)% | |||||||||||
AGENCY MORTGAGE BACKED SECURITIES - (0.4)% | |||||||||||
FEDERAL NATIONAL MORTGAGE ASSOCIATION - (0.4)% | |||||||||||
$ | (100,000 | ) | Federal National Mortgage Association, 4.50%, 7/1/50 (Proceeds - $(107,547)) (b) | $ | (107,453 | ) | |||||
TOTAL SECURITIES SOLD (Proceeds - $(107,547)) | $ | (107,453 | ) |
(a) All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.
(b) When-issued, or delayed delivery. All or a portion may be subject to dollar-roll transactions.
(c) 144A - Security was purchased pursuant to Rule 144a under the Securities Act of 1933 and may not be resold subject to that rule, except to qualified institutional buyers. As of June 30, 2020, these securities amounted to $1,622,597 or 6.3% of net assets.
(d) Variable rate security. The rate shown is the rate in effect at period end.
(e) Rate shown represents discount rate at the time of purchase.
(f) The rate shown is the annualized seven-day yield at period end.
CMT - Treasury Constant Maturity Rate
COFI - 11th District Monthly Weighted Average Cost of Funds Index
ICE GBP Swap - Ice Swap Rate
Libor - London Interbank Offer Rate
PLC - Public Limited Company
REMIC - Real Estate Mortgage Investment Conduit
See accompanying notes to financial statements.
27
Global Atlantic PIMCO Tactical Allocation Portfolio
Portfolio of Investments (Unaudited) (Continued)
June 30, 2020
Holdings by Asset Class | % of Net Assets | ||||||
U.S. Treasury Securities | 54.7 | % | |||||
Exchange Traded Funds | 30.2 | % | |||||
Agency Mortgage Backed Securities | 26.2 | % | |||||
Corporate Bonds and Notes | 13.4 | % | |||||
Asset Backed and Commercial Backed Securities | 5.0 | % | |||||
Sovereign Debts | 1.7 | % | |||||
Municipal Bonds | 0.4 | % | |||||
Money Market Funds | 0.2 | % | |||||
Other Assets Less Liabilities - Net | (31.8 | )% | |||||
100.0 | % |
REVERSE REPURCHASE AGREEMENTS | |||||||||||||||||||||||
Counterparty | Borrowing Rate | Settlement Date | Maturity Date | Amount Borrowed | Payable for Reverse Repurchase Agreements | ||||||||||||||||||
BofA Securities, Inc. | 0.05 | % | 06/29/20 | 07/15/20 | (2,473,200 | ) | $ | (2,473,344 | ) | ||||||||||||||
BofA Securities, Inc. | 0.21 | % | 06/12/20 | 08/12/20 | (201,750 | ) | (201,772 | ) | |||||||||||||||
BofA Securities, Inc. | 0.18 | % | 06/26/20 | 07/02/20 | (1,192,125 | ) | (1,192,155 | ) | |||||||||||||||
TOTAL REVERSE REPURCHASE AGREEMENTS | $ | (3,867,271 | ) | ||||||||||||||||||||
FUTURES CONTRACTS | |||||||||||||||||||||||
LONG FUTURES CONTRACTS | Counterparty | Number of Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Euro-BTP Future | Goldman Sachs & Co. | 4 | 9/8/2020 | $ | 646,395 | $ | 19,464 | ||||||||||||||||
U.S. 10 Year Note Future | Goldman Sachs & Co. | 2 | 9/21/2020 | 278,344 | 1,203 | ||||||||||||||||||
20,667 | |||||||||||||||||||||||
SHORT FUTURES CONTRACTS | |||||||||||||||||||||||
Euro-Bund Future | Goldman Sachs & Co. | 3 | 9/8/2020 | 594,775 | (5,077 | ) | |||||||||||||||||
Euro-OAT Future | Goldman Sachs & Co. | 1 | 9/8/2020 | 188,296 | (2,538 | ) | |||||||||||||||||
Long Gilt Future | Goldman Sachs & Co. | 2 | 9/28/2020 | 340,136 | 260 | ||||||||||||||||||
U.S. Long Bond Future | Goldman Sachs & Co. | 6 | 9/21/2020 | 1,071,375 | (2,437 | ) | |||||||||||||||||
U.S. Ultra Bond Future | Goldman Sachs & Co. | 3 | 9/21/2020 | 654,469 | 2,484 | ||||||||||||||||||
(7,308 | ) | ||||||||||||||||||||||
TOTAL NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $ | 13,359 |
INTEREST RATE SWAPS | |||||||||||||||||||||||||||||||||||
Counterparty | Payment Frequency | Fund Receives | Fund Pays | Expiration Date | Notional Amount | Fair Value | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
Goldman Sachs & Co. | Quarterly | 3 Month US Libor | 1.25 | % | 06/17/25 | 300,000 | $ | (13,957 | ) | $ | (1,202 | ) | $ | (12,755 | ) | ||||||||||||||||||||
Goldman Sachs & Co. | Quarterly | 3 Month US Libor | 0.96 | % | 03/31/30 | 200,000 | (6,969 | ) | - | (6,969 | ) | ||||||||||||||||||||||||
Goldman Sachs & Co. | Quarterly | 3 Month US Libor | 1.25 | % | 06/17/30 | 400,000 | (24,380 | ) | 22,579 | (46,959 | ) | ||||||||||||||||||||||||
Goldman Sachs & Co. | Semi-Annually | 0.25 | % | 6 Month Euribor | 12/15/30 | 100,000 | EUR | 4,699 | 4,097 | 602 | |||||||||||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON INTEREST RATE SWAPS | $ | 25,474 | $ | (66,081 | ) |
See accompanying notes to financial statements.
28
Global Atlantic PIMCO Tactical Allocation Portfolio
Portfolio of Investments (Unaudited) (Continued)
June 30, 2020
CREDIT DEFAULT SWAPS | |||||||||||||||||||||||||||||||||||||||||||
Counterparty | Reference Obligation/ Index | Payment Frequency | Buy/Sell Protection | Fixed Rate Received | Fixed Rate Paid | Expiration Date | Notional Amount | Fair Value | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||||||
Goldman Sachs & Co. | CDX.NA.IG.33 | Quarterly | Buy | 1.00 | % | - | 12/20/24 | 800,000 | $ | 9,720 | $ | 13,331 | $ | (3,611 | ) | ||||||||||||||||||||||||||||
Goldman Sachs & Co. | CDX.NA.IG.34 | Quarterly | Buy | 1.00 | % | - | 06/20/25 | 800,000 | 9,645 | (12,656 | ) | 22,301 | |||||||||||||||||||||||||||||||
Goldman Sachs & Co. | CDX.NA.HY.34 | Quarterly | Buy | 5.00 | % | - | 06/20/25 | 190,000 | (1,002 | ) | 3,257 | (4,259 | ) | ||||||||||||||||||||||||||||||
TOTAL NET UNREALIZED APPRECIATION ON CREDIT DEFAULT SWAPS | $ | 3,932 | $ | 14,431 |
FORWARD FOREIGN CURRENCY CONTRACTS | |||||||||||||||||||
Settlement Date | Counterparty | Currency Units to Receive | In Exchange For | Unrealized Appreciation (Depreciation) | |||||||||||||||
07/02/20 | Barclays Bank PLC | 5,676 | USD | 5,000 | EUR | $ | 60 | ||||||||||||
07/02/20 | Barclays Bank PLC | 131,401 | USD | 106,000 | GBP | 426 | |||||||||||||
10/05/20 | Barclays Bank PLC | 36,816 | USD | 126,985 | PEN | 972 | |||||||||||||
10/21/20 | Barclays Bank PLC | 515,000 | MXN | 23,370 | USD | (1,402 | ) | ||||||||||||
TOTAL NET UNREALIZED APPRECIATION ON FORWARD FOREIGN CURRENCY CONTRACTS | $ | 56 |
EUR - Euro
GBP - Pound Sterling
MXN - Mexican Peso
See accompanying notes to financial statements.
29
Global Atlantic Select Advisor Managed Risk Portfolio
Portfolio of Investments (Unaudited)
June 30, 2020
Shares/ Principal | Fair Value | ||||||||||
VARIABLE INSURANCE TRUSTS - 80.3% | |||||||||||
DEBT FUNDS - 18.9% | |||||||||||
1,382,300 | MFS Total Return Bond Series, Class I | $ | 19,407,493 | ||||||||
TOTAL DEBT FUNDS | 19,407,493 | ||||||||||
Equity Funds - 61.4% | |||||||||||
233,384 | American Century VP Mid Capital Value, Class I | 3,974,535 | |||||||||
1,191,918 | American Century VP Value Fund, Class I | 10,858,371 | |||||||||
81,495 | Invesco VI International Growth Fund, Class I | 2,920,769 | |||||||||
226,035 | MFS Growth Series | 14,771,365 | |||||||||
325,666 | MFS VIT II - International Intrinsic Value Portfolio, Class I | 9,825,343 | |||||||||
77,521 | MFS VIT II Blended Research Core Equity Portfolio, Class I | 3,934,177 | |||||||||
282,185 | MFS VIT MID Capital Growth Series | 2,982,693 | |||||||||
646,388 | Putnam VT Equity Income | 13,787,463 | |||||||||
TOTAL EQUITY FUNDS | 63,054,716 | ||||||||||
TOTAL VARIABLE INSURANCE TRUSTS (Cost - $70,381,252) | 82,462,209 | ||||||||||
EXCHANGE TRADED FUNDS - 15.3% | |||||||||||
DEBT FUNDS - 4.7% | |||||||||||
23,626 | iShares iBoxx High Yield Corporate Bond ETF | 1,928,354 | |||||||||
53,242 | iShares Short-Term Corporate Bond ETF | 2,912,870 | |||||||||
TOTAL DEBT FUNDS | 4,841,224 |
Shares/ Principal | Fair Value | ||||||||||
EQUITY FUNDS - 10.6% | |||||||||||
20,223 | iShares Core MSCI Emerging Markets ETF | $ | 962,615 | ||||||||
73,039 | iShares MSCI EAFE Value ETF | 2,919,369 | |||||||||
15,396 | iShares Russell 1000 Growth ETF | 2,955,262 | |||||||||
28,034 | iShares Russell 2000 ETF | 4,013,908 | |||||||||
TOTAL EQUITY FUNDS | 10,851,154 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $13,917,854) | 15,692,378 | ||||||||||
SHORT-TERM INVESTMENTS - 2.5% | |||||||||||
MONEY MARKET FUNDS - 2.5% | |||||||||||
2,604,507 | Dreyfus Government Cash Management, 0.09% (a) | 2,604,507 | |||||||||
5,336 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 0.10% (a) | 5,336 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $2,609,843) | 2,609,843 | ||||||||||
TOTAL INVESTMENTS - 98.1% (Cost - $86,908,949) | $ | 100,764,430 | |||||||||
OTHER ASSETS LESS LIABILITIES - NET 1.9% | 1,939,896 | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 102,704,326 |
(a) The rate shown is the annualized seven-day yield at period end.
Holdings by Asset Class | % of Net Assets | ||||||
Variable Insurance Trusts | 80.3 | % | |||||
Exchange Traded Funds | 15.3 | % | |||||
Money Market Funds | 2.5 | % | |||||
Other Assets Less Liabilities - Net | 1.9 | % | |||||
100.0 | % |
FUTURES CONTRACTS | |||||||||||||||||||||||
Counterparty | Number of Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||||||
SHORT FUTURES CONTRACTS | |||||||||||||||||||||||
E-Mini Russell 2000 Future | Goldman Sachs & Co. | 26 | 9/18/2020 | $ | 1,868,880 | $ | (70,520 | ) | |||||||||||||||
MSCI EAFE Future | Goldman Sachs & Co. | 64 | 9/18/2020 | 5,690,880 | (59,160 | ) | |||||||||||||||||
MSCI Emerging Market Index Future | Goldman Sachs & Co. | 19 | 9/18/2020 | 936,415 | (15,670 | ) | |||||||||||||||||
S&P 500 E-Mini Future | Goldman Sachs & Co. | 80 | 9/18/2020 | 12,360,800 | (273,220 | ) | |||||||||||||||||
S&P MID 400 E-Mini Future | Goldman Sachs & Co. | 32 | 9/18/2020 | 5,693,120 | (116,350 | ) | |||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $ | (534,920 | ) |
See accompanying notes to financial statements.
30
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Unaudited)
June 30, 2020
Shares/ Principal | Fair Value | ||||||||||
COMMON STOCKS - 62.1% | |||||||||||
AEROSPACE & DEFENSE - 1.6% | |||||||||||
4,402 | Boeing Co. (The) | $ | 806,887 | ||||||||
6,656 | Lockheed Martin Corp. | 2,428,907 | |||||||||
6,463 | Northrop Grumman Corp. | 1,986,985 | |||||||||
23,347 | Raytheon Technologies Corp. | 1,438,642 | |||||||||
6,661,421 | |||||||||||
AIR FREIGHT & LOGISTICS - 0.2% | |||||||||||
5,589 | FedEx Corp. | 783,690 | |||||||||
AIRLINES - 0.1% | |||||||||||
31,840 | JetBlue Airways Corp.* | 347,056 | |||||||||
BANKS - 1.2% | |||||||||||
219,373 | Bank of America Corp. | 5,210,109 | |||||||||
BEVERAGES - 1.0% | |||||||||||
90,217 | Coca-Cola Co. (The) | 4,030,896 | |||||||||
BIOTECHNOLOGY - 1.3% | |||||||||||
5,600 | 89bio, Inc.* | 111,608 | |||||||||
5,500 | Akouos, Inc.* | 123,750 | |||||||||
927 | Alnylam Pharmaceuticals, Inc.* | 137,298 | |||||||||
4,232 | Apellis Pharmaceuticals, Inc.* | 138,217 | |||||||||
3,036 | Assembly Biosciences, Inc.* | 70,800 | |||||||||
3,737 | Atreca, Inc., Class A* | 79,523 | |||||||||
8,900 | Avidity Biosciences, Inc.* | 251,514 | |||||||||
7,700 | Black Diamond Therapeutics, Inc.* | 324,632 | |||||||||
1,300 | Bluebird Bio, Inc.* | 79,352 | |||||||||
3,289 | Constellation Pharmaceuticals, Inc.* | 98,834 | |||||||||
9,300 | Forma Therapeutics Holdings, Inc.* | 432,357 | |||||||||
5,541 | G1 Therapeutics, Inc.* | 134,425 | |||||||||
7,800 | Generation Bio Co.* | 163,800 | |||||||||
2,826 | Global Blood Therapeutics, Inc.* | 178,405 | |||||||||
11,196 | GlycoMimetics, Inc.* | 42,097 | |||||||||
21,150 | ImmunoGen, Inc.* | 97,290 | |||||||||
2,317 | Incyte Corp.* | 240,899 | |||||||||
2,000 | Kodiak Sciences, Inc.* | 108,240 | |||||||||
6,300 | Legend Biotech Corp., ADR* | 268,128 | |||||||||
1,353 | Madrigal Pharmaceuticals, Inc.* | 153,227 | |||||||||
1,228 | Mirati Therapeutics, Inc.* | 140,201 | |||||||||
3,900 | Oyster Point Pharma, Inc.* | 112,632 | |||||||||
730 | Regeneron Pharmaceuticals, Inc.* | 455,265 | |||||||||
3,700 | REVOLUTION Medicines, Inc.* | 116,809 | |||||||||
15,838 | Rigel Pharmaceuticals, Inc.* | 28,984 | |||||||||
2,294 | Seattle Genetics, Inc.* | 389,796 | |||||||||
9,328 | Syndax Pharmaceuticals, Inc.* | 138,241 | |||||||||
2,777 | Turning Point Therapeutics, Inc.* | 179,366 | |||||||||
3,816 | UroGen Pharma Ltd.* | 99,674 | |||||||||
1,751 | Vertex Pharmaceuticals, Inc.* | 508,333 | |||||||||
5,403,697 |
Shares/ Principal | Fair Value | ||||||||||
BUILDING PRODUCTS - 0.3% | |||||||||||
12,610 | Trane Technologies PLC | $ | 1,122,038 | ||||||||
CAPITAL MARKETS - 2.0% | |||||||||||
37,687 | Ares Management Corp., Class A | 1,496,174 | |||||||||
1,366 | BlackRock, Inc. | 743,227 | |||||||||
25,241 | Blackstone Group, Inc. (The), Class A | 1,430,155 | |||||||||
20,150 | Blucora, Inc.* | 230,113 | |||||||||
47,599 | Charles Schwab Corp. (The) | 1,605,990 | |||||||||
358 | CME Group, Inc. | 58,189 | |||||||||
296 | Goldman Sachs Group, Inc. (The) | 58,495 | |||||||||
11,459 | Hamilton Lane, Inc., Class A | 771,993 | |||||||||
4,583 | S&P Global, Inc. | 1,510,007 | |||||||||
18,326 | TD Ameritrade Holding Corp. | 666,700 | |||||||||
8,571,043 | |||||||||||
CHEMICALS - 1.5% | |||||||||||
20,695 | Cabot Corp. | 766,750 | |||||||||
9,089 | Celanese Corp. | 784,744 | |||||||||
11,090 | FMC Corp. | 1,104,786 | |||||||||
8,466 | Ingevity Corp.* | 445,058 | |||||||||
8,069 | Linde PLC | 1,711,516 | |||||||||
12,921 | Livent Corp.* | 79,593 | |||||||||
12,439 | PPG Industries, Inc. | 1,319,280 | |||||||||
6,211,727 | |||||||||||
COMMUNICATIONS EQUIPMENT - 0.3% | |||||||||||
15,221 | Lumentum Holdings, Inc.* | 1,239,446 | |||||||||
CONSTRUCTION & ENGINEERING - 0.1% | |||||||||||
15,469 | Dycom Industries, Inc.* | 632,527 | |||||||||
CONSUMER FINANCE - 0.3% | |||||||||||
8,610 | American Express Co. | 819,672 | |||||||||
17,815 | OneMain Holdings, Inc. | 437,180 | |||||||||
1,256,852 | |||||||||||
CONTAINERS & PACKAGING - 0.3% | |||||||||||
18,035 | Ball Corp. | 1,253,252 | |||||||||
DIVERSIFIED CONSUMER SERVICES - 0.0%† | |||||||||||
42,794 | Houghton Mifflin Harcourt Co.* | 77,457 | |||||||||
DIVERSIFIED FINANCIAL SERVICES - 0.5% | |||||||||||
65,392 | Equitable Holdings, Inc. | 1,261,411 | |||||||||
15,258 | Voya Financial, Inc. | 711,786 | |||||||||
1,973,197 | |||||||||||
ELECTRIC UTILITIES - 1.7% | |||||||||||
31,750 | Duke Energy Corp. | 2,536,508 | |||||||||
32,686 | Edison International | 1,775,177 | |||||||||
67,536 | Exelon Corp. | 2,450,881 | |||||||||
19,227 | NRG Energy, Inc. | 626,031 | |||||||||
7,388,597 |
See accompanying notes to financial statements.
31
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Unaudited) (Continued)
June 30, 2020
Shares/ Principal | Fair Value | ||||||||||
ELECTRICAL EQUIPMENT - 0.1% | |||||||||||
29,674 | nVent Electric PLC | $ | 555,794 | ||||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 0.3% | |||||||||||
41,383 | Corning, Inc. | 1,071,820 | |||||||||
ENERGY EQUIPMENT & SERVICES - 0.1% | |||||||||||
29,376 | Schlumberger Ltd. | 540,225 | |||||||||
ENTERTAINMENT - 1.6% | |||||||||||
10,007 | Electronic Arts, Inc.* | 1,321,424 | |||||||||
7,805 | Netflix, Inc.* | 3,551,587 | |||||||||
3,332 | Spotify Technology SA* | 860,289 | |||||||||
9,709 | Walt Disney Co. (The) | 1,082,651 | |||||||||
6,815,951 | |||||||||||
EQUITY REAL ESTATE INVESTMENT - 2.1% | |||||||||||
9,815 | Alexandria Real Estate Equities, Inc. | 1,592,484 | |||||||||
12,418 | American Tower Corp. | 3,210,550 | |||||||||
30,086 | Douglas Emmett, Inc. | 922,437 | |||||||||
4,089 | Equinix, Inc. | 2,871,704 | |||||||||
2,657 | Sun Communities, Inc. | 360,502 | |||||||||
8,957,677 | |||||||||||
FOOD & STAPLES RETAILING - 0.2% | |||||||||||
25,314 | Performance Food Group Co.* | 737,650 | |||||||||
FOOD PRODUCTS - 0.7% | |||||||||||
58,699 | Mondelez International, Inc., Class A | 3,001,280 | |||||||||
HEALTH CARE EQUIPMENT & SUPPLIES - 2.6% | |||||||||||
21,395 | Baxter International, Inc. | 1,842,109 | |||||||||
59,212 | Boston Scientific Corp.* | 2,078,933 | |||||||||
14,057 | Danaher Corp. | 2,485,699 | |||||||||
22,723 | Edwards Lifesciences Corp.* | 1,570,387 | |||||||||
24,719 | Envista Holdings Corp.* | 521,324 | |||||||||
3,043 | IDEXX Laboratories, Inc.* | 1,004,677 | |||||||||
2,726 | Intuitive Surgical, Inc.* | 1,553,357 | |||||||||
11,056,486 | |||||||||||
HEALTH CARE PROVIDERS & SERVICES - 1.6% | |||||||||||
6,762 | Anthem, Inc. | 1,778,271 | |||||||||
13,917 | Centene Corp.* | 884,425 | |||||||||
8,293 | HCA Healthcare, Inc. | 804,918 | |||||||||
4,847 | McKesson Corp. | 743,627 | |||||||||
9,306 | UnitedHealth Group, Inc. | 2,744,805 | |||||||||
6,956,046 | |||||||||||
HOTELS, RESTAURANTS & LEISURE - 1.8% | |||||||||||
14,056 | Hyatt Hotels Corp., Class A | 706,876 | |||||||||
38,473 | McDonald's Corp. | 7,097,115 | |||||||||
7,803,991 |
Shares/ Principal | Fair Value | ||||||||||
HOUSEHOLD PRODUCTS - 1.3% | |||||||||||
45,800 | Procter & Gamble Co. (The) | $ | 5,476,306 | ||||||||
INDUSTRIAL CONGLOMERATES - 0.4% | |||||||||||
212 | 3M Co. | 33,070 | |||||||||
2,174 | General Electric Co. | 14,848 | |||||||||
11,328 | Honeywell International, Inc. | 1,637,916 | |||||||||
1,685,834 | |||||||||||
INSURANCE - 2.0% | |||||||||||
29,820 | American International Group, Inc. | 929,788 | |||||||||
12,334 | Assurant, Inc. | 1,273,979 | |||||||||
31,031 | Assured Guaranty Ltd. | 757,467 | |||||||||
23,348 | Athene Holding Ltd., Class A* | 728,224 | |||||||||
30,210 | Hartford Financial Services Group, Inc. (The) | 1,164,596 | |||||||||
7,728 | Marsh & McLennan Cos., Inc. | 829,755 | |||||||||
17,249 | Progressive Corp. (The) | 1,381,817 | |||||||||
4,100 | RenaissanceRe Holdings Ltd. | 701,223 | |||||||||
15,838 | Trupanion, Inc.* | 676,124 | |||||||||
8,442,973 | |||||||||||
INTERACTIVE MEDIA & SERVICES - 4.6% | |||||||||||
7,106 | Alphabet, Inc., Class A* | 10,076,663 | |||||||||
26,305 | Facebook, Inc., Class A* | 5,973,076 | |||||||||
17,536 | Match Group, Inc.* | 1,877,229 | |||||||||
66,200 | Snap, Inc., Class A* | 1,555,038 | |||||||||
19,482,006 | |||||||||||
INTERNET & DIRECT MARKETING RETAIL - 3.6% | |||||||||||
4,893 | Amazon.com, Inc.* | 13,498,906 | |||||||||
18,229 | Etsy, Inc.* | 1,936,467 | |||||||||
15,435,373 | |||||||||||
IT SERVICES - 3.0% | |||||||||||
6,224 | FleetCor Technologies, Inc.* | 1,565,523 | |||||||||
24,417 | Genpact Ltd. | 891,709 | |||||||||
22,150 | Global Payments, Inc. | 3,757,083 | |||||||||
13,128 | PayPal Holdings, Inc.* | 2,287,291 | |||||||||
6,696 | Science Applications International Corp. | 520,145 | |||||||||
15,196 | Visa, Inc., Class A | 2,935,411 | |||||||||
4,091 | WEX, Inc.* | 675,056 | |||||||||
12,632,218 | |||||||||||
LIFE SCIENCES TOOLS & SERVICES - 0.5% | |||||||||||
16,764 | Agilent Technologies, Inc. | 1,481,435 | |||||||||
29,659 | PPD, Inc.* | 794,861 | |||||||||
2,276,296 | |||||||||||
MACHINERY - 1.3% | |||||||||||
26,812 | Fortive Corp. | 1,814,100 | |||||||||
247 | Illinois Tool Works, Inc. | 43,188 | |||||||||
65,488 | Ingersoll Rand, Inc.* | 1,841,523 | |||||||||
15,420 | Kennametal, Inc. | 442,708 | |||||||||
19,436 | Rexnord Corp. | 566,559 |
See accompanying notes to financial statements.
32
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Unaudited) (Continued)
June 30, 2020
Shares/ Principal | Fair Value | ||||||||||
MACHINERY - 1.3% (Continued) | |||||||||||
2,846 | Stanley Black & Decker, Inc. | $ | 396,675 | ||||||||
4,014 | Westinghouse Air Brake Technologies Corp. | 231,086 | |||||||||
5,335,839 | |||||||||||
MEDIA - 1.5% | |||||||||||
8,899 | Charter Communications, Inc., Class A* | 4,538,846 | |||||||||
10,606 | New York Times Co. (The), Class A | 445,770 | |||||||||
24,467 | Omnicom Group, Inc. | 1,335,898 | |||||||||
6,320,514 | |||||||||||
MULTI-UTILITIES - 0.2% | |||||||||||
7,679 | Sempra Energy | 900,209 | |||||||||
OIL, GAS & CONSUMABLE FUELS - 1.8% | |||||||||||
18,747 | BP PLC, ADR | 437,180 | |||||||||
16,200 | Chevron Corp. | 1,445,526 | |||||||||
5,480 | Concho Resources, Inc. | 282,220 | |||||||||
6,298 | Diamondback Energy, Inc. | 263,382 | |||||||||
24,577 | EOG Resources, Inc. | 1,245,071 | |||||||||
53,294 | Exxon Mobil Corp. | 2,383,308 | |||||||||
23,208 | Marathon Petroleum Corp. | 867,515 | |||||||||
27,730 | Noble Energy, Inc. | 248,461 | |||||||||
3,223 | Pioneer Natural Resources Co. | 314,887 | |||||||||
8,285 | TC Energy Corp. | 355,095 | |||||||||
7,842,645 | |||||||||||
PHARMACEUTICALS - 3.4% | |||||||||||
52,032 | AstraZeneca PLC, ADR | 2,751,972 | |||||||||
23,516 | Eli Lilly and Co. | 3,860,857 | |||||||||
2,871 | MyoKardia, Inc.* | 277,396 | |||||||||
19,847 | Novartis AG, ADR | 1,733,437 | |||||||||
4,992 | Odonate Therapeutics, Inc.* | 211,361 | |||||||||
143,013 | Pfizer, Inc. | 4,676,525 | |||||||||
696 | Reata Pharmaceuticals, Inc., Class A* | 108,590 | |||||||||
8,585 | Royalty Pharma PLC, Class A* | 416,802 | |||||||||
2,200 | Satsuma Pharmaceuticals, Inc.* | 63,272 | |||||||||
5,685 | Tricida, Inc.* | 156,224 | |||||||||
4,595 | WaVe Life Sciences Ltd.* | 47,834 | |||||||||
14,304,270 | |||||||||||
PROFESSIONAL SERVICES - 0.6% | |||||||||||
2,075 | Equifax, Inc. | 356,651 | |||||||||
13,000 | IHS Markit Ltd. | 981,500 | |||||||||
2,092 | TransUnion | 182,088 | |||||||||
14,494 | TriNet Group, Inc.* | 883,264 | |||||||||
2,403,503 | |||||||||||
ROAD & RAIL - 0.6% | |||||||||||
9,803 | JB Hunt Transport Services, Inc. | 1,179,693 | |||||||||
4,409 | Knight-Swift Transportation Holdings, Inc. | 183,899 | |||||||||
31,662 | Uber Technologies, Inc.* | 984,055 | |||||||||
2,347,647 |
Shares/ Principal | Fair Value | ||||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 2.9% | |||||||||||
36,276 | Advanced Micro Devices, Inc.* | $ | 1,908,480 | ||||||||
8,813 | Intel Corp. | 527,282 | |||||||||
7,365 | KLA Corp. | 1,432,345 | |||||||||
48,114 | Lattice Semiconductor Corp.* | 1,365,956 | |||||||||
52,244 | Marvell Technology Group Ltd. | 1,831,675 | |||||||||
26,712 | Micron Technology, Inc.* | 1,376,202 | |||||||||
16,357 | Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 928,587 | |||||||||
12,262 | Teradyne, Inc. | 1,036,262 | |||||||||
14,614 | Texas Instruments, Inc. | 1,855,540 | |||||||||
12,262,329 | |||||||||||
SOFTWARE - 5.8% | |||||||||||
2,140 | Adobe, Inc.* | 931,563 | |||||||||
4,668 | Guidewire Software, Inc.* | 517,448 | |||||||||
74,956 | Microsoft Corp. | 15,254,295 | |||||||||
7,605 | Q2 Holdings, Inc.* | 652,433 | |||||||||
12,605 | salesforce.com, Inc.* | 2,361,295 | |||||||||
2,371 | ServiceNow, Inc.* | $ | 960,397 | ||||||||
7,284 | Slack Technologies, Inc., Class A* | 226,460 | |||||||||
2,807 | Splunk, Inc.* | 557,751 | |||||||||
15,684 | SS&C Technologies Holdings, Inc. | 885,832 | |||||||||
55,435 | SVMK, Inc.* | 1,304,940 | |||||||||
5,369 | Workday, Inc., Class A* | 1,005,936 | |||||||||
24,658,350 | |||||||||||
SPECIALTY RETAIL - 0.8% | |||||||||||
70,458 | TJX Cos., Inc. (The) | 3,562,356 | |||||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS - 3.1% | |||||||||||
36,317 | Apple, Inc. | 13,248,442 | |||||||||
TEXTILES, APPAREL & LUXURY GOODS - 0.9% | |||||||||||
54,975 | Under Armour, Inc., Class A* | 535,457 | |||||||||
74,891 | Under Armour, Inc., Class C* | 662,036 | |||||||||
39,632 | VF Corp. | 2,415,174 | |||||||||
3,612,667 | |||||||||||
TRADING COMPANIES & DISTRIBUTORS - 0.1% | |||||||||||
9,372 | Triton International Ltd./Bermuda | 283,409 | |||||||||
WIRELESS TELECOMMUNICATION SERVICES - 0.2% | |||||||||||
6,954 | T-Mobile US, Inc.* | 724,259 | |||||||||
TOTAL COMMON STOCKS (Cost - $194,000,294) | 262,897,370 |
See accompanying notes to financial statements.
33
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Unaudited) (Continued)
June 30, 2020
Shares/ Principal | Fair Value | ||||||||||
CORPORATE BONDS AND NOTES - 14.2% | |||||||||||
AEROSPACE & DEFENSE - 0.4% | |||||||||||
$ | 100,000 | BAE Systems Holdings, Inc., 3.85%, 12/15/25 (a) | $ | 110,729 | |||||||
Boeing Co. (The) | |||||||||||
115,000 | 2.70%, 2/1/27 | 112,328 | |||||||||
214,000 | 3.25%, 3/1/28 | 212,399 | |||||||||
85,000 | 3.45%, 11/1/28 | 83,047 | |||||||||
61,000 | 2.95%, 2/1/30 | 60,119 | |||||||||
95,000 | 3.95%, 8/1/59 | 83,251 | |||||||||
Lockheed Martin Corp. | |||||||||||
125,000 | 6.15%, 9/1/36 | 183,343 | |||||||||
50,000 | 4.85%, 9/15/41 | 65,851 | |||||||||
100,000 | 4.07%, 12/15/42 | 126,840 | |||||||||
Raytheon Technologies Corp. | |||||||||||
150,000 | 3.95%, 8/16/25 | 170,676 | |||||||||
350,000 | 4.13%, 11/16/28 | 412,259 | |||||||||
1,620,842 | |||||||||||
AGRICULTURE - 0.4% | |||||||||||
100,000 | Altria Group, Inc., 5.80%, 2/14/39 | 123,667 | |||||||||
895,000 | BAT Capital Corp., 3.56%, 8/15/27 | 964,667 | |||||||||
20,000 | BAT International Finance PLC, 3.50%, 6/15/22 (a) | 20,967 | |||||||||
475,000 | Imperial Brands Finance PLC, 3.75%, 7/21/22 (a) | 495,743 | |||||||||
1,605,044 | |||||||||||
AIRLINES - 0.0%† | |||||||||||
30,490 | United Airlines 2018-1 Class B Pass Through Trust, 4.60%, 3/1/26 | 22,297 | |||||||||
APPAREL - 0.0%† | |||||||||||
VF Corp. | |||||||||||
90,000 | 2.80%, 4/23/27 | 95,272 | |||||||||
66,000 | 2.95%, 4/23/30 | 70,570 | |||||||||
165,842 | |||||||||||
AUTO MANUFACTURERS - 0.5% | |||||||||||
280,000 | Daimler Finance North America LLC, 2.30%, 2/12/21 (a) | 281,940 | |||||||||
Ford Motor Credit Co. LLC | |||||||||||
610,000 | 4.27%, 1/9/27 | 568,634 | |||||||||
200,000 | 3.82%, 11/2/27 | 181,976 | |||||||||
General Motors Financial Co., Inc. | |||||||||||
600,000 | 3.70%, 5/9/23 | 616,608 | |||||||||
120,000 | 3.95%, 4/13/24 | 124,140 | |||||||||
225,000 | Volkswagen Group of America Finance LLC, 3.35%, 5/13/25 (a) | 240,128 | |||||||||
2,013,426 | |||||||||||
BANKS - 3.4% | |||||||||||
200,000 | Banco Santander SA, 3.13%, 2/23/23 | 208,326 | |||||||||
Bank of America Corp. |
Shares/ Principal | Fair Value | ||||||||||
BANKS - 3.4% (Continued) | |||||||||||
$ | 640,000 | 2.63%, 10/19/20 | $ | 644,350 | |||||||
160,000 | 4.20%, 8/26/24 | 177,632 | |||||||||
345,000 | 3.59%, (3 Month US Libor + 1.37%), 7/21/28 (b) | 386,686 | |||||||||
225,000 | 3.97%, (3 Month US Libor + 1.21%), 2/7/30 (b) | 261,975 | |||||||||
180,000 | 3.19%, (3 Month US Libor + 1.18%), 7/23/30 (b) | 198,703 | |||||||||
380,000 | Bank of New York Mellon Corp. (The), 1.81%, (3 Month US Libor + 1.05%), 10/30/23 (b) | 384,625 | |||||||||
100,000 | Barclays Bank PLC, 5.14%, 10/14/20 | 101,091 | |||||||||
355,000 | Barclays PLC, 3.93%, (3 Month US Libor + 1.61%), 5/7/25 (b) | 383,531 | |||||||||
BNP Paribas SA | |||||||||||
200,000 | 3.38%, 1/9/25 (a) | 216,168 | |||||||||
200,000 | 2.82%, (3 Month US Libor + 1.11%), 11/19/25 (a),(b) | 209,447 | |||||||||
BPCE SA | |||||||||||
275,000 | 5.70%, 10/22/23 (a) | 306,444 | |||||||||
600,000 | 5.15%, 7/21/24 (a) | 669,602 | |||||||||
305,000 | 3.50%, 10/23/27 (a) | 330,663 | |||||||||
Citigroup, Inc. | |||||||||||
50,000 | 4.05%, 7/30/22 | 53,023 | |||||||||
300,000 | 3.50%, 5/15/23 | 319,639 | |||||||||
70,000 | 3.30%, 4/27/25 | 76,873 | |||||||||
55,000 | 5.50%, 9/13/25 | 65,220 | |||||||||
200,000 | Credit Agricole SA, 4.38%, 3/17/25 (a) | 221,002 | |||||||||
Credit Agricole SA/London | |||||||||||
250,000 | 3.75%, 4/24/23 (a) | 267,534 | |||||||||
250,000 | 3.25%, 10/4/24 (a) | 268,423 | |||||||||
Credit Suisse Group AG | |||||||||||
285,000 | 3.57%, 1/9/23 (a) | 295,634 | |||||||||
260,000 | 1.56%, (3 Month US Libor + 1.24%), 6/12/24 (a),(b) | 261,291 | |||||||||
Credit Suisse Group Funding Guernsey Ltd. | |||||||||||
250,000 | 3.13%, 12/10/20 | 252,864 | |||||||||
395,000 | 3.80%, 9/15/22 | 419,675 | |||||||||
Danske Bank A/S | |||||||||||
200,000 | 5.00%, 1/12/22 (a) | 210,122 | |||||||||
200,000 | 3.88%, 9/12/23 (a) | 212,001 | |||||||||
200,000 | 5.38%, 1/12/24 (a) | 222,564 | |||||||||
100,000 | Deutsche Bank AG/New York NY, 4.25%, 10/14/21 | 102,601 | |||||||||
Goldman Sachs Group, Inc. (The) | |||||||||||
130,000 | 2.63%, 4/25/21 | 132,071 | |||||||||
200,000 | 3.50%, 1/23/25 | 217,731 | |||||||||
460,000 | 3.27%, (3 Month US Libor + 1.20%), 9/29/25 (b) | 495,733 | |||||||||
50,000 | 6.75%, 10/1/37 | 72,793 | |||||||||
200,000 | HSBC Holdings PLC, 3.60%, 5/25/23 | 214,633 | |||||||||
250,000 | Huntington Bancshares, Inc., 3.15%, 3/14/21 | 254,163 |
See accompanying notes to financial statements.
34
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Unaudited) (Continued)
June 30, 2020
Shares/ Principal | Fair Value | ||||||||||
BANKS - 3.4% (Continued) | |||||||||||
$ | 200,000 | ING Groep NV, 3.95%, 3/29/27 | $ | 230,144 | |||||||
JPMorgan Chase & Co. | |||||||||||
400,000 | 2.95%, 10/1/26 | 439,322 | |||||||||
305,000 | 4.45%, (3 Month US Libor + 1.33%), 12/5/29 (b) | 365,270 | |||||||||
300,000 | Macquarie Group Ltd., 4.15%, (3 Month US Libor + 1.33%), 3/27/24 (a),(b) | 322,049 | |||||||||
Morgan Stanley | |||||||||||
110,000 | 3.88%, 4/29/24 | 121,635 | |||||||||
455,000 | 4.35%, 9/8/26 | 524,652 | |||||||||
225,000 | 3.63%, 1/20/27 | 254,034 | |||||||||
900,000 | NBK SPC Ltd., 2.75%, 5/30/22(a) | 917,784 | |||||||||
50,000 | PNC Financial Services Group, Inc. (The), 3.90%, 4/29/24 | 55,194 | |||||||||
Santander Holdings USA, Inc. | |||||||||||
465,000 | 3.70%, 3/28/22 | 478,884 | |||||||||
75,000 | 3.40%, 1/18/23 | 78,014 | |||||||||
250,000 | Synchrony Bank, 3.65%, 5/24/21 | 254,056 | |||||||||
350,000 | Truist Financial Corp., 3.20%, 9/3/21 | 360,607 | |||||||||
UBS Group AG | |||||||||||
250,000 | 2.95%, 9/24/20 (a) | 251,403 | |||||||||
225,000 | 3.00%, 4/15/21 (a) | 229,445 | |||||||||
Wells Fargo & Co. | |||||||||||
150,000 | 3.00%, 2/19/25 | 161,943 | |||||||||
95,000 | 4.75%, 12/7/46 | 121,754 | |||||||||
14,281,023 | |||||||||||
BEVERAGES - 0.4% | |||||||||||
260,000 | Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc., 3.65%, 2/1/26 | 291,924 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. | |||||||||||
305,000 | 3.50%, 1/12/24 | 332,325 | |||||||||
60,000 | 4.38%, 4/15/38 | 68,133 | |||||||||
55,000 | 3.75%, 7/15/42 | 58,870 | |||||||||
220,000 | 4.60%, 4/15/48 | 257,536 | |||||||||
550,000 | Molson Coors Beverage Co., 3.00%, 7/15/26 | 572,202 | |||||||||
1,580,990 | |||||||||||
BIOTECHNOLOGY - 0.2% | |||||||||||
740,000 | Amgen, Inc., 2.65%, 5/11/22 | 766,249 | |||||||||
BUILDING MATERIALS - 0.1% | |||||||||||
Carrier Global Corp. | |||||||||||
229,000 | 2.72%, 2/15/30 (a) | 229,995 | |||||||||
85,000 | 3.38%, 4/5/40 (a) | 82,994 | |||||||||
312,989 | |||||||||||
CHEMICALS - 0.1% | |||||||||||
200,000 | Syngenta Finance NV, 5.18%, 4/24/28 (a) | 213,339 |
Shares/ Principal | Fair Value | ||||||||||
COMMERCIAL SERVICES - 0.2% | |||||||||||
ERAC USA Finance LLC | |||||||||||
$ | 500,000 | 3.30%, 10/15/22 (a) | $ | 517,621 | |||||||
235,000 | 3.30%, 12/1/26 (a) | 238,639 | |||||||||
195,000 | 4.50%, 2/15/45 (a) | 196,442 | |||||||||
952,702 | |||||||||||
COMPUTERS - 0.1% | |||||||||||
Apple, Inc. | |||||||||||
120,000 | 3.00%, 2/9/24 | 129,826 | |||||||||
105,000 | 3.25%, 2/23/26 | 117,607 | |||||||||
295,000 | International Business Machines Corp., 1.95%, 5/15/30 | 301,739 | |||||||||
549,172 | |||||||||||
DIVERSIFIED FINANCIAL SERVICES - 0.1% | |||||||||||
105,000 | Capital One Financial Corp., 4.20%, 10/29/25 | 116,637 | |||||||||
205,000 | Synchrony Financial, 3.75%, 8/15/21 | 209,607 | |||||||||
326,244 | |||||||||||
ELECTRIC - 1.8% | |||||||||||
200,000 | Appalachian Power Co., 3.40%, 6/1/25 | 220,010 | |||||||||
Cleco Corporate Holdings LLC | |||||||||||
565,000 | 3.74%, 5/1/26 | 598,510 | |||||||||
140,000 | 3.38%, 9/15/29 (a) | 145,726 | |||||||||
195,000 | 4.97%, 5/1/46 | 205,840 | |||||||||
Dominion Energy South Carolina, Inc. | |||||||||||
80,000 | 6.63%, 2/1/32 | 115,059 | |||||||||
150,000 | 5.10%, 6/1/65 | 221,011 | |||||||||
Dominion Energy, Inc. | |||||||||||
195,000 | 2.58%, 7/1/20 | 195,000 | |||||||||
230,000 | 4.10%, 4/1/21 (c) | 235,181 | |||||||||
65,000 | 2.72%, 8/15/21 (c) | 66,429 | |||||||||
450,000 | 2.45%, 1/15/23 (a) | 464,369 | |||||||||
175,000 | Duke Energy Carolinas LLC, 6.10%, 6/1/37 | 249,684 | |||||||||
Duke Energy Corp. | |||||||||||
225,000 | 3.75%, 4/15/24 | 246,358 | |||||||||
70,000 | 2.65%, 9/1/26 | 75,947 | |||||||||
55,000 | Emera US Finance LP, 2.70%, 6/15/21 | 56,005 | |||||||||
140,000 | Entergy Louisiana LLC, 3.12%, 9/1/27 | 153,837 | |||||||||
90,000 | Evergy Metro, Inc., 2.25%, 6/1/30 | 94,093 | |||||||||
175,000 | Eversource Energy, 2.90%, 10/1/24 | 187,700 | |||||||||
265,000 | Fortis, Inc./Canada, 3.06%, 10/4/26 | 285,931 | |||||||||
Georgia Power Co. | |||||||||||
65,000 | 4.75%, 9/1/40 | 79,887 | |||||||||
48,000 | 4.30%, 3/15/42 | 55,745 | |||||||||
90,000 | 3.70%, 1/30/50 | 99,467 | |||||||||
200,000 | Infraestructura Energetica Nova SAB de CV, 4.88%, 1/14/48 (a) | 189,500 | |||||||||
355,000 | ITC Holdings Corp., 2.95%, 5/14/30 (a) | 378,101 | |||||||||
NextEra Energy Capital Holdings, Inc. | |||||||||||
50,000 | 3.25%, 4/1/26 | 55,969 | |||||||||
75,000 | 3.50%, 4/1/29 | 84,841 |
See accompanying notes to financial statements.
35
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Unaudited) (Continued)
June 30, 2020
Shares/ Principal | Fair Value | ||||||||||
ELECTRIC - 1.8% (Continued) | |||||||||||
$ | 530,000 | 2.25%, 6/1/30 | $ | 545,845 | |||||||
335,000 | Niagara Mohawk Power Corp., 1.96%, 6/27/30 (a) | 337,326 | |||||||||
Oglethorpe Power Corp. | |||||||||||
100,000 | 6.19%, 1/1/31 (a) | 124,801 | |||||||||
200,000 | 5.25%, 9/1/50 | 233,179 | |||||||||
Oncor Electric Delivery Co. LLC | |||||||||||
160,000 | 4.10%, 6/1/22 | 168,987 | |||||||||
51,000 | 2.95%, 4/1/25 | 55,505 | |||||||||
PPL Capital Funding, Inc. | |||||||||||
50,000 | 3.50%, 12/1/22 | 52,909 | |||||||||
430,000 | 3.10%, 5/15/26 | 465,511 | |||||||||
75,000 | Sempra Energy, 3.40%, 2/1/28 | 82,052 | |||||||||
Southern California Edison Co. | |||||||||||
45,000 | 3.70%, 8/1/25 | 49,709 | |||||||||
35,000 | 2.25%, 6/1/30 | 35,339 | |||||||||
265,000 | 3.65%, 2/1/50 | 290,825 | |||||||||
Southern Co. (The) | |||||||||||
290,000 | 2.95%, 7/1/23 | 306,453 | |||||||||
200,000 | 4.40%, 7/1/46 | 237,340 | |||||||||
7,745,981 | |||||||||||
FOOD - 0.2% | |||||||||||
100,000 | Conagra Brands, Inc., 4.60%, 11/1/25 | 115,264 | |||||||||
200,000 | Danone SA, 2.95%, 11/2/26 (a) | 219,135 | |||||||||
375,000 | Kroger Co. (The), 2.95%, 11/1/21 | 386,009 | |||||||||
240,000 | Sigma Alimentos SA de CV, 4.13%, 5/2/26 (a) | 251,998 | |||||||||
972,406 | |||||||||||
GAS - 0.1% | |||||||||||
60,000 | Boston Gas Co., 3.15%, 8/1/27 (a) | 65,466 | |||||||||
125,000 | Dominion Energy Gas Holdings LLC, 3.60%, 12/15/24 | 137,332 | |||||||||
275,000 | KeySpan Gas East Corp., 2.74%, 8/15/26 (a) | 293,961 | |||||||||
496,759 | |||||||||||
HEALTHCARE-PRODUCTS - 0.2% | |||||||||||
500,000 | Alcon Finance Corp., 3.00%, 9/23/29 (a) | 528,482 | |||||||||
Boston Scientific Corp. | |||||||||||
325,000 | 3.38%, 5/15/22 | 339,606 | |||||||||
30,000 | 4.00%, 3/1/29 | 34,327 | |||||||||
902,415 | |||||||||||
HEALTHCARE-SERVICES - 0.5% | |||||||||||
210,000 | Aetna, Inc., 2.80%, 6/15/23 | 221,389 | |||||||||
Anthem, Inc. | |||||||||||
75,000 | 3.50%, 8/15/24 | 82,071 | |||||||||
150,000 | 4.65%, 8/15/44 | 189,942 | |||||||||
CommonSpirit Health | |||||||||||
191,000 | 2.95%, 11/1/22 | 197,374 | |||||||||
105,000 | 4.20%, 8/1/23 | 111,937 |
Shares/ Principal | Fair Value | ||||||||||
HEALTHCARE-SERVICES - 0.5% (Continued) | |||||||||||
$ | 95,000 | 4.35%, 11/1/42 | $ | 98,801 | |||||||
45,000 | 4.19%, 10/1/49 | 45,828 | |||||||||
65,000 | Cottage Health Obligated Group, 3.30%, 11/1/49 | 71,220 | |||||||||
Dignity Health | |||||||||||
92,000 | 3.81%, 11/1/24 | 96,655 | |||||||||
270,000 | 4.50%, 11/1/42 | 281,085 | |||||||||
100,000 | Memorial Sloan-Kettering Cancer Center, 2.96%, 1/1/50 | 107,369 | |||||||||
270,000 | Mercy Health, 3.56%, 8/1/27 | 300,053 | |||||||||
Toledo Hospital (The) | |||||||||||
190,000 | 5.33%, 11/15/28 | 203,445 | |||||||||
75,000 | 5.75%, 11/15/38 | 87,605 | |||||||||
75,000 | UnitedHealth Group, Inc., 3.75%, 7/15/25 | 85,449 | |||||||||
2,180,223 | |||||||||||
INSURANCE - 0.4% | |||||||||||
200,000 | AIA Group Ltd., 3.38%, 4/7/30 (a) | 217,445 | |||||||||
American International Group, Inc. | |||||||||||
50,000 | 4.88%, 6/1/22 | 53,968 | |||||||||
160,000 | 4.25%, 3/15/29 | 183,194 | |||||||||
275,000 | Jackson National Life Global Funding, 3.25%, 1/30/24 (a) | 293,598 | |||||||||
Metropolitan Life Global Funding I | |||||||||||
195,000 | 2.65%, 4/8/22 (a) | 202,846 | |||||||||
250,000 | 3.00%, 9/19/27 (a) | 273,351 | |||||||||
30,000 | Northwestern Mutual Life Insurance Co. (The), 3.63%, 9/30/59 (a) | 33,188 | |||||||||
150,000 | Principal Financial Group, Inc., 3.40%, 5/15/25 | 164,534 | |||||||||
215,000 | Prudential PLC, 3.13%, 4/14/30 | 231,190 | |||||||||
1,653,314 | |||||||||||
INTERNET - 0.1% | |||||||||||
100,000 | Amazon.com, Inc., 4.80%, 12/5/34 | 136,971 | |||||||||
215,000 | Tencent Holdings Ltd., 3.60%, 1/19/28 (a) | 234,343 | |||||||||
371,314 | |||||||||||
MACHINERY-DIVERSIFIED - 0.1% | |||||||||||
Otis Worldwide Corp. | |||||||||||
35,000 | 2.57%, 2/15/30 (a) | 36,773 | |||||||||
65,000 | 3.11%, 2/15/40 (a) | 66,237 | |||||||||
115,000 | 3.36%, 2/15/50 (a) | 121,781 | |||||||||
224,791 | |||||||||||
MEDIA - 0.5% | |||||||||||
175,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.46%, 7/23/22 | 186,654 | |||||||||
Comcast Corp. | |||||||||||
255,000 | 3.95%, 10/15/25 | 292,217 | |||||||||
130,000 | 4.60%, 10/15/38 | 165,314 | |||||||||
138,000 | 4.00%, 11/1/49 | 166,654 |
See accompanying notes to financial statements.
36
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Unaudited) (Continued)
June 30, 2020
Shares/ Principal | Fair Value | ||||||||||
MEDIA - 0.5% (Continued) | |||||||||||
Cox Communications, Inc. | |||||||||||
$ | 275,000 | 4.80%, 2/1/35 (a) | $ | 345,898 | |||||||
15,000 | 6.45%, 12/1/36 (a) | 20,244 | |||||||||
15,000 | 4.60%, 8/15/47 (a) | 18,998 | |||||||||
80,000 | Fox Corp., 4.03%, 1/25/24 | 88,676 | |||||||||
250,000 | Sky Ltd., 3.75%, 9/16/24 (a) | 278,380 | |||||||||
Walt Disney Co. (The) | |||||||||||
50,000 | 3.70%, 9/15/24 | 55,430 | |||||||||
585,000 | 2.65%, 1/13/31 | 619,900 | |||||||||
2,238,365 | |||||||||||
MINING - 0.1% | |||||||||||
275,000 | Glencore Finance Canada Ltd., 4.25%, 10/25/22 (a) | 290,716 | |||||||||
OIL & GAS - 0.7% | |||||||||||
340,000 | Aker BP ASA, 3.75%, 1/15/30 (a) | 319,336 | |||||||||
200,000 | BG Energy Capital PLC, 4.00%, 10/15/21 (a) | 207,368 | |||||||||
565,000 | BP Capital Markets PLC, 4.88%, (US 5 Year CMT T-Note + 4.40%), 12/22/68 (b) | 583,363 | |||||||||
452,000 | Cimarex Energy Co., 4.38%, 6/1/24 | 476,803 | |||||||||
610,000 | Equinor ASA, 3.00%, 4/6/27 | 670,487 | |||||||||
280,000 | Hess Corp., 7.30%, 8/15/31 | 326,434 | |||||||||
192,000 | Occidental Petroleum Corp., 4.85%, 3/15/21 | 190,560 | |||||||||
200,000 | Saudi Arabian Oil Co., 3.50%, 4/16/29 (a) | 215,748 | |||||||||
2,990,099 | |||||||||||
PHARMACEUTICALS - 0.9% | |||||||||||
AbbVie, Inc. | |||||||||||
100,000 | 5.00%, 12/15/21 (a) | 105,060 | |||||||||
20,000 | 3.45%, 3/15/22 (a) | 20,801 | |||||||||
50,000 | 3.85%, 6/15/24 (a) | 54,778 | |||||||||
550,000 | 3.80%, 3/15/25 (a) | 610,234 | |||||||||
105,000 | 4.05%, 11/21/39 (a) | 122,793 | |||||||||
185,000 | 4.45%, 5/14/46 | 225,742 | |||||||||
470,000 | Bayer US Finance LLC, 3.38%, 10/8/24 (a) | 512,623 | |||||||||
70,000 | Bristol-Myers Squibb Co., 3.55%, 8/15/22 (a) | 74,328 | |||||||||
CVS Health Corp. | |||||||||||
530,000 | 4.10%, 3/25/25 | 599,399 | |||||||||
170,000 | 5.13%, 7/20/45 | 219,045 | |||||||||
95,000 | EMD Finance LLC, 2.95%, 3/19/22 (a) | 98,047 | |||||||||
100,000 | Pfizer, Inc., 1.70%, 5/28/30 | 101,653 | |||||||||
540,000 | Takeda Pharmaceutical Co. Ltd., 2.05%, 3/31/30 | 539,706 | |||||||||
630,000 | Upjohn, Inc., 2.70%, 6/22/30 (a) | 646,564 | |||||||||
3,930,773 | |||||||||||
PIPELINES - 0.4% | |||||||||||
175,000 | Columbia Pipeline Group, Inc., 4.50%, 6/1/25 | 198,787 | |||||||||
Energy Transfer Operating LP | |||||||||||
90,000 | 7.60%, 2/1/24 | 102,765 | |||||||||
30,000 | 5.00%, 5/15/50 | 28,493 |
Shares/ Principal | Fair Value | ||||||||||
PIPELINES - 0.4% (Continued) | |||||||||||
$ | 30,000 | Energy Transfer Partners LP / Regency Energy Finance Corp., 4.50%, 11/1/23 | $ | 32,207 | |||||||
290,000 | MPLX LP, 4.13%, 3/1/27 | 308,914 | |||||||||
Phillips 66 Partners LP | |||||||||||
100,000 | 3.61%, 2/15/25 | 106,730 | |||||||||
400,000 | 3.75%, 3/1/28 | 426,957 | |||||||||
Sunoco Logistics Partners Operations LP | |||||||||||
55,000 | 4.40%, 4/1/21 | 56,076 | |||||||||
300,000 | 5.35%, 5/15/45 | 293,834 | |||||||||
200,000 | Western Midstream Operating LP, 4.00%, 7/1/22 | 199,360 | |||||||||
1,754,123 | |||||||||||
REITS - 0.7% | |||||||||||
American Tower Corp. | |||||||||||
300,000 | 3.45%, 9/15/21 | 310,369 | |||||||||
31,000 | 5.00%, 2/15/24 | 35,354 | |||||||||
50,000 | AvalonBay Communities, Inc., 2.95%, 9/15/22 | 52,062 | |||||||||
385,000 | Brandywine Operating Partnership LP, 3.95%, 11/15/27 | 395,307 | |||||||||
Healthpeak Properties, Inc. | |||||||||||
75,000 | 3.88%, 8/15/24 | 82,436 | |||||||||
200,000 | 4.00%, 6/1/25 | 221,502 | |||||||||
210,000 | 3.00%, 1/15/30 | 219,507 | |||||||||
SBA Tower Trust | |||||||||||
255,000 | 3.16%, 10/8/20 (a) | 255,465 | |||||||||
155,000 | 2.88%, 7/9/21 (a) | 155,085 | |||||||||
155,000 | 3.45%, 3/15/23 (a) | 161,231 | |||||||||
100,000 | 2.84%, 1/15/25 (a) | 103,103 | |||||||||
160,000 | Simon Property Group LP, 2.45%, 9/13/29 | 158,160 | |||||||||
185,000 | VEREIT Operating Partnership LP, 3.40%, 1/15/28 | 186,428 | |||||||||
425,000 | WEA Finance LLC, 4.13%, 9/20/28 (a) | 431,178 | |||||||||
275,000 | WEA Finance LLC / Westfield UK & Europe Finance PLC, 3.25%, 10/5/20 (a) | 275,352 | |||||||||
3,042,539 | |||||||||||
RETAIL - 0.1% | |||||||||||
125,000 | Lowe's Cos., Inc., 4.55%, 4/5/49 | 157,312 | |||||||||
70,000 | McDonald's Corp., 3.63%, 9/1/49 | 76,807 | |||||||||
70,000 | Starbucks Corp., 3.35%, 3/12/50 | 71,293 | |||||||||
305,412 | |||||||||||
SAVINGS & LOANS - 0.0%† | |||||||||||
200,000 | Nationwide Building Society, 3.62%, (3 Month US Libor + 1.18%), 4/26/23 (a),(b) | 207,808 | |||||||||
SEMICONDUCTORS - 0.2% | |||||||||||
600,000 | Broadcom, Inc., 4.70%, 4/15/25 (a) | 676,065 | |||||||||
170,000 | Microchip Technology, Inc., 3.92%, 6/1/21 | 173,313 | |||||||||
849,378 |
See accompanying notes to financial statements.
37
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Unaudited) (Continued)
June 30, 2020
Shares/ Principal | Fair Value | ||||||||||
SOFTWARE - 0.2% | |||||||||||
$ | 170,000 | Fiserv, Inc., 3.20%, 7/1/26 | $ | 188,158 | |||||||
Microsoft Corp. | |||||||||||
275,000 | 2.88%, 2/6/24 | 296,238 | |||||||||
235,000 | 2.40%, 8/8/26 | 256,491 | |||||||||
230,000 | Oracle Corp., 3.25%, 11/15/27 | 258,932 | |||||||||
999,819 | |||||||||||
TELECOMMUNICATIONS - 0.8% | |||||||||||
AT&T, Inc. | |||||||||||
30,000 | 3.95%, 1/15/25 | 33,575 | |||||||||
375,000 | 3.60%, 7/15/25 | 416,579 | |||||||||
200,000 | 4.13%, 2/17/26 | 227,920 | |||||||||
355,000 | 2.30%, 6/1/27 | 367,521 | |||||||||
200,000 | British Telecommunications PLC, 3.25%, 11/8/29 (a) | 218,071 | |||||||||
150,000 | Crown Castle Towers LLC, 3.22%, 5/15/22 (a) | 154,139 | |||||||||
410,000 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC, 4.74%, 3/20/25 (a) | 444,940 | |||||||||
265,000 | Telefonica Emisiones SA, 5.21%, 3/8/47 | 330,065 | |||||||||
600,000 | T-Mobile USA, Inc., 2.05%, 2/15/28 (a) | 600,282 | |||||||||
Verizon Communications, Inc. | |||||||||||
314,000 | 4.52%, 9/15/48 | 415,363 | |||||||||
53,000 | 4.67%, 3/15/55 | 72,047 | |||||||||
3,280,502 | |||||||||||
TRANSPORTATION - 0.1% | |||||||||||
FedEx Corp. | |||||||||||
35,000 | 4.10%, 2/1/45 | 35,565 | |||||||||
91,000 | 4.75%, 11/15/45 | 100,337 | |||||||||
45,000 | 4.55%, 4/1/46 | 48,516 | |||||||||
13,000 | 4.05%, 2/15/48 | 13,360 | |||||||||
91,000 | 4.95%, 10/17/48 | 105,580 | |||||||||
90,000 | Union Pacific Corp., 3.75%, 2/5/70 | 100,252 | |||||||||
403,610 | |||||||||||
TRUCKING & LEASING - 0.2% | |||||||||||
Penske Truck Leasing Co. LP / PTL Finance Corp. | |||||||||||
200,000 | 3.38%, 2/1/22 (a) | 205,166 | |||||||||
50,000 | 4.88%, 7/11/22 (a) | 53,260 | |||||||||
110,000 | 2.70%, 11/1/24 (a) | 113,171 | |||||||||
345,000 | 3.95%, 3/10/25 (a) | 373,959 | |||||||||
745,556 | |||||||||||
WATER - 0.0%† | |||||||||||
120,000 | American Water Capital Corp., 2.95%, 9/1/27 | 132,118 | |||||||||
TOTAL CORPORATE BONDS AND NOTES (Cost - $56,455,641) | 60,128,180 |
Shares/ Principal | Fair Value | ||||||||||
AGENCY MORTGAGE BACKED SECURITIES - 6.0% | |||||||||||
FEDERAL HOME LOAN MORTGAGE CORPORATION - 1.5% | |||||||||||
Freddie Mac Gold Pool | |||||||||||
$ | 6,585 | 3.00%, 9/1/28 | $ | 6,948 | |||||||
12,880 | 2.50%, 10/1/28 | 13,565 | |||||||||
72,471 | 2.50%, 12/1/31 | 76,097 | |||||||||
71,103 | 3.50%, 11/1/34 | 75,969 | |||||||||
31,604 | 3.00%, 2/1/43 | 34,003 | |||||||||
22,841 | 3.50%, 10/1/43 | 24,576 | |||||||||
15,122 | 4.00%, 8/1/44 | 16,489 | |||||||||
1,379,617 | 3.00%, 9/1/46 | 1,457,254 | |||||||||
1,073,783 | 3.00%, 11/1/46 | 1,153,039 | |||||||||
2,228,655 | 3.00%, 12/1/46 | 2,354,270 | |||||||||
299,687 | 3.00%, 12/1/46 | 321,833 | |||||||||
138,514 | 3.00%, 1/1/47 | 146,325 | |||||||||
584,103 | 3.00%, 2/1/47 | 618,350 | |||||||||
6,298,718 | |||||||||||
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 4.0% | |||||||||||
Fannie Mae Pool | |||||||||||
70,000 | 3.07%, 2/1/25 | 76,378 | |||||||||
143,190 | 2.47%, 5/1/25 | 153,742 | |||||||||
309,552 | 2.68%, 5/1/25 | 334,604 | |||||||||
400,000 | 2.81%, 7/1/25 | 435,720 | |||||||||
105,525 | 2.99%, 10/1/25 | 116,062 | |||||||||
50,741 | 3.09%, 10/1/25 | 56,048 | |||||||||
150,000 | 2.78%, 6/1/26 | 164,795 | |||||||||
17,346 | 2.50%, 4/1/28 | 18,175 | |||||||||
10,507 | 3.00%, 10/1/28 | 11,075 | |||||||||
38,428 | 2.50%, 2/1/30 | 40,330 | |||||||||
72,866 | 2.50%, 6/1/30 | 76,452 | |||||||||
180,229 | 2.50%, 10/1/31 | 189,162 | |||||||||
125,073 | 2.50%, 12/1/31 | 131,229 | |||||||||
64,204 | 3.00%, 7/1/43 | 68,509 | |||||||||
27,962 | 4.00%, 11/1/43 | 29,945 | |||||||||
1,387,484 | 3.00%, 1/1/46 | 1,463,166 | |||||||||
442,541 | 4.00%, 1/1/46 | 479,828 | |||||||||
473,447 | 4.00%, 2/1/46 | 513,446 | |||||||||
1,354,879 | 3.00%, 10/1/46 | 1,454,359 | |||||||||
Federal National Mortgage Association | |||||||||||
400,000 | 2.00%, 7/1/35 (d) | 413,812 | |||||||||
500,000 | 2.50%, 7/1/35 (d) | 523,438 | |||||||||
87,000 | 3.00%, 7/1/35 (d) | 91,404 | |||||||||
400,000 | 2.00%, 8/1/35 (d) | 413,047 | |||||||||
4,200,000 | 2.50%, 7/1/50 (d) | 4,379,156 | |||||||||
850,000 | 4.50%, 7/1/50 (d) | 913,352 | |||||||||
4,100,000 | 2.50%, 8/1/50 (d) | 4,266,082 | |||||||||
16,813,316 |
See accompanying notes to financial statements.
38
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Unaudited) (Continued)
June 30, 2020
Shares/ Principal | Fair Value | ||||||||||
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.5% | |||||||||||
Ginnie Mae II Pool | |||||||||||
$ | 31,255 | 3.00%, 12/20/42 | $ | 33,138 | |||||||
33,614 | 3.50%, 7/20/43 | 36,134 | |||||||||
11,814 | 4.00%, 12/20/44 | 12,817 | |||||||||
54,216 | 4.00%, 8/20/48 | 57,593 | |||||||||
120,481 | 4.00%, 9/20/48 | 129,006 | |||||||||
52,722 | 4.00%, 10/20/48 | 56,302 | |||||||||
Government National Mortgage Association | |||||||||||
1,610,000 | 4.00%, 7/20/50 (d) | 1,706,852 | |||||||||
350,000 | 4.50%, 7/20/50 (d) | 373,789 | |||||||||
2,405,631 | |||||||||||
TOTAL AGENCY MORTGAGE BACKED SECURITIES (Cost - $24,835,654) | 25,517,665 | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 5.3% | |||||||||||
243,472 | AASET 2018-2 US Ltd, 4.45%, 11/18/38 (a) | 216,521 | |||||||||
356,529 | Ajax Mortgage Loan Trust 2017-B, 3.16%, 9/25/56 (a),(b) | 327,992 | |||||||||
107,644 | Angel Oak Mortgage Trust 2019-6, 2.62%, 11/25/59 (a),(b) | 108,427 | |||||||||
106,409 | Angel Oak Mortgage Trust I LLC 2019-2, 3.63%, 3/25/49 (a),(b) | 109,024 | |||||||||
19,031 | Angel Oak Mortgage Trust LLC, 2.71%, 11/25/47 (a),(b) | 19,084 | |||||||||
356 | ARI Fleet Lease Trust 2017-A, 1.91%, 4/15/26 (a) | 356 | |||||||||
26,462 | ARI Fleet Lease Trust 2018-A, 2.55%, 10/15/26 (a) | 26,509 | |||||||||
82,331 | ARI Fleet Lease Trust 2018-B, 3.22%, 8/16/27 (a) | 82,353 | |||||||||
345,000 | Atlas Senior Loan Fund Ltd, 2.48%, (3 Month US Libor + 1.30%), 1/16/30 (a),(b) | 337,383 | |||||||||
320,000 | Avery Point IV CLO Ltd, 2.59%, (3 Month US Libor + 1.60%), 4/25/26 (a),(b) | 319,430 | |||||||||
185,000 | BAMLL Commercial Mortgage Securities Trust 2018-PARK, 4.23%, 8/10/38 (a),(b) | 205,707 | |||||||||
155,000 | Banc of America Commercial Mortgage Trust 2015-UBS7, 3.71%, 9/15/48 | 171,500 | |||||||||
156,566 | Bayview Koitere Fund Trust 2017-RT4, 3.50%, 7/28/57 (a),(b) | 161,179 | |||||||||
75,778 | Bayview Koitere Fund Trust 2017-SPL3, 4.00%, 11/28/53 (a),(b) | 78,031 | |||||||||
102,564 | Bayview Opportunity Master Fund IVa Trust 2017-SPL1, 4.00%, 10/28/64 (a),(b) | 105,719 | |||||||||
103,023 | Bayview Opportunity Master Fund IVa Trust 2017-SPL5, 3.50%, 6/28/57 (a),(b) | 105,957 | |||||||||
74,910 | Bayview Opportunity Master Fund IVb Trust 2017-SPL4, 3.50%, 1/28/55 (a),(b) | 74,653 | |||||||||
275,000 | BlueMountain CLO 2012-2 Ltd, 1.83%, (3 Month US Libor + 1.45%), 11/20/28 (a),(b) | 265,079 |
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 5.3% (Continued) | |||||||||||
Canadian Pacer Auto Receivables Trust 2018-2 | |||||||||||
$ | 4,483 | 3.00%, 6/21/21 (a) | $ | 4,489 | |||||||
25,000 | 3.27%, 12/19/22 (a) | 25,450 | |||||||||
214,112 | Castlelake Aircraft Structured Trust 2019-1, 3.97%, 4/15/39 (a) | 187,292 | |||||||||
195,000 | CD 2017-CD4 Mortgage Trust, 3.51%, 5/10/50 (b) | 217,095 | |||||||||
Chesapeake Funding II LLC | |||||||||||
45,413 | 0.63%, (1 Month US Libor + 0.45%), 5/15/29 (a),(b) | 45,330 | |||||||||
54,587 | 1.91%, 8/15/29 (a) | 54,743 | |||||||||
150,442 | 3.23%, 8/15/30 (a) | 153,010 | |||||||||
525,000 | Citigroup Commercial Mortgage Trust 2015-GC35, 3.82%, 11/10/48 | 582,320 | |||||||||
44,778 | COLT 2018-3 Mortgage Loan Trust, 3.69%, 10/26/48 (a),(b) | 45,608 | |||||||||
49,128 | COLT 2019-2 Mortgage Loan Trust, 3.34%, 5/25/49 (a),(b) | 49,708 | |||||||||
70,601 | COMM 2013-CCRE8 Mortgage Trust, 3.33%, 6/10/46 | 74,083 | |||||||||
405,000 | CSMC Trust 2017-LSTK, 2.76%, 4/5/33 (a) | 403,133 | |||||||||
DB Master Finance LLC | |||||||||||
69,475 | 3.79%, 5/20/49 (a) | 71,123 | |||||||||
64,513 | 4.02%, 5/20/49 (a) | 67,427 | |||||||||
52,803 | Deephave Residential Mortgage Trust 2019-2, 3.56%, 4/25/59 (a),(b) | 52,880 | |||||||||
10,412 | Deephaven Residential Mortgage Trust 2017-1, 2.73%, 12/26/46 (a),(b) | 10,336 | |||||||||
34,202 | Deephaven Residential Mortgage Trust 2017-2, 2.45%, 6/25/47 (a),(b) | 33,829 | |||||||||
24,178 | Deephaven Residential Mortgage Trust 2017-3, 2.58%, 10/25/47 (a),(b) | 23,952 | |||||||||
49,321 | Deephaven Residential Mortgage Trust 2018-1, 2.98%, 12/25/57 (a),(b) | 49,086 | |||||||||
145,916 | Enterprise Fleet Financing 2019-1 LLC, 2.98%, 10/20/24 (a) | 148,174 | |||||||||
26,002 | Enterprise Fleet Financing LLC, 2.13%, 5/22/23 (a) | 26,046 | |||||||||
465,000 | Fannie Mae Multifamily Remic Trust 2015-M12, 2.89%, 5/25/25 (b) | 499,787 | |||||||||
Fannie Mae REMICS | |||||||||||
228,187 | 3.50%, 6/25/44 | 243,114 | |||||||||
461,933 | 3.00%, 1/25/45 | 497,121 | |||||||||
1,383,576 | 3.00%, 10/25/45 | 1,486,200 | |||||||||
393,636 | 3.00%, 12/25/45 | 421,566 | |||||||||
740,826 | 3.50%, 1/25/47 | 761,120 | |||||||||
261,031 | 3.50%, 12/25/47 | 270,283 | |||||||||
466,237 | 3.50%, 2/25/48 | 492,032 | |||||||||
312,195 | 2.50%, 3/25/53 | 323,545 | |||||||||
908,825 | 3.00%, 12/25/54 | 942,384 | |||||||||
713,092 | 3.50%, 11/25/57 | 765,990 |
See accompanying notes to financial statements.
39
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Unaudited) (Continued)
June 30, 2020
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 5.3% (Continued) | |||||||||||
$ | 94,521 | 3.50%, 12/25/58 | $ | 104,248 | |||||||
490,624 | 3.50%, 6/25/59 | 532,566 | |||||||||
Fannie Mae-Aces | |||||||||||
17,386 | 1.21%, (3 Month US Libor + 0.49%), 4/25/24 (b) | 17,385 | |||||||||
76,366 | 1.12%, (1 Month US Libor + 0.40%), 10/25/24 (b) | 76,275 | |||||||||
125,000 | Ford Credit Floorplan Master Owner Trust A, 2.44%, 9/15/26 | 127,917 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates | |||||||||||
120,000 | 2.28%, 7/25/26 | 129,500 | |||||||||
202,193 | 2.16%, 5/25/29 | 216,696 | |||||||||
Freddie Mac REMICS | |||||||||||
52,591 | 2.00%, 7/15/31 | 54,030 | |||||||||
105,292 | 1.75%, 3/15/41 | 107,406 | |||||||||
488,180 | 1.75%, 9/15/42 | 502,043 | |||||||||
52,524 | 1.50%, 10/15/42 | 52,956 | |||||||||
678,593 | 3.00%, 6/15/45 | 731,383 | |||||||||
407,313 | 3.00%, 7/15/47 | 432,491 | |||||||||
35,000 | FREMF 2013-K24 Mortgage Trust, 3.62%, 11/25/45 (a),(b) | 36,255 | |||||||||
65,000 | FREMF 2015-K44 Mortgage Trust, 3.81%, 1/25/48 (a),(b) | 69,681 | |||||||||
35,000 | FREMF 2015-K46 Mortgage Trust, 3.82%, 4/25/48 (a),(b) | 37,105 | |||||||||
45,000 | FREMF 2015-K50 Mortgage Trust, 3.91%, 10/25/48 (a),(b) | 48,165 | |||||||||
55,000 | FREMF 2016-K55 Mortgage Trust, 4.30%, 4/25/49 (a),(b) | 59,633 | |||||||||
35,000 | FREMF 2017-K725 Mortgage Trust, 4.01%, 2/25/50 (a),(b) | 36,761 | |||||||||
230,000 | FREMF 2018-K733 Mortgage Trust, 4.22%, 9/25/25 (a),(b) | 248,366 | |||||||||
175,000 | FREMF 2019-K99 Mortgage Trust, 3.77%, 10/25/52 (a),(b) | 191,485 | |||||||||
180,000 | FREMF 2020-K104 Mortgage Trust, 3.54%, 2/25/52 (a),(b) | 189,342 | |||||||||
87,008 | GreatAmerica Leasing Receivables Funding LLC Series 2017-1, 2.36%, 1/20/23 (a) | 87,455 | |||||||||
GreatAmerica Leasing Receivables Funding LLC Series 2018-1 | |||||||||||
37,634 | 2.60%, 6/15/21 (a) | 37,808 | |||||||||
100,000 | 2.83%, 6/17/24 (a) | 102,090 | |||||||||
307,077 | Hertz Fleet Lease Funding LP, 2.70%, 1/10/33 (a) | 310,104 | |||||||||
242,560 | Horizon Aircraft Finance III Ltd, 3.43%, 11/15/39 (a) | 209,729 | |||||||||
250,000 | KKR Clo 16 Ltd, 2.39%, (3 Month US Libor + 1.25%), 1/20/29 (a),(b) | 246,214 | |||||||||
300,000 | Madison Park Funding XI Ltd, 2.20%, (3 Month US Libor + 1.16%), 7/23/29 (a),(b) | 296,585 |
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 5.3% (Continued) | |||||||||||
$ | 250,000 | Madison Park Funding XV Ltd, 2.49%, (3 Month US Libor + 1.50%), 1/27/26 (a),(b) | $ | 249,994 | |||||||
565,000 | Madison Park Funding XVIII Ltd, 2.30%, (3 Month US Libor + 1.19%), 10/21/30 (a),(b) | 556,183 | |||||||||
535,000 | Magnetite VII Ltd, 2.02%, (3 Month US Libor + 0.80%), 1/15/28 (a),(b) | 524,724 | |||||||||
360,000 | Magnetite XVIII Ltd, 1.89%, (3 Month US Libor + 1.50%), 11/15/28 (a),(b) | 350,750 | |||||||||
112,858 | METLIFE SECURITIZATION TRUST, 3.00%, 4/25/55 (a),(b) | 116,781 | |||||||||
28,309 | Mill City Mortgage Loan Trust 2016-1, 2.50%, 4/25/57 (a),(b) | 28,436 | |||||||||
113,411 | Mill City Mortgage Loan Trust 2017-3, 2.75%, 1/25/61 (a),(b) | 115,868 | |||||||||
140,000 | MMAF Equipment Finance LLC 2016-A, 2.21%, 12/15/32 (a) | 144,050 | |||||||||
81,228 | MMAF Equipment Finance LLC 2017-B, 2.21%, 10/17/22 (a) | 81,972 | |||||||||
133,874 | New Residential Mortgage Loan Trust 2017-3, 4.00%, 4/25/57 (a),(b) | 147,337 | |||||||||
380,000 | OneMain Direct Auto Receivables Trust 2018-1, 3.43%, 12/16/24 (a) | 385,298 | |||||||||
46,096 | OneMain Financial Issuance Trust 2017-1, 2.37%, 9/14/32 (a) | 46,235 | |||||||||
218,724 | Seasoned Credit Risk Transfer Trust Series 2019-3, 3.50%, 10/25/58 | 233,548 | |||||||||
60 | Securitized Term Auto Receivables Trust 2017-2, 2.04%, 4/26/21 (a) | 60 | |||||||||
100,000 | SFAVE Commercial Mortgage Securities Trust 2015-5AVE, 4.14%, 1/5/43 (a),(b) | 90,817 | |||||||||
318,455 | Shackleton 2015-VIII CLO Ltd, 2.06%, (3 Month US Libor + 0.92%), 10/20/27 (a),(b) | 314,870 | |||||||||
104,091 | SoFi Consumer Loan Program 2018-4 Trust, 3.54%, 11/26/27 (a) | 105,144 | |||||||||
500,000 | SOUND POINT CLO III-R LTD, 2.17%, (3 Month US Libor + 0.95%), 4/15/29 (a),(b) | 485,221 | |||||||||
65,390 | Towd Point Mortgage Trust 2016-3, 2.25%, 4/25/56 (a),(b) | 65,545 | |||||||||
134,039 | Towd Point Mortgage Trust 2017-1, 2.75%, 10/25/56 (a),(b) | 137,796 | |||||||||
44,996 | Towd Point Mortgage Trust 2017-2, 2.75%, 4/25/57 (a),(b) | 44,298 | |||||||||
145,616 | Towd Point Mortgage Trust 2017-4, 2.75%, 6/25/57 (a),(b) | 145,514 | |||||||||
63,521 | Towd Point Mortgage Trust 2018-1, 3.00%, 1/25/58 (a),(b) | 65,501 | |||||||||
Vantage Data Centers Issuer LLC | |||||||||||
156,267 | 4.07%, 2/16/43 (a) | 160,100 | |||||||||
79,333 | 3.19%, 7/15/44 (a) | 80,545 | |||||||||
126,446 | Verus Securitization Trust 2019-2, 3.21%, 5/25/59 (a),(b) | 128,931 | |||||||||
250,000 | Wells Fargo Commercial Mortgage Trust 2015-NXS1, 3.15%, 5/15/48 | 268,078 |
See accompanying notes to financial statements.
40
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Unaudited) (Continued)
June 30, 2020
Shares/ Principal | Fair Value | ||||||||||
ASSET BACKED AND COMMERCIAL BACKED SECURITIES - 5.3% (Continued) | |||||||||||
$ | 400,000 | Wells Fargo Commercial Mortgage Trust 2017-C38, 3.45%, 7/15/50 | $ | 447,712 | |||||||
TOTAL ASSET BACKED AND COMMERCIAL BACKED SECURITIES (Cost - $22,008,721) | 22,556,142 | ||||||||||
U.S. TREASURY SECURITIES - 5.2% | |||||||||||
U.S. Treasury Note | |||||||||||
630,000 | 0.13%, 5/31/22 | 629,532 | |||||||||
450,000 | 0.13%, 6/30/22 | 449,719 | |||||||||
615,000 | 1.50%, 10/31/24 | 648,273 | |||||||||
910,000 | 0.25%, 5/31/25 | 908,898 | |||||||||
2,530,000 | 1.63%, 10/31/26 | 2,717,477 | |||||||||
590,000 | 2.88%, 8/15/28 | 698,735 | |||||||||
160,000 | 2.38%, 5/15/29 | 184,650 | |||||||||
1,100,000 | 1.50%, 2/15/30 | 1,189,117 | |||||||||
1,050,000 | 0.63%, 5/15/30 | 1,047,088 | |||||||||
U.S. Treasury Bond | |||||||||||
1,320,000 | 3.38%, 5/15/44 | 1,866,975 | |||||||||
610,000 | 3.00%, 11/15/44 | 816,685 | |||||||||
3,815,000 | 2.50%, 2/15/45 | 4,705,862 | |||||||||
545,000 | 2.88%, 8/15/45 | 718,378 | |||||||||
805,000 | 2.50%, 5/15/46 | 998,420 | |||||||||
595,000 | 3.00%, 5/15/47 | 811,013 | |||||||||
610,000 | 2.75%, 8/15/47 | 797,027 | |||||||||
982,000 | 2.75%, 11/15/47 | 1,284,809 | |||||||||
980,000 | 2.00%, 2/15/50 | 1,122,330 | |||||||||
285,000 | 1.25%, 5/15/50 | 273,834 | |||||||||
TOTAL U.S. TREASURY SECURITIES (Cost - $18,420,200) | 21,868,822 | ||||||||||
MUNICIPAL BONDS - 1.0% | |||||||||||
50,000 | Chicago O'hare International Airport, 6.40%, 1/1/40 | 74,567 | |||||||||
Chicago Transit Authority | |||||||||||
60,000 | 6.30%, 12/1/21 | 62,309 | |||||||||
40,000 | 6.30%, 12/1/21 | 41,539 | |||||||||
120,000 | 6.90%, 12/1/40 | 165,256 | |||||||||
80,000 | 6.90%, 12/1/40 | 110,170 | |||||||||
40,000 | County of Broward FL Airport System Revenue, 3.48%, 10/1/43 | 39,931 | |||||||||
315,000 | County of Sacramento CA, 5.73%, 8/15/23 | 346,954 | |||||||||
Foothill-Eastern Transportation Corridor Agency | |||||||||||
15,000 | 4.09%, 1/15/49 | 15,402 | |||||||||
155,000 | 3.92%, 1/15/53 | 162,316 | |||||||||
195,000 | Illinois Municipal Electric Agency, 6.83%, 2/1/35 | 266,372 | |||||||||
110,000 | Kansas Development Finance Authority, 5.37%, 5/1/26 | 124,272 | |||||||||
120,000 | Long Island Power Authority, 3.88%, 9/1/24 | 130,532 |
Shares/ Principal | Fair Value | ||||||||||
MUNICIPAL BONDS - 1.0% (Continued) | |||||||||||
$ | 65,000 | Massachusetts School Building Authority, 3.40%, 10/15/40 | $ | 66,297 | |||||||
Metropolitan Transportation Authority | |||||||||||
10,000 | 6.20%, 11/15/26 | 11,416 | |||||||||
80,000 | 6.67%, 11/15/39 | 102,731 | |||||||||
180,000 | 5.18%, 11/15/49 | 209,974 | |||||||||
Municipal Electric Authority of Georgia | |||||||||||
377,000 | 6.64%, 4/1/57 | 548,263 | |||||||||
69,000 | 6.66%, 4/1/57 | 101,124 | |||||||||
270,000 | New York State Urban Development Corp., 2.10%, 3/15/22 | 273,229 | |||||||||
60,000 | Pennsylvania State University (The), 2.84%, 9/1/50 | 62,539 | |||||||||
270,000 | Philadelphia Authority for Industrial Development, 6.55%, 10/15/28 | 348,975 | |||||||||
280,000 | Sales Tax Securitization Corp., 4.79%, 1/1/48 | 345,310 | |||||||||
45,000 | State of California, 7.35%, 11/1/39 | 75,698 | |||||||||
100,000 | State of Connecticut, 2.50%, 7/1/22 | 103,131 | |||||||||
230,000 | State of Illinois, 5.10%, 6/1/33 | 233,323 | |||||||||
TOTAL MUNICIPAL BONDS (Cost - $3,619,572) | 4,021,630 | ||||||||||
EXCHANGE TRADED FUNDS - 0.6% | |||||||||||
EQUITY FUNDS - 0.6% | |||||||||||
8,573 | SPDR S&P 500 ETF Trust (Cost - $2,600,941) | 2,643,570 | |||||||||
SOVEREIGN DEBTS - 0.3% | |||||||||||
Qatar Government International Bond | |||||||||||
200,000 | 3.38%, 3/14/24 (a) | 214,095 | |||||||||
346,000 | 4.00%, 3/14/29 (a) | 397,859 | |||||||||
310,000 | 3.75%, 4/16/30 (a) | 352,995 | |||||||||
330,000 | Saudi Government International Bond, 2.88%, 3/4/23 (a) | 344,037 | |||||||||
TOTAL SOVEREIGN DEBTS (Cost - $1,191,601) | 1,308,986 | ||||||||||
SHORT-TERM INVESTMENTS - 7.5% | |||||||||||
MONEY MARKET FUNDS - 7.5% | |||||||||||
21,659,116 | Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 0.10% (e) | 21,659,116 | |||||||||
10,324,951 | Dreyfus Government Cash Management, 0.09% (e) | 10,324,952 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $31,984,068) | 31,984,068 | ||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES SOLD - 102.2% (Cost - $355,116,692) | $ | 432,926,433 | |||||||||
OTHER ASSETS LESS LIABILITIES - Net (2.2)% | (9,207,061) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 423,719,372 |
See accompanying notes to financial statements.
41
Global Atlantic Wellington Research Managed Risk Portfolio
Portfolio of Investments (Unaudited) (Continued)
June 30, 2020
Shares/ Principal | Fair Value | ||||||||||
SECURITIES SOLD - (0.3)% | |||||||||||
AGENCY MORTGAGE BACKED SECURITIES - (0.3)% | |||||||||||
FEDERAL NATIONAL MORTGAGE ASSOCIATION - (0.3)% | |||||||||||
$ | (1,300,000 | ) | Federal National Mortgage Association, 3.00%, 7/1/50 (Proceeds - $(1,364,994)) (d) | $ | (1,369,266 | ) | |||||
TOTAL SECURITIES SOLD (PROCEEDS - $(1,364,994)) | $ | (1,369,266 | ) |
* 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 June 30, 2020, these securities amounted to $32,971,485 or 7.8% of net assets.
(b) Variable rate security. The rate shown is the rate in effect at period end.
(c) Step coupon.
(d) When-issued, or delayed delivery. All or a portion may be subject to dollar-roll transactions.
(e) The rate shown is the annualized seven-day yield at period end.
ADR - American Depositary Receipt
CLO - Collateralized Loan Obligation
CMT - Treasury Constant Maturity Rate
Libor - London Interbank Offer Rate
PLC - Public Limited Company
REMIC - Real Estate Mortgage Investment Conduit
Holdings by Asset Class | % of Net Assets | ||||||
Common Stocks | 62.1 | % | |||||
Corporate Bonds and Notes | 14.2 | % | |||||
Money Market Funds | 7.5 | % | |||||
Agency Mortgage Backed Securities | 6.0 | % | |||||
Asset Backed and Commercial Backed Securities | 5.3 | % | |||||
U.S. Treasury Securities | 5.2 | % | |||||
Municipal Bonds | 1.0 | % | |||||
Exchange Traded Funds | 0.6 | % | |||||
Sovereign Debts | 0.3 | % | |||||
Other Assets Less Liabilities - Net | (2.2 | )% | |||||
100.0 | % |
FUTURES CONTRACTS | |||||||||||||||||||||||
SHORT FUTURES CONTRACTS | Counterparty | Number of Contracts | Expiration Date | Notional Value | Fair Value/ Unrealized Appreciation (Depreciation) | ||||||||||||||||||
E-Mini Russell 2000 Future | Goldman Sachs & Co. | 123 | 9/18/2020 | $ | 8,841,240 | $ | (408,270 | ) | |||||||||||||||
MSCI EAFE Future | Goldman Sachs & Co. | 82 | 9/18/2020 | 7,291,440 | (79,135 | ) | |||||||||||||||||
S&P 500 E-Mini Future | Goldman Sachs & Co. | 434 | 9/18/2020 | 67,057,340 | (1,939,178 | ) | |||||||||||||||||
S&P MID 400 E-Mini Future | Goldman Sachs & Co. | 8 | 9/18/2020 | 1,423,280 | (33,340 | ) | |||||||||||||||||
U.S. 10 Year Note Future | Credit Suisse | 7 | 9/21/2020 | 974,203 | (3,203 | ) | |||||||||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $ | (2,463,126 | ) |
See accompanying notes to financial statements.
42
Global Atlantic Portfolios
Statements of Assets and Liabilities
June 30, 2020 (Unaudited)
Assets: | Global Atlantic American Funds® Managed Risk Portfolio | Global Atlantic Balanced Managed Risk Portfolio | Global Atlantic BlackRock Selects Managed Risk Portfolio | Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | |||||||||||||||
Investments in securities, at cost | $ | 195,480,759 | $ | 70,036,083 | $ | 206,846,683 | $ | 193,406,937 | |||||||||||
Investments in securities, at fair value | $ | 213,053,966 | $ | 78,096,779 | $ | 224,963,511 | $ | 266,359,025 | |||||||||||
Cash | 1 | - | - | - | |||||||||||||||
Foreign cash (cost $-, $-, $- and $382,422, respectively) | - | - | - | 383,096 | |||||||||||||||
Deposit with broker | 3,420,522 | 1,135,091 | 3,674,571 | 5,824,186 | |||||||||||||||
Segregated cash for derivatives | - | - | - | 330,305 | |||||||||||||||
Receivable for securities sold | - | - | - | 161,165 | |||||||||||||||
Interest and dividends receivable | 637 | 241 | 661 | 571,531 | |||||||||||||||
Prepaid expenses | 3,970 | 1,455 | 4,232 | 5,032 | |||||||||||||||
Total Assets | 216,479,096 | 79,233,566 | 228,642,975 | 273,634,340 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Premiums received on open swap contracts | - | - | - | 55,260 | |||||||||||||||
Unrealized depreciation on futures contracts | 679,595 | 234,855 | 872,120 | 1,513,559 | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | - | - | - | 165,040 | |||||||||||||||
Unrealized depreciation on swap contracts | - | - | - | 129,372 | |||||||||||||||
Due to custodian | - | - | - | 7,712 | |||||||||||||||
Payable for securities purchased | - | - | - | 9,793,147 | |||||||||||||||
Payable for portfolio shares redeemed | 77,598 | 22,127 | 199,460 | 210,137 | |||||||||||||||
Accrued distribution (12b-1) fees | 44,415 | 16,244 | 46,819 | 53,883 | |||||||||||||||
Accrued investment advisory fees | 88,814 | 35,493 | 102,336 | 167,206 | |||||||||||||||
Administrative service fees payable | 12,216 | 4,416 | 12,811 | 14,996 | |||||||||||||||
Accrued expenses and other liabilities | 15,125 | 2,308 | 8,949 | 4,879 | |||||||||||||||
Total Liabilities | 917,763 | 315,443 | 1,242,495 | 12,115,191 | |||||||||||||||
Net Assets | $ | 215,561,333 | $ | 78,918,123 | $ | 227,400,480 | $ | 261,519,149 | |||||||||||
Composition of Net Assets: | |||||||||||||||||||
Paid-in capital | $ | 193,473,177 | $ | 65,327,800 | $ | 227,508,200 | $ | 203,538,907 | |||||||||||
Total distributable earnings (losses) | 22,088,156 | 13,590,323 | (107,720 | ) | 57,980,242 | ||||||||||||||
Net Assets | $ | 215,561,333 | $ | 78,918,123 | $ | 227,400,480 | $ | 261,519,149 | |||||||||||
Class II Shares: | |||||||||||||||||||
Net assets | $ | 215,561,333 | $ | 78,918,123 | $ | 227,400,480 | $ | 261,519,149 | |||||||||||
Total shares outstanding at end of period ($0 par value, unlimited shares authorized) | 18,281,097 | 6,380,897 | 22,014,080 | 20,448,960 | |||||||||||||||
Net asset value, offering and redemption price per share (Net assets ÷ Total shares of beneficial interest outstanding) | $ | 11.79 | $ | 12.37 | $ | 10.33 | $ | 12.79 |
See accompanying notes to financial statements.
43
Global Atlantic Portfolios
Statements of Assets and Liabilities (Continued)
June 30, 2020 (Unaudited)
Assets: | Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | Global Atlantic Growth Managed Risk Portfolio | Global Atlantic Moderate Growth Managed Risk Portfolio | Global Atlantic PIMCO Tactical Allocation Portfolio | |||||||||||||||
Investments in securities, at cost | $ | 30,172,785 | $ | 322,082,819 | $ | 114,998,984 | $ | 31,393,643 | |||||||||||
Investments in securities, at fair value | $ | 32,941,894 | $ | 380,602,669 | $ | 131,737,071 | $ | 33,925,501 | |||||||||||
Premiums paid on open swap contracts | - | - | - | 29,406 | |||||||||||||||
Cash | - | - | - | 1,701,159 | |||||||||||||||
Foreign cash (cost $141,288, $-, $- and $9,967, respectively) | 140,754 | - | - | 9,396 | |||||||||||||||
Deposit with broker | 227,756 | 13,556,376 | 2,997,459 | 363,425 | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts | - | - | - | 56 | |||||||||||||||
Unrealized appreciation on futures contracts | - | - | - | 13,359 | |||||||||||||||
Receivable for securities sold | - | - | - | 6,148,242 | |||||||||||||||
Interest and dividends receivable | 118,148 | 722 | 347 | 119,703 | |||||||||||||||
Prepaid expenses | 570 | 7,444 | 2,478 | 12,433 | |||||||||||||||
Total Assets | 33,429,122 | 394,167,211 | 134,737,355 | 42,322,680 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Investments in securities sold short, proceeds | - | - | - | 107,547 | |||||||||||||||
Investments in securities sold short, at fair value | - | - | - | 107,453 | |||||||||||||||
Premiums paid on open swap contracts | - | - | - | - | |||||||||||||||
Unrealized depreciation on futures contracts | 55,824 | 3,261,898 | 682,760 | - | |||||||||||||||
Unrealized depreciation on swap contracts | - | - | - | 51,650 | |||||||||||||||
Reverse repurchase agreements | - | - | - | 3,867,271 | |||||||||||||||
Due to custodian | - | - | - | - | |||||||||||||||
Payable for securities purchased | 85,461 | - | - | 12,530,779 | |||||||||||||||
Payable for portfolio shares redeemed | 3,322 | 26,391 | 117,659 | 10,472 | |||||||||||||||
Accrued distribution (12b-1) fees | 6,816 | 80,722 | 27,540 | 5,329 | |||||||||||||||
Accrued investment advisory fees | 21,209 | 164,533 | 60,588 | 11,990 | |||||||||||||||
Administrative service fees payable | 1,828 | 22,299 | 7,514 | 1,434 | |||||||||||||||
Accrued expenses and other liabilities | 242 | 15,375 | 4,037 | 171 | |||||||||||||||
Total Liabilities | 174,702 | 3,571,218 | 900,098 | 16,586,549 | |||||||||||||||
Net Assets | $ | 33,254,420 | $ | 390,595,993 | $ | 133,837,257 | $ | 25,736,131 | |||||||||||
Composition of Net Assets: | |||||||||||||||||||
Paid-in capital | $ | 29,255,996 | $ | 332,787,508 | $ | 110,404,230 | $ | 21,411,852 | |||||||||||
Total distributable earnings | 3,998,424 | 57,808,485 | 23,433,027 | 4,324,279 | |||||||||||||||
Net Assets | $ | 33,254,420 | $ | 390,595,993 | $ | 133,837,257 | $ | 25,736,131 | |||||||||||
Class II Shares: | |||||||||||||||||||
Net assets | $ | 33,254,420 | $ | 390,595,993 | $ | 133,837,257 | $ | 25,736,131 | |||||||||||
Total shares outstanding at end of period ($0 par value, unlimited shares authorized) | 3,036,107 | 33,251,124 | 10,955,314 | 2,201,874 | |||||||||||||||
Net asset value, offering and redemption price per share (Net assets ÷ Total shares of beneficial interest outstanding) | $ | 10.95 | $ | 11.75 | $ | 12.22 | $ | 11.69 |
See accompanying notes to financial statements.
44
Global Atlantic Portfolios
Statements of Assets and Liabilities (Continued)
June 30, 2020 (Unaudited)
Assets: | Global Atlantic Select Advisor Managed Risk Portfolio | Global Atlantic Wellington Research Managed Risk Portfolio | |||||||||
Investments in securities, at cost | $ | 86,908,949 | $ | 355,116,692 | |||||||
Investments in securities, at fair value | $ | 100,764,430 | $ | 432,926,433 | |||||||
Cash | - | 31,806 | |||||||||
Deposit with broker | 2,584,826 | 8,316,561 | |||||||||
Receivable for securities sold | - | 7,544,213 | |||||||||
Receivable for portfolio shares sold | - | 270,824 | |||||||||
Interest and dividends receivable | 243 | 918,348 | |||||||||
Prepaid expenses | 1,972 | 7,701 | |||||||||
Total Assets | 103,351,471 | 450,015,886 | |||||||||
Liabilities: | |||||||||||
Investments in securities sold short, proceeds | - | 1,364,994 | |||||||||
Investments in securities sold short, at fair value | - | 1,369,266 | |||||||||
Unrealized depreciation on futures contracts | 534,920 | 2,463,126 | |||||||||
Payable for securities purchased | - | 22,055,930 | |||||||||
Payable for portfolio shares redeemed | 58,903 | - | |||||||||
Accrued distribution (12b-1) fees | 21,166 | 87,039 | |||||||||
Accrued investment advisory fees | 22,906 | 288,273 | |||||||||
Administrative service fees payable | 5,925 | 23,616 | |||||||||
Accrued expenses and other liabilities | 3,325 | 9,264 | |||||||||
Total Liabilities | 647,145 | 26,296,514 | |||||||||
Net Assets | $ | 102,704,326 | $ | 423,719,372 | |||||||
Composition of Net Assets: | |||||||||||
Paid-in capital | $ | 85,234,964 | $ | 333,457,753 | |||||||
Total distributable earnings | 17,469,362 | 90,261,619 | |||||||||
Net Assets | $ | 102,704,326 | $ | 423,719,372 | |||||||
Class II Shares: | |||||||||||
Net assets | $ | 102,704,326 | $ | 423,719,372 | |||||||
Total shares outstanding at end of period ($0 par value, unlimited shares authorized) | 8,195,880 | 30,638,915 | |||||||||
Net asset value, offering and redemption price per share (Net assets ÷ Total shares of beneficial interest outstanding) | $ | 12.53 | $ | 13.83 |
See accompanying notes to financial statements.
45
Global Atlantic Portfolios
Statements of Operations
For the Six Months Ended June 30, 2020 (unaudited)
Global Atlantic American Funds® Managed Risk Portfolio | Global Atlantic Balanced Managed Risk Portfolio | Global Atlantic BlackRock Selects Managed Risk Portfolio | Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income * | $ | 1,473,163 | $ | 751,801 | $ | 1,342,835 | $ | 1,810,570 | |||||||||||
Interest income | 37,568 | 13,567 | 38,599 | 1,031,836 | |||||||||||||||
Total Investment Income | 1,510,731 | 765,368 | 1,381,434 | 2,842,406 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fee | 973,606 | 217,349 | 630,261 | 1,139,988 | |||||||||||||||
Distribution fees (12b-1) - Class II Shares | 270,446 | 98,795 | 286,482 | 335,290 | |||||||||||||||
Administrative service fees | 35,219 | 12,804 | 37,194 | 43,780 | |||||||||||||||
Legal fees | 30,012 | 11,033 | 32,018 | 37,376 | |||||||||||||||
Trustees fees | 9,635 | 3,534 | 10,268 | 12,026 | |||||||||||||||
Custody fees | 2,350 | 1,399 | 2,935 | 11,618 | |||||||||||||||
Miscellaneous expenses | 46,117 | 16,900 | 48,966 | 57,174 | |||||||||||||||
Total Expenses | 1,367,385 | 361,814 | 1,048,124 | 1,637,252 | |||||||||||||||
Expenses waived/recaptured | (426,233 | ) | 1,751 | (667 | ) | (81,504 | ) | ||||||||||||
Net Expenses | 941,152 | 363,565 | 1,047,457 | 1,555,748 | |||||||||||||||
Net Investment Income | 569,579 | 401,803 | 333,977 | 1,286,658 | |||||||||||||||
Net Realized and Change in Unrealized Gain (Loss) | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investments | 3,486,706 | 3,965,038 | (2,887,168 | ) | (4,547,337 | ) | |||||||||||||
Short sales | - | - | - | 6,393 | |||||||||||||||
Options written | - | - | - | (81,895 | ) | ||||||||||||||
Futures contracts | (4,646,421 | ) | (1,235,425 | ) | (3,026,549 | ) | (3,399,814 | ) | |||||||||||
Swap contracts | - | - | - | (308,295 | ) | ||||||||||||||
Forward foreign currency contracts | - | - | - | (34,510 | ) | ||||||||||||||
Foreign currency transactions | - | - | - | (2,752 | ) | ||||||||||||||
(1,159,715 | ) | 2,729,613 | (5,913,717 | ) | (8,368,210 | ) | |||||||||||||
Net change in unrealized appreciation/(depreciation) on: | |||||||||||||||||||
Investments | (3,625,581 | ) | (3,844,293 | ) | 2,471,500 | (5,575,928 | ) | ||||||||||||
Futures contracts | (679,595 | ) | (234,855 | ) | (872,120 | ) | (1,384,979 | ) | |||||||||||
Swap contracts | - | - | - | (104,578 | ) | ||||||||||||||
Forward foreign currency contracts | - | - | - | (122,685 | ) | ||||||||||||||
Foreign currency translations | - | - | - | 4,840 | |||||||||||||||
(4,305,176 | ) | (4,079,148 | ) | 1,599,380 | (7,183,330 | ) | |||||||||||||
Net Realized and Change in Unrealized (Loss) | (5,464,891 | ) | (1,349,535 | ) | (4,314,337 | ) | (15,551,540 | ) | |||||||||||
Net Decrease in Net Assets Resulting from Operations | $ | (4,895,312 | ) | $ | (947,732 | ) | $ | (3,980,360 | ) | $ | (14,264,882 | ) | |||||||
* Foreign taxes withheld | $ | - | $ | - | $ | - | $ | 21,136 |
See accompanying notes to financial statements.
46
Global Atlantic Portfolios
Statements of Operations (Continued)
For the Six Months Ended June 30, 2020 (unaudited)
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | Global Atlantic Growth Managed Risk Portfolio | Global Atlantic Moderate Growth Managed Risk Portfolio | Global Atlantic PIMCO Tactical Allocation Portfolio | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividend income * | $ | 92,537 | $ | 3,428,845 | $ | 1,226,510 | $ | 81,122 | |||||||||||
Interest income | 113,914 | 73,020 | 23,776 | 186,831 | |||||||||||||||
Total Investment Income | 206,451 | 3,501,865 | 1,250,286 | 267,953 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory fee | 139,224 | 1,099,636 | 370,634 | 111,161 | |||||||||||||||
Distribution fees (12b-1) - Class II Shares | 40,948 | 499,835 | 168,470 | 32,695 | |||||||||||||||
Administrative service fees | 5,232 | 65,102 | 21,863 | 4,207 | |||||||||||||||
Legal fees | 4,526 | 55,917 | 18,788 | 3,661 | |||||||||||||||
Trustees fees | 1,439 | 17,961 | 6,024 | 1,167 | |||||||||||||||
Custody fees | 1,882 | 4,440 | 1,621 | 13,340 | |||||||||||||||
Miscellaneous expenses | 6,921 | 85,699 | 28,258 | 5,530 | |||||||||||||||
Total Expenses | 200,172 | 1,828,290 | 615,658 | 171,761 | |||||||||||||||
Expenses waived | (8,535 | ) | (68,872 | ) | - | (21,366 | ) | ||||||||||||
Net Expenses | 191,637 | 1,759,418 | 615,658 | 150,395 | |||||||||||||||
Net Investment Income | 14,814 | 1,742,447 | 634,628 | 117,558 | |||||||||||||||
Net Realized and Change in Unrealized Gain (Loss) | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investments | 1,140,977 | 11,044,001 | 5,969,940 | 898,180 | |||||||||||||||
Options written | - | - | - | 4,121 | |||||||||||||||
Futures contracts | (1,100,592 | ) | (4,267,249 | ) | (2,330,129 | ) | (161,955 | ) | |||||||||||
Swap contracts | - | - | - | (27,678 | ) | ||||||||||||||
Forward foreign currency contracts | - | - | - | 3,829 | |||||||||||||||
Foreign currency transactions | (8,484 | ) | - | - | (2,056 | ) | |||||||||||||
31,901 | 6,776,752 | 3,639,811 | 714,441 | ||||||||||||||||
Net change in unrealized appreciation/(depreciation) on: | |||||||||||||||||||
Investments | 421,020 | (25,242,454 | ) | (7,620,837 | ) | (225,146 | ) | ||||||||||||
Short Sales | - | - | - | 94 | |||||||||||||||
Futures contracts | (85,096 | ) | (3,261,898 | ) | (682,760 | ) | (270,511 | ) | |||||||||||
Swap contracts | - | - | - | (74,025 | ) | ||||||||||||||
Forward foreign currency contracts | - | - | - | (2,317 | ) | ||||||||||||||
Foreign currency translations | 4,151 | - | - | 362 | |||||||||||||||
340,075 | (28,504,352 | ) | (8,303,597 | ) | (571,543 | ) | |||||||||||||
Net Realized and Change in Unrealized Gain/ (Loss) | 371,976 | (21,727,600 | ) | (4,663,786 | ) | 142,898 | |||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 386,790 | $ | (19,985,153 | ) | $ | (4,029,158 | ) | $ | 260,456 | |||||||||
* Foreign taxes withheld | $ | - | $ | - | $ | - | $ | - |
See accompanying notes to financial statements.
47
Global Atlantic Portfolios
Statements of Operations (Continued)
For the Six Months Ended June 30, 2020 (unaudited)
Global Atlantic Select Advisor Managed Risk Portfolio | Global Atlantic Wellington Research Managed Risk Portfolio | ||||||||||
Investment Income: | |||||||||||
Dividend income * | $ | 697,485 | $ | 2,059,825 | |||||||
Interest income | 18,965 | 2,112,999 | |||||||||
Total Investment Income | 716,450 | 4,172,824 | |||||||||
Expenses: | |||||||||||
Investment advisory fee | 471,444 | 1,807,584 | |||||||||
Distribution fees (12b-1) - Class II Shares | 130,957 | 531,642 | |||||||||
Administrative service fees | 17,143 | 68,848 | |||||||||
Legal fees | 14,621 | 58,955 | |||||||||
Trustees fees | 4,706 | 18,893 | |||||||||
Custody fees | 1,162 | 15,997 | |||||||||
Miscellaneous expenses | 22,407 | 90,326 | |||||||||
Total Expenses | 662,440 | 2,592,245 | |||||||||
Expenses waived | (327,191 | ) | (19,096 | ) | |||||||
Net Expenses | 335,249 | 2,573,149 | |||||||||
Net Investment Income | 381,201 | 1,599,675 | |||||||||
Net Realized and Change in Unrealized Gain (Loss) | |||||||||||
Net realized gain (loss) on: | |||||||||||
Investments | 508,056 | 11,156,769 | |||||||||
Futures contracts | (2,002,220 | ) | (5,971,696 | ) | |||||||
Swap contracts | - | (60,382 | ) | ||||||||
Foreign currency transactions | - | (124 | ) | ||||||||
Capital gain distributions from underlying funds | 1,073,961 | - | |||||||||
(420,203 | ) | 5,124,567 | |||||||||
Net change in unrealized appreciation/(depreciation) on: | |||||||||||
Investments | (5,377,304 | ) | (9,973,410 | ) | |||||||
Short Sales | - | (4,272 | ) | ||||||||
Futures contracts | (534,920 | ) | (2,451,861 | ) | |||||||
Foreign currency translations | - | (25 | ) | ||||||||
(5,912,224 | ) | (12,429,568 | ) | ||||||||
Net Realized and Change in Unrealized (Loss) | (6,332,427 | ) | (7,305,001 | ) | |||||||
Net Decrease in Net Assets Resulting from Operations | $ | (5,951,226 | ) | $ | (5,705,326 | ) | |||||
* Foreign taxes withheld | $ | - | $ | 19,458 |
See accompanying notes to financial statements.
48
Global Atlantic Portfolios
Statements of Changes in Net Assets
Global Atlantic American Funds® Managed Risk Portfolio | Global Atlantic Balanced Managed Risk Portfolio | ||||||||||||||||||
For the Six Months Ended June 30, 2020 (Unaudited) | For the Year Ended December 31, 2019 | For the Six Months Ended June 30, 2020 (Unaudited) | For the Year Ended December 31, 2019 | ||||||||||||||||
Increase/(Decrease) in Net Assets: | |||||||||||||||||||
From Operations: | |||||||||||||||||||
Net investment income | $ | 569,579 | $ | 3,164,682 | $ | 401,803 | $ | 1,299,539 | |||||||||||
Net realized gain (loss) | (1,159,715 | ) | 8,296,084 | 2,729,613 | 2,291,576 | ||||||||||||||
Net change in unrealized appreciation (depreciation) | (4,305,176 | ) | 23,253,960 | (4,079,148 | ) | 7,632,679 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (4,895,312 | ) | 34,714,726 | (947,732 | ) | 11,223,794 | |||||||||||||
From Distributions to Shareholders: | |||||||||||||||||||
Total distributions paid | - | (12,587,121 | ) | - | (2,374,674 | ) | |||||||||||||
From Shares of Beneficial Interest: | |||||||||||||||||||
Proceeds from shares sold | 600,800 | 2,058,524 | 952,986 | 2,627,522 | |||||||||||||||
Reinvestment of distributions | - | 12,587,121 | - | 2,374,674 | |||||||||||||||
Cost of shares redeemed | (11,060,492 | ) | (22,759,006 | ) | (4,498,342 | ) | (12,187,819 | ) | |||||||||||
Net decrease in net assets from share transactions of beneficial interest | (10,459,692 | ) | (8,113,361 | ) | (3,545,356 | ) | (7,185,623 | ) | |||||||||||
Total increase (decrease) in net assets | (15,355,004 | ) | 14,014,244 | (4,493,088 | ) | 1,663,497 | |||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 230,916,337 | 216,902,093 | 83,411,211 | 81,747,714 | |||||||||||||||
End of period | $ | 215,561,333 | $ | 230,916,337 | $ | 78,918,123 | $ | 83,411,211 | |||||||||||
Share Activity: | |||||||||||||||||||
Class II: | |||||||||||||||||||
Shares sold | 53,687 | 176,242 | 79,760 | 218,761 | |||||||||||||||
Shares reinvested | - | 1,095,485 | - | 194,965 | |||||||||||||||
Shares redeemed | (948,980 | ) | (1,941,635 | ) | (366,012 | ) | (1,007,569 | ) | |||||||||||
Net decrease in shares of beneficial interest outstanding | (895,293 | ) | (669,908 | ) | (286,252 | ) | (593,843 | ) |
See accompanying notes to financial statements.
49
Global Atlantic Portfolios
Statements of Changes in Net Assets (Continued)
Global Atlantic BlackRock Selects Managed Risk Portfolio | Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | ||||||||||||||||||
For the Six Months Ended June 30, 2020 (Unaudited) | For the Year Ended December 31, 2019 | For the Six Months Ended June 30, 2020 (Unaudited) | For the Year Ended December 31, 2019 | ||||||||||||||||
Increase/(Decrease) in Net Assets: | |||||||||||||||||||
From Operations: | |||||||||||||||||||
Net investment income | $ | 333,977 | $ | 3,601,833 | $ | 1,286,658 | $ | 3,481,344 | |||||||||||
Net realized gain (loss) | (5,913,717 | ) | (5,360,714 | ) | (8,368,210 | ) | 3,375,356 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 1,599,380 | 36,358,864 | (7,183,330 | ) | 44,994,594 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | (3,980,360 | ) | 34,599,983 | (14,264,882 | ) | 51,851,294 | |||||||||||||
From Distributions to Shareholders: | |||||||||||||||||||
Total distributions paid | - | (1,190,659 | ) | - | (3,469,959 | ) | |||||||||||||
From Shares of Beneficial Interest: | |||||||||||||||||||
Proceeds from shares sold | 60,931 | 1,178,519 | 374,967 | 7,007,097 | |||||||||||||||
Reinvestment of distributions | - | 1,190,658 | - | 3,469,959 | |||||||||||||||
Cost of shares redeemed | (12,532,957 | ) | (33,726,968 | ) | (16,830,887 | ) | (30,901,938 | ) | |||||||||||
Net decrease in net assets from share transactions of beneficial interest | (12,472,026 | ) | (31,357,791 | ) | (16,455,920 | ) | (20,424,882 | ) | |||||||||||
Total increase (decrease) in net assets | (16,452,386 | ) | 2,051,533 | (30,720,802 | ) | 27,956,453 | |||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 243,852,866 | 241,801,333 | 292,239,951 | 264,283,498 | |||||||||||||||
End of period | $ | 227,400,480 | $ | 243,852,866 | $ | 261,519,149 | $ | 292,239,951 | |||||||||||
Share Activity: | |||||||||||||||||||
Class II: | |||||||||||||||||||
Shares sold | 5,895 | 120,144 | 28,255 | 553,225 | |||||||||||||||
Shares reinvested | - | 117,654 | - | 269,197 | |||||||||||||||
Shares redeemed | (1,232,711 | ) | (3,415,816 | ) | (1,308,692 | ) | (2,453,893 | ) | |||||||||||
Net decrease in shares of beneficial interest outstanding | (1,226,816 | ) | (3,178,018 | ) | (1,280,437 | ) | (1,631,471 | ) |
See accompanying notes to financial statements.
50
Global Atlantic Portfolios
Statements of Changes in Net Assets (Continued)
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | Global Atlantic Growth Managed Risk Portfolio | ||||||||||||||||||
For the Six Months Ended June 30, 2020 (Unaudited) | For the Year Ended December 31, 2019 | For the Six Months Ended June 30, 2020 (Unaudited) | For the Year Ended December 31, 2019 | ||||||||||||||||
Increase/(Decrease) in Net Assets: | |||||||||||||||||||
From Operations: | |||||||||||||||||||
Net investment income | $ | 14,814 | $ | 307,584 | $ | 1,742,447 | $ | 5,914,104 | |||||||||||
Net realized gain | 31,901 | 2,554,550 | 6,776,752 | 20,761,877 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | 340,075 | 1,356,413 | (28,504,352 | ) | 41,380,712 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | 386,790 | 4,218,547 | (19,985,153 | ) | 68,056,693 | ||||||||||||||
From Distributions to Shareholders: | |||||||||||||||||||
Total distributions paid | - | (299,239 | ) | - | (5,900,880 | ) | |||||||||||||
From Shares of Beneficial Interest: | |||||||||||||||||||
Proceeds from shares sold | 4,230,233 | 1,128,661 | 2,017,623 | 2,050,159 | |||||||||||||||
Reinvestment of distributions | - | 299,239 | - | 5,900,880 | |||||||||||||||
Cost of shares redeemed | (3,938,572 | ) | (3,511,557 | ) | (22,993,933 | ) | (62,184,439 | ) | |||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | 291,661 | (2,083,657 | ) | (20,976,310 | ) | (54,233,400 | ) | ||||||||||||
Total increase (decrease) in net assets | 678,451 | 1,835,651 | (40,961,463 | ) | 7,922,413 | ||||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 32,575,969 | 30,740,318 | 431,557,456 | 423,635,043 | |||||||||||||||
End of period | $ | 33,254,420 | $ | 32,575,969 | $ | 390,595,993 | $ | 431,557,456 | |||||||||||
Share Activity: | |||||||||||||||||||
Class II: | |||||||||||||||||||
Shares sold | 391,842 | 108,623 | 176,308 | 174,949 | |||||||||||||||
Shares reinvested | - | 28,283 | - | 498,807 | |||||||||||||||
Shares redeemed | (364,476 | ) | (339,093 | ) | (1,947,200 | ) | (5,341,292 | ) | |||||||||||
Net increase (decrease) in shares of beneficial interest outstanding | 27,366 | (202,187 | ) | (1,770,892 | ) | (4,667,536 | ) |
See accompanying notes to financial statements.
51
Global Atlantic Portfolios
Statements of Changes in Net Assets (Continued)
Global Atlantic Moderate Growth Managed Risk Portfolio | Global Atlantic PIMCO Tactical Allocation Portfolio | ||||||||||||||||||
For the Six Months Ended June 30, 2020 (Unaudited) | For the Year Ended December 31, 2019 | For the Six Months Ended June 30, 2020 (Unaudited) | For the Year Ended December 31, 2019 | ||||||||||||||||
Increase/(Decrease) in Net Assets: | |||||||||||||||||||
From Operations: | |||||||||||||||||||
Net investment income | $ | 634,628 | $ | 2,052,602 | $ | 117,558 | $ | 370,354 | |||||||||||
Net realized gain | 3,639,811 | 3,937,598 | 714,441 | 1,355,380 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | (8,303,597 | ) | 14,816,070 | (571,543 | ) | 2,641,724 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (4,029,158 | ) | 20,806,270 | 260,456 | 4,367,458 | ||||||||||||||
From Distributions to Shareholders: | |||||||||||||||||||
Total distributions paid | - | (2,016,802 | ) | - | (266,882 | ) | |||||||||||||
From Shares of Beneficial Interest: | |||||||||||||||||||
Proceeds from shares sold | 388,194 | 1,038,647 | 1,420,225 | 1,322,912 | |||||||||||||||
Reinvestment of distributions | - | 2,016,802 | - | 266,882 | |||||||||||||||
Cost of shares redeemed | (5,742,856 | ) | (14,568,694 | ) | (2,833,170 | ) | (3,140,638 | ) | |||||||||||
Net decrease in net assets from share transactions of beneficial interest | (5,354,662 | ) | (11,513,245 | ) | (1,412,945 | ) | (1,550,844 | ) | |||||||||||
Total increase (decrease) in net assets | (9,383,820 | ) | 7,276,223 | (1,152,489 | ) | 2,549,732 | |||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 143,221,077 | 135,944,854 | 26,888,620 | 24,338,888 | |||||||||||||||
End of period | $ | 133,837,257 | $ | 143,221,077 | $ | 25,736,131 | $ | 26,888,620 | |||||||||||
Share Activity: | |||||||||||||||||||
Class II: | |||||||||||||||||||
Shares sold | 32,659 | 88,015 | 132,839 | 123,677 | |||||||||||||||
Shares reinvested | - | 165,855 | - | 24,087 | |||||||||||||||
Shares redeemed | (471,089 | ) | (1,220,660 | ) | (247,055 | ) | (288,931 | ) | |||||||||||
Net decrease in shares of beneficial interest outstanding | (438,430 | ) | (966,790 | ) | (114,216 | ) | (141,167 | ) |
See accompanying notes to financial statements.
52
Global Atlantic Portfolios
Statements of Changes in Net Assets (Continued)
Global Atlantic Select Advisor Managed Risk Portfolio | Global Atlantic Wellington Research Managed Risk Portfolio | ||||||||||||||||||
For the Six Months Ended June 30, 2020 (Unaudited) | For the Year Ended December 31, 2019 | For the Six Months Ended June 30, 2020 (Unaudited) | For the Year Ended December 31, 2019 | ||||||||||||||||
Increase/(Decrease) in Net Assets: | |||||||||||||||||||
From Operations: | |||||||||||||||||||
Net investment income | $ | 381,201 | $ | 1,883,317 | $ | 1,599,675 | $ | 4,061,714 | |||||||||||
Net realized gain (loss) | (420,203 | ) | 4,327,199 | 5,124,567 | 9,071,871 | ||||||||||||||
Net change in unrealized appreciation (depreciation) | (5,912,224 | ) | 14,132,798 | (12,429,568 | ) | 64,017,255 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (5,951,226 | ) | 20,343,314 | (5,705,326 | ) | 77,150,840 | |||||||||||||
From Distributions to Shareholders: | |||||||||||||||||||
Total distributions paid | - | (4,750,990 | ) | - | (22,747,730 | ) | |||||||||||||
From Shares of Beneficial Interest: | |||||||||||||||||||
Proceeds from shares sold | 62,386 | 628,496 | 986,621 | 3,555,936 | |||||||||||||||
Reinvestment of distributions | - | 4,750,990 | - | 22,747,730 | |||||||||||||||
Cost of shares redeemed | (5,777,336 | ) | (14,474,991 | ) | (20,115,931 | ) | (46,883,300 | ) | |||||||||||
Net decrease in net assets from share transactions of beneficial interest | (5,714,950 | ) | (9,095,505 | ) | (19,129,310 | ) | (20,579,634 | ) | |||||||||||
Total increase (decrease) in net assets | (11,666,176 | ) | 6,496,819 | (24,834,636 | ) | 33,823,476 | |||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 114,370,502 | 107,873,683 | 448,554,008 | 414,730,532 | |||||||||||||||
End of period | $ | 102,704,326 | $ | 114,370,502 | $ | 423,719,372 | $ | 448,554,008 | |||||||||||
Share Activity: | |||||||||||||||||||
Class II: | |||||||||||||||||||
Shares sold | 4,852 | 50,365 | 75,007 | 265,518 | |||||||||||||||
Shares reinvested | - | 375,572 | - | 1,698,860 | |||||||||||||||
Shares redeemed | (453,225 | ) | (1,138,107 | ) | (1,469,221 | ) | (3,443,607 | ) | |||||||||||
Net decrease in shares of beneficial interest outstanding | (448,373 | ) | (712,170 | ) | (1,394,214 | ) | (1,479,229 | ) |
See accompanying notes to financial statements.
53
Global Atlantic Portfolios
Financial Highlights
Global Atlantic American Funds® Managed Risk Portfolio
Selected data for a Class II share outstanding throughout each period indicated
For the Six Months Ended June 30, 2020 (unaudited) | For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.04 | $ | 10.93 | $ | 11.98 | $ | 10.64 | $ | 10.57 | $ | 10.86 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (a,b) | 0.03 | 0.17 | 0.20 | 0.15 | 0.15 | 0.18 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.28 | ) | 1.62 | (0.76 | ) | 1.35 | 0.45 | (0.38 | ) | ||||||||||||||||||
Total income (loss) from investment operations | (0.25 | ) | 1.79 | (0.56 | ) | 1.50 | 0.60 | (0.20 | ) | ||||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||||
Net investment income | - | (0.21 | ) | (0.15 | ) | (0.14 | ) | (0.14 | ) | (0.09 | ) | ||||||||||||||||
Net realized gains | - | (0.47 | ) | (0.34 | ) | (0.02 | ) | (0.39 | ) | - | |||||||||||||||||
Total distributions from net investment income and net realized gains | - | (0.68 | ) | (0.49 | ) | (0.16 | ) | (0.53 | ) | (0.09 | ) | ||||||||||||||||
Net asset value, end of period | $ | 11.79 | $ | 12.04 | $ | 10.93 | $ | 11.98 | $ | 10.64 | $ | 10.57 | |||||||||||||||
Total return (c) | (2.08 | )% | 16.72 | % | (4.75 | )% | 14.16 | % | 5.72 | % | (1.84 | )% | |||||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||||||
Net assets, end of period (in 000's) | $ | 215,561 | $ | 230,916 | $ | 216,902 | $ | 240,415 | $ | 217,525 | $ | 191,162 | |||||||||||||||
Ratio of net expenses to average net assets (d) | 0.87 | % (e) | 0.86 | % | 0.86 | % | 0.86 | % | 0.86 | % | 0.86 | % | |||||||||||||||
Ratio of gross expenses to average net assets (d,f) | 1.26 | % (e) | 1.26 | % | 1.24 | % | 1.27 | % | 1.27 | % | 1.27 | % | |||||||||||||||
Ratio of net investment income to average net assets (b,d) | 0.53 | % (e) | 1.41 | % | 1.66 | % | 1.29 | % | 1.37 | % | 1.69 | % | |||||||||||||||
Portfolio turnover rate | 28 | % (g) | 30 | % | 34 | % | 43 | % | 35 | % | 23 | % |
(a) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(b) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(c) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns would have been lower absent fee waivers by the Adviser.
(d) Does not include the expenses of the investment companies in which the Portfolio invests.
(e) 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.
54
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Balanced Managed Risk Portfolio
Selected data for a Class II share outstanding throughout each period indicated
For the Six Months Ended June 30, 2020 (unaudited) | For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.51 | $ | 11.26 | $ | 12.09 | $ | 10.95 | $ | 10.66 | $ | 10.82 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (a,b) | 0.06 | 0.19 | 0.17 | 0.13 | 0.13 | 0.13 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.20 | ) | 1.42 | (0.85 | ) | 1.16 | 0.25 | (0.25 | ) | ||||||||||||||||||
Total income (loss) from investment operations | (0.14 | ) | 1.61 | (0.68 | ) | 1.29 | 0.38 | (0.12 | ) | ||||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||||
Net investment income | - | (0.20 | ) | (0.15 | ) | (0.15 | ) | (0.09 | ) | (0.04 | ) | ||||||||||||||||
Net realized gains | - | (0.16 | ) | - | - | - | - | ||||||||||||||||||||
Total distributions from net investment income and net realized gains | - | (0.36 | ) | (0.15 | ) | (0.15 | ) | (0.09 | ) | (0.04 | ) | ||||||||||||||||
Net asset value, end of period | $ | 12.37 | $ | 12.51 | $ | 11.26 | $ | 12.09 | $ | 10.95 | $ | 10.66 | |||||||||||||||
Total return (c) | (1.12 | )% | 14.34 | % | (5.66 | )% | 11.80 | % | 3.55 | % | (1.10 | )% | |||||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||||||
Net assets, end of period (in 000's) | $ | 78,918 | $ | 83,411 | $ | 81,748 | $ | 95,893 | $ | 101,046 | $ | 83,310 | |||||||||||||||
Ratio of net expenses to average net assets (d) | 0.92 | % (e) | 0.91 | % | 0.91 | % (f) | 0.91 | % | 0.91 | % | 0.91 | % | |||||||||||||||
Ratio of gross expenses to average net assets (d) | 0.92 | % (e) | 0.91 | % (g) | 0.91 | % | 0.91 | % (g) | 0.92 | % (g) | 0.92 | % (g) | |||||||||||||||
Ratio of net investment income to average net assets (b,d) | 1.02 | % (e) | 1.54 | % | 1.42 | % | 1.14 | % | 1.23 | % | 1.16 | % | |||||||||||||||
Portfolio turnover rate | 104 | % (h) | 107 | % | 75 | % | 49 | % | 51 | % | 32 | % |
(a) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(b) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(c) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns would have been lower absent fee waivers by the Adviser.
(d) Does not include the expenses of the investment companies in which the Portfolio invests.
(e) Annualized.
(f) Represents the ratio of expenses to average net assets inclusive of the Adviser's recapture of waived/reimbursed fees from prior periods.
(g) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(h) Not annualized.
See accompanying notes to financial statements.
55
Global Atlantic Portfolios
Financial Highlights
Global Atlantic BlackRock Selects Managed Risk Portfolio
Selected data for a Class II share outstanding throughout each period indicated
For the Six Months Ended June 30, 2020 (unaudited) | For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.49 | $ | 9.15 | $ | 10.11 | $ | 9.04 | $ | 9.35 | $ | 10.27 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (a,b) | 0.01 | 0.15 | 0.04 | 0.16 | 0.06 | 0.16 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.17 | ) | 1.24 | (0.82 | ) | 0.97 | (0.06 | ) | (0.52 | ) | |||||||||||||||||
Total income (loss) from investment operations | (0.16 | ) | 1.39 | (0.78 | ) | 1.13 | 0.00 | (c) | (0.36 | ) | |||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||||
Net investment income | - | (0.05 | ) | (0.18 | ) | (0.06 | ) | (0.12 | ) | (0.16 | ) | ||||||||||||||||
Net realized gains | - | - | - | - | (0.19 | ) | (0.40 | ) | |||||||||||||||||||
Total distributions from net investment income and net realized gains | - | (0.05 | ) | (0.18 | ) | (0.06 | ) | (0.31 | ) | (0.56 | ) | ||||||||||||||||
Net asset value, end of period | $ | 10.33 | $ | 10.49 | $ | 9.15 | $ | 10.11 | $ | 9.04 | $ | 9.35 | |||||||||||||||
Total return (d) | (1.53 | )% | 15.22 | % | (7.78 | )% | 12.54 | % | 0.02 | % | (3.44 | )% | |||||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||||||
Net assets, end of each year (in 000's) | $ | 227,400 | $ | 243,853 | $ | 241,801 | $ | 285,869 | $ | 274,284 | $ | 272,598 | |||||||||||||||
Ratio of net expenses to average net assets (e) | 0.91 | % (f) | 0.80 | % | 0.57 | % | 0.57 | % | 0.57 | % | 0.57 | % | |||||||||||||||
Ratio of gross expenses to average net assets (e,g) | 0.91 | % (f) | 1.02 | % | 1.24 | % | 1.26 | % | 1.27 | % | 1.26 | % | |||||||||||||||
Ratio of net investment income to average net assets (b,e) | 0.29 | % (f) | 1.47 | % | 3.87 | % | 1.66 | % | 0.64 | % | 1.61 | % | |||||||||||||||
Portfolio turnover rate | 68 | % (h) | 154 | % | 7 | % | 1 | % | 7 | % | 1 | % |
(a) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(b) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(c) Less than $0.005 per share.
(d) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns would have been lower absent fee waivers by the Adviser.
(e) Does not include the expenses of the investment companies in which the Portfolio invests.
(f) Annualized.
(g) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(h) Not annualized.
See accompanying notes to financial statements.
56
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Selected data for a Class II share outstanding throughout each period indicated
For the Six Months Ended June 30, 2020 (unaudited) | For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.45 | $ | 11.31 | $ | 12.13 | $ | 10.64 | $ | 9.78 | $ | 10.57 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (a,b) | 0.06 | 0.16 | 0.15 | 0.12 | 0.13 | 0.12 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.72 | ) | 2.14 | (0.85 | ) | 1.48 | 0.81 | (0.87 | ) | ||||||||||||||||||
Total income (loss) from investment operations | (0.66 | ) | 2.30 | (0.70 | ) | 1.60 | 0.94 | (0.75 | ) | ||||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||||
Net investment income | - | (0.16 | ) | (0.12 | ) | (0.11 | ) | (0.08 | ) | (0.04 | ) | ||||||||||||||||
Net asset value, end of period | $ | 12.79 | $ | 13.45 | $ | 11.31 | $ | 12.13 | $ | 10.64 | $ | 9.78 | |||||||||||||||
Total return (c) | (4.91 | )% | 20.40 | % | (5.82 | )% | 15.14 | % | 9.60 | % | (7.09 | )% | |||||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||||||
Net assets, end of period (in 000's) | $ | 261,519 | $ | 292,240 | $ | 264,283 | $ | 302,607 | $ | 236,401 | $ | 162,144 | |||||||||||||||
Ratio of net expenses to average net assets (d) | 1.16 | % (e) | 1.16 | % | 1.15 | % | 1.13 | % | 1.08 | % | 1.08 | % | |||||||||||||||
Ratio of gross expenses to average net assets (d,f) | 1.22 | % (e) | 1.21 | % | 1.19 | % | 1.24 | % | 1.22 | % | 1.21 | % | |||||||||||||||
Ratio of net investment income to average net assets (b,d) | 0.96 | % (e) | 1.24 | % | 1.24 | % | 1.04 | % | 1.22 | % | 1.13 | % | |||||||||||||||
Portfolio turnover rate | 15 | % (g,h) | 20 | % (h) | 24 | % (h) | 43 | % (h) | 3 | % | 3 | % |
(a) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(b) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(c) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns would have been lower absent fee waivers by the Adviser.
(d) Does not include the expenses of the investment companies or fees on swaps in which the Portfolio invests.
(e) Annualized.
(f) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(g) Not annualized.
(h) The portfolio turnover rate excludes mortgage dollar roll transactions for the six months ended June 30, 2020 and the years ended December 31, 2019, December 31, 2018 and December 31, 2017. If these were included in the calculation, the turnover percentage would be 34%, 55%, 48% and 55%, respectively.
See accompanying notes to financial statements.
57
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
Selected data for a Class II share outstanding throughout each period indicated
For the Six Months Ended June 30, 2020 (unaudited) | For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | For the Period Ended December 31, 2015 (a) | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.83 | $ | 9.57 | $ | 10.63 | $ | 9.87 | $ | 9.48 | $ | 10.00 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (b,c) | 0.00 | (d) | 0.10 | 0.10 | 0.04 | 0.04 | 0.01 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.12 | 1.26 | (0.71 | ) | 0.75 | 0.35 | (0.53 | ) | |||||||||||||||||||
Total income (loss) from investment operations | 0.12 | 1.36 | (0.61 | ) | 0.79 | 0.39 | (0.52 | ) | |||||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||||
Net investment income | - | (0.10 | ) | (0.05 | ) | (0.03 | ) | 0.00 | (d) | 0.00 | (d) | ||||||||||||||||
Net realized gains | - | - | (0.40 | ) | - | - | - | ||||||||||||||||||||
Total distributions from net investment income and net realized gains | - | (0.10 | ) | (0.45 | ) | (0.03 | ) | 0.00 | (d) | 0.00 | (d) | ||||||||||||||||
Net asset value, end of period | $ | 10.95 | $ | 10.83 | $ | 9.57 | $ | 10.63 | $ | 9.87 | $ | 9.48 | |||||||||||||||
Total return (e) | 1.11 | % | 14.21 | % | (5.74 | )% | 8.04 | % | 4.12 | % | (5.17 | )% | |||||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||||||
Net assets, end of period (in 000's) | $ | 33,254 | $ | 32,576 | $ | 30,740 | $ | 34,626 | $ | 30,792 | $ | 16,249 | |||||||||||||||
Ratio of net expenses to average net assets (f) | 1.17 | % (g) | 1.17 | % | 1.16 | % | 1.16 | % | 1.16 | % | 1.16 | % (g) | |||||||||||||||
Ratio of gross expenses to average net assets (f,h) | 1.22 | % (g) | 1.23 | % | 1.20 | % | 1.21 | % | 1.21 | % | 1.22 | % (g) | |||||||||||||||
Ratio of net investment income to average net assets (c,f) | 0.09 | % (g) | 0.96 | % | 0.94 | % | 0.37 | % | 0.43 | % | 0.10 | % (g) | |||||||||||||||
Portfolio turnover rate | 139 | % (i) | 220 | % | 142 | % | 241 | % | 101 | % | 14 | % (i) |
(a) Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio commenced operations on April 30, 2015.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(c) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(d) Less than $0.005 per share.
(e) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(f) Does not include the expenses of the investment companies in which the Portfolio invests.
(g) Annualized.
(h) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(i) Not annualized.
See accompanying notes to financial statements.
58
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Growth Managed Risk Portfolio
Selected data for a Class II share outstanding throughout each period indicated
For the Six Months Ended June 30, 2020 (unaudited) | For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.32 | $ | 10.67 | $ | 11.64 | $ | 10.03 | $ | 9.91 | $ | 10.49 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (a,b) | 0.05 | 0.16 | 0.14 | 0.11 | 0.13 | 0.13 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.62 | ) | 1.66 | (0.99 | ) | 1.65 | 0.09 | (0.68 | ) | ||||||||||||||||||
Total income (loss) from investment operations | (0.57 | ) | 1.82 | (0.85 | ) | 1.76 | 0.22 | (0.55 | ) | ||||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||||
Net investment income | - | (0.17 | ) | (0.12 | ) | (0.15 | ) | (0.10 | ) | (0.03 | ) | ||||||||||||||||
Total distributions from net investment income and net realized gains | - | (0.17 | ) | (0.12 | ) | (0.15 | ) | (0.10 | ) | (0.03 | ) | ||||||||||||||||
Net asset value, end of period | $ | 11.75 | $ | 12.32 | $ | 10.67 | $ | 11.64 | $ | 10.03 | $ | 9.91 | |||||||||||||||
Total return (c) | (4.63 | )% | 17.11 | % | (7.33 | )% | 17.61 | % | 2.23 | % | (5.23 | )% | |||||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||||||
Net assets, end of each period (in 000's) | $ | 390,596 | $ | 431,557 | $ | 423,635 | $ | 489,447 | $ | 467,767 | $ | 461,355 | |||||||||||||||
Ratio of net expenses to average net assets (d) | 0.88 | % (e) | 0.89 | % | 0.91 | % (f) | 0.91 | % | 0.91 | % | 0.91 | % | |||||||||||||||
Ratio of gross expenses to average net assets (d) | 0.91 | % (e) | 0.91 | % (g) | 0.89 | % | 0.91 | % (g) | 0.92 | % (g) | 0.92 | % (g) | |||||||||||||||
Ratio of net investment income to average net assets (b,d) | 0.87 | % (e) | 1.38 | % | 1.24 | % | 1.04 | % | 1.32 | % | 1.22 | % | |||||||||||||||
Portfolio turnover rate | 90 | % (h) | 69 | % | 53 | % | 51 | % | 59 | % | 23 | % |
(a) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(b) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(c) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns would have been lower absent fee waivers by the Adviser.
(d) Does not include the expenses of the investment companies in which the Portfolio invests.
(e) Annualized.
(f) Represents the ratio of expenses to average net assets inclusive of the Adviser's recapture of waived/reimbursed fees from prior periods.
(g) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(h) Not annualized.
See accompanying notes to financial statements.
59
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Moderate Growth Managed Risk Portfolio
Selected data for a Class II share outstanding throughout each period indicated
For the Six Months Ended June 30, 2020 (unaudited) | For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.57 | $ | 11.00 | $ | 11.90 | $ | 10.52 | $ | 10.20 | $ | 10.50 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (a,b) | 0.06 | 0.17 | 0.16 | 0.12 | 0.13 | 0.13 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.41 | ) | 1.58 | (0.93 | ) | 1.40 | 0.28 | (0.40 | ) | ||||||||||||||||||
Total income (loss) from investment operations | (0.35 | ) | 1.75 | (0.77 | ) | 1.52 | 0.41 | (0.27 | ) | ||||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||||
Net investment income | - | (0.18 | ) | (0.13 | ) | (0.14 | ) | (0.09 | ) | (0.03 | ) | ||||||||||||||||
Total distributions from net investment income and net realized gains | - | (0.18 | ) | (0.13 | ) | (0.14 | ) | (0.09 | ) | (0.03 | ) | ||||||||||||||||
Net asset value, end of period | $ | 12.22 | $ | 12.57 | $ | 11.00 | $ | 11.90 | $ | 10.52 | $ | 10.20 | |||||||||||||||
Total return (c) | (2.79 | )% | 15.94 | % | (6.50 | )% | 14.47 | % | 4.05 | % | (2.57 | )% | |||||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||||||
Net assets, end of each period (in 000's) | $ | 133,837 | $ | 143,221 | $ | 135,945 | $ | 153,178 | $ | 142,389 | $ | 127,725 | |||||||||||||||
Ratio of net expenses to average net assets (d) | 0.91 | % (e) | 0.91 | % | 0.91 | % (f) | 0.91 | % | 0.91 | % | 0.91 | % | |||||||||||||||
Ratio of gross expenses to average net assets (d) | 0.91 | % (e)(g) | 0.91 | % (g) | 0.89 | % | 0.91 | % (g) | 0.92 | % (g) | 0.92 | % (g) | |||||||||||||||
Ratio of net investment income to average net assets (b,d) | 0.94 | % (e) | 1.46 | % | 1.35 | % | 1.09 | % | 1.26 | % | 1.21 | % | |||||||||||||||
Portfolio turnover rate | 97 | % (h) | 91 | % | 65 | % | 52 | % | 59 | % | 21 | % |
(a) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(b) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(c) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns would have been lower absent fee waivers by the Adviser.
(d) Does not include the expenses of the investment companies in which the Portfolio invests.
(e) Annualized.
(f) Represents the ratio of expenses to average net assets inclusive of the Adviser's recapture of waived/reimbursed fees from prior periods.
(g) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(h) Not annualized.
See accompanying notes to financial statements.
60
Global Atlantic Portfolios
Financial Highlights
Global Atlantic PIMCO Tactical Allocation Portfolio
Selected data for a Class II share outstanding throughout each period indicated
For the Six Months Ended June 30, 2020 (unaudited) | For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | For the Period Ended December 31, 2015 (a) | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.61 | $ | 9.90 | $ | 11.12 | $ | 9.73 | $ | 9.45 | $ | 10.00 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (b,c) | 0.05 | 0.16 | 0.14 | 0.09 | 0.11 | 0.04 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.03 | 1.67 | (0.87 | ) | 1.34 | 0.26 | (0.51 | ) | |||||||||||||||||||
Total income (loss) from investment operations | 0.08 | 1.83 | (0.73 | ) | 1.43 | 0.37 | (0.47 | ) | |||||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||||
Net investment income | - | (0.12 | ) | (0.11 | ) | (0.04 | ) | (0.09 | ) | (0.08 | ) | ||||||||||||||||
Net realized gains | - | - | (0.38 | ) | - | - | - | ||||||||||||||||||||
Total distributions from net investment income and net realized gains | - | (0.12 | ) | (0.49 | ) | (0.04 | ) | (0.09 | ) | (0.08 | ) | ||||||||||||||||
Net asset value, end of period | $ | 11.69 | $ | 11.61 | $ | 9.90 | $ | 11.12 | $ | 9.73 | $ | 9.45 | |||||||||||||||
Total return (d) | 0.69 | % | 18.37 | % | (6.65 | )% | 14.66 | % | 3.91 | % | (4.72 | )% | |||||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||||||
Net assets, end of period (in 000's) | $ | 25,736 | $ | 26,889 | $ | 24,339 | $ | 25,496 | $ | 20,356 | $ | 13,215 | |||||||||||||||
Ratio of net expenses to average net assets (e) | 1.15 | % (f) | 1.15 | % | 1.14 | % | 1.14 | % | 1.14 | % | 1.14 | % (f) | |||||||||||||||
Ratio of gross expenses to average net assets (e,g) | 1.31 | % (f) | 1.25 | % | 1.20 | % | 1.21 | % | 1.21 | % | 1.22 | % (f) | |||||||||||||||
Ratio of net investment income to average net assets (c,e) | 0.90 | % (f) | 1.43 | % | 1.29 | % | 0.83 | % | 1.15 | % | 0.61 | % (f) | |||||||||||||||
Portfolio turnover rate | 263 | % (h,i) | 782 | % (i) | 207 | % (i) | 403 | % (i) | 66 | % (i) | 128 | % (h,i) |
(a) Global Atlantic PIMCO Tactical Allocation Portfolio commenced operations on April 30, 2015.
(b) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(c) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(d) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns for periods less than one year are not annualized. Total returns would have been lower absent fee waivers by the Adviser.
(e) Does not include the expenses of the investment companies or fees on swaps in which the Portfolio invests.
(f) Annualized.
(g) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(h) Not annualized.
(i) The portfolio turnover rates excludes mortgage dollar roll transactions for the six months ended June 30, 2020 and the years ended December 31, 2019, December 31, 2018, December 31,2017, December 31, 2016, and the period ended December 31, 2015. If these were included in the calculation, the turnover percentage would be 396%, 891%, 376%, 455%, 304%, and 220%, respectively.
See accompanying notes to financial statements.
61
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Select Advisor Managed Risk Portfolio
Selected data for a Class II share outstanding throughout each period indicated
For the Six Months Ended June 30, 2020 (unaudited) | For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.23 | $ | 11.53 | $ | 12.55 | $ | 11.04 | $ | 10.62 | $ | 10.97 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (a,b) | 0.05 | 0.21 | 0.13 | 0.11 | 0.14 | 0.15 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.75 | ) | 2.05 | (0.87 | ) | 1.55 | 0.40 | (0.46 | ) | ||||||||||||||||||
Total income (loss) from investment operations | (0.70 | ) | 2.26 | (0.74 | ) | 1.66 | 0.54 | (0.31 | ) | ||||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||||
Net investment income | - | (0.15 | ) | (0.12 | ) | (0.15 | ) | (0.12 | ) | (0.04 | ) | ||||||||||||||||
Net realized gains | - | (0.41 | ) | (0.16 | ) | - | - | - | |||||||||||||||||||
Total distributions from net investment income and net realized gains | - | (0.56 | ) | (0.28 | ) | (0.15 | ) | (0.12 | ) | (0.04 | ) | ||||||||||||||||
Net asset value, end of period | $ | 12.53 | $ | 13.23 | $ | 11.53 | $ | 12.55 | $ | 11.04 | $ | 10.62 | |||||||||||||||
Total return (c) | (5.29 | )% | 19.96 | % | (5.99 | )% | 15.06 | % | 5.10 | % | (2.81 | )% | |||||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||||||
Net assets, end of period (in 000's) | $ | 102,704 | $ | 114,371 | $ | 107,874 | $ | 119,955 | $ | 110,443 | $ | 105,716 | |||||||||||||||
Ratio of net expenses to average net assets (d) | 0.64 | % (e) | 0.64 | % | 0.63 | % | 0.63 | % | 0.63 | % | 0.63 | % | |||||||||||||||
Ratio of gross expenses to average net assets (d,f) | 1.26 | % (e) | 1.27 | % | 1.24 | % | 1.26 | % | 1.27 | % | 1.26 | % | |||||||||||||||
Ratio of net investment income to average net assets (b,d) | 0.73 | % (e) | 1.68 | % | 1.07 | % | 0.95 | % | 1.26 | % | 1.42 | % | |||||||||||||||
Portfolio turnover rate | 21 | % (g) | 22 | % | 32 | % | 36 | % | 45 | % | 21 | % |
(a) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(b) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(c) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns would have been lower absent fee waivers by the Adviser.
(d) Does not include the expenses of the investment companies in which the Portfolio invests.
(e) 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.
62
Global Atlantic Portfolios
Financial Highlights
Global Atlantic Wellington Research Managed Risk Portfolio
Selected data for a Class II share outstanding throughout each period indicated
For the Six Months Ended June 30, 2020 (unaudited) | For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | For the Year Ended December 31, 2015 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.00 | $ | 12.38 | $ | 13.40 | $ | 11.82 | $ | 11.32 | $ | 11.25 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (a,b) | 0.05 | 0.13 | 0.12 | 0.09 | 0.08 | 0.06 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.22 | ) | 2.23 | (0.79 | ) | 1.56 | 0.42 | 0.03 | (c) | ||||||||||||||||||
Total income (loss) from investment operations | (0.17 | ) | 2.36 | (0.67 | ) | 1.65 | 0.50 | 0.09 | |||||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||||
Net investment income | - | (0.13 | ) | (0.09 | ) | (0.07 | ) | - | (0.01 | ) | |||||||||||||||||
Net realized gains | - | (0.61 | ) | (0.26 | ) | - | - | (0.01 | ) | ||||||||||||||||||
Total distributions from net investment income and net realized gains | - | (0.74 | ) | (0.35 | ) | (0.07 | ) | - | (0.02 | ) | |||||||||||||||||
Net asset value, end of period | $ | 13.83 | $ | 14.00 | $ | 12.38 | $ | 13.40 | $ | 11.82 | $ | 11.32 | |||||||||||||||
Total return (d) | (1.21 | )% | 19.32 | % | (5.07 | )% | 13.99 | % | 4.68 | % | 0.75 | % | |||||||||||||||
Ratios and Supplemental Data: | |||||||||||||||||||||||||||
Net assets, end of each period (in 000's) | $ | 423,719 | $ | 448,554 | $ | 414,731 | $ | 478,812 | $ | 415,607 | $ | 335,250 | |||||||||||||||
Ratio of net expenses to average net assets (e) | 1.21 | % (f) | 1.20 | % | 1.20 | % (j) | 1.20 | % | 1.20 | % | 1.20 | % | |||||||||||||||
Ratio of gross expenses to average net assets (e) | 1.22 | % (f,g) | 1.21 | % (g) | 1.19 | % | 1.21 | % (g) | 1.21 | % (g) | 1.21 | % (g) | |||||||||||||||
Ratio of net investment income to average net assets (b,e) | 0.75 | % (f) | 0.93 | % | 0.89 | % | 0.68 | % | 0.65 | % | 0.49 | % | |||||||||||||||
Portfolio turnover rate | 34 | % (i) | 53 | % (i) | 66 | % (i) | 67 | % (i) | 71 | % (i) | 91 | % (i) |
(a) Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.
(b) Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.
(c) Realized and unrealized losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with aggregate gains and losses in the statement of operations due to the share transactions for the period.
(d) Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions. Total return does not reflect the deduction of taxes that a shareholder may pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Total returns would have been lower absent fee waivers by the Adviser.
(e) Does not include the expenses of the investment companies in which the Portfolio invests.
(f) Annualized.
(g) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.
(h) Not annualized.
(i) The portfolio turnover rates excludes mortgage dollar roll transactions for the six months ended June 30, 2020 and the years ended December 31, 2019, December 31, 2018, December 31, 2017, December 31, 2016 and December 31, 2015. If these were included in the calculation the turnover percentage would be 46%, 70%, 92%, 106%, 120%, and 175%, respectively.
(j) Represents the ratio of expenses to average net assets inclusive of the Adviser's recapture of waived/reimbursed fees from prior periods.
See accompanying notes to financial statements.
63
Global Atlantic Portfolios
Notes to Financial Statements (Unaudited)
June 30, 2020
1. ORGANIZATION
The Global Atlantic Portfolios (each, a "Portfolio" and collectively, the "Portfolios") are comprised of twenty-three different actively managed portfolios, ten of which are discussed in this report. Each Portfolio is a series of shares of beneficial interest of Forethought Variable Insurance Trust (the "Trust"), a statutory trust organized under the laws of the State of Delaware, and registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company.
Portfolio | Commencement Date | Investment Objective | |||||||||
Global Atlantic American Funds® Managed Risk Portfolio | October 31, 2013 | Capital appreciation and income while seeking to manage volatility. | |||||||||
Global Atlantic Balanced Managed Risk Portfolio | October 31, 2013 | Capital appreciation and income while seeking to manage volatility. | |||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | October 31, 2013 | Capital appreciation and income while seeking to manage volatility. | |||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | April 30, 2014 | Capital appreciation and income while seeking to manage volatility. | |||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | April 30, 2015 | Capital appreciation and income while seeking to manage volatility. | |||||||||
Global Atlantic Growth Managed Risk Portfolio | April 30, 2014 | Capital appreciation and income while seeking to manage volatility. | |||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | April 30, 2014 | Capital appreciation and income while seeking to manage volatility. | |||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | April 30, 2015 | Capital appreciation and income while seeking to manage volatility. | |||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | October 31, 2013 | Capital appreciation and income while seeking to manage volatility. | |||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | October 31, 2013 | Capital appreciation and income while seeking to manage volatility. |
Each of the Portfolios in this report is diversified. Certain of the Portfolios operate as "fund of funds." A "fund of funds" typically invests in multiple underlying funds and the level of its interest in any particular underlying fund may fluctuate. The Portfolios are intended to be funding vehicles for variable annuity contracts offered by the separate accounts of Forethought Life Insurance Company. The assets of each Portfolio are segregated and a shareholder's interest is limited to the Portfolio in which shares are held. Each Portfolio pays its own expenses.
The Portfolios currently offer Class II shares at net asset value.
References herein to a Portfolio's investment in a particular instrument include direct investments and indirect investments through investment companies such as open-end funds (mutual funds), exchange-traded funds and closed-end funds, as applicable.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the Portfolios in preparation of their financial statements. The policies are in conformity with U.S. generally accepted accounting principles ("US GAAP"). The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. Each Portfolio is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standard Codification Topic 946 "Financial Services – Investment Companies".
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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 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 Investments – Pursuant to Rule 22e-4 under the 1940 Act, a Portfolio may not acquire any "illiquid investment" if, immediately after the acquisition, the Portfolio would have invested more than 15% of its net assets in illiquid investments that are assets. An "illiquid investment" is any investment that a Portfolio reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Trust has implemented a liquidity risk management program and related procedures to identify illiquid investments pursuant to Rule 22e-4, and the Board of Trustees ("Board") has approved the designation of the Adviser to administer the Trust's liquidity risk management program and related procedures. Illiquid investments include securities subject to contractual or legal restrictions on resale (e.g., because they have not been registered under the Securities Act of 1933) and securities that are otherwise not readily marketable (e.g., because trading in the security is suspended or because market makers do not exist or will not entertain bids or offers).
These investments will be valued at their fair market value as determined using the valuation procedures approved by the Board of Trustees Board. The Board has delegated execution of these procedures to a Fair Value Committee composed of one or more of the following: (i) Chief Compliance Officer of the Trust, (ii) Principal Financial Officer, and iii) representative of the Global Atlantic Investment Advisors, LLC (the "Adviser") and/or Sub-Adviser. The Fair Value Committee at its discretion may also include a representative from the Administrator and 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 of the following: (i) Chief Compliance Officer of the Trust, (ii) Principal Financial Officer, and (iii) representative of the Adviser and/or Sub-adviser. The Fair Value Committee at its discretion may also include a representative from the Administrator and 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 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
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quotations are not readily available on a particular business day (including without limitation securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source); (ii) securities for which, in the opinion of the Adviser or relevant Sub-Adviser, the prices or values available do not represent the fair value of the instrument (factors which may cause the Adviser or Sub-Adviser to make such a judgment include, but are not limited to, the following: the availability of only a bid price or an ask price; the spread between bid and ask prices; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets or regulators, such as the suspension or limitation of trading); (iii) securities determined to be illiquid; (iv) securities with respect to which an event that will affect the value thereof has occurred (a "significant event") subsequent to the determination of the closing price reported on the principal exchange on which the securities are traded, but prior to the relevant Portfolio's calculation of its net asset value ("NAV"); and (v) mutual funds that do not provide timely NAV information. Specifically, interests in commodity pools or managed futures pools are valued on a daily basis by reference to the closing market prices of each futures contract or other asset held by a pool, as adjusted for pool expenses. Restricted or illiquid securities, such as private placements or non-traded securities are valued via inputs from the Adviser or Sub-Adviser valuation based upon the current bid for the security from two or more 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 certain factors, such as, but not limited to: (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.
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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 June 30, 2020 for each Portfolio's investments measured at fair value:
Global Atlantic American Funds® Managed Risk Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Variable Insurance Trusts | $ | 205,927,580 | $ | - | $ | - | $ | 205,927,580 | |||||||||||
Short-Term Investments | 7,126,386 | - | - | 7,126,386 | |||||||||||||||
Total | $ | 213,053,966 | $ | - | $ | - | $ | 213,053,966 | |||||||||||
Liabilities | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures Contracts* | $ | 679,595 | $ | - | $ | - | $ | 679,595 | |||||||||||
Total | $ | 679,595 | $ | - | $ | - | $ | 679,595 |
Global Atlantic Balanced Managed Risk Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Exchange Traded Funds | $ | 75,290,702 | $ | - | $ | - | $ | 75,290,702 | |||||||||||
Short-Term Investments | 2,806,077 | - | - | 2,806,077 | |||||||||||||||
Total | $ | 78,096,779 | $ | - | $ | - | $ | 78,096,779 | |||||||||||
Liabilities | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures Contracts* | $ | 234,855 | $ | - | $ | - | $ | 234,855 | |||||||||||
Total | $ | 234,855 | $ | - | $ | - | $ | 234,855 |
Global Atlantic BlackRock Selects Managed Risk Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Exchange Traded Funds | $ | 166,732,157 | $ | - | $ | - | $ | 166,732,157 | |||||||||||
Variable Insurance Trusts | 49,836,606 | - | - | 49,836,606 | |||||||||||||||
Short-Term Investments | 8,394,748 | - | - | 8,394,748 | |||||||||||||||
Total | $ | 224,963,511 | $ | - | $ | - | $ | 224,963,511 | |||||||||||
Liabilities | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures Contracts* | $ | 872,120 | $ | - | $ | - | $ | 872,120 | |||||||||||
Total | $ | 872,120 | $ | - | $ | - | $ | 872,120 |
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 187,057,426 | $ | - | $ | - | $ | 187,057,426 | |||||||||||
Corporate Bonds and Notes | - | 27,286,254 | - | 27,286,254 | |||||||||||||||
Asset Backed and Commercial Backed Securities | - | 17,214,132 | - | 17,214,132 | |||||||||||||||
Agency Mortgage Backed Securities | - | 12,752,414 | - | 12,752,414 | |||||||||||||||
U.S. Treasury Securities | - | 5,858,368 | - | 5,858,368 | |||||||||||||||
Sovereign Debts | - | 3,490,994 | - | 3,490,994 | |||||||||||||||
Term Loans | - | 1,848,734 | - | 1,848,734 | |||||||||||||||
Municipal Bonds | - | 1,645,769 | - | 1,645,769 | |||||||||||||||
Short-Term Investments | 9,204,934 | - | - | 9,204,934 | |||||||||||||||
Futures Contracts* | 76,863 | - | - | 76,863 | |||||||||||||||
Swap Contracts | - | 74,398 | - | 74,398 | |||||||||||||||
Forward Foreign Currency Contracts | - | 88,105 | - | 88,105 | |||||||||||||||
Total | $ | 196,339,223 | $ | 70,259,168 | $ | - | $ | 266,598,391 |
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Global Atlantic Franklin Dividend and Income Managed Risk Portfolio (Continued)
Liabilities | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures Contracts* | $ | 1,590,422 | $ | - | $ | - | $ | 1,590,422 | |||||||||||
Swap Contracts | - | 203,770 | - | 203,770 | |||||||||||||||
Forward Foreign Currency Contracts | - | 253,145 | - | 253,145 | |||||||||||||||
Total | $ | 1,590,422 | $ | 456,915 | $ | - | $ | 2,047,337 |
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
U.S. Treasury Securities | $ | - | $ | 17,370,834 | $ | - | $ | 17,370,834 | |||||||||||
Exchange Traded Funds | 10,763,313 | - | - | 10,763,313 | |||||||||||||||
Short-Term Investments | 4,807,747 | - | - | 4,807,747 | |||||||||||||||
Futures Contracts* | - | - | - | - | |||||||||||||||
Total | $ | 15,571,060 | $ | 17,370,834 | $ | - | $ | 32,941,894 | |||||||||||
Liabilities | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures Contracts* | $ | 55,824 | $ | - | $ | - | $ | 55,824 | |||||||||||
Total | $ | 55,824 | $ | - | $ | - | $ | 55,824 |
Global Atlantic Growth Managed Risk Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Exchange Traded Funds | $ | 372,238,441 | $ | - | $ | - | $ | 372,238,441 | |||||||||||
Short-Term Investments | 8,364,228 | - | - | 8,364,228 | |||||||||||||||
Total | $ | 380,602,669 | $ | - | $ | - | $ | 380,602,669 | |||||||||||
Liabilities | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures Contracts* | $ | 3,261,898 | $ | - | $ | - | $ | 3,261,898 | |||||||||||
Total | $ | 3,261,898 | $ | - | $ | - | $ | 3,261,898 |
Global Atlantic Moderate Growth Managed Risk Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Exchange Traded Funds | $ | 127,390,323 | $ | - | $ | - | $ | 127,390,323 | |||||||||||
Short-Term Investments | 4,346,748 | - | - | 4,346,748 | |||||||||||||||
Total | $ | 131,737,071 | $ | - | $ | - | $ | 131,737,071 | |||||||||||
Liabilities | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures Contracts* | $ | 682,760 | $ | - | $ | - | $ | 682,760 | |||||||||||
Total | $ | 682,760 | $ | - | $ | - | $ | 682,760 |
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Global Atlantic PIMCO Tactical Allocation Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
U.S. Treasury Securities | $ | - | $ | 11,964,456 | $ | - | $ | 11,964,456 | |||||||||||
Exchange Traded Funds | 7,782,420 | - | - | 7,782,420 | |||||||||||||||
Agency Mortgage Backed Securities | - | 6,733,558 | - | 6,733,558 | |||||||||||||||
Corporate Bonds and Notes | - | 3,461,066 | - | 3,461,066 | |||||||||||||||
Asset Backed and Commercial Backed Securities | - | 1,283,364 | - | 1,283,364 | |||||||||||||||
Sovereign Debts | - | 448,626 | - | 448,626 | |||||||||||||||
Municipal Bonds | - | 89,885 | - | 89,885 | |||||||||||||||
Short-Term Investments | 62,536 | 2,099,590 | - | 2,162,126 | |||||||||||||||
Futures Contracts* | 23,411 | - | - | 23,411 | |||||||||||||||
Swap Contracts | - | 22,903 | - | 22,903 | |||||||||||||||
Forward Foreign Currency Contracts | - | 1,458 | - | 1,458 | |||||||||||||||
Total | $ | 7,868,367 | $ | 26,104,906 | $ | - | $ | 33,973,273 | |||||||||||
Liabilities | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Agency Mortgage Backed Securities (Securities Sold) | $ | - | $ | 107,453 | $ | - | $ | 107,453 | |||||||||||
Reverse Repurchase Agreements | - | 3,867,271 | - | 3,867,271 | |||||||||||||||
Futures Contracts* | 10,052 | - | - | 10,052 | |||||||||||||||
Swap Contracts | - | 74,553 | - | 74,553 | |||||||||||||||
Forward Foreign Currency Contracts | - | 1,402 | - | 1,402 | |||||||||||||||
Total | $ | 10,052 | $ | 4,050,679 | $ | - | $ | 4,060,731 |
Global Atlantic Select Advisor Managed Risk Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Variable Insurance Trusts | $ | 82,462,209 | $ | - | $ | - | $ | 82,462,209 | |||||||||||
Exchange Traded Funds | 15,692,378 | - | - | 15,692,378 | |||||||||||||||
Short-Term Investments | 2,609,843 | - | - | 2,609,843 | |||||||||||||||
Total | $ | 100,764,430 | $ | - | $ | - | $ | 100,764,430 | |||||||||||
Liabilities | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures Contracts* | $ | 534,920 | $ | - | $ | - | $ | 534,920 | |||||||||||
Total | $ | 534,920 | $ | - | $ | - | $ | 534,920 |
Global Atlantic Wellington Research Managed Risk Portfolio
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 262,897,370 | $ | - | $ | - | $ | 262,897,370 | |||||||||||
Corporate Bonds & Notes | - | 60,128,180 | - | 60,128,180 | |||||||||||||||
Agency and Mortgage Backed Securities | - | 25,517,665 | - | 25,517,665 | |||||||||||||||
Asset Backed and Commercial Backed Securities | - | 22,556,142 | - | 22,556,142 | |||||||||||||||
U.S. Treasury Securities | - | 21,868,822 | - | 21,868,822 | |||||||||||||||
Municipal Bonds | - | 4,021,630 | - | 4,021,630 | |||||||||||||||
Exchange Traded Funds | 2,643,570 | - | - | 2,643,570 | |||||||||||||||
Sovereign Debts | - | 1,308,986 | - | 1,308,986 | |||||||||||||||
Short-Term Investments | 31,984,068 | - | - | 31,984,068 | |||||||||||||||
Total | $ | 297,525,008 | $ | 135,401,425 | $ | - | $ | 432,926,433 |
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Global Atlantic Wellington Research Managed Risk Portfolio (Continued)
Liabilities | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Agency Mortgage Backed Securities (Securities Sold) | $ | - | $ | 1,369,266 | $ | - | $ | 1,369,266 | |||||||||||
Futures Contracts* | 2,463,126 | - | - | 2,463,126 | |||||||||||||||
Total | $ | 2,463,126 | $ | 1,369,266 | $ | - | $ | 3,832,392 |
* Net unrealized appreciation/(depreciation) as presented in the Portfolio of Investments.
The Portfolios did not hold any Level 3 securities during the period.
Security Transactions and Related Income – Security transactions are accounted for on a trade date basis. Interest income is recognized on an accrual basis. Discounts are accreted and premiums are amortized on securities purchased over the lives of the respective securities. Dividend income is recorded on the ex-dividend date. Realized gains or losses from sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds.
Dividends and Distributions to Shareholders – Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid annually. Dividends and distributions to shareholders are recorded on ex-date and are determined in accordance with Federal income tax regulations, which may differ from US GAAP. These "book/tax" differences are considered either temporary (e.g., deferred losses, capital loss carryforwards) or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their Federal tax-basis treatment; temporary differences do not require reclassification. These reclassifications have no effect on net assets, results from operations or net asset values per share of the Portfolios.
Cash and Cash Equivalents – Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. The Portfolios maintain deposits with a financial institution which are generally an amount that is in excess of federally insured limits. The Portfolios have not experienced any losses on their accounts.
Federal Income Tax – It is each Portfolio's policy to qualify as a regulated investment company by complying with the provisions of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of their taxable income and net realized gains to shareholders. Therefore, no Federal income tax provision is required.
Each Portfolio will recognize the tax benefits of uncertain tax positions only where the position is "more likely than not" to be sustained assuming examination by tax authorities. Management has analyzed each Portfolio's tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken in each Portfolio's 2017 and 2018 tax returns, or is expected to be taken in each Portfolio's December 31, 2019 tax return. Each Portfolio identified its major tax jurisdictions as U.S. Federal and foreign jurisdictions where the Portfolios make significant investments; however, the Portfolios are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
Foreign Currency Translation – The accounting records of the Portfolios are maintained in U.S. dollars. Foreign currencies, as well as investment securities and other assets and liabilities denominated in foreign currencies, are translated into U.S. dollars using exchange rates deemed appropriate by the investment adviser. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars on the respective dates of such transactions.
Net realized gains and losses on foreign currency transactions represent net gains and losses from currency realized between the trade and settlement dates on securities transactions and the difference between income accrued versus income received. The effects of changes in foreign currency exchange rates on investments in securities are included with the net realized and unrealized gain or loss on investments.
Forward Foreign Currency Contracts – As foreign securities are purchased, a Portfolio may enter into forward currency contracts in order to hedge against foreign currency exchange rate risks. A forward involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by
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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 six months ended June 30, 2020, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on forward foreign currency contracts subject to currency risk, as disclosed in the Statements of Operations, is as follows:
Realized Gain/(Loss) | Change in Unrealized Appreciation/(Depreciation) | ||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | - | $ | - | |||||||
Global Atlantic Balanced Managed Risk Portfolio | - | - | |||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | - | - | |||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | (34,510 | ) | (122,685 | ) | |||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | - | - | |||||||||
Global Atlantic Growth Managed Risk Portfolio | - | - | |||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | - | - | |||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 3,829 | (2,317 | ) | ||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | - | - | |||||||||
Global Atlantic Wellington Research Managed Risk 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 sell the security at the stated exercise price at any time prior to the expiration date of the option for American options or only at expiration for European options, regardless of the market price of the security.
Securities index options are put options and call options on various securities indices. In most respects, they are identical to listed options on common stocks. The primary difference between stock options and index options occurs when index options are exercised. In the case of stock options, the underlying security, common stock, is delivered. However, upon the exercise of an index option, settlement does not occur by delivery of the securities comprising the index. The option holder who exercises the index option receives an amount of cash if the closing level of the securities index upon which the option is based is greater than, in the case of a call, or less than, in the case of a put, the exercise price of the option. This amount of cash is equal to the difference between the closing price of the securities index and the exercise price of the option expressed in dollars times a specified multiple. A securities index fluctuates with changes in the market value of the stocks included in the index.
The Portfolios may purchase and sell options on the same types of futures in which it may invest. Options on futures are similar to options on underlying instruments except that options on futures give the purchaser the right, 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,
71
Global Atlantic Portfolios
Notes to Financial Statements (Unaudited) (Continued)
June 30, 2020
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 period ended June 30, 2020, the Global Atlantic Franklin Dividend had realized losses of $81,895 from option contracts written. For the period ended June 30, 2020, the Global Atlantic PIMCO Tactical Allocation Portfolio had realized gains of $4,121 from option contracts written.
Futures Contracts – The Portfolios are subject to equity price risk in the normal course of pursuing their investment objectives. The Portfolios may sell futures contracts to hedge against market risk, foreign currency exchange rate risks, and to reduce return volatility. Futures are standardized, exchange-traded contracts that provide for the future sale by one party and purchase by another party of a specified amount of a specific financial instrument (e.g., units of a securities index) for a specified price, date, time and place designated at the time the contract is made. Brokerage fees are incurred when a futures contract is bought or sold and initial and variation margin deposits must be maintained. Entering into a contract to buy is commonly referred to as buying or purchasing a contract or holding a long position. Entering into a contract to sell is commonly referred to as selling a contract or holding a short position. The Portfolios may also buy or sell hedge instruments based on one or more market indices in an attempt to maintain the Portfolios' volatility at a targeted level. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Portfolio's agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by "marking to market" on a daily basis to reflect the market value of the contracts at the end of each day's trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, a Portfolio recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Portfolio's basis in the contract. If a Portfolio were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Portfolio would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Each Portfolio segregates liquid securities having a value at least equal to the amount of the current obligation under any open futures contract. These amounts are disclosed on the Statements of Assets and Liabilities as Deposits with Brokers when applicable. Risks may exceed amounts recognized in the Statements of Assets and Liabilities. With futures, there is minimal counterparty credit risk to a Portfolio since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
For the six months ended June 30, 2020, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on futures contracts, as disclosed in the Statements of Operations, is as follows:
Risk Type | Realized Gain/(Loss) | Change in Unrealized Appreciation/(Depreciation) | |||||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | Equity | $ | (4,646,421 | ) | $ | (679,595 | ) | ||||||||
Global Atlantic Balanced Managed Risk Portfolio | Equity | (1,235,425 | ) | (234,855 | ) | ||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | Equity | (3,026,549 | ) | (872,120 | ) | ||||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | Equity | (4,099,309 | ) | (1,579,768 | ) | ||||||||||
Interest Rate | 699,495 | 194,789 | |||||||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | Equity | (1,100,592 | ) | (85,096 | ) | ||||||||||
Global Atlantic Growth Managed Risk Portfolio | Equity | (4,267,249 | ) | (3,261,898 | ) | ||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | Equity | (2,330,129 | ) | (682,760 | ) | ||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | Equity | - | (246,207 | ) | |||||||||||
Interest Rate | (161,955 | ) | (24,304 | ) | |||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | Equity | (2,002,220 | ) | (534,920 | ) | ||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | Equity | (5,971,696 | ) | (2,459,923 | ) | ||||||||||
Interest Rate | - | 8,062 |
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.
72
Global Atlantic Portfolios
Notes to Financial Statements (Unaudited) (Continued)
June 30, 2020
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 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 six months ended June 30, 2020, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on swap agreements, as disclosed in the Statements of Operations, is as follows:
Risk Type | Realized Gain/(Loss) | Change in Unrealized Appreciation/(Depreciation) | |||||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | - | $ | - | |||||||||||
Global Atlantic Balanced Managed Risk Portfolio | - | - | |||||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | - | - | |||||||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | Interest Rate | (308,295 | ) | (65,715 | ) | ||||||||||
Credit | - | (32,745 | ) | ||||||||||||
Currency | - | (6,118 | ) | ||||||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | - | - | |||||||||||||
Global Atlantic Growth Managed Risk Portfolio | - | - | |||||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | - | - | |||||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | Interest Rate | (27,678 | ) | (66,343 | ) | ||||||||||
Credit | - | (7,682 | ) | ||||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | - | - | |||||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | Credit | (60,382 | ) | - |
73
Global Atlantic Portfolios
Notes to Financial Statements (Unaudited) (Continued)
June 30, 2020
Repurchase and Reverse Repurchase Agreements Risk – Repurchase and reverse repurchase agreements involve the purchase or sale of securities held by the Portfolio with an agreement to resell or repurchase the securities at an agreed-upon price, date and interest payment. Repurchase transactions are subject to credit risk and counterparty risk. They also carry the risk that the market value of the securities may increase above the resell value or decline below the repurchase price. The Portfolio could also lose money if it is unable to recover the securities and the value of the collateral held by the Portfolio is less than the value of securities. Reverse repurchase agreements are a type of borrowing that may increase the possibility of fluctuation in the Portfolio's net asset value.
For the six months ended June 30, 2020, the average amount of reverse repurchase agreements outstanding and the daily average interest rate for the Global Atlantic PIMCO Tactical Allocation Portfolio was $1,063,036 and 0.21%, respectively.
Offsetting of Financial Assets/Liabilities and Derivative Assets/Liabilities – The following table presents certain of the Portfolios' asset/liability derivatives available for offset under a master netting arrangement net of collateral pledged as of June 30, 2020.
Global Atlantic American Funds® Managed Risk Portfolio
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. | $ | - | $ | - | $ | - | $ | - | $ | - | $ | (679,595 | ) | $ | - | $ | (679,595 | ) | $ | 679,595 | $ | - | |||||||||||||||||||||
Total | $ | - | $ | - | $ | - | $ | - | $ | - | $ | (679,595 | ) | $ | - | $ | (679,595 | ) | $ | 679,595 | $ | - |
Global Atlantic Balanced Managed Risk Portfolio
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. | $ | - | $ | - | $ | - | $ | - | $ | - | $ | (234,855 | ) | $ | - | $ | (234,855 | ) | $ | 234,855 | $ | - | |||||||||||||||||||||
Total | $ | - | $ | - | $ | - | $ | - | $ | - | $ | (234,855 | ) | $ | - | $ | (234,855 | ) | $ | 234,855 | $ | - |
Global Atlantic BlackRock Selects Managed Risk Portfolio
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. | $ | - | $ | - | $ | - | $ | - | $ | - | $ | (872,120 | ) | $ | - | $ | (872,120 | ) | $ | 872,120 | $ | - | |||||||||||||||||||||
Total | $ | - | $ | - | $ | - | $ | - | $ | - | $ | (872,120 | ) | $ | - | $ | (872,120 | ) | $ | 872,120 | $ | - |
74
Global Atlantic Portfolios
Notes to Financial Statements (Unaudited) (Continued)
June 30, 2020
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Gross Amounts of Recognized Assets (1) | Financial Instruments and Derivatives Available for Offset | Net Amount of Assets Presented in the Statements of Assets & Liabilities | Collateral Received (2) | Net Amount of Recognized Assets | Gross Amounts of Recognized Liabilities (1) | Financial Instruments and Derivatives Available for Offset | Net Amount of Liabilities Presented in the Statements of Assets & Liabilities | Collateral Pledged (2) | Net Amount of Recognized Liabilities | ||||||||||||||||||||||||||||||||||
Citibank, N.A. | $ | 68,360 | $ | (68,360 | ) | $ | - | $ | - | $ | - | $ | (210,761 | ) | $ | 68,360 | $ | (142,401 | ) | $ | 142,401 | $ | - | ||||||||||||||||||||
Deutsche Bank | 3,569 | (3,569 | ) | - | - | - | (5,606 | ) | 3,569 | (2,037 | ) | 2,037 | - | ||||||||||||||||||||||||||||||
Goldman Sachs & Co. | - | - | - | - | - | (1,579,768 | ) | - | (1,579,768 | ) | 1,579,768 | ||||||||||||||||||||||||||||||||
JP Morgan Securities, LLC | 167,457 | (167,457 | ) | - | - | - | (251,222 | ) | 167,457 | (83,765 | ) | 83,765 | - | ||||||||||||||||||||||||||||||
Total | $ | 239,386 | $ | (239,386 | ) | $ | - | $ | - | $ | - | $ | (2,047,357 | ) | $ | 239,386 | $ | (1,807,971 | ) | $ | 1,807,971 | $ | - |
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
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 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | (55,824 | ) | $ | - | $ | (55,824 | ) | $ | 55,824 | $ | - | |||||||||||||||||||||
Total | $ | - | $ | - | $ | - | $ | - | $ | - | $ | (55,824 | ) | $ | - | $ | (55,824 | ) | $ | 55,824 | $ | - |
Global Atlantic Moderate Growth Managed Risk Portfolio
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. | $ | - | $ | - | $ | - | $ | - | $ | - | $ | (682,760 | ) | $ | - | $ | (682,760 | ) | $ | 682,760 | $ | - | |||||||||||||||||||||
Total | $ | - | $ | - | $ | - | $ | - | $ | - | $ | (682,760 | ) | $ | - | $ | (682,760 | ) | $ | 682,760 | $ | - |
75
Global Atlantic Portfolios
Notes to Financial Statements (Unaudited) (Continued)
June 30, 2020
Global Atlantic PIMCO Tactical Allocation Portfolio
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 | ||||||||||||||||||||||||||||||||||
BofA Securities Inc. | $ | - | $ | - | $ | - | $ | - | $ | - | $ | (3,867,271 | ) | $ | - | $ | (3,867,271 | ) | $ | 3,867,271 | $ | - | |||||||||||||||||||||
Barclays Bank PLC | 1,458 | (1,420 | ) | 56 | - | 56 | (1,420 | ) | 1,420 | - | - | - | |||||||||||||||||||||||||||||||
Goldman Sachs & Co. | 46,314 | (46,314 | ) | - | - | - | (84,605 | ) | 46,314 | (38,291 | ) | 38,291 | - | ||||||||||||||||||||||||||||||
Total | $ | 47,772 | $ | (47,734 | ) | $ | 56 | $ | - | $ | 56 | $ | (3,953,296 | ) | $ | 47,734 | $ | (3,905,562 | ) | $ | 3,905,562 | $ | - |
Global Atlantic Select Advisor Managed Risk Portfolio
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. | $ | - | $ | - | $ | - | $ | - | $ | - | $ | (534,920 | ) | $ | - | $ | (534,920 | ) | $ | 534,920 | $ | - | |||||||||||||||||||||
Total | $ | - | $ | - | $ | - | $ | - | $ | - | $ | (534,920 | ) | $ | - | $ | (534,920 | ) | $ | 534,920 | $ | - |
Global Atlantic Wellington Research Managed Risk Portfolio
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 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | (3,203 | ) | $ | - | $ | (3,203 | ) | $ | 3,203 | $ | - | |||||||||||||||||||||
Goldman Sachs & Co. | - | - | - | - | - | (2,459,923 | ) | - | (2,459,923 | ) | 2,459,923 | - | |||||||||||||||||||||||||||||||
Total | $ | - | $ | - | $ | - | $ | - | $ | - | $ | (2,463,126 | ) | $ | - | $ | (2,463,126 | ) | $ | 2,463,126 | $ | - |
(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.
76
Global Atlantic Portfolios
Notes to Financial Statements (Unaudited) (Continued)
June 30, 2020
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 June 30,2020:
Global Atlantic American Funds® Managed Risk Portfolio
Equity | Interest Rate Contracts | Credit Contracts | Currency Contracts | Total | |||||||||||||||||||
Assets | |||||||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||
Unrealized appreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized appreciation on Forward Foreign Exchange Contracts | - | - | - | - | - | ||||||||||||||||||
Liabilities | |||||||||||||||||||||||
Unrealized depreciation on Futures Contracts | (679,595 | ) | - | - | - | (679,595 | ) | ||||||||||||||||
Unrealized depreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized depreciation on Forward Foreign Exchange Contracts | - | - | - | - | - | ||||||||||||||||||
Total | $ | (679,595 | ) | $ | - | $ | - | $ | - | $ | (679,595 | ) |
Global Atlantic Balanced Managed Risk Portfolio
Equity | Interest Rate Contracts | Credit Contracts | Currency Contracts | Total | |||||||||||||||||||
Assets | |||||||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||
Unrealized appreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized appreciation on Forward Foreign Exchange Contracts | - | - | - | - | - | ||||||||||||||||||
Liabilities | |||||||||||||||||||||||
Unrealized depreciation on Futures Contracts | (234,855 | ) | - | - | - | (234,855 | ) | ||||||||||||||||
Unrealized depreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized depreciation on Forward Foreign Exchange Contracts | - | - | - | - | - | ||||||||||||||||||
Total | $ | (234,855 | ) | $ | - | $ | - | $ | - | $ | (234,855 | ) |
77
Global Atlantic Portfolios
Notes to Financial Statements (Unaudited) (Continued)
June 30, 2020
Global Atlantic BlackRock Selects Managed Risk Portfolio
Equity | Interest Rate Contracts | Credit Contracts | Currency Contracts | Total | |||||||||||||||||||
Assets | |||||||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||
Unrealized appreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized appreciation on Forward Foreign Exchange Contracts | - | - | - | - | - | ||||||||||||||||||
Liabilities | |||||||||||||||||||||||
Unrealized depreciation on Futures Contracts | (872,120 | ) | - | - | - | (872,120 | ) | ||||||||||||||||
Unrealized depreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized depreciation on Forward Foreign Exchange Contracts | - | - | - | - | - | ||||||||||||||||||
Total | $ | (872,120 | ) | $ | - | $ | - | $ | - | $ | (872,120 | ) |
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Equity | Interest Rate Contracts | Credit Contracts | Currency Contracts | Total | |||||||||||||||||||
Assets | |||||||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||
Unrealized appreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized appreciation on Forward Foreign Exchange Contracts | - | - | - | - | - | ||||||||||||||||||
Liabilities | |||||||||||||||||||||||
Unrealized depreciation on Futures Contracts | - | (1,513,559 | ) | - | - | (1,513,559 | ) | ||||||||||||||||
Unrealized depreciation on Swap Contracts | - | (71,387 | ) | (27,048 | ) | (30,937 | ) | (129,372 | ) | ||||||||||||||
Unrealized depreciation on Forward Foreign Exchange Contracts | - | - | - | - | - | ||||||||||||||||||
Total | $ | - | $ | (1,584,946 | ) | $ | (27,048 | ) | $ | (30,937 | ) | $ | (1,642,931 | ) |
78
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June 30, 2020
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
Equity | Interest Rate Contracts | Credit Contracts | Currency Contracts | Total | |||||||||||||||||||
Assets | |||||||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||
Unrealized appreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized appreciation on Forward Foreign Exchange Contracts | - | - | - | - | |||||||||||||||||||
Liabilities | |||||||||||||||||||||||
Unrealized depreciation on Futures Contracts | - | (55,824 | ) | - | - | (55,824 | ) | ||||||||||||||||
Unrealized depreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized depreciation on Forward Foreign Exchange Contracts | - | - | - | - | - | ||||||||||||||||||
Total | $ | - | $ | (55,824 | ) | $ | - | $ | - | $ | (55,824 | ) |
Global Atlantic Growth Managed Risk Portfolio
Equity | Interest Rate Contracts | Credit Contracts | Currency Contracts | Total | |||||||||||||||||||
Assets | |||||||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||
Unrealized appreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized appreciation on Forward Foreign Exchange Contracts | - | - | - | - | - | ||||||||||||||||||
Liabilities | |||||||||||||||||||||||
Unrealized depreciation on Futures Contracts | (3,261,898 | ) | - | - | - | (3,261,898 | ) | ||||||||||||||||
Unrealized depreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized depreciation on Forward Foreign Exchange Contracts | - | - | - | - | - | ||||||||||||||||||
Total | $ | (3,261,898 | ) | $ | - | $ | - | $ | - | $ | (3,261,898 | ) |
79
Global Atlantic Portfolios
Notes to Financial Statements (Unaudited) (Continued)
June 30, 2020
Global Atlantic Moderate Growth Managed Risk Portfolio
Equity | Interest Rate Contracts | Credit Contracts | Currency Contracts | Total | |||||||||||||||||||
Assets | |||||||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||
Unrealized appreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized appreciation on Forward Foreign Exchange Contracts | - | - | - | - | |||||||||||||||||||
Liabilities | |||||||||||||||||||||||
Unrealized depreciation on Futures Contracts | (682,760 | ) | - | - | - | (682,760 | ) | ||||||||||||||||
Unrealized depreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized depreciation on Forward Foreign Exchange Contracts | - | - | - | - | - | ||||||||||||||||||
Total | $ | (682,760 | ) | $ | - | $ | - | $ | - | $ | (682,760 | ) |
Global Atlantic PIMCO Tactical Allocation Portfolio
Equity | Interest Rate Contracts | Credit Contracts | Currency Contracts | Total | |||||||||||||||||||
Assets | |||||||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | 13,359 | $ | - | $ | - | $ | 13,359 | |||||||||||||
Unrealized appreciation on Swap Contracts | - | - | 14,431 | - | 14,431 | ||||||||||||||||||
Unrealized appreciation on Forward Foreign Exchange Contracts | - | 56 | - | 56 | |||||||||||||||||||
Liabilities | |||||||||||||||||||||||
Unrealized depreciation on Futures Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized depreciation on Swap Contracts | - | (66,081 | ) | - | - | (66,081 | ) | ||||||||||||||||
Unrealized depreciation on Forward Foreign Exchange Contracts | - | - | - | - | - | ||||||||||||||||||
Total | $ | - | $ | (52,666 | ) | $ | 14,431 | $ | - | $ | (38,235 | ) |
80
Global Atlantic Portfolios
Notes to Financial Statements (Unaudited) (Continued)
June 30, 2020
Global Atlantic Select Advisor Managed Risk Portfolio
Equity | Interest Rate Contracts | Credit Contracts | Currency Contracts | Total | |||||||||||||||||||
Assets | |||||||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||
Unrealized appreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized appreciation on Forward Foreign Exchange Contracts | - | - | - | - | - | ||||||||||||||||||
Liabilities | |||||||||||||||||||||||
Unrealized depreciation on Futures Contracts | (534,920 | ) | - | - | - | (534,920 | ) | ||||||||||||||||
Unrealized depreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized depreciation on Forward Foreign Exchange Contracts | - | - | - | - | - | ||||||||||||||||||
Total | $ | (534,920 | ) | $ | - | $ | - | $ | - | $ | (534,920 | ) |
Global Atlantic Wellington Research Managed Risk Portfolio
Equity | Interest Rate Contracts | Credit Contracts | �� | Currency Contracts | Total | ||||||||||||||||||
Assets | |||||||||||||||||||||||
Unrealized appreciation on Futures Contracts | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||
Unrealized appreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized appreciation on Forward Foreign Exchange Contracts | - | - | - | - | - | ||||||||||||||||||
Liabilities | |||||||||||||||||||||||
Unrealized depreciation on Futures Contracts | (2,459,923 | ) | (3,203 | ) | - | - | (2,463,126 | ) | |||||||||||||||
Unrealized depreciation on Swap Contracts | - | - | - | - | - | ||||||||||||||||||
Unrealized depreciation on Forward Foreign Exchange Contracts | - | - | - | - | - | ||||||||||||||||||
Total | $ | (2,459,923 | ) | $ | (3,203 | ) | $ | - | $ | - | $ | (2,463,126 | ) |
The notional value of the derivative instruments outstanding as of June 30, 2020, 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.
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June 30, 2020
When a Portfolio makes a short sale, the broker-dealer through which the short sale is made must borrow the security sold short and deliver it to the party purchasing the security. The Portfolio is required to make a margin deposit in connection with such short sales; the Portfolio may have to pay a fee to borrow particular securities and will often be obligated to pay over any dividends and accrued interest on borrowed securities.
If the price of the security sold short increases between the time of the short sale and the time a Portfolio covers its short position, the Portfolio will incur a loss; conversely, if the price declines, the Portfolio will realize a capital gain. Any gain will be decreased, and any loss increased, by the transaction costs described above. The successful use of short selling may be adversely affected by imperfect correlation between movements in the price of the security sold short and the securities being hedged.
To the extent a Portfolio sells securities short, it will provide collateral to the broker-dealer and (except in the case of short sales "against the box") will maintain additional asset coverage in the form of cash, U.S. government securities or other liquid securities with its custodian in a segregated account in an amount at least equal to the difference between the current market value of the securities sold short and any amounts required to be deposited as collateral with the selling broker (not including the proceeds of the short sale). A Portfolio does not intend to enter into short sales (other than short sales "against the box") if immediately after such sales the aggregate of the value of all collateral plus the amount in such segregated account exceeds 10% of the value of the Portfolio's net assets. This percentage may be varied by action of the Board of Trustees. A short sale is "against the box" to the extent a Portfolio contemporaneously owns, or has the right to obtain at no added cost, securities identical to those sold short.
When-Issued and Delayed-Delivery Transactions – The Portfolios may engage in when-issued or delayed-delivery transactions. The Portfolios record when-issued securities on the trade date and maintain security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.
Real Estate Investment Trusts – Certain Portfolios may invest in real estate investment trusts ("REITs"). REITs are pooled investment vehicles that own, and typically operate, income-producing real estate. If a REIT meets certain requirements, including distributing to shareholders substantially all of its taxable income (other than net capital gains), then 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.
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June 30, 2020
Expenses – Expenses of the Trust that are directly identifiable to a specific Portfolio are charged to that Portfolio. Expenses, which are not readily identifiable to a specific Portfolio, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the Portfolios in the Trust.
Indemnification – The Trust indemnifies its officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Portfolios enter into contracts that contain a variety of representations and warranties and which provide general indemnities. Each Portfolio's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Portfolios that have not yet occurred. However, the Portfolios expect the risk of loss due to these warranties and indemnities to be remote.
3. INVESTMENT TRANSACTIONS
For the six months ended June 30, 2020, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments, were as follows:
Purchases | Sales | ||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | 58,116,025 | $ | 68,787,921 | �� | ||||||
Global Atlantic Balanced Managed Risk Portfolio | 78,548,773 | 83,067,411 | |||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 148,366,447 | 162,108,543 | |||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 89,434,852 | 102,472,218 | |||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 40,008,493 | 41,843,293 | |||||||||
Global Atlantic Growth Managed Risk Portfolio | 339,355,917 | 363,538,259 | |||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 122,889,983 | 130,230,070 | |||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 124,766,790 | 123,019,702 | |||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 20,553,638 | 26,355,791 | |||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 171,420,557 | 213,838,889 |
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:
Portfolio | Sub-Adviser | ||||||
Global Atlantic American Funds® Managed Risk Portfolio | Wilshire Associates Incorporated Milliman Financial Risk Management, LLC | ||||||
Global Atlantic Balanced Managed Risk Portfolio | BlackRock Financial Management, Inc. Milliman Financial Risk Management, LLC | ||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | BlackRock Investment Management, LLC* Milliman Financial Risk Management, LLC | ||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | Franklin Advisers, Inc. Milliman Financial Risk Management, LLC | ||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | Goldman Sachs Asset Management, L.P. | ||||||
Global Atlantic Growth Managed Risk Portfolio | BlackRock Financial Management, Inc. Milliman Financial Risk Management, LLC | ||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | BlackRock Financial Management, Inc. Milliman Financial Risk Management, LLC | ||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | Pacific Investment Management Company LLC |
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Global Atlantic Portfolios
Notes to Financial Statements (Unaudited) (Continued)
June 30, 2020
Portfolio | Sub-Adviser | ||||||
Global Atlantic Select Advisor Managed Risk Portfolio | Wilshire Associates Incorporated Milliman Financial Risk Management, LLC | ||||||
Global Atlantic Wellington Research Managed Risk Portfolio | Milliman Financial Risk Management, LLC Wellington Management Company LLP |
* BlackRock Investment Management, LLC became the sub-adviser of the Capital Appreciation and Income Component of the Portfolio effective May 1, 2019.
The Bank of New York Mellon serves as the Administrator, Fund Accountant and Custodian for the Portfolios and BNY Mellon Investment Servicing (US) Inc. (together with The Bank of New York Mellon, "BNYM") serves as the Transfer Agent for the Portfolios.
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.
Portfolio | Advisory Fee* | ||||||
Global Atlantic American Funds® Managed Risk Portfolio | 0.900% on first $500 million | ||||||
0.875% on next $500 million | |||||||
0.850% over $1 billion | |||||||
Global Atlantic Balanced Managed Risk Portfolio | 0.550% on first $500 million | ||||||
0.525% on next $500 million | |||||||
0.500% over $1 billion | |||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 0.550% on first $500 million | ||||||
0.525% on next $500 million | |||||||
0.500% over $1 billion | |||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 0.850% on first $500 million | ||||||
0.825% on next $500 million | |||||||
0.800% over $1 billion | |||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 0.850% on first $500 million | ||||||
0.825% on next $500 million | |||||||
0.800% over $1 billion | |||||||
Global Atlantic Growth Managed Risk Portfolio | 0.550% on first $500 million | ||||||
0.525% on next $500 million | |||||||
0.500% over $1 billion | |||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 0.550% on first $500 million | ||||||
0.525% on next $500 million | |||||||
0.500% over $1 billion | |||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 0.850% on first $500 million | ||||||
0.825% on next $500 million | |||||||
0.800% over $1 billion | |||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 0.900% on first $500 million | ||||||
0.875% on next $500 million | |||||||
0.850% over $1 billion | |||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 0.850% on first $500 million | ||||||
0.825% on next $500 million | |||||||
0.800% over $1 billion |
* Calculated daily based on the average daily net assets.
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Global Atlantic Portfolios
Notes to Financial Statements (Unaudited) (Continued)
June 30, 2020
Effective May 1, 2020, 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.
Portfolio | Expense Limitation | Expiration Date | |||||||||
Global Atlantic American Funds® Managed Risk Portfolio | 0.87 | % | April 30, 2021 | ||||||||
Global Atlantic Balanced Managed Risk Portfolio | 0.92 | % | April 30, 2021 | ||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 0.94 | % | April 30, 2021 | ||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 1.16 | % | April 30, 2021 | ||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 1.17 | % | April 30, 2021 | ||||||||
Global Atlantic Growth Managed Risk Portfolio | 0.88 | % | April 30, 2021 | ||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 0.92 | % | April 30, 2021 | ||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 1.15 | % | April 30, 2021 | ||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 0.64 | % | April 30, 2021 | ||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 1.21 | % | April 30, 2021 |
In addition, the Adviser has agreed to waive 0.40% of its fees for Global Atlantic American Funds® Managed Risk Portfolio and Global Atlantic Select Advisor Managed Risk Portfolio for as long as each Portfolio relies primarily on investments in underlying funds to achieve its principal investment strategy. These waivers are not subject to recoupment.
The Adviser or its affiliates may receive compensation from managers of underlying funds in which certain Portfolios invest. This compensation may create a conflict of interest for the Adviser in the selection of underlying funds for investment by the Portfolio. However, the Adviser will voluntarily reduce the amount of its compensation under its Advisory Agreement with the Portfolio by the amount of compensation received from managers of underlying funds. The minimum amount of this waiver, until at least April 30, 2021 for each Portfolio is based on estimated amounts expected to be received during the current fiscal year. The actual amount of each waiver may be higher to the extent the payments exceed the Adviser's estimates, but it will not be lower. These waivers are not subject to recoupment by the Adviser. The waivers may be terminated only by the Portfolio's Board of Trustees, on 60 days' written notice to the Adviser.
For the six months ended June 30, 2020, the Adviser waived fees as follows:
Waiver | |||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | 426,233 | |||||
Global Atlantic Balanced Managed Risk Portfolio | – | ||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 667 | ||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 81,504 | ||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 8,535 | ||||||
Global Atlantic Growth Managed Risk Portfolio | 68,872 | ||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | – | ||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 21,366 | ||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 327,191 | ||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 19,096 |
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
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Global Atlantic Portfolios
Notes to Financial Statements (Unaudited) (Continued)
June 30, 2020
exceed the amount of the expense limitation. If Portfolio operating expenses subsequently exceed the expense limitation, the reimbursements shall be suspended. During the six months ended June 30, 2020, the Adviser recaptured $6,481 and $1,751 from the Global Atlantic American Funds® Managed Risk Portfolio and Global Atlantic Balanced Managed Risk Portfolio, respectively, for prior period expense waivers/reimbursements, and no other expense waivers/reimbursements were recaptured from the other Portfolios.
The Adviser may recapture the following amounts by the following dates:
December 31, 2020 | December 31, 2021 | December 31, 2022 | December 31, 2023 | ||||||||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | 8,985 | $ | - | $ | - | $ | - | |||||||||||
Global Atlantic Balanced Managed Risk Portfolio | 140 | - | 1,318 | - | |||||||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 159,740 | 99,190 | 35,171 | 667 | |||||||||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 299,243 | 105,768 | 143,809 | 81,504 | |||||||||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 17,704 | 13,140 | 19,389 | 8,535 | |||||||||||||||
Global Atlantic Growth Managed Risk Portfolio | 7,237 | - | 76,229 | 68,871 | |||||||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | - | - | - | - | |||||||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 17,007 | 15,100 | 26,831 | 21,366 | |||||||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 45,736 | 15,417 | 38,360 | 16,459 | |||||||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 60,904 | - | 13,260 | 19,096 |
The following amounts expired unrecouped as of the date listed below:
December 31, 2019 | |||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | 13,328 | |||||
Global Atlantic Balanced Managed Risk Portfolio | - | ||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 157,217 | ||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 260,257 | ||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 13,249 | ||||||
Global Atlantic Growth Managed Risk Portfolio | - | ||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | - | ||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 11,766 | ||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 56,283 | ||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 55,984 |
The Trust, on behalf of the Portfolios, has adopted a distribution and shareholder servicing plan (the "Plan") pursuant to Rule 12b-1 under the 1940 Act for Class II shares. The fee charged under the Plan is calculated at an annual rate of 0.25% of the average daily net assets attributable to each Portfolio's Class II shares and, for the six months ended June 30, 2020, 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.
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Notes to Financial Statements (Unaudited) (Continued)
June 30, 2020
For the six months ended June 30, 2020, the Portfolios expensed the following distribution fees:
Fees Paid | |||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | 270,446 | |||||
Global Atlantic Balanced Managed Risk Portfolio | 98,795 | ||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 286,482 | ||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 32,695 | ||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 40,948 | ||||||
Global Atlantic Growth Managed Risk Portfolio | 499,835 | ||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 168,470 | ||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 32,695 | ||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 130,957 | ||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 531,642 |
For the six months ended June 30, 2020, the Trustees received fees in the amounts as follows:
Fees Received | |||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | 9,635 | |||||
Global Atlantic Balanced Managed Risk Portfolio | 3,534 | ||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 10,268 | ||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 12,026 | ||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 1,439 | ||||||
Global Atlantic Growth Managed Risk Portfolio | 17,961 | ||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 6,024 | ||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 1,167 | ||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 4,706 | ||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 18,893 |
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 June 30, 2020, Forethought Life Insurance Company Separate Account A owned 100% of the voting securities of each Portfolio. The Trust has no knowledge as to whether all or any portion of the shares owned of record are also owned beneficially.
Shareholder Concentration Risk – Forethought Life Insurance Company, certain accounts, or the Adviser's affiliates may from time to time own (beneficially or of record) or control a significant percentage of a Portfolio's shares. Redemptions by these entities of their holdings in a Portfolio may impact the Portfolio's liquidity and NAV. These redemptions may also force a Portfolio to sell securities.
6. AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS
As of December 31, 2019, the aggregate cost of investments for federal income tax purposes, the gross unrealized appreciation and depreciation and the aggregated net unrealized appreciation (depreciation) on investments were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | 215,032,697 | $ | 21,310,946 | $ | (5,273,932 | ) | $ | 16,037,014 | ||||||||||
Global Atlantic Balanced Managed Risk Portfolio | 72,076,501 | 12,097,525 | (491,841 | ) | 11,605,684 | ||||||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 229,051,575 | 15,743,108 | (2,787,192 | ) | 12,955,916 | ||||||||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 218,729,834 | 86,227,572 | (7,743,178 | ) | 78,484,394 |
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June 30, 2020
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | $ | 29,514,795 | $ | 2,596,801 | $ | (297,794 | ) | $ | 2,299,007 | ||||||||||
Global Atlantic Growth Managed Risk Portfolio | 348,938,832 | 84,181,695 | (1,298,706 | ) | 82,882,989 | ||||||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 119,807,409 | 24,593,156 | (1,106,195 | ) | 23,486,961 | ||||||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 29,463,474 | 2,792,770 | (91,754 | ) | 2,701,016 | ||||||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 96,096,632 | 19,256,531 | (1,006,783 | ) | 18,249,748 | ||||||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 364,460,586 | 90,663,814 | (3,903,752 | ) | 86,760,062 |
7. DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL
The tax character of fund distributions paid for the periods ended December 31, 2019 and 2018 were as follows:
For fiscal year ended 12/31/2019 | Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | |||||||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | 3,970,817 | $ | 8,616,304 | $ | - | $ | 12,587,121 | |||||||||||
Global Atlantic Balanced Managed Risk Portfolio | 1,305,626 | 1,069,048 | - | 2,374,674 | |||||||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 1,190,659 | - | - | 1,190,659 | |||||||||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 3,469,959 | - | - | 3,469,959 | |||||||||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 299,239 | - | - | 299,239 | |||||||||||||||
Global Atlantic Growth Managed Risk Portfolio | 5,900,880 | - | - | 5,900,880 | |||||||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 2,016,802 | - | - | 2,016,802 | |||||||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 266,882 | - | - | 266,882 | |||||||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 1,661,736 | 3,089,254 | - | 4,750,990 | |||||||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 4,985,508 | 17,762,222 | - | 22,747,730 | |||||||||||||||
For fiscal year ended 12/31/2018 | Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | |||||||||||||||
Global Atlantic American® Funds Managed Risk Portfolio | $ | 3,464,778 | $ | 5,999,180 | $ | - | $ | 9,463,958 | |||||||||||
Global Atlantic Balanced Managed Risk Portfolio | 1,095,287 | - | - | 1,095,287 | |||||||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 4,664,325 | - | - | 4,664,325 | |||||||||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | 2,765,677 | - | - | 2,765,677 | |||||||||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 472,467 | 935,911 | - | 1,408,378 | |||||||||||||||
Global Atlantic Growth Managed Risk Portfolio | 4,869,325 | - | - | 4,869,325 | |||||||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 1,615,979 | - | - | 1,615,979 | |||||||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 446,951 | 737,275 | - | 1,184,226 | |||||||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 1,102,576 | 1,454,917 | - | 2,557,493 | |||||||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 4,399,662 | 7,230,865 | - | 11,630,527 |
As of December 31, 2019, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Post-October Loss and Late Year Loss | Capital Loss Carryforward | Unrealized Appreciation/ (Depreciation) | Total Accumulated Earnings/ (Defecits) | ||||||||||||||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | 3,161,493 | $ | 7,784,961 | $ | - | $ | - | $ | 16,037,014 | $ | 26,983,468 | |||||||||||||||
Global Atlantic Balanced Managed Risk Portfolio | 2,932,371 | - | - | - | 11,605,684 | 14,538,055 | |||||||||||||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | 3,599,860 | - | - | (12,683,136 | ) | 12,955,916 | 3,872,640 |
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Global Atlantic Portfolios
Notes to Financial Statements (Unaudited) (Continued)
June 30, 2020
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Post-October Loss and Late Year Loss | Capital Loss Carryforward | Unrealized Appreciation/ (Depreciation) | Total Accumulated Earnings/ (Defecits) | ||||||||||||||||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | $ | 3,749,666 | $ | - | $ | - | $ | (9,927,023 | ) | $ | 78,422,481 | $ | 72,245,124 | ||||||||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | 304,035 | 983,943 | - | - | 2,323,656 | 3,611,634 | |||||||||||||||||||||
Global Atlantic Growth Managed Risk Portfolio | 5,912,055 | - | - | (11,001,406 | ) | 82,882,989 | 77,793,638 | ||||||||||||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | 3,975,224 | - | - | - | 23,486,961 | 27,462,185 | |||||||||||||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | 484,378 | 863,986 | - | - | 2,715,459 | 4,063,823 | |||||||||||||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | 1,879,213 | 3,291,627 | - | - | 18,249,748 | 23,420,588 | |||||||||||||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | 4,763,809 | 4,443,049 | - | - | 86,760,087 | 95,966,945 |
The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed ordinary income (loss) and accumulated net realized gain (loss) from investments is primarily attributable to the tax deferral of losses on wash sales, and the mark-to-market on passive foreign investment companies and open 1256 options and futures contracts, forward foreign currency contracts and swaps. The unrealized appreciation (depreciation) in the table above includes unrealized foreign currency gains (losses) of $4,175, $(7,953), $(890) and $25 for Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio, Global Atlantic Franklin Dividend and Income Managed Risk Portfolio, Global Atlantic PIMCO Tactical Allocation Portfolio and Global Atlantic Wellington Research Managed Risk Portfolio, respectively.
At December 31, 2019, the Portfolios had capital loss carry forwards for federal income tax purposes available to offset future capital gains as follows:
Non-Expiring Short-Term | Non-Expiring Long-Term | Total | |||||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | $ | - | $ | - | $ | - | |||||||||
Global Atlantic Balanced Managed Risk Portfolio | - | - | - | ||||||||||||
Global Atlantic BlackRock Selects Managed Risk Portfolio | (1,364,737 | ) | (11,318,399 | ) | (12,683,136 | ) | |||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | (5,933,840 | ) | (3,993,183 | ) | (9,927,023 | ) | |||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | - | - | - | ||||||||||||
Global Atlantic Growth Managed Risk Portfolio | - | (11,001,406 | ) | (11,001,406 | ) | ||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | - | - | - | ||||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | - | - | - | ||||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | - | - | - | ||||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | - | - | - |
8. NEW ACCOUNTING PRONOUNCEMENTS
In March 2020, the FASB issued Accounting Standards Update No. 2020-04 ("ASU 2020-04"), "Reference Rate Reform (Topic 840): Facilitation of the Effects of Reference Rate Reform on Financial Reporting". ASU 2020-04 provides entities with optional guidance to ease the potential accounting burden associated with transitioning away from reference rates (e.g., LIBOR) that are expected to be discontinued. ASU 2020-04 allows, among other things, certain contract modifications to be accounted as a continuation of the existing contract. This ASU was effective upon the issuance and its optional relief can be applied through December 31, 2022. The Portfolios will consider this optional guidance prospectively, if applicable.
9. OTHER RISKS
The Portfolios' risks include, but are not limited to, the following:
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
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June 30, 2020
lead to greater volatility in the price of a security and in shares of a Portfolio or an underlying fund. Lower credit quality also will affect liquidity and make it difficult to sell the security. This means that, compared to issuers of higher rated securities, issuers of lower rated securities are less likely to have the capacity to pay interest and repay principal when due in the event of adverse business, financial or economic conditions and/or may be in default or not current in the payment of interest or principal. Default, or the market's perception that an issuer is likely to default, tends to reduce the value and liquidity of fixed income securities, thereby reducing the value of your investment in Portfolio shares. In addition, default may cause a Portfolio to directly or indirectly incur expenses in seeking recovery of principal or interest.
A Portfolio could lose money on a debt security if an issuer or borrower is unable or fails to meet its obligations, including failing to make interest payments and/or to repay principal when due. Changes in an issuer's financial strength, the market's perception of the issuer's financial strength or in a security's credit rating, which reflects a third party's assessment of the credit risk presented by a particular issuer, may affect debt securities' value. A Portfolio may incur substantial losses on debt securities that are inaccurately perceived to present a different amount of credit risk by the market, the Sub-Adviser and/or Underlying Fund manager or the rating agencies than such securities actually do.
Derivatives Risk – The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. The use of derivatives may increase costs, reduce a Portfolio's returns and/or increase volatility. Volatility is defined as the characteristic of a security, an index or a market to fluctuate significantly in price within a short time period. Many types of derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. A risk of a Portfolio's use of derivatives is that the fluctuations in their values may not correlate perfectly with, and may be more sensitive to market events than, the overall securities markets. The possible lack of a liquid secondary market for derivatives and the resulting inability to sell or otherwise close-out a derivatives position at an advantageous time or price could expose a Portfolio to losses and could make derivatives more difficult to value accurately. Derivatives typically give rise to a form of leverage and may expose a Portfolio to greater risk and increase its costs. The Dodd-Frank Wall Street Reform and Consumer Protection Act (the "Dodd-Frank Act") and related regulatory developments require the clearing and exchange-trading of many standardized over-the-counter ("OTC") derivative instruments deemed to be "swaps." The Commodity Futures Trading Commission ("CFTC") has implemented mandatory exchange-trading and clearing requirements under the Dodd-Frank Act and the CFTC continues to approve contracts for central clearing. Uncleared swaps are subject to margin requirements that are being implemented on a phase-in basis. The regulation of the derivatives markets has increased over the past several years, and there can be no assurance that any new governmental regulation will not adversely affect a Portfolio's ability to achieve its investment result.
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. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, natural disasters, recessions, or other events could also have a significant impact on the Portfolio and its investments.
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. Changes in the U.S. and governmental market support activities implemented since the financial crisis could negatively affect the markets generally and increase market volatility. This could reduce the value and liquidity of the securities in which a Portfolio invests and 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.
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June 30, 2020
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. The recent spread of an infectious respiratory illness caused by a novel strain of coronavirus (known as COVID-19) has caused volatility, severe market dislocations and liquidity constraints in many markets, including markets for the securities the Portfolios hold, and may adversely affect the Portfolios' investments and operations. The transmission of COVID-19 and efforts to contain its spread could lead to a significant economic downturn or recession, increased market volatility, a greater number of market closures, higher default rates and adverse effects on the values and liquidity of securities or other assets. Such impacts, which may vary across asset classes, may adversely affect the performance of the Portfolios. In certain cases, an exchange or market may close or issue trading halts on specific securities or even the entire market, which may result in the Portfolios being, among other things, unable to buy or sell certain securities or financial instruments or to accurately price their investments.
Other Recent Developments
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"). On January 31, 2020, the UK withdrew from the European EU. This commenced a transition period during which EU law will continue to apply in the UK and the future of the EU – UK trade relationship will be formally negotiated. The transition period is expected to last until December 31, 2020, but may be extended. There is a significant degree of uncertainty about the UK's post-transition framework, particularly with respect to the arrangements that will apply to its relationships with the EU and with other countries. 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.
In 2017, the United Kingdom's Financial Conduct Authority warned that LIBOR may cease to be available or appropriate for use after 2021. The unavailability or replacement of LIBOR presents risks to applicable Portfolios, including the risk that any pricing adjustments to a Portfolio's investments resulting from a substitute reference rate may adversely affect the Portfolio's performance and/or NAV. The impact of a substitute reference rate, if any, will vary on an investment-by-investment basis. The Adviser or Sub-Adviser may have discretion to determine a substitute reference rate, including any price or other adjustments to account for differences between the substitute reference rate and the previous rate. The substitute reference rate and any adjustments selected could negatively impact a Portfolio's investment performance or financial condition, including in ways unforeseen by the Adviser or Sub-Adviser.
In addition, the recent spread of an infectious respiratory illness caused by a novel strain of coronavirus (known as COVID-19) has caused volatility, severe market dislocations and liquidity constraints in many markets, including markets for the securities the Portfolios hold, and may adversely affect the Portfolios' investments and operations. The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things: quarantines and travel restrictions, including border closings, strained healthcare systems, event cancellations, disruptions to business operations and supply chains, and a reduction in consumer and business spending, as well as general concern and uncertainty that has negatively affected the economy. These disruptions have led to instability in the market place, including equity and debt market losses and overall volatility, and the jobs market. The impact of COVID-19, and other infectious illness outbreaks, epidemics or pandemics that may arise in the future, could adversely affect the economies of many nations or the entire global economy, the financial well-being and performance of individual issuers, borrowers and sectors and the health of the markets generally in potentially significant and unforeseen ways. In addition, the impact of infectious illnesses, such as COVID-19, in emerging market countries may be greater due to generally less established healthcare systems. This crisis or other public health crises may exacerbate other pre-existing political, social and economic risks in certain countries or globally.
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Global Atlantic Portfolios
Notes to Financial Statements (Unaudited) (Continued)
June 30, 2020
10. BOARD REVIEW OF LIQUIDITY RISK MANAGEMENT PROGRAM
To promote effective liquidity risk management throughout the fund industry and to enhance disclosure regarding fund liquidity and redemption practices, the Securities and Exchange Commission (the "Commission") adopted Rule 22e-4 under the Investment Company Act of 1940, as amended. This Rule requires every registered open-end management company to establish a liquidity risk management program (the "LRMP") that, among other things, provides for the assessment, management and review of liquidity risk, the classification of a fund's portfolio investments into one of four liquidity buckets based upon the number of days that such investments may reasonably be expected to be converted into cash or otherwise disposed of without significantly impacting their price, the establishment of a highly liquid investment minimum where required, the establishment of a 15% limitation on illiquid investments and periodic reporting to the Trust's Board of Trustees (the "Board"). Additionally, the Commission adopted Rule 30b1-10 and Form N-LIQUID, which generally requires a fund to notify the Commission when certain liquidity-related events occur.
The Board approved the appointment of the FVIT Liquidity Risk Management Program Committee (the "Committee") as the Program Administrator of the LRMP for the Trust on November 12, 2018 and the Trust's LRMP on February 12, 2019. The Committee is comprised of the Trust's Chief Compliance Officer and other officers of the Trust and the Adviser. At the Board's regular meeting on May 12, 2020, the Trust's Chief Compliance Officer provided a report to the Board (the "Report") on the operation and effectiveness of the LRMP for the period December 1, 2018 through March 31, 2020 (the "Reporting Period"). The Report included, among other things, a discussion of how the Adviser manages liquidity risks associated with the Portfolios' investments by monitoring cash and cash equivalents, the use of derivatives, the concentration of investments and the appropriateness of portfolio strategies for open-end funds, and by classifying every portfolio investment as either highly liquid, moderately liquid, less liquid or illiquid on at least a monthly basis. To assist with the classification of portfolio investments, the Adviser utilizes a third party provider of liquidity monitoring services.
The Report concluded that the LRMP was reasonably designed to assess and manage liquidity risk and did effectively manage the Portfolios' liquidity risks for the Reporting Period. The Report stated that during this period, each Portfolio held no less than 50% of its total net assets in highly liquid investments. Because each Portfolio consisted primarily of highly liquid investments that exceeded the 50% SEC threshold for Primarily Highly Liquid Funds, no highly liquid investment minimum was required to be established for the Portfolios, and each Portfolio was well under its illiquid investment limitations. Additionally, no events that would require the filing of Form N-LIQUID occurred.
11. SUBSEQUENT EVENTS
On July 8, 2020, KKR & Co. Inc. ("KKR") and Global Atlantic Financial Group Limited ("Global Atlantic") announced a strategic transaction whereby KKR will acquire all of the outstanding shares of Global Atlantic (the "Transaction"). Global Atlantic Investment Advisors, LLC and Global Atlantic Distributors, LLC are indirect, wholly-owned subsidiaries of Global Atlantic. The Transaction is expected to close in early 2021, subject to receipt of regulatory approvals and satisfaction of other closing conditions.
Under the 1940 Act, the closing of the Transaction will result in the automatic termination of: (i) the investment advisory agreement between the Adviser and the Trust on behalf of Portfolios; (ii) the sub-advisory agreements between the Adviser, the sub-advisers and the Trust on behalf of the Portfolios; and (iii) the underwriting agreement between the Distributor and the Trust on behalf of the Portfolios. Accordingly, prior to such closing, the Trust will be required to enter into new agreements with each of the Adviser, sub-advisers and Distributor to be effective upon the closing of the Transaction. The new agreements are subject to the approval of the Board. If approved by the Board, shareholders of the Portfolios as of a record date to be determined by the Board will be asked to approve the new investment advisory agreement at a special meeting of shareholders expected to be held in the fourth quarter of 2020 through a proxy solicitation that will describe the Transaction in greater detail.
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Global Atlantic Portfolios
Expense Examples
June 30, 2020 (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 January 1, 2020 through June 30, 2020.
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 1-1-20 | Ending Account Value 6-30-20 | Expenses Paid During Period* | Ending Account Value 6-30-20 | Expenses Paid During Period* | |||||||||||||||||||||||||
Global Atlantic American Funds® Managed Risk Portfolio | II | 0.87 | % | $ | 1,000 | $ | 979.20 | $ | 4.28 | $ | 1,020.54 | $ | 4.37 | ||||||||||||||||||
Global Atlantic Balanced Managed Risk Portfolio | II | 0.92 | % | $ | 1,000 | $ | 988.80 | $ | 4.55 | $ | 1,020.29 | $ | 4.62 | ||||||||||||||||||
Global Atlantic BlackRock Select Managed Risk Portfolio | II | 0.91 | % | $ | 1,000 | $ | 984.70 | $ | 4.49 | $ | 1,020.34 | $ | 4.57 | ||||||||||||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | II | 1.16 | % | $ | 1,000 | $ | 950.90 | $ | 5.63 | $ | 1,019.10 | $ | 5.82 | ||||||||||||||||||
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | II | 1.17 | % | $ | 1,000 | $ | 1,011.10 | $ | 5.85 | $ | 1,019.05 | $ | 5.87 | ||||||||||||||||||
Global Atlantic Growth Managed Risk Portfolio | II | 0.88 | % | $ | 1,000 | $ | 953.70 | $ | 4.27 | $ | 1,020.49 | $ | 4.42 |
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Global Atlantic Portfolios
Expense Examples (Continued)
June 30, 2020 (Unaudited)
Actual | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||
Class | Portfolio's Annualized Expense Ratio | Beginning Account Value 1-1-20 | Ending Account Value 6-30-20 | Expenses Paid During Period* | Ending Account Value 6-30-20 | Expenses Paid During Period* | |||||||||||||||||||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | II | 0.91 | % | $ | 1,000 | $ | 972.10 | $ | 4.46 | $ | 1,020.34 | $ | 4.57 | ||||||||||||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | II | 1.15 | % | $ | 1,000 | $ | 1,006.90 | $ | 5.74 | $ | 1,019.14 | $ | 5.77 | ||||||||||||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | II | 0.64 | % | $ | 1,000 | $ | 947.10 | $ | 3.10 | $ | 1,021.68 | $ | 3.22 | ||||||||||||||||||
Global Atlantic Wellington Research Managed Risk Portfolio | II | 1.21 | % | $ | 1,000 | $ | 987.90 | $ | 5.98 | $ | 1,018.85 | $ | 6.07 |
* Expenses are equal to the Portfolio's annualized expense ratio, multiplied by the number of days in the period (182) divided by the number of days in the fiscal year (366).
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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 |
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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. |
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PROXY VOTING POLICY
Information regarding how the Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (1) on or through the Portfolios' website at http://connect.rightprospectus.com/globalatlanticportfolios and (2) on the U.S. Securities and Exchange Commission's 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. Each Portfolio will post to http://connect.rightprospectus.com/globalatlanticportfolios, a complete list of its portfolio holdings as of the last calendar day of each month approximately 30 days following the end of the month. Each Portfolio's portfolio holdings will remain available on the website noted above at least until the next monthly update.
INVESTMENT ADVISER
Global Atlantic Investment Advisors, LLC
10 West Market Street, Suite 2300
Indianapolis, IN 46204
ADMINISTRATOR
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INVESTMENT SUB-ADVISERS
BlackRock Financial Management, Inc.
55 East 52nd Street
New York, NY 10055
BlackRock Investment Management, LLC
1 University Square Drive
Princeton, NJ 08540-6455
Franklin Advisers, Inc.
One Franklin Parkway
San Mateo, CA 94403
Goldman Sachs Asset Management, L.P.
200 West Street
New York, NY 10282
Milliman Financial Risk Management, LLC
71 S. Wacker Drive, 31st Floor
Chicago, IL 60606
Pacific Investment Management Company LLC
650 Newport Center Drive
Newport Beach, CA 92660
Wellington Management Company LLP
280 Congress Street
Boston, MA 02210
Wilshire Associates Incorporated
1299 Ocean Avenue, Suite 700
Santa Monica, CA 90401
Item 2. Code of Ethics.
Not applicable
Item 3. Audit Committee Financial Expert.
Not applicable
Item 4. Principal Accountant Fees and Services.
Not applicable
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) | Not applicable. |
(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 | ||
/s/ Trent M. Statczar | ||
Trent M. Statczar | ||
Treasurer | ||
Date: 8/25/2020 |
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 | ||
/s/ Robert M. Arena, Jr. | ||
Robert M. Arena, Jr. | ||
President | ||
Date: 8/25/2020 |
By | ||
/s/ Trent M. Statczar | ||
Trent M. Statczar | ||
Treasurer | ||
Date: 8/25/2020 |