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 811-22894
INVESTMENT MANAGERS SERIES TRUST II
(Exact name of registrant as specified in charter)
235 W. Galena Street
Milwaukee, WI 53212
(Address of principal executive offices) (Zip code)
Diane J. Drake
Mutual Fund Administration, LLC
2220 E. Route 66, Suite 226
Glendora, CA 91740
(Name and address of agent for service)
(626) 385-5777
Registrant’s telephone number, including area code
Date of fiscal year end: September 30
Date of reporting period: March 31, 2021
Item 1. Report to Stockholders.
The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:
AXS Alternative Growth Fund
(Class A: EEHAX)
(Class I: EEHIX)
AXS Aspect Core Diversified Strategy Fund
(Class A: EQAAX)
(Class C: EQACX)
(Class I: EQAIX)
AXS Chesapeake Strategy Fund
(Class A: ECHAX)
(Class C: ECHCX)
(Class I: EQCHX)
AXS Managed Futures Strategy Fund
(Class A: MHFAX)
(Class C: MHFCX)
(Class I: MHFIX)
AXS Multi-Strategy Alternatives Fund
(Class I: KCMIX)
(Class R-1: KCMTX)
AXS Sustainable Income Fund
(Class I: AXSKX)
AXS Thomas Reuters Private Equity Return Tracker Fund
(Class A: LDPAX)
(Class C: LDPCX)
(Class I: LDPIX)
AXS Thomas Reuters Venture Capital Return Tracker Fund
(Class A: LDVAX)
(Class C: LDVCX)
(Class I: LDVIX)
SEMI-ANNUAL REPORT
March 31, 2021
AXS Funds
Each a series of Investment Managers Series Trust II
Table of Contents
Consolidated Schedule of Investments | 1 |
Consolidated Statements of Assets and Liabilities | 64 |
Consolidated Statements of Operations | 70 |
Consolidated Statements of Changes in Net Assets | 73 |
Consolidated Financial Highlights | 81 |
Notes to Consolidated Financial Statements | 101 |
Supplemental Information | 143 |
Expense Examples | 159 |
This report and the financial statements contained herein are provided for the general information of the shareholders of the AXS Funds. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
www.axsinvestments.com
AXS Alternative Growth Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Principal Amount | Value | |||||||
U.S. TREASURY BILLS — 32.8% | ||||||||
United States Treasury Bill | ||||||||
$ | 625,000 | 0.000%, 5/27/2021 | $ | 624,990 | ||||
300,000 | 0.000%, 6/3/2021 | 299,993 | ||||||
350,000 | 0.000%, 8/26/2021 | 349,973 | ||||||
TOTAL U.S. TREASURY BILLS | ||||||||
(Cost $1,274,845) | 1,274,956 |
Number of Shares | ||||||||
SHORT-TERM INVESTMENTS — 31.2% | ||||||||
1,209,576 | Fidelity Investments Money Market Government Portfolio - Class I, 0.01%1 | 1,209,576 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $1,209,576) | 1,209,576 | |||||||
TOTAL INVESTMENTS — 64.0% | ||||||||
(Cost $2,484,421) | 2,484,532 | |||||||
Other Assets in Excess of Liabilities — 36.0% | 1,399,515 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 3,884,047 |
1 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Consolidated Financial Statements.
1
AXS Alternative Growth Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
FUTURES CONTRACTS
Number of Contracts | Description | Expiration Date | Notional Value | Value at March 31, 2021 | Unrealized Appreciation (Depreciation) | ||||||||||||
24 | S&P 500 E-Mini | June 2021 | $ | 4,745,496 | $ | 4,760,880 | $ | 15,384 | |||||||||
TOTAL FUTURES CONTRACTS | $ | 4,745,496 | $ | 4,760,880 | $ | 15,384 |
See accompanying Notes to Consolidated Financial Statements.
2
AXS Alternative Growth Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
SWAP CONTRACT
TOTAL RETURN SWAP
Counterparty | Reference Entity | Pay/Receive Total Return on Reference Entity | Financing Rate1 | Termination Date | Notional Value | Appreciation Unrealized (Depreciation) | |||||||||||
Deutsche Bank | AXS Alternative Growth Fund Custom Basket2 | Receive | 0.50% of Notional Value | June 1, 2023 | $ | 8,640,656 | $ | (748,333 | ) | ||||||||
TOTAL SWAP CONTRACT | $ | (748,333 | ) |
1 | Financing rate is based upon predetermined notional amounts. |
2 | This investment is a holding of the AXS Alternative Growth Fund Limited. |
See accompanying Notes to Consolidated Financial Statements.
3
AXS Alternative Growth Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Total Return Swap Top 50 Holdings^
FUTURES CONTRACTS
Number of Long Contracts | Description | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||
56 | Three Month Canadian Bankers Acceptance Future | Sep-22 | $ | 10,990,693 | $ | 5,571 | |||||||
26 | Eurodollar | Dec-21 | 6,480,816 | (1,870 | ) | ||||||||
15 | 3 month Euro (EURIBOR) | Dec-22 | 4,554,934 | (473 | ) | ||||||||
22 | 3 month Sterling | Mar-22 | 3,782,114 | (5,697 | ) | ||||||||
10 | Three Month Canadian Bankers Acceptance Future | Dec-21 | 1,922,155 | (325 | ) | ||||||||
8 | 2 year US Treasury Notes | Jun-21 | 1,827,991 | (390 | ) | ||||||||
27 | Light Sweet Crude Oil (WTI) Future | May-21 | 1,622,935 | (53,308 | ) | ||||||||
5 | 3 month Euro (EURIBOR) | Dec-21 | 1,502,702 | 84 | |||||||||
16 | 3 year Australian Treasury Bond | Jun-21 | 1,452,707 | (727 | ) | ||||||||
10 | 2 year Euro-Schatz | Jun-21 | 1,259,837 | (52 | ) | ||||||||
4 | 3 month Euro (EURIBOR) | Mar-22 | 1,156,438 | (33 | ) | ||||||||
6 | Three Month Canadian Bankers Acceptance Future | Dec-22 | 1,102,475 | 419 | |||||||||
22 | Coffee C Future | May-21 | 1,008,694 | (70,136 | ) | ||||||||
4 | Eurodollar | Mar-22 | 976,491 | (247 | ) | ||||||||
5 | 90 Day Bank Accepted Bill Future | Mar-22 | 950,380 | (209 | ) | ||||||||
7 | 10 year US Treasury Notes | Jun-21 | 916,675 | (4,661 | ) | ||||||||
8 | 10 year Australian Treasury Bond Future | Jun-21 | 880,734 | (5,295 | ) | ||||||||
4 | 90 Day Bank Accepted Bill Future | Sep-21 | 726,517 | 2 | |||||||||
4 | Three Month Canadian Bankers Acceptance Future | Jun-22 | 723,248 | (510 | ) | ||||||||
2 | 3 month Euro (EURIBOR) | Sep-21 | 649,666 | 84 | |||||||||
10 | Brent Crude Monthly Future | May-21 | 642,460 | 9,338 | |||||||||
3 | Eurodollar | Jun-21 | 627,603 | (86 | ) | ||||||||
4 | Euro-BOBL | Jun-21 | 622,728 | (1,336 | ) |
Number of Short Contracts | Description | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||
(20) | Three Month Canadian Bankers Acceptance Future | Jun-21 | $ | (3,916,613 | ) | $ | (445 | ) | |||||
(10) | Eurodollar | Jun-21 | (2,538,696 | ) | 232 | ||||||||
(10) | Euro-BUND | Jun-21 | (2,095,849 | ) | (605 | ) | |||||||
(29) | Light Sweet Crude Oil (WTI) Future | Apr-21 | (1,742,676 | ) | 68,229 | ||||||||
(9) | 2 year Euro-Schatz | Jun-21 | (1,242,132 | ) | (110 | ) | |||||||
(8) | JPY/USD | Jun-21 | (934,782 | ) | 16,539 | ||||||||
(4) | 3 month Sterling | Jun-21 | (766,069 | ) | 53 | ||||||||
(4) | Euro-BOBL | Jun-21 | (705,890 | ) | (359 | ) | |||||||
(22) | Soybean Oil Future | May-21 | (675,011 | ) | (554 | ) | |||||||
(10) | Brent Crude Monthly Future | Apr-21 | (649,977 | ) | (11,941 | ) | |||||||
(0) | 10 year Japanese Government Bond | Jun-21 | (641,303 | ) | (191 | ) |
OPTIONS ON CURRENCY
Put/Call | Description | Expiration Date | Strike Price | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
Purchased | ||||||||||||||||||
Call | XAG/USD | Jul-21 | $ | 29.40 | $ | 1,391,988 | $ | 1,906 | ||||||||||
Call | NOK/USD | Aug-21 | 9.50 | 1,089,051 | 2,698 | |||||||||||||
Put | JPY/AUD | Aug-21 | 72.00 | 718,832 | 123 | |||||||||||||
Put | JPY/AUD | Jun-21 | 76.00 | 622,229 | 86 | |||||||||||||
Written | ||||||||||||||||||
Call | NOK/USD | Aug-21 | $ | 9.50 | $ | (1,089,051 | ) | $ | (2,698 | ) | ||||||||
Put | JPY/USD | Jul-21 | 96.00 | (738,609 | ) | - | ||||||||||||
Put | JPY/AUD | Aug-21 | 72.00 | (718,832 | ) | (123 | ) | |||||||||||
Call | XAG/USD | Jul-21 | 29.40 | (668,154 | ) | 1,148 |
4
AXS Alternative Growth Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
FORWARD FOREIGN CURRENCY CONTRACTS
Settlement Date | Counterparty | Currency Units to Deliver/(Receive) | In Exchange For | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Jun-21 | Deutsche Bank | $ | (1,070,677 | ) | SGO | $ | (796,631 | ) | USD | $ | (346 | ) | ||||||||||
Jun-21 | Deutsche Bank | 904,602 | SGO | 671,512 | USD | (1,260 | ) |
OPTIONS ON FUTURES CONTRACTS
Put/Call | Description | Expiration Date | Strike Price | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
Purchased | ||||||||||||||||||
Call | Eurodollar | Jun-21 | $ | 100.00 | $ | 2,086,829 | $ | 52 | ||||||||||
Call | Eurodollar | Jun-21 | 99.88 | 1,083,795 | 41 | |||||||||||||
Call | Eurodollar | Jun-22 | 99.25 | 946,824 | 358 | |||||||||||||
Call | 1 Year Eurodollar Midcurve Option | Sep-21 | 99.50 | 711,907 | 304 | |||||||||||||
Written | ||||||||||||||||||
Call | Eurodollar | Jun-22 | $ | 99.00 | $ | (944,439 | ) | $ | (286 | ) | ||||||||
Call | 1 Year Eurodollar Midcurve Option | Sep-21 | 99.38 | (711,013 | ) | (215 | ) |
AUD - Australian Dollar
JPY - Japanese Yen
NOK - Norwegian Krone
SGD - Singapore Dollar Offshore
USD - U.S. Dollar
XAG - Silver
^ | These investments are not direct holdings of the Fund. The holdings were determined based on the absolute notional values of the positions within the underlying swap basket. |
See accompanying Notes to Consolidated Financial Statements.
5
AXS Alternative Growth Fund
CONSOLIDATED SUMMARY OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Security Type | Percent of Total Net Assets |
U.S. Treasury Bills | 32.8% |
Short-Term Investments | 31.2% |
Total Investments | 64.0% |
Other Assets in Excess of Liabilities | 36.0% |
Total Net Assets | 100.0% |
See accompanying Notes to Consolidated Financial Statements.
6
AXS Aspect Core Diversified Strategy Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
SHORT-TERM INVESTMENTS — 86.9% | ||||||||
7,863,996 | Fidelity Investments Money Market Treasury Portfolio - Institutional Class, 0.01%1 | $ | 7,863,996 |
Principal Amount | ||||||||
$ | 9,400,077 | UMB Money Market Fiduciary, 0.01%1 | 9,400,077 | |||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $17,264,073) | 17,264,073 | |||||||
TOTAL INVESTMENTS — 86.9% | ||||||||
(Cost $17,264,073) | 17,264,073 | |||||||
Other Assets in Excess of Liabilities — 13.1% | 2,595,344 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 19,859,417 |
1 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Consolidated Financial Statements.
7
AXS Aspect Core Diversified Strategy Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
FUTURES CONTRACTS
Long Contracts | Expiration Date | Number of Contracts | Notional Value | Value at March 31, 2021 | Unrealized Appreciation (Depreciation) | |||||||||||||
Commodity Futures | ||||||||||||||||||
CBOT Corn1 | May 2021 | 3 | $ | 69,870 | $ | 84,638 | $ | 14,768 | ||||||||||
CBOT Corn1 | July 2021 | 3 | 80,657 | 82,125 | 1,468 | |||||||||||||
CBOT Soybean1 | May 2021 | 2 | 135,168 | 143,675 | 8,507 | |||||||||||||
CBOT Soybean Meal1 | May 2021 | 3 | 128,487 | 126,960 | (1,527 | ) | ||||||||||||
CBOT Soybean Oil1 | July 2021 | 2 | 58,865 | 60,912 | 2,047 | |||||||||||||
CBOT Wheat1 | May 2021 | 1 | 30,915 | 30,900 | (15 | ) | ||||||||||||
CBOT Wheat1 | July 2021 | 1 | 32,240 | 30,788 | (1,452 | ) | ||||||||||||
CME Lean Hogs1 | June 2021 | 3 | 113,918 | 126,360 | 12,442 | |||||||||||||
CME Lean Hogs1 | July 2021 | 3 | 118,518 | 125,610 | 7,092 | |||||||||||||
CME Live Cattle1 | August 2021 | 2 | 95,737 | 97,580 | 1,843 | |||||||||||||
CME Live Cattle1 | October 2021 | 2 | 98,205 | 100,180 | 1,975 | |||||||||||||
CME Live Cattle1 | June 2021 | 1 | 48,753 | 49,160 | 407 | |||||||||||||
CMX Copper1 | May 2021 | 2 | 188,554 | 199,775 | 11,221 | |||||||||||||
ICE Brent Crude Oil1 | June 2021 | 2 | 134,023 | 125,480 | (8,543 | ) | ||||||||||||
ICE Brent Crude Oil1 | July 2021 | 1 | 66,251 | 62,310 | (3,941 | ) | ||||||||||||
ICE ECX Emission1 | December 2021 | 2 | 67,539 | 88,134 | 20,595 | |||||||||||||
ICE Low Sulphur Gas1 | May 2021 | 3 | 160,204 | 152,250 | (7,954 | ) | ||||||||||||
ICE Low Sulphur Gas1 | June 2021 | 1 | 54,551 | 50,975 | (3,576 | ) | ||||||||||||
KCBT Hard Red Winter Wheat1 | May 2021 | 2 | 64,542 | 57,575 | (6,967 | ) | ||||||||||||
LME Copper1 | June 2021 | 1 | 226,513 | 219,694 | (6,819 | ) | ||||||||||||
LME Lead1 | June 2021 | 1 | 49,450 | 49,294 | (156 | ) | ||||||||||||
LME Primary Aluminum1 | June 2021 | 5 | 262,393 | 276,094 | 13,701 | |||||||||||||
LME Primary Nickel1 | June 2021 | 1 | 112,464 | 96,366 | (16,098 | ) | ||||||||||||
LME Zinc1 | June 2021 | 2 | 141,793 | 140,838 | (955 | ) | ||||||||||||
NYBOT Cocoa1 | July 2021 | 1 | 25,553 | 23,850 | (1,703 | ) | ||||||||||||
NYBOT Cocoa1 | September 2021 | 1 | 25,583 | 24,020 | (1,563 | ) | ||||||||||||
NYBOT Cotton #21 | July 2021 | 2 | 81,825 | 82,170 | 345 | |||||||||||||
NYBOT Sugar #111 | October 2021 | 5 | 83,185 | 82,768 | (417 | ) | ||||||||||||
NYBOT Sugar #111 | July 2021 | 5 | 87,833 | 82,712 | (5,121 | ) | ||||||||||||
NYMEX NY Harbor ULSD1 | May 2021 | 2 | 153,451 | 148,663 | (4,788 | ) | ||||||||||||
NYMEX NY Harbor ULSD1 | June 2021 | 1 | 76,740 | 74,457 | (2,283 | ) | ||||||||||||
NYMEX Platinum1 | July 2021 | 1 | 59,352 | 59,575 | 223 | |||||||||||||
NYMEX RBOB Gasoline1 | June 2021 | 3 | 249,154 | 246,153 | (3,001 | ) | ||||||||||||
NYMEX WTI Crude Oil1 | May 2021 | 2 | 122,874 | 118,320 | (4,554 | ) | ||||||||||||
NYMEX WTI Crude Oil1 | June 2021 | 1 | 64,332 | 59,180 | (5,152 | ) | ||||||||||||
Foreign Exchange Futures | ||||||||||||||||||
CME Australian Dollar | June 2021 | 7 | 540,317 | 532,105 | (8,212 | ) | ||||||||||||
CME British Pound | June 2021 | 24 | 2,077,295 | 2,067,150 | (10,145 | ) | ||||||||||||
CME Canadian Dollar | June 2021 | 14 | 1,111,375 | 1,113,980 | 2,605 | |||||||||||||
CME Euro | June 2021 | 4 | 596,305 | 587,100 | (9,205 | ) | ||||||||||||
CME Mexican Peso | June 2021 | 7 | 165,994 | 169,890 | 3,896 | |||||||||||||
CME New Zealand Dollar | June 2021 | 6 | 431,527 | 418,980 | (12,547 | ) | ||||||||||||
Index Futures | ||||||||||||||||||
CBOT DJIA Index E-Mini | June 2021 | 2 | 326,673 | 328,980 | 2,307 | |||||||||||||
CME E-mini Russell 2000 Index | June 2021 | 1 | 117,464 | 111,125 | (6,339 | ) | ||||||||||||
CME E-mini S&P 500 | June 2021 | 1 | 196,654 | 198,370 | 1,716 | |||||||||||||
CME E-mini S&P MidCap 400 | June 2021 | 1 | 264,046 | 260,530 | (3,516 | ) | ||||||||||||
CME NASDAQ 100 E-Mini | June 2021 | 1 | 264,597 | 261,795 | (2,802 | ) | ||||||||||||
CME Nikkei 225 | June 2021 | 1 | 143,452 | 146,850 | 3,398 | |||||||||||||
EOE AEX Index (Amsterdam) | April 2021 | 2 | 271,982 | 280,981 | 8,999 | |||||||||||||
EOP CAC 40 10 Euro | April 2021 | 4 | 242,003 | 242,750 | 747 | |||||||||||||
EUX DAX Index | June 2021 | 1 | 363,739 | 377,796 | 14,057 | |||||||||||||
EUX Euro STOXX 50 | June 2021 | 6 | 227,014 | 232,814 | 5,800 | |||||||||||||
FTSE China A50 | April 2021 | 8 | 134,641 | 137,456 | 2,815 | |||||||||||||
HKG Hang Seng Index | April 2021 | 1 | 1,407,619 | 1,408,671 | 1,052 | |||||||||||||
HKG HSCEI | April 2021 | 2 | 1,085,376 | 1,086,524 | 1,148 | |||||||||||||
ICF FTSE 100 Index | June 2021 | 3 | 201,812 | 199,845 | (1,967 | ) | ||||||||||||
MIL FTSE/MIB Index | June 2021 | 2 | 239,204 | 244,758 | 5,554 |
8
AXS Aspect Core Diversified Strategy Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
FUTURES CONTRACTS (Continued)
Long Contracts (Continued) | Expiration Date | Number of Contracts | Notional Value | Value at March 31, 2021 | Unrealized Appreciation (Depreciation) | |||||||||||||
Index Futures (Continued) | ||||||||||||||||||
MSE S&P/TSE 60 Index | June 2021 | 2 | $ | 445,249 | $ | 444,605 | $ | (644 | ) | |||||||||
NYF MSCI EAFE Index | June 2021 | 2 | 220,653 | 219,200 | (1,453 | ) | ||||||||||||
NYF MSCI Emerging Markets Index | June 2021 | 2 | 132,983 | 132,250 | (733 | ) | ||||||||||||
OSE TOPIX Index | June 2021 | 2 | 37,630,340 | 37,643,432 | 13,092 | |||||||||||||
SAF FTSE/JSE Top 40 | June 2021 | 3 | 1,856,252 | 1,854,839 | (1,413 | ) | ||||||||||||
SFE SPI 200 Index | June 2021 | 2 | 340,454 | 338,818 | (1,636 | ) | ||||||||||||
SGX Nifty 50 Index | April 2021 | 3 | 89,225 | 88,476 | (749 | ) | ||||||||||||
SGX Nikkei 225 | June 2021 | 1 | 14,317,737 | 14,320,377 | 2,640 | |||||||||||||
SSE OMXS30 Index | April 2021 | 15 | 3,228,017 | 3,234,069 | 6,052 | |||||||||||||
Interest Rate Futures | ||||||||||||||||||
CBOT 2-Year U.S. Treasury Note | June 2021 | 12 | 2,651,356 | 2,648,719 | (2,637 | ) | ||||||||||||
CME Eurodollar | December 2022 | 6 | 1,494,285 | 1,492,500 | (1,785 | ) | ||||||||||||
CME Eurodollar | June 2022 | 3 | 748,080 | 747,825 | (255 | ) | ||||||||||||
CME Eurodollar | December 2021 | 3 | 748,193 | 748,013 | (180 | ) | ||||||||||||
CME Eurodollar | September 2022 | 3 | 748,143 | 747,225 | (918 | ) | ||||||||||||
CME Eurodollar | June 2023 | 2 | 496,703 | 496,100 | (603 | ) | ||||||||||||
CME Eurodollar | September 2023 | 2 | 495,316 | 494,850 | (466 | ) | ||||||||||||
CME Eurodollar | March 2023 | 1 | 248,776 | 248,487 | (289 | ) | ||||||||||||
EUX Euro-BOBL | June 2021 | 1 | 135,341 | 135,035 | (306 | ) | ||||||||||||
EUX Euro-BTP Italian Government Bond | June 2021 | 4 | 595,392 | 597,559 | 2,167 | |||||||||||||
EUX Short-term Euro-BTP Italian Government Bond | June 2021 | 4 | 452,092 | 452,735 | 643 | |||||||||||||
ICF 3 Month Euro Euribor | March 2023 | 1 | 251,363 | 251,157 | (206 | ) | ||||||||||||
ICF 3 Month Euro Euribor | June 2023 | 1 | 251,101 | 251,129 | 28 | |||||||||||||
ICF 3 Month Euro Euribor | September 2023 | 1 | 251,013 | 251,042 | 29 | |||||||||||||
ICF 90 Day Sterling | March 2022 | 8 | 999,285 | 997,444 | (1,841 | ) | ||||||||||||
ICF 90 Day Sterling | December 2021 | 3 | 375,339 | 374,200 | (1,139 | ) | ||||||||||||
MSE 3 Month Bank Acceptence | June 2022 | 8 | 1,987,464 | 1,987,254 | (210 | ) | ||||||||||||
MSE 3 Month Bank Acceptence | December 2021 | 8 | 1,989,689 | 1,989,698 | 9 | |||||||||||||
MSE 3 Month Bank Acceptence | March 2022 | 6 | 1,492,086 | 1,491,998 | (88 | ) | ||||||||||||
MSE 3 Month Bank Acceptence | September 2022 | 5 | 1,240,259 | 1,239,904 | (355 | ) | ||||||||||||
MSE 3 Month Bank Acceptence | December 2022 | 2 | 495,229 | 494,987 | (242 | ) | ||||||||||||
SFE 90 Day Bank Bill | March 2022 | 3 | 2,999,192 | 2,998,963 | (229 | ) | ||||||||||||
SFE 90 Day Bank Bill | December 2021 | 3 | 2,999,267 | 2,999,150 | (117 | ) | ||||||||||||
SFE 90 Day Bank Bill | June 2022 | 2 | 1,999,216 | 1,999,063 | (153 | ) | ||||||||||||
SFE 90 Day Bank Bill | September 2022 | 2 | 1,998,993 | 1,998,747 | (246 | ) | ||||||||||||
SFE 90 Day Bank Bill | December 2022 | 1 | 999,164 | 999,125 | (39 | ) | ||||||||||||
SFE Australian 3 Year Bond | June 2021 | 61 | 7,137,104 | 7,139,036 | 1,932 | |||||||||||||
Total Long Contracts | 108,518,932 | 108,536,002 | 17,070 |
Short Contracts | Expiration Date | Number of Contracts | Notional Value | Value at March 31, 2021 | Unrealized Appreciation (Depreciation) | |||||||||||||
Commodity Futures | ||||||||||||||||||
CMX Gold1 | June 2021 | (1 | ) | (168,428 | ) | (171,560 | ) | (3,132 | ) | |||||||||
NYMEX Natural Gas1 | June 2021 | (1 | ) | (27,918 | ) | (26,670 | ) | 1,248 | ||||||||||
NYMEX Natural Gas1 | May 2021 | (4 | ) | (105,542 | ) | (104,320 | ) | 1,222 | ||||||||||
Foreign Exchange Futures | ||||||||||||||||||
CME Japanese Yen | June 2021 | (16 | ) | (1,835,234 | ) | (1,807,100 | ) | 28,134 | ||||||||||
CME Swiss Franc | June 2021 | (6 | ) | (810,180 | ) | (794,625 | ) | 15,555 | ||||||||||
Interest Rate Futures | ||||||||||||||||||
CBOT 10-Year U.S. Treasury Note | June 2021 | (14 | ) | (1,863,171 | ) | (1,833,125 | ) | 30,046 | ||||||||||
CBOT 5-Year U.S. Treasury Note | June 2021 | (11 | ) | (1,362,707 | ) | (1,357,383 | ) | 5,324 | ||||||||||
CBOT U.S. Long Bond | June 2021 | (4 | ) | (643,128 | ) | (618,375 | ) | 24,753 | ||||||||||
CBOT Ultra Long-Term U.S. Treasury Bond | June 2021 | (2 | ) | (377,357 | ) | (362,438 | ) | 14,919 | ||||||||||
CME Eurodollar | March 2022 | (3 | ) | (748,345 | ) | (748,238 | ) | 107 | ||||||||||
EUX Euro-Bund | June 2021 | (3 | ) | (513,768 | ) | (513,852 | ) | (84 | ) |
9
AXS Aspect Core Diversified Strategy Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
FUTURES CONTRACTS (Continued)
Short Contracts (Continued) | Expiration Date | Number of Contracts | Notional Value | Value at March 31, 2021 | Unrealized Appreciation (Depreciation) | |||||||||||||
Interest Rate Futures (Continued) | ||||||||||||||||||
EUX Euro-Buxl 30 Year Bond | June 2021 | (1 | ) | $ | (209,239 | ) | $ | (205,487 | ) | $ | 3,752 | |||||||
EUX Euro-Schatz | June 2021 | (6 | ) | (672,572 | ) | (672,605 | ) | (33 | ) | |||||||||
ICF 90 Day Sterling | June 2022 | (3 | ) | (374,104 | ) | (374,072 | ) | 32 | ||||||||||
ICF 90 Day Sterling | March 2023 | (4 | ) | (497,804 | ) | (497,729 | ) | 75 | ||||||||||
ICF 90 Day Sterling | December 2022 | (4 | ) | (498,248 | ) | (498,078 | ) | 170 | ||||||||||
ICF 90 Day Sterling | September 2022 | (5 | ) | (623,210 | ) | (623,050 | ) | 160 | ||||||||||
ICF 90 Day Sterling | September 2023 | (7 | ) | (870,153 | ) | (869,477 | ) | 676 | ||||||||||
ICF 90 Day Sterling | June 2023 | (8 | ) | (994,984 | ) | (994,593 | ) | 391 | ||||||||||
ICF Long Gilt | June 2021 | (11 | ) | (1,415,355 | ) | (1,398,999 | ) | 16,356 | ||||||||||
MSE Canadian 10 Year Bond | June 2021 | (23 | ) | (3,236,269 | ) | (3,200,812 | ) | 35,457 | ||||||||||
OSE Japanese 10-Year Bond | June 2021 | (1 | ) | (151,319,300 | ) | (151,317,861 | ) | 1,439 | ||||||||||
SFE Australian 10 Year Bond | June 2021 | (11 | ) | (1,517,425 | ) | (1,518,817 | ) | (1,392 | ) | |||||||||
Total Short Contracts | (170,684,441 | ) | (170,509,266 | ) | 175,175 | |||||||||||||
TOTAL FUTURES CONTRACTS | $ | (62,165,509 | ) | $ | (61,973,264 | ) | $ | 192,245 |
1 | This investment is a holding of AXS Aspect Core Diversified Strategy Fund Limited. |
See accompanying Notes to Consolidated Financial Statements.
10
AXS Aspect Core Diversified Strategy Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
FORWARD FOREIGN CURRENCY CONTRACTS
Settlement Date | Counterparty | Currency Units to Receive/(Deliver) | In Exchange For | Unrealized Appreciation (Depreciation) | ||||||||||||||
6/16/2021 | Morgan Stanley | 281,076 | BRL | 50,000 | USD | $ | (350 | ) | ||||||||||
6/16/2021 | Morgan Stanley | 276,682 | BRL | 50,000 | USD | (1,125 | ) | |||||||||||
6/16/2021 | Morgan Stanley | (145,325 | ) | BRL | (25,000 | ) | USD | (671 | ) | |||||||||
6/16/2021 | Morgan Stanley | (145,483 | ) | BRL | (25,000 | ) | USD | (699 | ) | |||||||||
6/16/2021 | Morgan Stanley | (862,686 | ) | BRL | (150,000 | ) | USD | (2,389 | ) | |||||||||
6/16/2021 | Morgan Stanley | 221,725,050 | CLP | 300,000 | USD | 7,915 | ||||||||||||
6/16/2021 | Morgan Stanley | 35,928,675 | CLP | 50,000 | USD | (105 | ) | |||||||||||
6/16/2021 | Morgan Stanley | (18,304,020 | ) | CLP | (25,000 | ) | USD | (419 | ) | |||||||||
6/16/2021 | Morgan Stanley | (18,321,520 | ) | CLP | (25,000 | ) | USD | (443 | ) | |||||||||
6/16/2021 | Morgan Stanley | (36,790,325 | ) | CLP | (50,000 | ) | USD | (1,092 | ) | |||||||||
6/16/2021 | Morgan Stanley | 493,886 | CNH | 75,000 | USD | (211 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 329,428 | CNH | 50,000 | USD | (115 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 329,418 | CNH | 50,000 | USD | (116 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 329,400 | CNH | 50,000 | USD | (119 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 326,608 | CNH | 50,000 | USD | (542 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 164,642 | CNH | 25,000 | USD | (68 | ) | |||||||||||
6/16/2021 | Morgan Stanley | (328,695 | ) | CNH | (50,000 | ) | USD | 226 | ||||||||||
6/16/2021 | Morgan Stanley | (330,593 | ) | CNH | (50,000 | ) | USD | (62 | ) | |||||||||
6/16/2021 | Morgan Stanley | 369,340,150 | COP | 100,000 | USD | 624 | ||||||||||||
6/16/2021 | Morgan Stanley | 89,426,750 | COP | 25,000 | USD | (636 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 89,219,788 | COP | 25,000 | USD | (693 | ) | |||||||||||
6/16/2021 | Morgan Stanley | (93,014,463 | ) | COP | (25,000 | ) | USD | (341 | ) | |||||||||
6/16/2021 | Morgan Stanley | (93,076,463 | ) | COP | (25,000 | ) | USD | (358 | ) | |||||||||
6/16/2021 | Morgan Stanley | 2,617,005 | CZK | 120,627 | USD | (3,029 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 1,311,492 | CZK | 59,531 | USD | (597 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 100,000 | EUR | 117,675 | USD | (209 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 100,000 | EUR | 118,455 | USD | (990 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 75,000 | EUR | 89,777 | USD | (1,678 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 50,000 | EUR | 59,067 | USD | (334 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 50,000 | EUR | 59,510 | USD | (777 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 50,000 | EUR | 59,242 | USD | (509 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 50,000 | EUR | 58,603 | USD | 130 | ||||||||||||
6/16/2021 | Morgan Stanley | 50,000 | EUR | 59,852 | USD | (1,119 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 50,000 | EUR | 59,588 | USD | (855 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 25,000 | EUR | 29,419 | USD | (52 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 25,000 | EUR | 29,419 | USD | (52 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 25,000 | EUR | 29,926 | USD | (559 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 25,000 | EUR | 29,926 | USD | (559 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 25,000 | EUR | 29,926 | USD | (559 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 25,000 | EUR | 29,926 | USD | (559 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 25,000 | EUR | 29,926 | USD | (559 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 25,000 | EUR | 29,926 | USD | (559 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 25,000 | EUR | 29,926 | USD | (559 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 25,000 | EUR | 29,926 | USD | (559 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 25,000 | EUR | 29,926 | USD | (559 | ) | |||||||||||
6/16/2021 | Morgan Stanley | (25,000 | ) | EUR | (29,794 | ) | USD | 427 |
11
AXS Aspect Core Diversified Strategy Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
FORWARD FOREIGN CURRENCY CONTRACTS - Continued
Settlement Date | Counterparty | Currency Units to Receive/(Deliver) | In Exchange For | Unrealized Appreciation (Depreciation) | ||||||||||||||
6/16/2021 | Morgan Stanley | (25,000 | ) | EUR | (29,794 | ) | USD | $ | 427 | |||||||||
6/16/2021 | Morgan Stanley | (50,000 | ) | EUR | (59,588 | ) | USD | 855 | ||||||||||
6/16/2021 | Morgan Stanley | (50,000 | ) | EUR | (59,531 | ) | USD | 798 | ||||||||||
6/16/2021 | Morgan Stanley | (50,000 | ) | EUR | (59,531 | ) | USD | 798 | ||||||||||
6/16/2021 | Morgan Stanley | (50,000 | ) | EUR | (59,531 | ) | USD | 798 | ||||||||||
6/16/2021 | Morgan Stanley | (50,000 | ) | EUR | (59,588 | ) | USD | 855 | ||||||||||
6/16/2021 | Morgan Stanley | (50,000 | ) | EUR | (59,945 | ) | USD | 1,212 | ||||||||||
6/16/2021 | Morgan Stanley | (50,000 | ) | EUR | (58,603 | ) | USD | (130 | ) | |||||||||
6/16/2021 | Morgan Stanley | (50,000 | ) | EUR | (59,637 | ) | USD | 904 | ||||||||||
6/16/2021 | Morgan Stanley | (50,000 | ) | EUR | (59,510 | ) | USD | 777 | ||||||||||
6/16/2021 | Morgan Stanley | (50,000 | ) | EUR | (59,228 | ) | USD | 495 | ||||||||||
6/16/2021 | Morgan Stanley | (75,000 | ) | EUR | (89,381 | ) | USD | 1,282 | ||||||||||
6/16/2021 | Morgan Stanley | (75,000 | ) | EUR | (89,381 | ) | USD | 1,282 | ||||||||||
6/16/2021 | Morgan Stanley | (100,000 | ) | EUR | (119,175 | ) | USD | 1,710 | ||||||||||
6/16/2021 | Morgan Stanley | (100,000 | ) | EUR | (119,175 | ) | USD | 1,710 | ||||||||||
6/16/2021 | Morgan Stanley | (100,000 | ) | EUR | (120,627 | ) | USD | 3,161 | ||||||||||
6/16/2021 | Morgan Stanley | (100,000 | ) | EUR | (119,775 | ) | USD | 2,309 | ||||||||||
6/16/2021 | Morgan Stanley | (100,000 | ) | EUR | (119,275 | ) | USD | 1,809 | ||||||||||
6/16/2021 | Morgan Stanley | (100,000 | ) | EUR | (119,360 | ) | USD | 1,895 | ||||||||||
6/16/2021 | Morgan Stanley | (225,000 | ) | EUR | (267,793 | ) | USD | 3,496 | ||||||||||
6/16/2021 | Morgan Stanley | (225,000 | ) | EUR | (267,793 | ) | USD | 3,496 | ||||||||||
6/16/2021 | Morgan Stanley | (250,000 | ) | EUR | (297,548 | ) | USD | 3,884 | ||||||||||
6/16/2021 | Morgan Stanley | 36,899,084 | HUF | 119,360 | USD | (22 | ) | |||||||||||
6/16/2021 | Morgan Stanley | (9,144,494 | ) | HUF | (29,926 | ) | USD | 351 | ||||||||||
6/16/2021 | Morgan Stanley | (9,148,734 | ) | HUF | (29,926 | ) | USD | 337 | ||||||||||
6/16/2021 | Morgan Stanley | (9,148,954 | ) | HUF | (29,926 | ) | USD | 336 | ||||||||||
6/16/2021 | Morgan Stanley | (9,149,844 | ) | HUF | (29,926 | ) | USD | 334 | ||||||||||
6/16/2021 | Morgan Stanley | (9,150,164 | ) | HUF | (29,926 | ) | USD | 333 | ||||||||||
6/16/2021 | Morgan Stanley | (27,437,540 | ) | HUF | (89,777 | ) | USD | 1,039 | ||||||||||
6/16/2021 | Morgan Stanley | (36,895,606 | ) | HUF | (118,455 | ) | USD | (872 | ) | |||||||||
6/16/2021 | Morgan Stanley | 328,951 | ILS | 100,000 | USD | (1,486 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 48,081,570 | INR | 650,000 | USD | 849 | ||||||||||||
6/16/2021 | Morgan Stanley | (1,844,459 | ) | INR | (25,000 | ) | USD | 33 | ||||||||||
6/16/2021 | Morgan Stanley | (1,845,359 | ) | INR | (25,000 | ) | USD | 21 | ||||||||||
6/16/2021 | Morgan Stanley | (3,702,223 | ) | INR | (50,000 | ) | USD | (115 | ) | |||||||||
6/16/2021 | Morgan Stanley | 283,734,675 | KRW | 250,000 | USD | 704 | ||||||||||||
6/16/2021 | Morgan Stanley | 28,345,385 | KRW | 25,000 | USD | 46 | ||||||||||||
6/16/2021 | Morgan Stanley | 28,344,468 | KRW | 25,000 | USD | 45 | ||||||||||||
6/16/2021 | Morgan Stanley | (28,484,478 | ) | KRW | (25,000 | ) | USD | (169 | ) | |||||||||
6/16/2021 | Morgan Stanley | (28,497,393 | ) | KRW | (25,000 | ) | USD | (180 | ) | |||||||||
6/16/2021 | Morgan Stanley | (56,662,065 | ) | KRW | (50,000 | ) | USD | (66 | ) | |||||||||
6/16/2021 | Morgan Stanley | 1,029,690 | NOK | 119,175 | USD | 1,207 | ||||||||||||
6/16/2021 | Morgan Stanley | 1,029,112 | NOK | 119,175 | USD | 1,140 | ||||||||||||
6/16/2021 | Morgan Stanley | 772,961 | NOK | 89,381 | USD | 986 | ||||||||||||
6/16/2021 | Morgan Stanley | 771,616 | NOK | 89,381 | USD | 829 | ||||||||||||
6/16/2021 | Morgan Stanley | 515,685 | NOK | 59,588 | USD | 702 | ||||||||||||
6/16/2021 | Morgan Stanley | 514,762 | NOK | 59,588 | USD | 594 |
12
AXS Aspect Core Diversified Strategy Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
FORWARD FOREIGN CURRENCY CONTRACTS - Continued
Settlement Date | Counterparty | Currency Units to Receive/(Deliver) | In Exchange For | Unrealized Appreciation (Depreciation) | ||||||||||||||
6/16/2021 | Morgan Stanley | 509,589 | NOK | 59,228 | USD | $ | 349 | |||||||||||
6/16/2021 | Morgan Stanley | 505,937 | NOK | 59,531 | USD | (381 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 505,528 | NOK | 59,945 | USD | (843 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 505,241 | NOK | 59,510 | USD | (441 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 504,112 | NOK | 59,637 | USD | (701 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 501,959 | NOK | 58,603 | USD | 82 | ||||||||||||
6/16/2021 | Morgan Stanley | 257,488 | NOK | 29,794 | USD | 310 | ||||||||||||
6/16/2021 | Morgan Stanley | 257,286 | NOK | 29,794 | USD | 286 | ||||||||||||
6/16/2021 | Morgan Stanley | (510,038 | ) | NOK | (59,242 | ) | USD | (388 | ) | |||||||||
6/16/2021 | Morgan Stanley | 4,902,100 | PHP | 100,000 | USD | 761 | ||||||||||||
6/16/2021 | Morgan Stanley | 2,439,250 | PHP | 50,000 | USD | 138 | ||||||||||||
6/16/2021 | Morgan Stanley | 230,057 | PLN | 59,531 | USD | (1,292 | ) | |||||||||||
6/16/2021 | Morgan Stanley | (113,975 | ) | PLN | (29,926 | ) | USD | 1,073 | ||||||||||
6/16/2021 | Morgan Stanley | (113,999 | ) | PLN | (29,926 | ) | USD | 1,067 | ||||||||||
6/16/2021 | Morgan Stanley | (114,001 | ) | PLN | (29,926 | ) | USD | 1,067 | ||||||||||
6/16/2021 | Morgan Stanley | (114,021 | ) | PLN | (29,926 | ) | USD | 1,061 | ||||||||||
6/16/2021 | Morgan Stanley | (116,140 | ) | PLN | (29,419 | ) | USD | 18 | ||||||||||
6/16/2021 | Morgan Stanley | (116,152 | ) | PLN | (29,419 | ) | USD | 15 | ||||||||||
6/16/2021 | Morgan Stanley | (227,977 | ) | PLN | (59,852 | ) | USD | 2,139 | ||||||||||
6/16/2021 | Morgan Stanley | (229,300 | ) | PLN | (59,588 | ) | USD | 1,540 | ||||||||||
6/16/2021 | Morgan Stanley | (229,619 | ) | PLN | (59,510 | ) | USD | 1,382 | ||||||||||
6/16/2021 | Morgan Stanley | (231,220 | ) | PLN | (59,067 | ) | USD | 534 | ||||||||||
6/16/2021 | Morgan Stanley | (233,160 | ) | PLN | (58,603 | ) | USD | (421 | ) | |||||||||
6/16/2021 | Morgan Stanley | 3,732,487 | RUB | 50,000 | USD | (1,121 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 3,730,650 | RUB | 50,000 | USD | (1,146 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 3,714,224 | RUB | 50,000 | USD | (1,361 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 1,843,773 | RUB | 25,000 | USD | (855 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 1,842,889 | RUB | 25,000 | USD | (867 | ) | |||||||||||
6/16/2021 | Morgan Stanley | (1,910,828 | ) | RUB | (25,000 | ) | USD | (23 | ) | |||||||||
6/16/2021 | Morgan Stanley | (1,911,268 | ) | RUB | (25,000 | ) | USD | (29 | ) | |||||||||
6/16/2021 | Morgan Stanley | (1,920,253 | ) | RUB | (25,000 | ) | USD | (146 | ) | |||||||||
6/16/2021 | Morgan Stanley | (1,921,216 | ) | RUB | (25,000 | ) | USD | (159 | ) | |||||||||
6/16/2021 | Morgan Stanley | (3,824,009 | ) | RUB | (50,000 | ) | USD | (77 | ) | |||||||||
6/16/2021 | Morgan Stanley | 2,541,973 | SEK | 297,548 | USD | (6,274 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 2,286,660 | SEK | 267,793 | USD | (5,774 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 2,285,849 | SEK | 267,793 | USD | (5,867 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 1,015,353 | SEK | 119,775 | USD | (3,429 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 1,012,975 | SEK | 119,275 | USD | (3,202 | ) | |||||||||||
6/16/2021 | Morgan Stanley | (1,019,963 | ) | SEK | (117,675 | ) | USD | 801 | ||||||||||
6/16/2021 | Morgan Stanley | 167,257 | SGD | 125,000 | USD | (705 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 167,252 | SGD | 125,000 | USD | (709 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 100,386 | SGD | 75,000 | USD | (400 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 100,355 | SGD | 75,000 | USD | (422 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 66,938 | SGD | 50,000 | USD | (256 | ) | |||||||||||
6/16/2021 | Morgan Stanley | (67,110 | ) | SGD | (50,000 | ) | USD | 128 | ||||||||||
6/16/2021 | Morgan Stanley | (67,294 | ) | SGD | (50,000 | ) | USD | (9 | ) | |||||||||
6/16/2021 | Morgan Stanley | (67,303 | ) | SGD | (50,000 | ) | USD | (16 | ) |
13
AXS Aspect Core Diversified Strategy Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
FORWARD FOREIGN CURRENCY CONTRACTS - Continued
Settlement Date | Counterparty | Currency Units to Receive/(Deliver) | In Exchange For | Unrealized Appreciation (Depreciation) | ||||||||||||||
6/16/2021 | Morgan Stanley | (67,607 | ) | SGD | (50,000 | ) | USD | $ | (241 | ) | ||||||||
6/16/2021 | Morgan Stanley | 9,151,754 | THB | 300,000 | USD | (7,224 | ) | |||||||||||
6/16/2021 | Morgan Stanley | (1,530,598 | ) | THB | (50,000 | ) | USD | 1,034 | ||||||||||
6/16/2021 | Morgan Stanley | (1,546,968 | ) | THB | (50,000 | ) | USD | 511 | ||||||||||
6/16/2021 | Morgan Stanley | (1,548,008 | ) | THB | (50,000 | ) | USD | 477 | ||||||||||
6/16/2021 | Morgan Stanley | (1,563,475 | ) | THB | (50,000 | ) | USD | (17 | ) | |||||||||
6/17/2021 | Morgan Stanley | 16,686,448 | TWD | 600,000 | USD | (14,942 | ) | |||||||||||
6/17/2021 | Morgan Stanley | (696,879 | ) | TWD | (25,000 | ) | USD | 566 | ||||||||||
6/17/2021 | Morgan Stanley | (697,079 | ) | TWD | (25,000 | ) | USD | 559 | ||||||||||
6/17/2021 | Morgan Stanley | (697,671 | ) | TWD | (25,000 | ) | USD | 538 | ||||||||||
6/17/2021 | Morgan Stanley | (698,104 | ) | TWD | (25,000 | ) | USD | 523 | ||||||||||
6/17/2021 | Morgan Stanley | (700,579 | ) | TWD | (25,000 | ) | USD | 436 | ||||||||||
6/17/2021 | Morgan Stanley | (700,629 | ) | TWD | (25,000 | ) | USD | 435 | ||||||||||
6/17/2021 | Morgan Stanley | (700,675 | ) | TWD | (25,000 | ) | USD | 433 | ||||||||||
6/17/2021 | Morgan Stanley | (700,779 | ) | TWD | (25,000 | ) | USD | 429 | ||||||||||
6/17/2021 | Morgan Stanley | (707,129 | ) | TWD | (25,000 | ) | USD | 207 | ||||||||||
6/17/2021 | Morgan Stanley | (707,329 | ) | TWD | (25,000 | ) | USD | 200 | ||||||||||
6/17/2021 | Morgan Stanley | (707,479 | ) | TWD | (25,000 | ) | USD | 194 | ||||||||||
6/17/2021 | Morgan Stanley | (707,679 | ) | TWD | (25,000 | ) | USD | 187 | ||||||||||
6/17/2021 | Morgan Stanley | (709,104 | ) | TWD | (25,000 | ) | USD | 138 | ||||||||||
6/17/2021 | Morgan Stanley | (709,129 | ) | TWD | (25,000 | ) | USD | 137 | ||||||||||
6/17/2021 | Morgan Stanley | (1,398,513 | ) | TWD | (50,000 | ) | USD | 966 | ||||||||||
6/17/2021 | Morgan Stanley | (1,402,300 | ) | TWD | (50,000 | ) | USD | 833 | ||||||||||
6/17/2021 | Morgan Stanley | (1,405,008 | ) | TWD | (50,000 | ) | USD | 738 | ||||||||||
6/17/2021 | Morgan Stanley | (1,406,693 | ) | TWD | (50,000 | ) | USD | 679 | ||||||||||
6/16/2021 | Morgan Stanley | 1,166,609 | ZAR | 75,000 | USD | 3,222 | ||||||||||||
6/16/2021 | Morgan Stanley | 776,668 | ZAR | 50,000 | USD | 2,076 | ||||||||||||
6/16/2021 | Morgan Stanley | 757,438 | ZAR | 50,000 | USD | 787 | ||||||||||||
6/16/2021 | Morgan Stanley | 742,054 | ZAR | 50,000 | USD | (244 | ) | |||||||||||
6/16/2021 | Morgan Stanley | 389,083 | ZAR | 25,000 | USD | 1,088 | ||||||||||||
6/16/2021 | Morgan Stanley | 388,727 | ZAR | 25,000 | USD | 1,065 | ||||||||||||
6/16/2021 | Morgan Stanley | 387,940 | ZAR | 25,000 | USD | 1,012 | ||||||||||||
6/16/2021 | Morgan Stanley | (753,444 | ) | ZAR | (50,000 | ) | USD | (519 | ) | |||||||||
6/16/2021 | Morgan Stanley | (773,303 | ) | ZAR | (50,000 | ) | USD | (1,851 | ) | |||||||||
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | $ | (5,796 | ) |
BRL - Brazilian Real
CLP - Chilean Peso
CNH - Chinese Yuan Renminbi
COP - Colombian Peso
CZK - Czech Koruna
EUR - Euro
HUF - Hungarian Forint
ILS - New Israeli Sheqel
INR - Indian Rupee
KRW - South Korean Won
14
AXS Aspect Core Diversified Strategy Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
NOK - Norwegian Krone
PHP - Philippine Peso
PLN - Polish Zloty
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
THB - Baht
TWD - New Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
See accompanying Notes to Consolidated Financial Statements.
15
AXS Aspect Core Diversified Strategy Fund
CONSOLIDATED SUMMARY OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Security Type | Percent of Total Net Assets | ||
Short-Term Investments | 86.9% | ||
Total Investments | 86.9% | ||
Other Assets in Excess of Liabilities | 13.1% | ||
Total Net Assets | 100.0% |
See accompanying Notes to Consolidated Financial Statements.
16
AXS Chesapeake Strategy Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
SHORT-TERM INVESTMENTS — 87.9% | ||||||||
7,214,831 | Fidelity Investments Money Market Government Portfolio - Institutional Class, 0.01%1 | $ | 7,214,831 | |||||
Principal | ||||||||
Amount | ||||||||
$ | 7,800,059 | UMB Money Market Fiduciary, 0.01%1 | 7,800,059 | |||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $15,014,890) | 15,014,890 | |||||||
TOTAL INVESTMENTS — 87.9% | ||||||||
(Cost $15,014,890) | 15,014,890 | |||||||
Other Assets in Excess of Liabilities — 12.1% | 2,066,534 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 17,081,424 |
1 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Consolidated Financial Statements.
17
AXS Chesapeake Strategy Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
FUTURES CONTRACTS
Unrealized | |||||||||||||||||||
Expiration | Number of | Notional | Value at | Appreciation | |||||||||||||||
Long Contracts | Date | Contracts | Value | March 31, 2021 | (Depreciation) | ||||||||||||||
Commodity Futures | |||||||||||||||||||
CBOT Corn1 | May 2021 | 24 | $ | 661,800 | $ | 677,100 | $ | 15,300 | |||||||||||
CBOT Soybean1 | May 2021 | 15 | 1,036,125 | 1,077,563 | 41,438 | ||||||||||||||
CBOT Soybean Oil1 | May 2021 | 28 | 756,000 | 889,056 | 133,056 | ||||||||||||||
CBOT Wheat1 | May 2021 | 10 | 332,250 | 309,000 | (23,250 | ) | |||||||||||||
CME Lean Hogs1 | June 2021 | 7 | 274,780 | 294,840 | 20,060 | ||||||||||||||
CME Live Cattle1 | June 2021 | 6 | 285,360 | 294,960 | 9,600 | ||||||||||||||
CMX Copper1 | May 2021 | 6 | 620,250 | 599,325 | (20,925 | ) | |||||||||||||
CMX Silver1 | April 2021 | 36 | 2,465,640 | 2,448,720 | (16,920 | ) | |||||||||||||
ICE Canola1 | May 2021 | 30 | 447,468 | 452,873 | 5,405 | ||||||||||||||
LME Lead1 | June 2021 | 7 | 353,675 | 345,056 | (8,619 | ) | |||||||||||||
LME Primary Aluminum1 | June 2021 | 8 | 435,600 | 441,750 | 6,150 | ||||||||||||||
LME Primary Nickel1 | June 2021 | 2 | 199,392 | 192,732 | (6,660 | ) | |||||||||||||
LME Zinc1 | June 2021 | 5 | 345,250 | 352,094 | 6,844 | ||||||||||||||
NYBOT Coffee 'C'1 | May 2021 | 10 | 518,550 | 463,125 | (55,425 | ) | |||||||||||||
NYBOT Cotton #21 | May 2021 | 8 | 344,120 | 323,520 | (20,600 | ) | |||||||||||||
NYBOT Sugar #111 | May 2021 | 31 | 589,893 | 512,815 | (77,078 | ) | |||||||||||||
NYMEX NY Harbor ULSD1 | May 2021 | 9 | 689,094 | 668,984 | (20,110 | ) | |||||||||||||
NYMEX Palladium1 | June 2021 | 1 | 239,000 | 261,990 | 22,990 | ||||||||||||||
NYMEX Platinum1 | July 2021 | 4 | 238,140 | 238,300 | 160 | ||||||||||||||
NYMEX RBOB Gasoline1 | May 2021 | 6 | 491,350 | 493,845 | 2,495 | ||||||||||||||
NYMEX WTI Crude Oil1 | May 2021 | 7 | 458,010 | 414,120 | (43,890 | ) | |||||||||||||
Currency Futures | |||||||||||||||||||
Canadian Dollar | June 2021 | 25 | 1,987,300 | 1,989,250 | 1,950 | ||||||||||||||
CME Australian Dollar | June 2021 | 19 | 1,467,940 | 1,444,285 | (23,655 | ) | |||||||||||||
CME British Pound | June 2021 | 22 | 1,912,350 | 1,894,887 | (17,463 | ) | |||||||||||||
CME Euro | June 2021 | 13 | 1,938,219 | 1,908,075 | (30,144 | ) | |||||||||||||
CME Mexican Peso | June 2021 | 9 | 211,455 | 218,430 | 6,975 | ||||||||||||||
CME Swiss Franc | June 2021 | 5 | 673,906 | 662,187 | (11,719 | ) | |||||||||||||
Indian Rupee | May 2021 | 2 | 278,180 | 245,320 | (32,860 | ) | |||||||||||||
New Zealand Dollar | June 2021 | 20 | 1,434,600 | 1,396,600 | (38,000 | ) | |||||||||||||
Index Futures | |||||||||||||||||||
CAC 40 10 Euro | April 2021 | 9 | 541,980 | 546,624 | 4,644 | ||||||||||||||
CME E-mini S&P 500 | June 2021 | 3 | 589,125 | 595,110 | 5,985 | ||||||||||||||
CME NASDAQ 100 E-Mini | June 2021 | 2 | 521,588 | 523,590 | 2,002 | ||||||||||||||
EUX DAX Index | June 2021 | 1 | 361,375 | 378,204 | 16,829 | ||||||||||||||
FTSE China A50 | April 2021 | 17 | 286,892 | 292,094 | 5,202 | ||||||||||||||
ICF FTSE 100 Index | June 2021 | 3 | 200,730 | 200,254 | (476 | ) | |||||||||||||
MSCI Emerging Markets | June 2021 | 9 | 598,860 | 595,125 | (3,735 | ) | |||||||||||||
SGX Nikkei 225 | June 2021 | 7 | 100,544,500 | 100,560,084 | 15,584 | ||||||||||||||
Interest Rate Futures | |||||||||||||||||||
EUX Euro-BTP Italian Government Bond | June 2021 | 27 | 4,015,710 | 4,034,075 | 18,365 | ||||||||||||||
Total Long Contracts | 129,346,457 | 129,235,962 | (110,495 | ) | |||||||||||||||
Short Contracts | |||||||||||||||||||
Commodity Futures | |||||||||||||||||||
CMX Gold1 | June 2021 | (1 | ) | (173,370 | ) | (171,560 | ) | 1,810 | |||||||||||
Currency Futures | |||||||||||||||||||
Brazil Real | May 2021 | (46 | ) | (833,750 | ) | (813,740 | ) | 20,010 | |||||||||||
CME Japanese Yen | June 2021 | (15 | ) | (1,720,900 | ) | (1,694,156 | ) | 26,744 | |||||||||||
Swedish Krona | June 2021 | (12 | ) | (10,187,580 | ) | (10,220,268 | ) | (32,688 | ) | ||||||||||
Interest Rate Futures | |||||||||||||||||||
CBOT 10-Year U.S. Treasury Note | June 2021 | (47 | ) | (6,317,554 | ) | (6,154,063 | ) | 163,491 | |||||||||||
CBOT 5-Year U.S. Treasury Note | June 2021 | (13 | ) | (1,608,953 | ) | (1,604,180 | ) | 4,773 | |||||||||||
CBOT U.S. Long Bond | June 2021 | (16 | ) | (2,586,875 | ) | (2,473,500 | ) | 113,375 | |||||||||||
CBOT Ultra Long-Term U.S. Treasury Bond | June 2021 | (8 | ) | (1,538,438 | ) | (1,449,750 | ) | 88,688 | |||||||||||
EUX Euro-Bund | June 2021 | (18 | ) | (3,076,300 | ) | (3,084,204 | ) | (7,904 | ) | ||||||||||
EUX Euro-Buxl 30-Year Bond | June 2021 | (3 | ) | (611,580 | ) | (619,250 | ) | (7,670 | ) | ||||||||||
ICF Long Gilt | June 2021 | (29 | ) | (3,752,890 | ) | (3,680,130 | ) | 72,760 | |||||||||||
Total Short Contracts | (32,408,190 | ) | (31,964,801 | ) | 443,389 | ||||||||||||||
TOTAL FUTURES CONTRACTS | $ | 96,938,267 | $ | 97,271,161 | $ | 332,894 |
1 | This investment is a holding of AXS Chesapeake Strategy Fund Limited. |
See accompanying Notes to Consolidated Financial Statements.
18
AXS Chesapeake Strategy Fund
CONSOLIDATED SUMMARY OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Security Type | Percent of Total Net Assets | ||
Short-Term Investments | 87.9% | ||
Total Investments | 87.9% | ||
Other Assets in Excess of Liabilities | 12.1% | ||
Total Net Assets | 100.0% |
See accompanying Notes to Consolidated Financial Statements.
19
AXS Managed Futures Strategy Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Principal Amount | Value | |||||||
U.S. TREASURY BILLS — 16.2% | ||||||||
United States Treasury Bill | ||||||||
$ | 4,750,000 | 0.000%, 5/27/2021 | $ | 4,749,924 | ||||
2,000,000 | 0.000%, 6/3/2021 | 1,999,956 | ||||||
3,000,000 | 0.000%, 8/26/2021 | 2,999,769 | ||||||
TOTAL U.S. TREASURY BILLS | ||||||||
(Cost $9,748,770) | 9,749,649 |
Number of Shares | ||||||||
SHORT-TERM INVESTMENTS — 29.2% | ||||||||
10,577,802 | Fidelity Investments Money Market Government Portfolio - Institutional Class, 0.01%1 | 10,577,802 | ||||||
3,507,723 | Goldman Sachs Funds PLC - US Liquid Reserves Fund - Administration Share Class , 0.01%1,2,3 | 3,507,723 | ||||||
3,508,078 | JPMorgan Liquidity Funds - US Dollar Liquidity Fund - Premier Share Class, 0.01%1,2,3 | 3,508,078 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $17,593,603) | 17,593,603 | |||||||
TOTAL INVESTMENTS — 45.4% | ||||||||
(Cost $27,342,373) | 27,343,252 | |||||||
Other Assets in Excess of Liabilities — 54.6% | 32,941,537 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 60,284,789 |
PLC – Public Limited Company
1 | The rate is the annualized seven-day yield at period end. |
2 | All or a portion of this security is segregated as collateral for swap agreement. As of March 31, 2021, the aggregate value of those securities was $7,015,801, representing 11.6% of net assets. |
3 | All or a portion of this investment is a holding of AXS Managed Futures Strategy Fund Limited. |
See accompanying Notes to Consolidated Financial Statements.
20
AXS Managed Futures Strategy Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
SWAP CONTRACTS
TOTAL RETURN SWAPS
Pay/Receive | Unrealized | |||||||||||||||
Total Return on | Financing | Termination | Notional | Appreciation | ||||||||||||
Counterparty | Reference Entity | Reference Entity | Rate1 | Date | Value | (Depreciation) | ||||||||||
Deutsche Bank | AXS Financial Futures Index | Receive | 0.50% of Notional Value | 1/31/22 | $ | 104,091,046 | $ | (5,929,947 | ) | |||||||
Deutsche Bank | AXS Physical Futures Index2 | Receive | 0.50% of Notional Value | 9/30/21 | 112,063,178 | (3,389,546 | ) | |||||||||
Morgan Stanley | Single CTA Program Total Return Swap2 | Receive | One month USD Libor plus 0.27% of the notional value | 3/9/22 | 9,730,706 | (111,637 | ) | |||||||||
Morgan Stanley | Alphas Managed Accounts Platform XV Limited Portfolio2 | Receive | 0.45% of Notional Value | 3/9/22 | 11,931,508 | 16,387 | ||||||||||
TOTAL SWAP CONTRACTS | $ | (9,414,743 | ) |
1 | Financing rate is based upon predetermined notional amounts. |
2 | This investment is a holding of the AXS Managed Futures Strategy Fund Limited. |
See accompanying Notes to Consolidated Financial Statements.
21
AXS Managed Futures Strategy Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
AXS Financial Futures Index Top 50 Holdings1
FUTURES CONTRACTS
Number of | Unrealized | |||||||||||||
Long | Expiration | Notional | Appreciation | |||||||||||
Contracts | Description | Counterparty | Date | Value | (Depreciation) | |||||||||
404 | 2 year US Treasury Notes | Deutsche Bank | Jun-21 | $ | 89,102,272 | $ | (18,324 | ) | ||||||
195 | 3 month Euro (EURIBOR) | Deutsche Bank | Dec-21 | 57,651,335 | 3,084 | |||||||||
127 | Eurodollar | Deutsche Bank | Jun-21 | 31,681,315 | (4,345 | ) | ||||||||
107 | 3 month Euro (EURIBOR) | Deutsche Bank | Mar-22 | 31,675,255 | (1,579 | ) | ||||||||
103 | 3 month Euro (EURIBOR) | Deutsche Bank | Jun-21 | 30,534,019 | 4,396 | |||||||||
283 | 10 year Australian Treasury Bond Future | Deutsche Bank | Jun-21 | 29,776,777 | (174,916 | ) | ||||||||
99 | 3 month Euro (EURIBOR) | Deutsche Bank | Sep-21 | 29,147,044 | 4,260 | |||||||||
217 | 2 year Euro-Schatz | Deutsche Bank | Jun-21 | 28,600,413 | (3,340 | ) | ||||||||
104 | Eurodollar | Deutsche Bank | Sep-21 | 26,045,001 | (3,560 | ) | ||||||||
87 | 3 month Euro (EURIBOR) | Deutsche Bank | Jun-22 | 25,813,093 | 164 | |||||||||
99 | Eurodollar | Deutsche Bank | Mar-22 | 24,782,063 | (5,422 | ) | ||||||||
116 | 3 month Sterling | Deutsche Bank | Mar-22 | 19,936,547 | 1,533 | |||||||||
123 | 10 year US Treasury Notes | Deutsche Bank | Jun-21 | 16,105,913 | (70,679 | ) |
Number of | Unrealized | |||||||||||||
Short | Expiration | Notional | Appreciation | |||||||||||
Contracts | Description | Counterparty | Date | Value | (Depreciation) | |||||||||
(282) | Euro-BUND | Deutsche Bank | Jun-21 | $ | (56,792,628 | ) | $ | 2,099 | ||||||
(368) | 2 year Euro-Schatz | Deutsche Bank | Jun-21 | (48,384,810 | ) | (4,307 | ) | |||||||
(146) | 5 year US Treasury Notes | Deutsche Bank | Jun-21 | (18,063,187 | ) | 40,563 | ||||||||
(143) | 10 year Canadian Govt Bond | Deutsche Bank | Jun-21 | (15,791,299 | ) | 287,630 | ||||||||
(72) | 3 month Sterling | Deutsche Bank | Sep-21 | (12,466,769 | ) | 343 |
OPTIONS ON CURRENCY | Unrealized | |||||||||||||||||
Expiration | Strike | Notional | Appreciation | |||||||||||||||
Put/Call | Description | Date | Price | Value | (Depreciation) | |||||||||||||
Purchased | ||||||||||||||||||
Call | NOK/USD | Aug-21 | $ | 9.50 | $ | 35,249,062 | $ | 87,333 | ||||||||||
Put | JPY/AUD | Aug-21 | 72.00 | 23,266,260 | 3,975 | |||||||||||||
Put | JPY/AUD | Jun-21 | 76.00 | 20,139,528 | 2,794 | |||||||||||||
Call | USD/EUR | Jul-21 | 1.31 | 17,865,571 | 26 | |||||||||||||
Call | NOK/USD | Apr-21 | 8.53 | 14,099,625 | 142,089 | |||||||||||||
Written | ||||||||||||||||||
Call | NOK/USD | Aug-21 | $ | 9.50 | $ | (35,249,062 | ) | $ | (87,333 | ) | ||||||||
Put | JPY/USD | Jul-21 | 96.00 | (23,906,390 | ) | (2 | ) | |||||||||||
Put | JPY/AUD | Aug-21 | 72.00 | (30,549,187 | ) | (3,975 | ) | |||||||||||
Put | JPY/AUD | Jun-21 | 76.00 | (26,443,708 | ) | (2,794 | ) | |||||||||||
Call | USD/EUR | Jul-21 | 1.31 | (15,213,157 | ) | (26 | ) |
22
AXS Managed Futures Strategy Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
AXS Financial Futures Index Top 50 Holdings1 - Continued
OPTIONS ON FUTURES | Unrealized | |||||||||||||||||||
Number of | Expiration | Strike | Notional | Appreciation | ||||||||||||||||
Put/Call | Description | Contracts | Date | Price | Value | (Depreciation) | ||||||||||||||
Purchased | ||||||||||||||||||||
Call | Eurodollar | 436 | Jun-21 | $ | 100.00 | $ | 109,028,701 | $ | 2,726 | |||||||||||
Call | Eurodollar | 227 | Jun-21 | 99.88 | 56,624,056 | 2,126 | ||||||||||||||
Call | Eurodollar | 199 | Jun-22 | 99.25 | 49,467,879 | 18,693 | ||||||||||||||
Call | 1 Year Eurodollar Midcurve Option | 150 | Sep-21 | 99.50 | 37,194,362 | 15,889 | ||||||||||||||
Put | 2 year Euro-Schatz | 125 | May-21 | 112.40 | 16,447,377 | 732 | ||||||||||||||
Written | ||||||||||||||||||||
Call | Eurodollar | (199) | Jun-22 | $ | 99.00 | $ | (49,343,275 | ) | $ | (14,954 | ) | |||||||||
Call | 1 Year Eurodollar Midcurve Option | (150) | Sep-21 | 99.38 | (37,147,636 | ) | (11,216 | ) | ||||||||||||
Put | 2 year Euro-Schatz | (125) | May-21 | 111.90 | (16,374,212 | ) | - |
FORWARD FOREIGN CURRENCY CONTRACTS | Unrealized | |||||||||||||||||||
Currency Units to | Appreciation | |||||||||||||||||||
Settlement Date | Counterparty | Deliver/(Receive) | In Exchange For | (Depreciation) | ||||||||||||||||
Long Contracts | ||||||||||||||||||||
Jun-21 | Deutsche Bank | $ | 48,902,482 | SGO | $ | 36,301,672 | USD | $ | (68,138 | ) | ||||||||||
Jun-21 | Deutsche Bank | 29,256,275 | CAD | 23,219,700 | USD | (52,699 | ) | |||||||||||||
Jun-21 | Deutsche Bank | 15,968,690 | USD | 20,694,131 | AUD | (203,347 | ) | |||||||||||||
Jun-21 | Deutsche Bank | 23,202,699 | USD | 19,477,856 | EUR | (294,745 | ) | |||||||||||||
Jun-21 | Deutsche Bank | 1,584,399,393 | JPY | 14,570,575 | USD | 218,627 | ||||||||||||||
Jun-21 | Deutsche Bank | 18,385,857 | USD | 13,249,746 | GBP | (115,202 | ) | |||||||||||||
Jun-21 | Deutsche Bank | 635,376,814 | PHO | 12,994,237 | USD | 2,597 | ||||||||||||||
Short Contracts | ||||||||||||||||||||
Jun-21 | Deutsche Bank | $ | (57,416,536 | ) | SGO | $ | (42,720,778 | ) | USD | $ | (18,856 | ) | ||||||||
Jun-21 | Deutsche Bank | (19,991,656 | ) | USD | (25,881,059 | ) | AUD | 274,767 | ||||||||||||
Jun-21 | Deutsche Bank | (16,169,679 | ) | USD | (22,664,686 | ) | NZD | 309,360 | ||||||||||||
Jun-21 | Deutsche Bank | (2,452,424,808 | ) | JPY | (22,533,365 | ) | USD | (318,597 | ) | |||||||||||
Jun-21 | Deutsche Bank | (413,452,731 | ) | TWO | (14,765,289 | ) | USD | (190,245 | ) | |||||||||||
Jun-21 | Deutsche Bank | (17,832,396 | ) | USD | (12,867,049 | ) | GBP | 89,465 | ||||||||||||
Jun-21 | Deutsche Bank | (15,095,962 | ) | USD | (12,670,627 | ) | EUR | 194,007 |
AUD - Australian Dollar
CAD - Canadian Dollar
EUR - Euro
GBP - British Pound
JPY - Japanese Yen
PHO - Philippine Peso
SGO - Signapore Dollar Offshore
USD - U.S. Dollar
1 | These investments are not direct holdings of the Fund. The holdings were determined based on the absolute notional values of the positions within the underlying swap basket. |
See accompanying Notes to Consolidated Financial Statements.
23
AXS Managed Futures Strategy Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
AXS Physical Futures Index Top 50 Holdings1
FUTURES CONTRACTS
Number of | Unrealized | |||||||||||||
Long | Expiration | Notional | Appreciation | |||||||||||
Contracts | Description | Counterparty | Date | Value | (Depreciation) | |||||||||
817 | Three Month Canadian Bankers Acceptance Future | Deutsche Bank | Sep-22 | $ | 161,223,934 | $ | 81,719 | |||||||
432 | Eurodollar | Deutsche Bank | Dec-21 | 107,758,919 | (29,411 | ) | ||||||||
321 | 3 month Sterling | Deutsche Bank | Mar-22 | 55,152,541 | (85,810 | ) | ||||||||
165 | 3 month Euro (EURIBOR) | Deutsche Bank | Dec-22 | 48,692,935 | (2,596 | ) | ||||||||
705 | Light Sweet Crude Oil (WTI) Future | Deutsche Bank | May-21 | 43,037,948 | (1,413,578 | ) | ||||||||
565 | Coffee C Future | Deutsche Bank | May-21 | 26,274,567 | (1,827,244 | ) | ||||||||
88 | Three Month Canadian Bankers Acceptance Future | Deutsche Bank | Dec-21 | 17,504,128 | (2,471 | ) | ||||||||
266 | Brent Crude Monthly Future | Deutsche Bank | May-21 | 16,992,914 | 249,357 | |||||||||
82 | Three Month Canadian Bankers Acceptance Future | Deutsche Bank | Dec-22 | 16,172,346 | 6,151 | |||||||||
79 | 90 Day Bank Accepted Bill Future | Deutsche Bank | Mar-22 | 14,834,604 | (3,296 | ) | ||||||||
108 | 2 year Euro-Schatz | Deutsche Bank | Jun-21 | 14,192,780 | 1,057 | |||||||||
74 | 3 month Sterling | Deutsche Bank | Dec-21 | 12,681,418 | (3,389 | ) | ||||||||
133 | 3 year Australian Treasury Bond | Deutsche Bank | Jun-21 | 11,823,469 | (11,990 | ) | ||||||||
191 | Light Sweet Crude Oil (WTI) Future | Deutsche Bank | Aug-21 | 11,448,364 | (512,057 | ) | ||||||||
54 | Three Month Canadian Bankers Acceptance Future | Deutsche Bank | Jun-22 | 10,662,845 | (7,479 | ) | ||||||||
57 | 90 Day Bank Accepted Bill Future | Deutsche Bank | Sep-21 | 10,657,367 | 26 | |||||||||
80 | 10 year US Treasury Notes | Deutsche Bank | Jun-21 | 10,470,419 | (56,356 | ) | ||||||||
630 | Sugar No.11 Future | Deutsche Bank | Jun-21 | 10,425,107 | (537,793 | ) | ||||||||
60 | 3 month Sterling | Deutsche Bank | Jun-22 | 10,302,045 | (13 | ) | ||||||||
171 | Soybeans Future | Deutsche Bank | Jan-22 | 10,239,174 | 149,486 | |||||||||
315 | Soybean Oil Future | Deutsche Bank | Jul-21 | 9,317,435 | (498,637 | ) | ||||||||
7 | 10 year Japanese Government Bond | Deutsche Bank | Jun-21 | 9,102,440 | (13,048 | ) | ||||||||
71 | 5 year US Treasury Notes | Deutsche Bank | Jun-21 | 8,816,667 | (22,195 | ) | ||||||||
28 | 3 month Euro (EURIBOR) | Deutsche Bank | Mar-22 | 8,132,148 | 63 | |||||||||
135 | Soybeans Future | Deutsche Bank | Nov-21 | 8,121,451 | 123,736 | |||||||||
41 | Three Month Canadian Bankers Acceptance Future | Deutsche Bank | Mar-23 | 8,070,911 | (2,645 | ) |
Number of | Unrealized | |||||||||||||
Short | Expiration | Notional | Appreciation | |||||||||||
Contracts | Description | Counterparty | Date | Value | (Depreciation) | |||||||||
(290) | Three Month Canadian Bankers Acceptance Future | Deutsche Bank | Jun-21 | $ | (57,453,314 | ) | $ | (6,530 | ) | |||||
(757) | Light Sweet Crude Oil (WTI) Future | Deutsche Bank | Apr-21 | (46,164,160 | ) | 1,806,126 | ||||||||
(149) | Eurodollar | Deutsche Bank | Jun-21 | (37,240,473 | ) | 3,407 | ||||||||
(267) | Brent Crude Monthly Future | Deutsche Bank | Apr-21 | (17,195,414 | ) | (317,697 | ) | |||||||
(483) | Soybean Oil Future | Deutsche Bank | May-21 | (14,942,327 | ) | 103,657 | ||||||||
(59) | Eurodollar | Deutsche Bank | Sep-23 | (14,654,998 | ) | 23,971 | ||||||||
(72) | Euro-BUND | Deutsche Bank | Jun-21 | (14,540,326 | ) | (12,907 | ) | |||||||
(287) | Coffee C Future | Deutsche Bank | Dec-21 | (14,020,403 | ) | 908,830 | ||||||||
(288) | Coffee C Future | Deutsche Bank | Sep-21 | (13,802,865 | ) | 1,153,073 | ||||||||
(177) | Soybeans Future | Deutsche Bank | Jul-21 | (12,098,834 | ) | (2,162,654 | ) | |||||||
(68) | Euro-BOBL | Deutsche Bank | Jun-21 | (10,720,030 | ) | (5,125 | ) | |||||||
(646) | Sugar No.11 Future | Deutsche Bank | Apr-21 | (10,691,962 | ) | 811,119 | ||||||||
(160) | Light Sweet Crude Oil (WTI) Future | Deutsche Bank | May-21 | (9,731,342 | ) | 511,545 | ||||||||
(95) | Copper Future | Deutsche Bank | May-21 | (9,461,943 | ) | 305,789 | ||||||||
(6) | 10 year Japanese Government Bond | Deutsche Bank | Jun-21 | (8,820,301 | ) | 434 | ||||||||
(35) | Eurodollar | Deutsche Bank | Mar-22 | (8,648,469 | ) | 3,193 | ||||||||
(76) | JPY/USD | Deutsche Bank | Jun-21 | (8,587,440 | ) | 140,506 | ||||||||
(47) | 3 month Sterling | Deutsche Bank | Jun-21 | (8,132,267 | ) | 453 |
24
AXS Managed Futures Strategy Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
AXS Physical Futures Index Top 50 Holdings1 - Continued
OPTIONS ON CURRENCY AND COMMODITY | Unrealized | |||||||||||||||||
Expiration | Strike | Notional | Appreciation | |||||||||||||||
Put/Call | Description | Date | Price | Value | (Depreciation) | |||||||||||||
Purchased | ||||||||||||||||||
Call | XAG/USD | Jul-21 | $ | 29.40 | $ | 30,102,827 | $ | 41,220 | ||||||||||
Call | XAU/USD | Dec-22 | 1,900.00 | 8,673,757 | 33,172 | |||||||||||||
Call | USD/XAU | Sep-21 | 1,795.00 | 8,569,060 | 191,396 | |||||||||||||
Call | USD/XAU | Dec-21 | 2,110.00 | 8,174,982 | 28,470 | |||||||||||||
Call | XAU/USD | Aug-22 | 2,009.00 | 7,887,649 | 20,418 | |||||||||||||
Written | ||||||||||||||||||
Call | XAG/USD | Jul-21 | $ | 29.40 | $ | (14,449,357 | ) | $ | 24,835 |
EUR - Euro
JPY - Japanese Yen
USD - U.S. Dollar
XAG - Silver
XAU - Gold
1 | These investments are not direct holdings of the Fund. The holdings were determined based on the absolute notional values of the positions within the underlying swap basket. |
See accompanying Notes to Consolidated Financial Statements.
25
AXS Managed Futures Strategy Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Single CTA Program Total Return Swap Top 50 Holdings1
FUTURES CONTRACTS
Number of Long Contracts | Description | Counterparty | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||
3 | 90-Day Bank Bill | Morgan Stanley | Jun-21 | $ | 2,171,176 | $ | (115 | ) | ||||||
2 | 90-Day Bank Bill | Morgan Stanley | Sep-21 | 1,859,365 | (161 | ) | ||||||||
21 | BP Currency Future | Morgan Stanley | Jun-21 | 1,794,975 | (14,024 | ) | ||||||||
18 | C$ Currency Future | Morgan Stanley | Jun-21 | 1,463,292 | 6,607 | |||||||||
6 | 90 Day Euro Future | Morgan Stanley | Jun-23 | 1,418,846 | (5,792 | ) | ||||||||
6 | 90 Day Euro Future | Morgan Stanley | Sep-23 | 1,415,271 | (6,875 | ) | ||||||||
18 | AUD/USD Currency Future | Morgan Stanley | Jun21 | 1,335,671 | (15,627 | ) | ||||||||
5 | 90 Day Euro Future | Morgan Stanley | Dec-22 | 1,320,863 | (2,850 | ) | ||||||||
4 | 90 Day Euro Future | Morgan Stanley | Mar-23 | 1,115,765 | (3,161 | ) | ||||||||
4 | 90 Day Euro Future | Morgan Stanley | Dec-23 | 1,109,030 | (6,338 | ) | ||||||||
4 | 3 month Euro (EURIBOR) | Morgan Stanley | Dec-22 | 1,084,428 | (371 | ) | ||||||||
4 | 3 month Euro (EURIBOR) | Morgan Stanley | Mar-23 | 1,084,105 | (593 | ) | ||||||||
4 | 90 Day Euro Future | Morgan Stanley | Sep-22 | 1,018,717 | (1,364 | ) | ||||||||
3 | 3 month Euro (EURIBOR) | Morgan Stanley | Jun-23 | 963,034 | (569 | ) | ||||||||
1 | 90-Day Bank Bill | Morgan Stanley | Dec-21 | 933,103 | (61 | ) | ||||||||
1 | 90-Day Bank Bill | Morgan Stanley | Mar-22 | 932,823 | (149 | ) | ||||||||
12 | AUD 3 Year Bond Future | Morgan Stanley | Jun-21 | 928,486 | 670 | |||||||||
3 | 3 month Euro (EURIBOR) | Morgan Stanley | Sep-22 | 842,957 | (174 | ) | ||||||||
3 | 3 month Euro (EURIBOR) | Morgan Stanley | Jun-22 | 842,957 | (192 | ) | ||||||||
3 | 3 month Euro (EURIBOR) | Morgan Stanley | Sep-23 | 842,035 | (605 | ) | ||||||||
3 | 3 month Euro (EURIBOR) | Morgan Stanley | Dec-23 | 841,699 | (509 | ) | ||||||||
3 | 90 Day Euro Future | Morgan Stanley | Mar-24 | 806,219 | (4,418 | ) | ||||||||
2 | 3 month Euro (EURIBOR) | Morgan Stanley | Mar-22 | 722,185 | (156 | ) | ||||||||
3 | 90 Day Euro Future | Morgan Stanley | Dec-21 | 713,141 | (388 | ) | ||||||||
3 | 90 Day Euro Future | Morgan Stanley | Jun-22 | 712,927 | (649 | ) | ||||||||
2 | 3 month Euro (EURIBOR) | Morgan Stanley | Mar-24 | 600,134 | (437 | ) | ||||||||
4 | Short Euro-BTP Future | Morgan Stanley | Jun-21 | 542,775 | 642 | |||||||||
2 | 3 month Euro (EURIBOR) | Morgan Stanley | Dec-21 | 480,522 | (48 | ) | ||||||||
2 | 90 Day Sterling Future | Morgan Stanley | Mar-22 | 421,321 | (781 | ) | ||||||||
3 | US 5Yr Note | Morgan Stanley | Jun-21 | 352,924 | (4,558 | ) | ||||||||
4 | Soybean Future | Morgan Stanley | JUL-21 | 262,706 | 9,985 | |||||||||
5 | Euro Stoxx 50 | Morgan Stanley | Jun-21 | 240,747 | 4,712 | |||||||||
3 | Soybean Future | Morgan Stanley | MAY-21 | 234,909 | 9,914 | |||||||||
1 | Topix Indx Future | Morgan Stanley | Jun-21 | 217,062 | 5,044 | |||||||||
1 | Nikkei 225 | Morgan Stanley | Jun-21 | 216,099 | 4,281 | |||||||||
1 | Euro-BTP Future | Morgan Stanley | Jun-21 | 215,376 | 676 | |||||||||
5 | Lean Hogs Future | Morgan Stanley | Jun-21 | 206,388 | 13,026 | |||||||||
1 | Dax Index Future | Morgan Stanley | Jun-21 | 180,658 | 5,504 | |||||||||
2 | New Zealand Currency Future | Morgan Stanley | Jun-21 | 171,084 | (4,241 | ) | ||||||||
1 | Bank Acceptance Fututure | Morgan Stanley | Sep-21 | 162,359 | 33 |
Number of Short Contracts | Description | Counterparty | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||
(21) | Japan Yen Currency Future | Morgan Stanley | Jun-21 | $ | (2,353,878 | ) | $ | 40,230 | ||||||
(9) | Euro-Schatz Future | Morgan Stanley | Jun-21 | (1,127,968 | ) | 31 | ||||||||
(1) | JPN 10 Year Bond | Morgan Stanley | Jun-21 | (1,119,451 | ) | (2,362 | ) | |||||||
(3) | CHF Currency Future | Morgan Stanley | Jun-21 | (378,771 | ) | 5,511 | ||||||||
(2) | Euro Fx Currency Future | Morgan Stanley | Jun-21 | (298,350 | ) | 1,604 | ||||||||
(1) | Long Gilt Future | Morgan Stanley | Jun-21 | (216,336 | ) | 1,228 | ||||||||
(1) | Euro-BOBL Future | Morgan Stanley | Jun-21 | (194,850 | ) | (153 | ) | |||||||
(2) | CAN 10 Year Bond Future | Morgan Stanley | Jun-21 | (179,991 | ) | 497 | ||||||||
(1) | Euro-Bund Future | Morgan Stanley | Jun-21 | (164,712 | ) | (53 | ) | |||||||
(2) | AUD 10 Year Bond Future | Morgan Stanley | Jun-21 | (152,140 | ) | 1,572 |
AUD - Australian Dollar
BP - British Pound
CAN - Canadian Dollar
CHF - Swiss Franc
JPN - Japanese Yen
USD - United States Dollar
1 | These investments are not direct holdings of the Fund. The holdings were determined based on the absolute notional values of the positions within the underlying swap basket. |
See accompanying Notes to Consolidated Financial Statements.
26
AXS Managed Futures Strategy Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Alphas Managed Accounts Platform XV Limited Portfolio Top 50 Holdings1
FUTURES CONTRACTS
Number of Long Contracts | Description | Counterparty | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||
35 | US 10 Year Note | Morgan Stanley | Jun-21 | $ | 4,597,880 | $ | (32,002 | ) | ||||||
27 | CAN 10 Yr Bond Future | Morgan Stanley | Jun-21 | 3,010,560 | (13,064 | ) | ||||||||
19 | US 5 Year Note | Morgan Stanley | Jun-21 | 2,342,130 | (8,691 | ) | ||||||||
11 | Euro-Bund Future | Morgan Stanley | Jun-21 | 2,208,305 | (3,941 | ) | ||||||||
11 | Long Gilt Future | Morgan Stanley | Jun-21 | 1,952,948 | (16,142 | ) | ||||||||
16 | E-Mini Russ 2000 | Morgan Stanley | Jun-21 | 1,761,734 | 16,267 | |||||||||
5 | JPN Yen Currency Future | Morgan Stanley | Jun-21 | 575,050 | (10,332 | ) | ||||||||
7 | Soybean Future | Morgan Stanley | May-21 | 487,600 | 15,256 | |||||||||
1 | Dax Index Future | Morgan Stanley | Jun-21 | 430,911 | 8,710 | |||||||||
3 | Silver Future | Morgan Stanley | May-21 | 372,838 | (4,858 | ) | ||||||||
1 | Nasdaq 100 E-Mini | Morgan Stanley | Jun-21 | 262,720 | (925 | ) | ||||||||
7 | Natural Gas Future | Morgan Stanley | May-21 | 183,500 | (1,024 | ) | ||||||||
1 | Gold 100 Oz Future | Morgan Stanley | Jun-21 | 170,443 | 1,117 | |||||||||
3 | Coffee 'C' Future | Morgan Stanley | May-21 | 149,048 | (10,110 | ) | ||||||||
8 | Sugar #11 | Morgan Stanley | May-21 | 133,986 | (1,664 | ) | ||||||||
4 | Corn Future | Morgan Stanley | May-21 | 109,300 | 3,567 | |||||||||
1 | Copper Future | Morgan Stanley | May-21 | 101,063 | (1,175 | ) | ||||||||
1 | Cotton #2 Future | Morgan Stanley | May-21 | 42,675 | (2,234 | ) | ||||||||
27 | AUD 10 Year Bond Future | Morgan Stanley | Jun-21 | 2,016 | (17,886 | ) |
Number of Short Contracts | Description | Counterparty | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||
(27) | New Zealand Currency Future | Morgan Stanley | Jun-21 | $ | (1,915,790 | ) | $ | 30,332 | ||||||
(11) | CHF Currency Future | Morgan Stanley | Jun-21 | (1,490,150 | ) | 33,329 | ||||||||
(8) | AUD/USD Currency Future | Morgan Stanley | Jun-21 | (610,450 | ) | 2,318 | ||||||||
(3) | S&P 500 E-mini Future | Morgan Stanley | Jun-21 | (588,285 | ) | (6,825 | ) | |||||||
(6) | CAC 40 10 Euro Future | Morgan Stanley | Apr-21 | (425,038 | ) | (798 | ) | |||||||
(4) | FTSE 100 Index Future | Morgan Stanley | Jun-21 | (369,716 | ) | 1,006 | ||||||||
(1) | Euro Fx Currency Future | Morgan Stanley | Jun-21 | (148,825 | ) | 2,048 | ||||||||
(1) | BP Currency Future | Morgan Stanley | Jun-21 | (86,600 | ) | 467 | ||||||||
(1) | C$ Currency Future | Morgan Stanley | Jun-21 | (79,540 | ) | (34 | ) | |||||||
(1) | Wheat Future | Morgan Stanley | May-21 | (32,300 | ) | 1,413 | ||||||||
(1) | Soybean Oil Future | Morgan Stanley | May-21 | (31,392 | ) | (359 | ) | |||||||
(1) | Cocoa Future | Morgan Stanley | May-21 | (24,912 | ) | 1,432 |
AUD - Austrailian Dollar
BP - British Pound
CAN - Canadian Dollar
CHF - Swiss Franc
JPN - Japanese Yen
USD - United States Dollar
1 | These investments are not direct holdings of the Fund. The holdings were determined based on the absolute notional values of the positions within the underlying swap basket. |
See accompanying Notes to Consolidated Financial Statements.
27
AXS Managed Futures Strategy Fund
CONSOLIDATED SUMMARY OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Security Type | Percent of Total Net Assets | |||
U.S. Treasury Bills | 16.2 | % | ||
Short-Term Investments | 29.2 | % | ||
Total Investments | 45.4 | % | ||
Other Assets in Excess of Liabilities | 54.6 | % | ||
Total Net Assets | 100.0 | % |
See accompanying Notes to Consolidated Financial Statements.
28
AXS Multi-Strategy Alternatives Fund
SCHEDULE OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 58.0% | ||||||||
APPAREL — 1.1% | ||||||||
2,180 | PVH Corp. | $ | 230,426 | |||||
AUTO MANUFACTURERS — 3.4% | ||||||||
940 | Cummins, Inc. | 243,563 | ||||||
650 | Tesla, Inc.* | 434,155 | ||||||
677,718 | ||||||||
BANKS — 2.4% | ||||||||
980 | SVB Financial Group* | 483,787 | ||||||
BIOTECHNOLOGY — 4.5% | ||||||||
5,080 | Corteva, Inc. | 236,830 | ||||||
5,130 | Moderna, Inc.* | 671,773 | ||||||
908,603 | ||||||||
BUILDING MATERIALS — 1.6% | ||||||||
3,380 | Fortune Brands Home & Security, Inc. | 323,872 | ||||||
COMPUTERS — 4.9% | ||||||||
3,200 | Apple, Inc. | 390,880 | ||||||
8,840 | Western Digital Corp. | 590,070 | ||||||
980,950 | ||||||||
ELECTRONICS — 1.3% | ||||||||
1,930 | Garmin Ltd.1 | 254,471 | ||||||
FOOD — 0.9% | ||||||||
2,400 | Lamb Weston Holdings, Inc. | 185,952 | ||||||
HEALTHCARE-PRODUCTS — 4.0% | ||||||||
1,610 | ResMed, Inc. | 312,372 | ||||||
1,710 | West Pharmaceutical Services, Inc. | 481,844 | ||||||
794,216 | ||||||||
HEALTHCARE-SERVICES — 1.4% | ||||||||
2,170 | Universal Health Services, Inc. - Class B | 289,456 | ||||||
INSURANCE — 0.8% | ||||||||
2,120 | W R Berkley Corp. | 159,742 | ||||||
INTERNET — 12.5% | ||||||||
250 | Alphabet, Inc. - Class A* | 515,630 | ||||||
125 | Amazon.com, Inc.* | 386,760 | ||||||
1,040 | Baidu, Inc. - ADR*,1 | 226,252 | ||||||
1,375 | Facebook, Inc. - Class A* | 404,979 |
29
AXS Multi-Strategy Alternatives Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
INTERNET (Continued) | ||||||||
675 | Netflix, Inc.* | $ | 352,120 | |||||
8,590 | Trip.com Group Ltd. - ADR*,1 | 340,422 | ||||||
4,820 | TripAdvisor, Inc.* | 259,268 | ||||||
2,485,431 | ||||||||
LEISURE TIME — 1.5% | ||||||||
6,270 | Carnival Corp.1 | 166,406 | ||||||
1,570 | Royal Caribbean Cruises Ltd.1 | 134,407 | ||||||
300,813 | ||||||||
LODGING — 1.6% | ||||||||
4,530 | MGM Resorts International | 172,095 | ||||||
1,130 | Wynn Resorts Ltd. | 141,668 | ||||||
313,763 | ||||||||
PHARMACEUTICALS — 4.6% | ||||||||
1,540 | Eli Lilly and Co. | 287,703 | ||||||
3,320 | Merck & Co., Inc. | 255,939 | ||||||
10,090 | Pfizer, Inc. | 365,560 | ||||||
—2 | Viatris, Inc.* | — | ||||||
909,202 | ||||||||
REITS — 1.8% | ||||||||
8,420 | Park Hotels & Resorts, Inc. - REIT | 181,703 | ||||||
7,010 | Pebblebrook Hotel Trust - REIT | 170,273 | ||||||
351,976 | ||||||||
SEMICONDUCTORS — 4.1% | ||||||||
710 | Lam Research Corp. | 422,620 | ||||||
1,100 | Monolithic Power Systems, Inc. | 388,531 | ||||||
811,151 | ||||||||
SOFTWARE — 3.3% | ||||||||
1,820 | Electronic Arts, Inc. | 246,373 | ||||||
1,750 | Microsoft Corp. | 412,598 | ||||||
658,971 | ||||||||
TELECOMMUNICATIONS — 2.3% | ||||||||
17,820 | Juniper Networks, Inc. | 451,381 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $9,750,607) | 11,571,881 | |||||||
EXCHANGE-TRADED FUNDS — 26.6% | ||||||||
8,850 | Direxion Daily S&P 500 Bull 3X - ETF | 751,807 | ||||||
18,650 | Energy Select Sector SPDR Fund - ETF | 914,969 | ||||||
22,700 | Financial Select Sector SPDR Fund - ETF | 772,935 |
30
AXS Multi-Strategy Alternatives Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
EXCHANGE-TRADED FUNDS (Continued) | ||||||||
3,550 | Global X MSCI Norway ETF - ETF | 49,168 | ||||||
2,430 | iShares China Large-Cap ETF - ETF | 113,384 | ||||||
6,550 | iShares Core MSCI Emerging Markets ETF - ETF | 421,558 | ||||||
4,460 | iShares MSCI Australia ETF - ETF | 110,563 | ||||||
2,210 | iShares MSCI Austria ETF - ETF | 48,493 | ||||||
2,930 | iShares MSCI Brazil ETF - ETF | 98,009 | ||||||
3,410 | iShares MSCI Canada ETF - ETF | 116,110 | ||||||
1,280 | iShares MSCI Peru ETF - ETF | 43,514 | ||||||
1,340 | iShares MSCI Thailand ETF - ETF | 110,188 | ||||||
8,350 | ProShares UltraPro S&P 500 - ETF | 754,339 | ||||||
32,640 | U.S. Global Jets ETF - ETF | 878,342 | ||||||
4,330 | VanEck Vectors Russia ETF - ETF | 111,757 | ||||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Cost $4,109,201) | 5,295,136 | |||||||
SHORT-TERM INVESTMENTS — 16.2% | ||||||||
3,235,229 | Fidelity Investments Money Market Government Portfolio - Institutional Class, 0.01%3,4 | 3,235,229 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $3,235,229) | 3,235,229 | |||||||
TOTAL INVESTMENTS — 100.8% | ||||||||
(Cost $17,095,037) | 20,102,246 | |||||||
Liabilities in Excess of Other Assets — (0.8)% | (156,347 | ) | ||||||
TOTAL NET ASSETS — 100.0% | $ | 19,945,899 |
ADR – American Depository Receipt
REIT – Real Estate Investment Trusts
ETF – Exchange-Traded Fund
* | Non-income producing security. |
1 | Foreign security denominated in U.S. Dollars. |
2 | Amount represents less than 0.5 shares. |
3 | All or a portion of this security is segregated as collateral for swap agreement. As of March 31, 2021, the aggregate value of those securities was $2,802,474, representing 14.1% of net assets. |
4 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Consolidated Financial Statements.
31
AXS Multi-Strategy Alternatives Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
SWAP CONTRACTS
EQUITY SWAP CONTRACTS
Counterparty | Reference Entity | Pay/Receive Equity on Reference Entity | Financing Rate | Pay/Receive Frequency | Termination Date | Notional Amount | Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||
Cowen | Cowen Financial Product - AXS Multi-Strat Long | Receive | OBRF01* | Monthly | 8/12/2021 | $ | 4,082,720 | $ | - | $ | (3,687 | ) | ||||||||||
Cowen | Cowen Financial Product - AXS Multi-Strat Short | Pay | OBRF01* | Monthly | 8/12/2021 | (4,186,577 | ) | - | (180,607 | ) | ||||||||||||
TOTAL EQUITY SWAP CONTRACTS | $ | (184,294 | ) |
* | OBFR01 - Overnight Bank Funding Rate, 0.05% as of March 31, 2021. |
Equity Swap Top 50 Holdings^ | |
Cowen Financial Product - AXS Multi-Strat Long | EQUITIES |
Number of Shares | Description | Notional Value | Percentage of Equity Swap's Notional Amount | |||||||||
6,430 | iShares Russell 2000 ETF | $ | 1,420,644 | 34.80 | % | |||||||
9,950 | Invesco S&P Pure Equal Weight ETF | 1,409,517 | 34.52 | % | ||||||||
7,625 | Invesco S&P 500 Pure Growth ETF | 1,252,559 | 30.68 | % |
Cowen Financial Product - AXS Multi-Strat Short | EQUITIES |
Number of Shares | Description | Value | Percentage of Equity Swap's Notional Amount | |||||||||
(5,300 | ) | SPDR S&P 500 ETF | (2,100,549 | ) | 50.17 | % | ||||||
(11,600 | ) | iShares S&P 100 ETF | (2,086,028 | ) | 49.83 | % |
^ | These investments are not direct holdings of the Fund. The holdings were determined based on the absolute notional values of the positions within the underlying swap basket. |
See accompanying Notes to Consolidated Financial Statements.
32
AXS Multi-Strategy Alternatives Fund
SUMMARY OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Security Type/Industry | Percent of Total Net Assets | |||
Common Stocks | ||||
Internet | 12.5 | % | ||
Computers | 4.9 | % | ||
Pharmaceuticals | 4.6 | % | ||
Biotechnology | 4.5 | % | ||
Semiconductors | 4.1 | % | ||
Healthcare-Products | 4.0 | % | ||
Auto Manufacturers | 3.4 | % | ||
Software | 3.3 | % | ||
Banks | 2.4 | % | ||
Telecommunications | 2.3 | % | ||
REITS | 1.8 | % | ||
Building Materials | 1.6 | % | ||
Lodging | 1.6 | % | ||
Leisure Time | 1.5 | % | ||
Healthcare-Services | 1.4 | % | ||
Electronics | 1.3 | % | ||
Apparel | 1.1 | % | ||
Food | 0.9 | % | ||
Insurance | 0.8 | % | ||
Total Common Stocks | 58.0 | % | ||
Exchange-Traded Funds | 26.6 | % | ||
Short-Term Investments | 16.2 | % | ||
Total Investments | 100.8 | % | ||
Liabilities in Excess of Other Assets | (0.8 | )% | ||
Total Net Assets | 100.0 | % |
See accompanying Notes to Consolidated Financial Statements.
33
AXS Sustainable Income Fund
SCHEDULE OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Principal Amount | Value | |||||||
CORPORATE BONDS — 96.1% | ||||||||
ADVERTISING — 1.2% | ||||||||
Clear Channel Outdoor Holdings, Inc. | ||||||||
$ | 500,000 | 7.750%, 4/15/20281,2 | $ | 495,665 | ||||
Outfront Media Capital LLC / Outfront Media Capital Corp. | ||||||||
145,000 | 6.250%, 6/15/20251,2 | 153,337 | ||||||
649,002 | ||||||||
AEROSPACE/DEFENSE — 0.6% | ||||||||
Triumph Group, Inc. | ||||||||
250,000 | 8.875%, 6/1/20241,2 | 281,300 | ||||||
45,000 | 6.250%, 9/15/20241,2 | 45,662 | ||||||
326,962 | ||||||||
AIRLINES — 4.8% | ||||||||
Air Canada | ||||||||
175,000 | 7.750%, 4/15/20212,3 | 175,123 | ||||||
American Airlines, Inc. | ||||||||
880,000 | 11.750%, 7/15/20252 | 1,087,900 | ||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. | ||||||||
130,000 | 5.500%, 4/20/20262,3 | 135,525 | ||||||
130,000 | 5.750%, 4/20/20292,3 | 138,554 | ||||||
Delta Air Lines, Inc. | ||||||||
455,000 | 7.000%, 5/1/20252 | 523,958 | ||||||
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. | ||||||||
320,000 | 5.750%, 1/20/20261,2,3 | 340,096 | ||||||
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd. | ||||||||
125,000 | 8.000%, 9/20/20251,2,3 | 141,250 | ||||||
2,542,406 | ||||||||
APPAREL — 0.2% | ||||||||
Wolverine World Wide, Inc. | ||||||||
120,000 | 6.375%, 5/15/20251,2 | 127,800 | ||||||
AUTO MANUFACTURERS — 1.8% | ||||||||
Ford Motor Co. | ||||||||
415,000 | 8.500%, 4/21/2023 | 462,725 | ||||||
180,000 | 9.000%, 4/22/20251 | 218,001 | ||||||
Wabash National Corp. | ||||||||
270,000 | 5.500%, 10/1/20251,2 | 276,075 | ||||||
956,801 | ||||||||
AUTO PARTS & EQUIPMENT — 3.0% | ||||||||
Adient Global Holdings Ltd. | ||||||||
200,000 | 4.875%, 8/15/20261,2,3 | 205,250 | ||||||
American Axle & Manufacturing, Inc. | ||||||||
350,000 | 6.250%, 4/1/20251 | 360,500 |
34
AXS Sustainable Income Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Principal Amount | �� | Value | ||||||
CORPORATE BONDS (Continued) | ||||||||
AUTO PARTS & EQUIPMENT (Continued) | ||||||||
$ | 75,000 | 6.500%, 4/1/20271 | $ | 77,813 | ||||
65,000 | 6.875%, 7/1/20281 | 68,145 | ||||||
Clarios Global LP | ||||||||
340,000 | 6.750%, 5/15/20251,2,3 | 363,698 | ||||||
Tenneco, Inc. | ||||||||
405,000 | 5.375%, 12/15/20241 | 406,012 | ||||||
150,000 | 5.000%, 7/15/20261 | 141,375 | ||||||
1,622,793 | ||||||||
BEVERAGES — 0.5% | ||||||||
Primo Water Holdings, Inc. | ||||||||
270,000 | 5.500%, 4/1/20251,2 | 277,506 | ||||||
BUILDING MATERIALS — 1.3% | ||||||||
CP Atlas Buyer, Inc. | ||||||||
480,000 | 7.000%, 12/1/20281,2 | 504,504 | ||||||
Summit Materials LLC / Summit Materials Finance Corp. | ||||||||
195,000 | 5.125%, 6/1/20251,2 | 197,925 | ||||||
702,429 | ||||||||
CHEMICALS — 3.9% | ||||||||
GPD Cos., Inc. | ||||||||
465,000 | 10.125%, 4/1/20261,2 | 506,850 | ||||||
Innophos Holdings, Inc. | ||||||||
310,000 | 9.375%, 2/15/20281,2 | 334,025 | ||||||
OCI N.V. | ||||||||
195,000 | 4.625%, 10/15/20251,2,3 | 201,581 | ||||||
Rayonier AM Products, Inc. | ||||||||
490,000 | 7.625%, 1/15/20261,2 | 520,625 | ||||||
Venator Finance Sarl / Venator Materials LLC | ||||||||
450,000 | 9.500%, 7/1/20251,2,3 | 502,875 | ||||||
2,065,956 | ||||||||
COMMERCIAL SERVICES — 8.9% | ||||||||
Allied Universal Holdco LLC / Allied Universal Finance Corp. | ||||||||
415,000 | 6.625%, 7/15/20261,2 | 440,099 | ||||||
Alta Equipment Group, Inc. | ||||||||
240,000 | 5.625%, 4/15/20261,2 | 243,300 | ||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. | ||||||||
200,000 | 4.750%, 4/1/20281,2 | 203,825 | ||||||
GEMS MENASA Cayman Ltd. / GEMS Education Delaware LLC | ||||||||
375,000 | 7.125%, 7/31/20261,2,3 | 390,671 | ||||||
Jaguar Holding Co. II / PPD Development LP | ||||||||
95,000 | 4.625%, 6/15/20251,2 | 98,800 |
35
AXS Sustainable Income Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Principal Amount | Value | |||||||
CORPORATE BONDS (Continued) | ||||||||
COMMERCIAL SERVICES (Continued) | ||||||||
Modulaire Global Finance Plc | ||||||||
$ | 205,000 | 8.000%, 2/15/20231,2,3 | $ | 208,192 | ||||
Prime Security Services Borrower LLC / Prime Finance, Inc. | ||||||||
215,000 | 5.250%, 4/15/20242 | 229,362 | ||||||
Quad/Graphics, Inc. | ||||||||
1,170,000 | 7.000%, 5/1/2022 | 1,155,925 | ||||||
Sabre GLBL, Inc. | ||||||||
475,000 | 7.375%, 9/1/20251,2 | 517,631 | ||||||
Tms International Holding Corp. | ||||||||
1,243,000 | 7.250%, 8/15/20251,2 | 1,264,753 | ||||||
4,752,558 | ||||||||
COMPUTERS — 4.3% | ||||||||
Austin BidCo, Inc. | ||||||||
500,000 | 7.125%, 12/15/20281,2 | 508,750 | ||||||
Banff Merger Sub, Inc. | ||||||||
535,000 | 9.750%, 9/1/20261,2 | 570,084 | ||||||
Diebold Nixdorf, Inc. | ||||||||
90,000 | 8.500%, 4/15/20241 | 91,935 | ||||||
585,000 | 9.375%, 7/15/20251,2 | 651,544 | ||||||
NCR Corp. | ||||||||
170,000 | 5.750%, 9/1/20271,2 | 179,881 | ||||||
40,000 | 5.125%, 4/15/20291,2 | 40,453 | ||||||
Presidio Holdings, Inc. | ||||||||
240,000 | 4.875%, 2/1/20271,2 | 246,005 | ||||||
2,288,652 | ||||||||
DISTRIBUTION/WHOLESALE — 0.4% | ||||||||
Resideo Funding, Inc. | ||||||||
208,000 | 6.125%, 11/1/20261,2 | 219,109 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 3.3% | ||||||||
Jefferies Finance LLC / JFIN Co.-Issuer Corp. | ||||||||
415,000 | 6.250%, 6/3/20261,2 | 435,750 | ||||||
Navient Corp. | ||||||||
220,000 | 5.500%, 1/25/2023 | 228,250 | ||||||
OneMain Finance Corp. | ||||||||
205,000 | 5.625%, 3/15/2023 | 217,044 | ||||||
320,000 | 6.125%, 3/15/20241 | 345,600 | ||||||
VistaJet Malta Finance PLC / XO Management Holding, Inc. | ||||||||
500,000 | 10.500%, 6/1/20241,2,3 | 545,000 | ||||||
1,771,644 |
36
AXS Sustainable Income Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Principal Amount | Value | |||||||
CORPORATE BONDS (Continued) | ||||||||
ELECTRIC — 0.5% | ||||||||
NextEra Energy Operating Partners LP | ||||||||
$ | 230,000 | 4.250%, 7/15/20241,2 | $ | 242,075 | ||||
ENGINEERING & CONSTRUCTION — 2.3% | ||||||||
Great Lakes Dredge & Dock Corp. | ||||||||
205,000 | 8.000%, 5/15/20221 | 206,794 | ||||||
PowerTeam Services LLC | ||||||||
925,000 | 9.033%, 12/4/20251,2 | 1,027,027 | ||||||
1,233,821 | ||||||||
ENTERTAINMENT — 2.3% | ||||||||
Cinemark USA, Inc. | ||||||||
340,000 | 5.875%, 3/15/20261,2 | 348,140 | ||||||
Motion Bondco DAC | ||||||||
750,000 | 6.625%, 11/15/20271,2,3 | 765,000 | ||||||
Powdr Corp. | ||||||||
125,000 | 6.000%, 8/1/20251,2 | 131,731 | ||||||
1,244,871 | ||||||||
ENVIRONMENTAL CONTROL — 0.3% | ||||||||
GFL Environmental, Inc. | ||||||||
170,000 | 4.250%, 6/1/20251,2,3 | 175,100 | ||||||
FOOD — 2.4% | ||||||||
H-Food Holdings LLC / Hearthside Finance Co., Inc. | ||||||||
500,000 | 8.500%, 6/1/20261,2 | 511,250 | ||||||
KeHE Distributors LLC / KeHE Finance Corp. | ||||||||
513,000 | 8.625%, 10/15/20261,2 | 570,713 | ||||||
NBM U.S. Holdings, Inc. | ||||||||
170,000 | 7.000%, 5/14/20261,2 | 182,794 | ||||||
1,264,757 | ||||||||
FOREST PRODUCTS & PAPER — 0.7% | ||||||||
Mercer International, Inc. | ||||||||
95,000 | 5.125%, 2/1/20291,2 | 98,420 | ||||||
Resolute Forest Products, Inc. | ||||||||
265,000 | 4.875%, 3/1/20261,2 | 265,662 | ||||||
364,082 | ||||||||
HEALTHCARE-PRODUCTS — 0.6% | ||||||||
Hill-Rom Holdings, Inc. | ||||||||
315,000 | 5.000%, 2/15/20251,2 | 323,505 | ||||||
HEALTHCARE-SERVICES — 2.4% | ||||||||
ModivCare, Inc. | ||||||||
230,000 | �� | 5.875%, 11/15/20251,2 | 242,075 |
37
AXS Sustainable Income Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Principal Amount | Value | |||||||
CORPORATE BONDS (Continued) | ||||||||
HEALTHCARE-SERVICES (Continued) | ||||||||
RP Escrow Issuer LLC | ||||||||
$ | 10,000 | 5.250%, 12/15/20251,2 | $ | 10,362 | ||||
Select Medical Corp. | ||||||||
260,000 | 6.250%, 8/15/20261,2 | 276,318 | ||||||
Tenet Healthcare Corp. | ||||||||
255,000 | 4.625%, 7/15/20241 | 259,271 | ||||||
200,000 | 5.125%, 5/1/20251 | 202,810 | ||||||
U.S. Acute Care Solutions LLC | ||||||||
260,000 | 6.375%, 3/1/20261,2 | 269,750 | ||||||
1,260,586 | ||||||||
HOME BUILDERS — 3.1% | ||||||||
Ashton Woods USA LLC / Ashton Woods Finance Co. | ||||||||
115,000 | 6.750%, 8/1/20251,2 | 118,738 | ||||||
Beazer Homes USA, Inc. | ||||||||
315,000 | 6.750%, 3/15/20251 | 324,450 | ||||||
New Home Co., Inc. | ||||||||
750,000 | 7.250%, 10/15/20251,2 | 776,407 | ||||||
Taylor Morrison Communities, Inc. / Taylor Morrison Holdings II, Inc. | ||||||||
285,000 | 5.625%, 3/1/20241,2,3 | 305,662 | ||||||
TRI Pointe Group, Inc. / TRI Pointe Homes, Inc. | ||||||||
130,000 | 5.875%, 6/15/2024 | 143,650 | ||||||
1,668,907 | ||||||||
HOUSEHOLD PRODUCTS/WARES — 0.2% | ||||||||
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. | ||||||||
100,000 | 5.000%, 12/31/20261,2 | 100,000 | ||||||
INTERNET — 1.5% | ||||||||
Photo Holdings Merger Sub, Inc. | ||||||||
250,000 | 8.500%, 10/1/20261,2 | 270,938 | ||||||
Uber Technologies, Inc. | ||||||||
465,000 | 8.000%, 11/1/20261,2 | 503,362 | ||||||
774,300 | ||||||||
INVESTMENT COMPANIES — 0.6% | ||||||||
Compass Group Diversified Holdings LLC | ||||||||
310,000 | 5.250%, 4/15/20291,2 | 324,725 | ||||||
IRON/STEEL — 1.3% | ||||||||
Cleveland-Cliffs, Inc. | ||||||||
240,000 | 5.750%, 3/1/20251 | 247,488 | ||||||
United States Steel Corp. | ||||||||
200,000 | 6.250%, 3/15/20261 | 203,000 |
38
AXS Sustainable Income Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Principal Amount | Value | |||||||
CORPORATE BONDS (Continued) | ||||||||
IRON/STEEL (Continued) | ||||||||
$ | 225,000 | 6.875%, 3/1/20291 | $ | 230,625 | ||||
681,113 | ||||||||
LEISURE TIME — 1.0% | ||||||||
Viking Ocean Cruises Ship VII Ltd. | ||||||||
530,000 | 5.625%, 2/15/20291,2,3 | 535,459 | ||||||
LODGING — 1.0% | ||||||||
Marriott Ownership Resorts, Inc. | ||||||||
115,000 | 6.125%, 9/15/20251,2 | 122,145 | ||||||
Marriott Ownership Resorts, Inc. / ILG LLC | ||||||||
240,000 | 6.500%, 9/15/20261 | 250,650 | ||||||
Travel + Leisure Co. | ||||||||
170,000 | 5.650%, 4/1/20241 | 184,025 | ||||||
556,820 | ||||||||
MEDIA — 12.9% | ||||||||
Altice Financing S.A. | ||||||||
115,000 | 7.500%, 5/15/20261,2,3 | 120,175 | ||||||
Cengage Learning, Inc. | ||||||||
765,000 | 9.500%, 6/15/20241,2 | 779,344 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
265,000 | 9.250%, 2/15/20241 | 275,679 | ||||||
DISH DBS Corp. | ||||||||
255,000 | 7.375%, 7/1/20281 | 267,508 | ||||||
Entercom Media Corp. | ||||||||
380,000 | 6.500%, 5/1/20271,2 | 392,825 | ||||||
1,355,000 | 6.750%, 3/31/20291,2 | 1,408,421 | ||||||
iHeartCommunications, Inc. | ||||||||
730,000 | 8.375%, 5/1/20271 | 783,837 | ||||||
Meredith Corp. | ||||||||
1,246,000 | 6.875%, 2/1/20261 | 1,277,150 | ||||||
Townsquare Media, Inc. | ||||||||
1,045,000 | 6.875%, 2/1/20261,2 | 1,112,925 | ||||||
Univision Communications, Inc. | ||||||||
240,000 | 6.625%, 6/1/20271,2 | 256,302 | ||||||
Ziggo Bond Co. B.V. | ||||||||
185,000 | 6.000%, 1/15/20271,2,3 | 192,863 | ||||||
6,867,029 | ||||||||
METAL FABRICATE/HARDWARE — 1.6% | ||||||||
Grinding Media, Inc. / Moly-Cop AltaSteel Ltd. | ||||||||
315,000 | 7.375%, 12/15/20231,2 | 319,725 |
39
AXS Sustainable Income Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Principal Amount | Value | |||||||
CORPORATE BONDS (Continued) | ||||||||
METAL FABRICATE/HARDWARE (Continued) | ||||||||
Park-Ohio Industries, Inc. | ||||||||
$ | 515,000 | 6.625%, 4/15/20271 | $ | 520,150 | ||||
839,875 | ||||||||
MINING — 1.9% | ||||||||
Coeur Mining, Inc. | ||||||||
410,000 | 5.125%, 2/15/20291,2 | 391,940 | ||||||
First Quantum Minerals Ltd. | ||||||||
350,000 | 6.500%, 3/1/20241,2,3 | 355,250 | ||||||
200,000 | 7.500%, 4/1/20251,2,3 | 206,500 | ||||||
Hudbay Minerals, Inc. | ||||||||
40,000 | 4.500%, 4/1/20261,2,3 | 41,572 | ||||||
995,262 | ||||||||
MISCELLANEOUS MANUFACTURING — 2.4% | ||||||||
FXI Holdings, Inc. | ||||||||
230,000 | 7.875%, 11/1/20241,2 | 236,900 | ||||||
700,000 | 12.250%, 11/15/20261,2 | 799,750 | ||||||
Koppers, Inc. | ||||||||
250,000 | 6.000%, 2/15/20251,2 | 257,697 | ||||||
1,294,347 | ||||||||
OFFICE FURNISHINGS — 0.5% | ||||||||
Interface, Inc. | ||||||||
250,000 | 5.500%, 12/1/20281,2 | 258,438 | ||||||
PACKAGING & CONTAINERS — 5.9% | ||||||||
Greif, Inc. | ||||||||
350,000 | 6.500%, 3/1/20271,2 | 368,813 | ||||||
Intelligent Packaging Ltd. Finco, Inc. / Intelligent Packaging Ltd. | ||||||||
Co.-Issuer LLC | ||||||||
250,000 | 6.000%, 9/15/20281,2,3 | 258,125 | ||||||
Intertape Polymer Group, Inc. | ||||||||
160,000 | 7.000%, 10/15/20261,2,3 | 168,300 | ||||||
LABL Escrow Issuer LLC | ||||||||
275,000 | 6.750%, 7/15/20261,2 | 294,594 | ||||||
Mauser Packaging Solutions Holding Co. | ||||||||
485,000 | 8.500%, 4/15/20241,2 | 501,975 | ||||||
265,000 | 7.250%, 4/15/20251,2 | 265,000 | ||||||
OI European Group B.V. | ||||||||
215,000 | 4.000%, 3/15/20231,2,3 | 220,375 | ||||||
Owens-Brockway Glass Container, Inc. | ||||||||
260,000 | 5.875%, 8/15/20232 | 278,525 |
40
AXS Sustainable Income Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Principal Amount | Value | |||||||
CORPORATE BONDS (Continued) | ||||||||
PACKAGING & CONTAINERS (Continued) | ||||||||
Plastipak Holdings, Inc. | ||||||||
$ | 770,000 | 6.250%, 10/15/20251,2 | $ | 792,137 | ||||
3,147,844 | ||||||||
PHARMACEUTICALS — 0.3% | ||||||||
Bausch Health Americas, Inc. | ||||||||
135,000 | 8.500%, 1/31/20271,2 | 149,766 | ||||||
REAL ESTATE — 1.6% | ||||||||
Realogy Group LLC / Realogy Co.-Issuer Corp. | ||||||||
195,000 | 7.625%, 6/15/20251,2 | 212,901 | ||||||
330,000 | 9.375%, 4/1/20271,2 | 365,470 | ||||||
250,000 | 5.750%, 1/15/20291,2 | 246,562 | ||||||
824,933 | ||||||||
REITS — 2.1% | ||||||||
FelCor Lodging LP | ||||||||
200,000 | 6.000%, 6/1/20251 | 205,125 | ||||||
HAT Holdings I LLC / HAT Holdings II LLC | ||||||||
380,000 | 5.250%, 7/15/20241,2 | 392,350 | ||||||
iStar, Inc. | ||||||||
360,000 | 4.750%, 10/1/20241 | 374,546 | ||||||
Starwood Property Trust, Inc. | ||||||||
165,000 | 4.750%, 3/15/20251 | 171,316 | ||||||
1,143,337 | ||||||||
RETAIL — 3.4% | ||||||||
1011778 BC ULC / New Red Finance, Inc. | ||||||||
206,000 | 4.250%, 5/15/20241,2,3 | 208,416 | ||||||
Brinker International, Inc. | ||||||||
280,000 | 3.875%, 5/15/2023 | 284,200 | ||||||
Carvana Co. | ||||||||
40,000 | 5.500%, 4/15/20271,2 | 40,210 | ||||||
Foundation Building Materials, Inc. | ||||||||
275,000 | 6.000%, 3/1/20291,2 | 271,562 | ||||||
IRB Holding Corp. | ||||||||
195,000 | 7.000%, 6/15/20251,2 | 209,908 | ||||||
LSF9 Atlantis Holdings LLC / Victra Finance Corp. | ||||||||
250,000 | 7.750%, 2/15/20261,2 | 255,833 | ||||||
Macy's Retail Holdings LLC | ||||||||
265,000 | 5.875%, 4/1/20291,2 | 271,746 | ||||||
PetSmart, Inc. / PetSmart Finance Corp. | ||||||||
250,000 | 7.750%, 2/15/20291,2 | 271,650 | ||||||
1,813,525 |
41
AXS Sustainable Income Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Principal Amount | Value | |||||||
CORPORATE BONDS (Continued) | ||||||||
SEMICONDUCTORS — 0.5% | ||||||||
Amkor Technology, Inc. | ||||||||
$ | 255,000 | 6.625%, 9/15/20271,2 | $ | 276,038 | ||||
SOFTWARE — 3.0% | ||||||||
Boxer Parent Co., Inc. | ||||||||
265,000 | 7.125%, 10/2/20251,2 | 284,212 | ||||||
Dun & Bradstreet Corp. | ||||||||
155,000 | 6.875%, 8/15/20261,2 | 165,494 | ||||||
Rocket Software, Inc. | ||||||||
395,000 | 6.500%, 2/15/20291,2 | 398,555 | ||||||
SS&C Technologies, Inc. | ||||||||
185,000 | 5.500%, 9/30/20271,2 | 196,840 | ||||||
Veritas US, Inc. / Veritas Bermuda Ltd. | ||||||||
250,000 | 10.500%, 2/1/20241,2 | 255,937 | ||||||
285,000 | 7.500%, 9/1/20251,2 | 296,400 | ||||||
1,597,438 | ||||||||
TELECOMMUNICATIONS — 3.1% | ||||||||
Altice France S.A./France | ||||||||
260,000 | 7.375%, 5/1/20261,2,3 | 270,400 | ||||||
CommScope, Inc. | ||||||||
255,000 | 8.250%, 3/1/20271,2 | 272,850 | ||||||
Lumen Technologies, Inc. | ||||||||
75,000 | 6.750%, 12/1/2023 | 82,790 | ||||||
255,000 | 7.500%, 4/1/20241 | 285,817 | ||||||
230,000 | 5.625%, 4/1/20251 | 248,112 | ||||||
T-Mobile USA, Inc. | ||||||||
230,000 | 6.000%, 3/1/20231 | 231,437 | ||||||
Viasat, Inc. | ||||||||
240,000 | 5.625%, 4/15/20271,2 | 251,740 | ||||||
1,643,146 | ||||||||
TOYS/GAMES/HOBBIES — 0.3% | ||||||||
Mattel, Inc. | ||||||||
145,000 | 3.150%, 3/15/20231 | 146,450 | ||||||
TRANSPORTATION — 1.0% | ||||||||
Danaos Corp. | ||||||||
515,000 | 8.500%, 3/1/20281,2,3 | 550,406 | ||||||
TRUCKING & LEASING — 1.2% | ||||||||
DAE Funding LLC | ||||||||
240,000 | 4.500%, 8/1/20221,2 | 241,500 | ||||||
190,000 | 5.000%, 8/1/20241,2 | 195,700 |
42
AXS Sustainable Income Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Principal Amount | Value | |||||||
CORPORATE BONDS (Continued) | ||||||||
TRUCKING & LEASING (Continued) | ||||||||
Fortress Transportation and Infrastructure Investors LLC | ||||||||
$ | 149,000 | 6.750%, 3/15/20221,2 | $ | 149,186 | ||||
55,000 | 6.500%, 10/1/20251,2 | 57,475 | ||||||
643,861 | ||||||||
TOTAL CORPORATE BONDS | ||||||||
(Cost $50,118,754) | 51,245,434 | |||||||
SHORT-TERM INVESTMENTS — 2.7% | ||||||||
1,426,520 | UMB Money Market Fiduciary, 0.01%4 | 1,426,520 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $1,426,520) | 1,426,520 | |||||||
TOTAL INVESTMENTS — 98.8% | ||||||||
(Cost $51,545,274) | 52,671,954 | |||||||
Other Assets in Excess of Liabilities — 1.2% | 652,901 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 53,324,855 |
LLC – Limited Liability Company
LP – Limited Partnership
PLC – Public Limited Company
ULC – Unlimited Liability Corporation
1 | Callable. |
2 | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers. The total value of these securities is $40,065,229, which represents 75.1% of total net assets of the Fund. |
3 | Foreign security denominated in U.S. Dollars. |
4 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Consolidated Financial Statements.
43
AXS Sustainable Income Fund
SUMMARY OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Percent of Total | ||||
Security Type/Industry | Net Assets | |||
Corporate Bonds | ||||
Media | 12.9% | |||
Commercial Services | 8.9% | |||
Packaging & Containers | 5.9% | |||
Airlines | 4.8% | |||
Computers | 4.3% | |||
Chemicals | 3.9% | |||
Retail | 3.4% | |||
Diversified Financial Services | 3.3% | |||
Telecommunications | 3.1% | |||
Home Builders | 3.1% | |||
Auto Parts & Equipment | 3.0% | |||
Software | 3.0% | |||
Food | 2.4% | |||
Healthcare-Services | 2.4% | |||
Miscellaneous Manufacturing | 2.4% | |||
Engineering & Construction | 2.3% | |||
Entertainment | 2.3% | |||
REITS | 2.1% | |||
Mining | 1.9% | |||
Auto Manufacturers | 1.8% | |||
Real Estate | 1.6% | |||
Metal Fabricate/Hardware | 1.6% | |||
Internet | 1.5% | |||
Iron/Steel | 1.3% | |||
Building Materials | 1.3% | |||
Trucking & Leasing | 1.2% | |||
Advertising | 1.2% | |||
Lodging | 1.0% | |||
Leisure Time | 1.0% | |||
Transportation | 1.0% | |||
Forest Products & Paper | 0.7% | |||
Healthcare-Products | 0.6% | |||
Aerospace/Defense | 0.6% | |||
Investment Companies | 0.6% | |||
Beverages | 0.5% | |||
Electric | 0.5% | |||
Semiconductors | 0.5% | |||
Office Furnishings | 0.5% | |||
Distribution/Wholesale | 0.4% | |||
Environmental Control | 0.3% | |||
Toys/Games/Hobbies | 0.3% | |||
Pharmaceuticals | 0.3% |
44
AXS Sustainable Income Fund
SUMMARY OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Percent of Total | ||||
Security Type/Industry | Net Assets | |||
Apparel | 0.2% | |||
Household Products/Wares | 0.2% | |||
Total Corporate Bonds | 96.1% | |||
Short-Term Investments | 2.7% | |||
Total Investments | 98.8% | |||
Other Assets in Excess of Liabilities | 1.2% | |||
Total Net Assets | 100.0% |
See accompanying Notes to Consolidated Financial Statements.
45
AXS Thomson Reuters Private Equity Return Tracker Fund
SCHEDULE OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 87.2% | ||||||||
AEROSPACE/DEFENSE — 1.9% | ||||||||
686 | Boeing Co. | $ | 174,738 | |||||
319 | Lockheed Martin Corp. | 117,870 | ||||||
1,858 | Raytheon Technologies Corp. | 143,568 | ||||||
436,176 | ||||||||
AGRICULTURE — 1.2% | ||||||||
1,896 | Altria Group, Inc. | 96,999 | ||||||
543 | Archer-Daniels-Midland Co. | 30,951 | ||||||
1,589 | Philip Morris International, Inc. | 141,008 | ||||||
268,958 | ||||||||
APPAREL — 0.6% | ||||||||
980 | NIKE, Inc. - Class B | 130,232 | ||||||
AUTO MANUFACTURERS — 2.2% | ||||||||
115 | Cummins, Inc. | 29,797 | ||||||
3,239 | Ford Motor Co.* | 39,678 | ||||||
961 | General Motors Co. | 55,219 | ||||||
587 | Tesla, Inc.* | 392,075 | ||||||
516,769 | ||||||||
BANKS — 4.5% | ||||||||
5,209 | Bank of America Corp. | 201,536 | ||||||
1,422 | Citigroup, Inc. | 103,450 | ||||||
235 | Goldman Sachs Group, Inc. | 76,845 | ||||||
2,082 | JPMorgan Chase & Co. | 316,943 | ||||||
866 | Morgan Stanley | 67,254 | ||||||
290 | PNC Financial Services Group, Inc. | 50,869 | ||||||
865 | Truist Financial Corp. | 50,447 | ||||||
936 | U.S. Bancorp | 51,770 | ||||||
2,814 | Wells Fargo & Co. | 109,943 | ||||||
1,029,057 | ||||||||
BEVERAGES — 2.2% | ||||||||
4,199 | Coca-Cola Co. | 221,329 | ||||||
166 | Constellation Brands, Inc. - Class A | 37,848 | ||||||
373 | Monster Beverage Corp.* | 33,977 | ||||||
1,487 | PepsiCo, Inc. | 210,336 | ||||||
503,490 | ||||||||
BIOTECHNOLOGY — 0.5% | ||||||||
323 | Amgen, Inc. | 80,366 | ||||||
804 | Corteva, Inc. | 37,482 | ||||||
117,848 |
46
AXS Thomson Reuters Private Equity Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
BUILDING MATERIALS — 0.2% | ||||||||
87 | Martin Marietta Materials, Inc. | $ | 29,216 | |||||
170 | Vulcan Materials Co. | 28,688 | ||||||
57,904 | ||||||||
CHEMICALS — 2.8% | ||||||||
290 | Air Products and Chemicals, Inc. | 81,589 | ||||||
141 | Albemarle Corp. | 20,601 | ||||||
922 | Dow, Inc. | 58,953 | ||||||
1,026 | DuPont de Nemours, Inc. | 79,289 | ||||||
355 | Ecolab, Inc. | 75,995 | ||||||
734 | Linde PLC1 | 205,623 | ||||||
313 | PPG Industries, Inc. | 47,031 | ||||||
115 | Sherwin-Williams Co. | 84,871 | ||||||
653,952 | ||||||||
COMMERCIAL SERVICES — 2.1% | ||||||||
1,154 | PayPal Holdings, Inc.* | 280,237 | ||||||
293 | S&P Global, Inc. | 103,391 | ||||||
451 | Square, Inc. - Class A* | 102,400 | ||||||
486,028 | ||||||||
COMPUTERS — 5.0% | ||||||||
594 | Accenture PLC - Class A1 | 164,092 | ||||||
7,165 | Apple, Inc. | 875,205 | ||||||
876 | International Business Machines Corp. | 116,736 | ||||||
1,156,033 | ||||||||
COSMETICS/PERSONAL CARE — 2.2% | ||||||||
921 | Colgate-Palmolive Co. | 72,603 | ||||||
225 | Estee Lauder Cos., Inc. - Class A | 65,441 | ||||||
2,674 | Procter & Gamble Co. | 362,140 | ||||||
500,184 | ||||||||
DIVERSIFIED FINANCIAL SERVICES — 4.2% | ||||||||
445 | American Express Co. | 62,941 | ||||||
98 | BlackRock, Inc. | 73,888 | ||||||
1,152 | Charles Schwab Corp. | 75,087 | ||||||
220 | CME Group, Inc. | 44,931 | ||||||
383 | Intercontinental Exchange, Inc. | 42,774 | ||||||
868 | Mastercard, Inc. - Class A | 309,051 | ||||||
1,658 | Visa, Inc. - Class A | 351,048 | ||||||
959,720 | ||||||||
ELECTRIC — 1.0% | ||||||||
211 | American Electric Power Co., Inc. | 17,872 |
47
AXS Thomson Reuters Private Equity Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
ELECTRIC (Continued) | ||||||||
381 | Dominion Energy, Inc. | $ | 28,941 | |||||
335 | Duke Energy Corp. | 32,337 | ||||||
444 | Exelon Corp. | 19,421 | ||||||
892 | NextEra Energy, Inc. | 67,444 | ||||||
228 | Public Service Enterprise Group, Inc. | 13,728 | ||||||
111 | Sempra Energy | 14,716 | ||||||
481 | Southern Co. | 29,899 | ||||||
206 | Xcel Energy, Inc. | 13,701 | ||||||
238,059 | ||||||||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.3% | ||||||||
727 | Emerson Electric Co. | 65,590 | ||||||
ELECTRONICS — 0.8% | ||||||||
853 | Honeywell International, Inc. | 185,161 | ||||||
ENERGY-ALTERNATE SOURCES — 0.2% | ||||||||
93 | Enphase Energy, Inc.* | 15,081 | ||||||
302 | Plug Power, Inc.* | 10,823 | ||||||
36 | SolarEdge Technologies, Inc.* | 10,348 | ||||||
150 | Sunrun, Inc.* | 9,072 | ||||||
45,324 | ||||||||
FOOD — 0.9% | ||||||||
623 | General Mills, Inc. | 38,203 | ||||||
781 | Kroger Co. | 28,108 | ||||||
1,534 | Mondelez International, Inc. - Class A | 89,785 | ||||||
546 | Sysco Corp. | 42,992 | ||||||
199,088 | ||||||||
FOREST PRODUCTS & PAPER — 0.1% | ||||||||
472 | International Paper Co. | 25,521 | ||||||
HEALTHCARE-PRODUCTS — 2.0% | ||||||||
1,098 | Abbott Laboratories | 131,584 | ||||||
369 | Danaher Corp. | 83,055 | ||||||
791 | Medtronic PLC1 | 93,441 | ||||||
202 | Stryker Corp. | 49,203 | ||||||
245 | Thermo Fisher Scientific, Inc. | 111,813 | ||||||
469,096 | ||||||||
HEALTHCARE-SERVICES — 0.9% | ||||||||
554 | UnitedHealth Group, Inc. | 206,127 |
48
AXS Thomson Reuters Private Equity Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
HOUSEHOLD PRODUCTS/WARES — 0.3% | ||||||||
127 | Clorox Co. | $ | 24,496 | |||||
348 | Kimberly-Clark Corp. | 48,389 | ||||||
72,885 | ||||||||
INSURANCE — 3.0% | ||||||||
2,355 | Berkshire Hathaway, Inc. - Class B* | 601,632 | ||||||
289 | Chubb Ltd.1 | 45,653 | ||||||
304 | Marsh & McLennan Cos., Inc. | 37,027 | ||||||
684,312 | ||||||||
INTERNET — 12.1% | ||||||||
429 | Alphabet, Inc. - Class A* | 884,821 | ||||||
280 | Amazon.com, Inc.* | 866,343 | ||||||
31 | Booking Holdings, Inc.* | 72,225 | ||||||
2,246 | Facebook, Inc. - Class A* | 661,514 | ||||||
399 | Netflix, Inc.* | 208,142 | ||||||
79 | Roku, Inc. - Class A* | 25,736 | ||||||
1,499 | Uber Technologies, Inc.* | 81,711 | ||||||
2,800,492 | ||||||||
MACHINERY-CONSTRUCTION & MINING — 0.7% | ||||||||
658 | Caterpillar, Inc. | 152,571 | ||||||
MACHINERY-DIVERSIFIED — 0.5% | ||||||||
343 | Deere & Co. | 128,330 | ||||||
MEDIA — 2.2% | ||||||||
99 | Altice USA, Inc. - Class A* | 3,220 | ||||||
26 | Charter Communications, Inc. - Class A* | 16,043 | ||||||
3,779 | Comcast Corp. - Class A | 204,482 | ||||||
1,498 | Walt Disney Co.* | 276,411 | ||||||
500,156 | ||||||||
MINING — 0.6% | ||||||||
2,031 | Freeport-McMoRan, Inc.* | 66,881 | ||||||
1,056 | Newmont Corp. | 63,645 | ||||||
130,526 | ||||||||
MISCELLANEOUS MANUFACTURING — 1.7% | ||||||||
700 | 3M Co. | 134,876 | ||||||
486 | Eaton Corp. PLC1 | 67,204 | ||||||
9,691 | General Electric Co. | 127,243 | ||||||
326 | Illinois Tool Works, Inc. | 72,215 | ||||||
401,538 |
49
AXS Thomson Reuters Private Equity Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
OIL & GAS — 2.7% | ||||||||
1,654 | Chevron Corp. | $ | 173,323 | |||||
1,172 | ConocoPhillips | 62,081 | ||||||
396 | EOG Resources, Inc. | 28,722 | ||||||
3,643 | Exxon Mobil Corp. | 203,389 | ||||||
211 | Hess Corp. | 14,930 | ||||||
527 | Marathon Petroleum Corp. | 28,189 | ||||||
801 | Occidental Petroleum Corp. | 21,323 | ||||||
376 | Phillips 66 | 30,659 | ||||||
186 | Pioneer Natural Resources Co. | 29,540 | ||||||
330 | Valero Energy Corp. | 23,628 | ||||||
615,784 | ||||||||
OIL & GAS SERVICES — 0.2% | ||||||||
756 | Halliburton Co. | 16,224 | ||||||
1,196 | Schlumberger N.V.1 | 32,519 | ||||||
48,743 | ||||||||
PACKAGING & CONTAINERS — 0.2% | ||||||||
2,083 | Amcor PLC1 | 24,329 | ||||||
397 | Ball Corp. | 33,642 | ||||||
57,971 | ||||||||
PHARMACEUTICALS — 4.1% | ||||||||
1,094 | AbbVie, Inc. | 118,393 | ||||||
1,397 | Bristol-Myers Squibb Co. | 88,193 | ||||||
811 | CVS Health Corp. | 61,011 | ||||||
522 | Eli Lilly and Co. | 97,520 | ||||||
1,632 | Johnson & Johnson | 268,219 | ||||||
165 | McKesson Corp. | 32,182 | ||||||
1,490 | Merck & Co., Inc. | 114,864 | ||||||
3,274 | Pfizer, Inc. | 118,617 | ||||||
294 | Zoetis, Inc. | 46,299 | ||||||
945,298 | ||||||||
PIPELINES — 0.4% | ||||||||
206 | Cheniere Energy, Inc.* | 14,834 | ||||||
1,735 | Kinder Morgan, Inc. | 28,888 | ||||||
355 | ONEOK, Inc. | 17,984 | ||||||
993 | Williams Cos., Inc. | 23,524 | ||||||
85,230 | ||||||||
REITS — 0.9% | ||||||||
287 | American Tower Corp. - REIT | 68,610 | ||||||
272 | Crown Castle International Corp. - REIT | 46,819 | ||||||
57 | Equinix, Inc. - REIT | 38,737 |
50
AXS Thomson Reuters Private Equity Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
REITS (Continued) | ||||||||
474 | Prologis, Inc. - REIT | $ | 50,244 | |||||
204,410 | ||||||||
RETAIL — 5.4% | ||||||||
21 | Chipotle Mexican Grill, Inc.* | 29,837 | ||||||
365 | Costco Wholesale Corp. | 128,655 | ||||||
177 | Dollar General Corp. | 35,864 | ||||||
892 | Home Depot, Inc. | 272,283 | ||||||
626 | Lowe's Cos., Inc. | 119,053 | ||||||
616 | McDonald's Corp. | 138,070 | ||||||
244 | Ross Stores, Inc. | 29,258 | ||||||
969 | Starbucks Corp. | 105,883 | ||||||
415 | Target Corp. | 82,199 | ||||||
944 | TJX Cos., Inc. | 62,446 | ||||||
772 | Walgreens Boots Alliance, Inc. | 42,383 | ||||||
1,522 | Walmart, Inc. | 206,733 | ||||||
1,252,664 | ||||||||
SEMICONDUCTORS — 5.6% | ||||||||
1,154 | Advanced Micro Devices, Inc.* | 90,589 | ||||||
799 | Applied Materials, Inc. | 106,746 | ||||||
294 | Broadcom, Inc. | 136,316 | ||||||
3,974 | Intel Corp. | 254,336 | ||||||
1,092 | Micron Technology, Inc.* | 96,325 | ||||||
564 | NVIDIA Corp. | 301,137 | ||||||
1,109 | QUALCOMM, Inc. | 147,042 | ||||||
855 | Texas Instruments, Inc. | 161,587 | ||||||
1,294,078 | ||||||||
SOFTWARE — 7.0% | ||||||||
415 | Adobe, Inc.* | 197,278 | ||||||
619 | Fiserv, Inc.* | 73,686 | ||||||
221 | Intuit, Inc. | 84,656 | ||||||
3,739 | Microsoft Corp. | 881,544 | ||||||
1,834 | Oracle Corp. | 128,692 | ||||||
814 | salesforce.com, Inc.* | 172,462 | ||||||
162 | ServiceNow, Inc.* | 81,018 | ||||||
1,619,336 | ||||||||
TELECOMMUNICATIONS — 1.4% | ||||||||
1,389 | AT&T, Inc. | 42,045 | ||||||
4,164 | Cisco Systems, Inc. | 215,321 | ||||||
115 | T-Mobile US, Inc.* | 14,408 |
51
AXS Thomson Reuters Private Equity Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
TELECOMMUNICATIONS (Continued) | ||||||||
806 | Verizon Communications, Inc. | $ | 46,869 | |||||
318,643 | ||||||||
TRANSPORTATION — 2.4% | ||||||||
791 | CSX Corp. | 76,268 | ||||||
277 | FedEx Corp. | 78,679 | ||||||
310 | Norfolk Southern Corp. | 83,241 | ||||||
825 | Union Pacific Corp. | 181,838 | ||||||
860 | United Parcel Service, Inc. - Class B | 146,192 | ||||||
566,218 | ||||||||
WATER — 0.0% | ||||||||
82 | American Water Works Co., Inc. | 12,293 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $14,015,653) | 20,141,795 |
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 12.4% | ||||||||
$ | 2,850,596 | UMB Money Market Fiduciary, 0.01%2 | 2,850,596 | |||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $2,850,596) | 2,850,596 | |||||||
TOTAL INVESTMENTS — 99.6% | ||||||||
(Cost $16,866,249) | 22,992,391 | |||||||
Other Assets in Excess of Liabilities — 0.4% | 94,265 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 23,086,656 |
PLC – Public Limited Company
REIT – Real Estate Investment Trusts
* | Non-income producing security. |
1 | Foreign security denominated in U.S. Dollars. |
2 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Consolidated Financial Statements.
52
AXS Thomson Reuters Private Equity Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
SWAP CONTRACTS
EQUITY SWAP CONTRACTS
Counterparty | Reference Entity | Fund Pays | Fund Receives | Pay/Receive Frequency | Termination Date | Notional Amount | Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||
BNP Paribas | BNP Paribas Index Swap1 | 1-Month LIBOR + 0.50% | Index Return | Monthly | 4/1/21 | $ | 23,162,490 | $ | 299 | $ | (244,206 | ) | ||||||||||
TOTAL EQUITY SWAP CONTRACTS | $ | (244,206 | ) |
1 | The BNP Paribas Index Swap is made up of the Nasdaq 100 Total Return Index and the Dow Jones Industrial Average Total Return Index and exposure to each index was 100.00% and (100.00)%, respectively. |
See accompanying Notes to Consolidated Financial Statements.
53
AXS Thomson Reuters Private Equity Return Tracker Fund
SUMMARY OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Security Type/Industry | Percent of Total Net Assets |
Common Stocks | |
Internet | 12.1% |
Software | 7.0% |
Semiconductors | 5.6% |
Retail | 5.4% |
Computers | 5.0% |
Banks | 4.5% |
Diversified Financial Services | 4.2% |
Pharmaceuticals | 4.1% |
Insurance | 3.0% |
Chemicals | 2.8% |
Oil & Gas | 2.7% |
Transportation | 2.4% |
Media | 2.2% |
Beverages | 2.2% |
Cosmetics/Personal Care | 2.2% |
Auto Manufacturers | 2.2% |
Commercial Services | 2.1% |
Healthcare-Products | 2.0% |
Aerospace/Defense | 1.9% |
Miscellaneous Manufacturing | 1.7% |
Telecommunications | 1.4% |
Agriculture | 1.2% |
Electric | 1.0% |
Food | 0.9% |
REITS | 0.9% |
Healthcare-Services | 0.9% |
Electronics | 0.8% |
Machinery-Construction & Mining | 0.7% |
Mining | 0.6% |
Apparel | 0.6% |
Biotechnology | 0.5% |
Machinery-Diversified | 0.5% |
Pipelines | 0.4% |
Household Products/Wares | 0.3% |
Electrical Components & Equipment | 0.3% |
Oil & Gas Services | 0.2% |
Building Materials | 0.2% |
Packaging & Containers | 0.2% |
Energy-Alternate Sources | 0.2% |
Forest Products & Paper | 0.1% |
Water | 0.0% |
Total Common Stocks | 87.2% |
Short-Term Investments | 12.4% |
54
AXS Thomson Reuters Private Equity Return Tracker Fund
SUMMARY OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Security Type/Industry | Percent of Total Net Assets |
Total Investments | 99.6% |
Other Assets in Excess of Liabilities | 0.4% |
Total Net Assets | 100.0% |
See accompanying Notes to Consolidated Financial Statements.
55
AXS Thomson Reuters Venture Capital Return Tracker Fund
SCHEDULE OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 95.1% | ||||||||
ADVERTISING — 0.7% | ||||||||
2,697 | Trade Desk, Inc. - Class A* | $ | 1,757,527 | |||||
AEROSPACE/DEFENSE — 1.3% | ||||||||
5,041 | Boeing Co. | 1,284,044 | ||||||
2,347 | Lockheed Martin Corp. | 867,216 | ||||||
13,645 | Raytheon Technologies Corp. | 1,054,349 | ||||||
3,205,609 | ||||||||
AGRICULTURE — 0.4% | ||||||||
8,797 | Altria Group, Inc. | 450,055 | ||||||
7,372 | Philip Morris International, Inc. | 654,191 | ||||||
1,104,246 | ||||||||
AUTO MANUFACTURERS — 0.1% | ||||||||
399 | Tesla, Inc.* | 266,504 | ||||||
BANKS — 0.7% | ||||||||
10,623 | Bank of America Corp. | 411,004 | ||||||
2,900 | Citigroup, Inc. | 210,975 | ||||||
479 | Goldman Sachs Group, Inc. | 156,633 | ||||||
4,246 | JPMorgan Chase & Co. | 646,368 | ||||||
5,740 | Wells Fargo & Co. | 224,262 | ||||||
1,649,242 | ||||||||
BEVERAGES — 0.8% | ||||||||
19,478 | Coca-Cola Co. | 1,026,685 | ||||||
6,899 | PepsiCo, Inc. | 975,864 | ||||||
2,002,549 | ||||||||
BIOTECHNOLOGY — 0.2% | ||||||||
1,570 | Illumina, Inc.* | 602,974 | ||||||
CHEMICALS — 0.9% | ||||||||
1,080 | Air Products and Chemicals, Inc. | 303,847 | ||||||
3,431 | Dow, Inc. | 219,378 | ||||||
3,818 | DuPont de Nemours, Inc. | 295,055 | ||||||
1,321 | Ecolab, Inc. | 282,787 | ||||||
2,733 | Linde PLC1 | 765,623 | ||||||
1,166 | PPG Industries, Inc. | 175,203 | ||||||
431 | Sherwin-Williams Co. | 318,082 | ||||||
2,359,975 | ||||||||
COMMERCIAL SERVICES — 5.3% | ||||||||
28,387 | Automatic Data Processing, Inc.2 | 5,350,098 | ||||||
2,408 | CoStar Group, Inc.* | 1,979,111 |
56
AXS Thomson Reuters Venture Capital Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
COMMERCIAL SERVICES (Continued) | ||||||||
24,328 | PayPal Holdings, Inc.* | $ | 5,907,812 | |||||
13,237,021 | ||||||||
COMPUTERS — 12.1% | ||||||||
42,014 | Accenture PLC - Class A1 | 11,606,367 | ||||||
44,344 | Apple, Inc.2 | 5,416,620 | ||||||
37,694 | Cognizant Technology Solutions Corp. - Class A | 2,944,655 | ||||||
12,178 | Crowdstrike Holdings, Inc. - Class A* | 2,222,607 | ||||||
61,910 | International Business Machines Corp.2 | 8,250,127 | ||||||
30,440,376 | ||||||||
COSMETICS/PERSONAL CARE — 0.9% | ||||||||
4,272 | Colgate-Palmolive Co. | 336,762 | ||||||
1,048 | Estee Lauder Cos., Inc. - Class A | 304,811 | ||||||
12,406 | Procter & Gamble Co. | 1,680,144 | ||||||
2,321,717 | ||||||||
DIVERSIFIED FINANCIAL SERVICES — 5.0% | ||||||||
201 | BlackRock, Inc. | 151,546 | ||||||
17,567 | Mastercard, Inc. - Class A | 6,254,730 | ||||||
28,905 | Visa, Inc. - Class A2 | 6,120,056 | ||||||
12,526,332 | ||||||||
ELECTRONICS — 0.7% | ||||||||
3,666 | Agilent Technologies, Inc. | 466,095 | ||||||
6,268 | Honeywell International, Inc. | 1,360,595 | ||||||
1,826,690 | ||||||||
FOOD — 0.2% | ||||||||
7,117 | Mondelez International, Inc. - Class A | 416,558 | ||||||
HEALTHCARE-PRODUCTS — 5.5% | ||||||||
22,884 | Abbott Laboratories2 | 2,742,419 | ||||||
896 | Align Technology, Inc.* | 485,211 | ||||||
6,150 | Baxter International, Inc. | 518,691 | ||||||
17,382 | Boston Scientific Corp.* | 671,814 | ||||||
7,702 | Danaher Corp. | 1,733,566 | ||||||
7,553 | Edwards Lifesciences Corp.* | 631,733 | ||||||
1,033 | IDEXX Laboratories, Inc.* | 505,457 | ||||||
1,225 | Intuitive Surgical, Inc.* | 905,202 | ||||||
16,505 | Medtronic PLC1 | 1,949,736 | ||||||
4,221 | Stryker Corp. | 1,028,151 | ||||||
5,113 | Thermo Fisher Scientific, Inc. | 2,333,471 | ||||||
2,542 | Zimmer Biomet Holdings, Inc. | 406,923 | ||||||
13,912,374 |
57
AXS Thomson Reuters Venture Capital Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
HEALTHCARE-SERVICES — 2.9% | ||||||||
3,055 | Anthem, Inc. | $ | 1,096,592 | |||||
5,916 | Centene Corp.* | 378,092 | ||||||
3,189 | HCA Healthcare, Inc. | 600,616 | ||||||
1,504 | Humana, Inc. | 630,552 | ||||||
1,876 | Teladoc Health, Inc.* | 340,963 | ||||||
11,546 | UnitedHealth Group, Inc.2 | 4,295,920 | ||||||
7,342,735 | ||||||||
HOUSEHOLD PRODUCTS/WARES — 0.1% | ||||||||
1,614 | Kimberly-Clark Corp. | 224,427 | ||||||
INSURANCE — 1.8% | ||||||||
17,289 | Berkshire Hathaway, Inc. - Class B* | 4,416,821 | ||||||
INTERNET — 19.6% | ||||||||
3,028 | Alphabet, Inc. - Class A* | 6,245,311 | ||||||
240 | Amazon.com, Inc.* | 742,579 | ||||||
48,653 | eBay, Inc.2 | 2,979,510 | ||||||
23,740 | Facebook, Inc. - Class A* | 6,992,142 | ||||||
15,725 | Match Group, Inc.* | 2,160,301 | ||||||
2,557 | MercadoLibre, Inc.* | 3,764,262 | ||||||
11,325 | Netflix, Inc.* | 5,907,799 | ||||||
7,672 | Okta, Inc.* | 1,691,139 | ||||||
6,699 | Palo Alto Networks, Inc.* | 2,157,480 | ||||||
32,163 | Pinterest, Inc.* | 2,381,027 | ||||||
59,775 | Snap, Inc. - Class A* | 3,125,635 | ||||||
6,641 | Spotify Technology S.A.*,1 | 1,779,456 | ||||||
54,984 | Twitter, Inc.* | 3,498,632 | ||||||
105,997 | Uber Technologies, Inc.* | 5,777,896 | ||||||
49,203,169 | ||||||||
MACHINERY-CONSTRUCTION & MINING — 0.4% | ||||||||
4,836 | Caterpillar, Inc. | 1,121,323 | ||||||
MEDIA — 0.1% | ||||||||
420 | Altice USA, Inc. - Class A* | 13,663 | ||||||
3 | Cable One, Inc. | 5,485 | ||||||
113 | Charter Communications, Inc. - Class A* | 69,723 | ||||||
1,019 | Walt Disney Co.* | 188,026 | ||||||
276,897 | ||||||||
MINING — 0.2% | ||||||||
7,555 | Freeport-McMoRan, Inc.* | 248,786 | ||||||
3,931 | Newmont Corp. | 236,921 | ||||||
485,707 |
58
AXS Thomson Reuters Venture Capital Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
MISCELLANEOUS MANUFACTURING — 0.8% | ||||||||
5,145 | 3M Co. | $ | 991,339 | |||||
71,149 | General Electric Co. | 934,186 | ||||||
1,925,525 | ||||||||
OIL & GAS — 0.2% | ||||||||
1,800 | Chevron Corp. | 188,622 | ||||||
1,275 | ConocoPhillips | 67,537 | ||||||
431 | EOG Resources, Inc. | 31,260 | ||||||
3,965 | Exxon Mobil Corp. | 221,366 | ||||||
573 | Marathon Petroleum Corp. | 30,650 | ||||||
409 | Phillips 66 | 33,350 | ||||||
202 | Pioneer Natural Resources Co. | 32,081 | ||||||
604,866 | ||||||||
OIL & GAS SERVICES — 0.0% | ||||||||
1,301 | Schlumberger N.V.1 | 35,374 | ||||||
PACKAGING & CONTAINERS — 0.1% | ||||||||
1,478 | Ball Corp. | 125,246 | ||||||
PHARMACEUTICALS — 2.0% | ||||||||
2,414 | AbbVie, Inc. | 261,243 | ||||||
3,446 | Becton, Dickinson and Co. | 837,895 | ||||||
4,081 | Cigna Corp. | 986,541 | ||||||
16,915 | CVS Health Corp. | 1,272,515 | ||||||
1,064 | Dexcom, Inc.* | 382,391 | ||||||
1,151 | Eli Lilly and Co. | 215,030 | ||||||
3,601 | Johnson & Johnson | 591,824 | ||||||
3,287 | Merck & Co., Inc. | 253,395 | ||||||
7,222 | Pfizer, Inc. | 261,653 | ||||||
5,062,487 | ||||||||
PIPELINES — 0.0% | ||||||||
1,889 | Kinder Morgan, Inc. | 31,452 | ||||||
1,081 | Williams Cos., Inc. | 25,609 | ||||||
57,061 | ||||||||
REITS — 0.1% | ||||||||
587 | American Tower Corp. - REIT | 140,328 | ||||||
RETAIL — 0.5% | ||||||||
607 | Home Depot, Inc. | 185,287 | ||||||
7,060 | Walmart, Inc. | 958,960 | ||||||
1,144,247 |
59
AXS Thomson Reuters Venture Capital Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
SEMICONDUCTORS — 1.4% | ||||||||
3,238 | Advanced Micro Devices, Inc.* | $ | 254,183 | |||||
2,242 | Applied Materials, Inc. | 299,531 | ||||||
825 | Broadcom, Inc. | 382,520 | ||||||
11,144 | Intel Corp. | 713,216 | ||||||
3,064 | Micron Technology, Inc.* | 270,275 | ||||||
1,582 | NVIDIA Corp. | 844,677 | ||||||
3,112 | QUALCOMM, Inc. | 412,620 | ||||||
2,400 | Texas Instruments, Inc. | 453,576 | ||||||
3,630,598 | ||||||||
SOFTWARE — 28.7% | ||||||||
46,682 | Activision Blizzard, Inc. | 4,341,426 | ||||||
13,112 | Adobe, Inc.* | 6,233,052 | �� | |||||
5,605 | ANSYS, Inc.* | 1,903,234 | ||||||
14,176 | Autodesk, Inc.* | 3,928,878 | ||||||
15 | Bandwidth, Inc. - Class A* | 1,901 | ||||||
18,217 | Cadence Design Systems, Inc.* | 2,495,547 | ||||||
11,842 | DocuSign, Inc.* | 2,397,413 | ||||||
20,076 | Electronic Arts, Inc.2 | 2,717,688 | ||||||
15,651 | Intuit, Inc. | 5,995,272 | ||||||
34 | J2 Global, Inc.* | 4,075 | ||||||
26,313 | Microsoft Corp. | 6,203,816 | ||||||
129,609 | Oracle Corp.2 | 9,094,664 | ||||||
6,405 | Roper Technologies, Inc.2 | 2,583,393 | ||||||
24,933 | salesforce.com, Inc.*,2 | 5,282,555 | ||||||
11,466 | ServiceNow, Inc.* | 5,734,261 | ||||||
9,072 | Synopsys, Inc.* | 2,247,860 | ||||||
9,594 | Twilio, Inc. - Class A* | 3,269,251 | ||||||
1,631 | Veeva Systems, Inc. - Class A* | 426,082 | ||||||
11,320 | Workday, Inc. - Class A* | 2,812,228 | ||||||
13,538 | Zoom Video Communications, Inc. - Class A*,2 | 4,349,624 | ||||||
72,022,220 | ||||||||
TELECOMMUNICATIONS — 0.4% | ||||||||
5,884 | AT&T, Inc. | 178,109 | ||||||
11,677 | Cisco Systems, Inc. | 603,818 | ||||||
86 | Iridium Communications, Inc.* | 3,547 | ||||||
770 | Lumen Technologies, Inc. | 10,279 | ||||||
490 | T-Mobile US, Inc.* | 61,392 | ||||||
3,417 | Verizon Communications, Inc. | 198,699 | ||||||
1,055,844 | ||||||||
TRANSPORTATION — 1.0% | ||||||||
6,063 | Union Pacific Corp. | 1,336,346 |
60
AXS Thomson Reuters Venture Capital Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
TRANSPORTATION (Continued) | ||||||||
6,315 | United Parcel Service, Inc. - Class B | $ | 1,073,487 | |||||
2,409,833 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $183,309,597) | 238,914,402 |
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 3.9% | ||||||||
$ | 9,805,710 | UMB Money Market Fiduciary, 0.01%3 | 9,805,710 | |||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $9,805,710) | 9,805,710 | |||||||
TOTAL INVESTMENTS — 99.0% | ||||||||
(Cost $193,115,307) | 248,720,112 | |||||||
Other Assets in Excess of Liabilities — 1.0% | 2,543,952 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 251,264,064 |
PLC – Public Limited Company
REIT – Real Estate Investment Trusts
* | Non-income producing security. |
1 | Foreign security denominated in U.S. Dollars. |
2 | All or a portion of this security is segregated as collateral for swap agreement. As of March 31, 2021, the aggregate value of those securities was $6,153,916, representing 2.4% of net assets. |
3 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Consolidated Financial Statements.
61
AXS Thomson Reuters Venture Capital Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
SWAP CONTRACTS
EQUITY SWAP CONTRACTS
Counterparty | Reference Entity | Fund Pays | Fund Receives | Pay/Receive Frequency | Termination Date | Notional Amount | Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||
BNP Paribas | BNP Paribas Index Swap1 | 0.50% | Index Return | Monthly | 4/1/21 | $ | 252,400,500 | $ | 2,014 | $ | 3,571,278 | |||||||||||
BNP Paribas | BNP Paribas Equity Basket Swap2 | 1-Month LIBOR + 0.50% | Basket Return | Monthly | 4/1/21 | 69,033,762 | 7,173 | (929,874 | ) | |||||||||||||
TOTAL EQUITY SWAP CONTRACTS | $ | 2,641,404 |
1 | The BNP Paribas Index Swap is made up of the S&P 500 Total Return Index and the Nasdaq 100 Total Return Index and exposure to each index was 95.04% and (95.04)%, respectively. |
2 | BNP Paribas Equity Basket Swap Top 50 Holdings^ |
Number of Shares | Description | Value | Percentage of Equity Swap's Notional Amount | |||||||||
29,495 | Facebook, Inc. - Class A | $ | 7,813,520 | 11.32 | % | |||||||
28,450 | PayPal Holdings, Inc. | 7,784,773 | 11.28 | % | ||||||||
14,126 | Netflix, Inc. | 7,778,341 | 11.27 | % | ||||||||
3,754 | Alphabet, Inc. - Class A | 7,769,504 | 11.25 | % | ||||||||
32,704 | Microsoft Corp. | 7,748,886 | 11.23 | % | ||||||||
35,667 | Visa, Inc. - Class A | 7,726,542 | 11.19 | % | ||||||||
21,191 | Mastercard, Inc. - Class A | 7,690,214 | 11.14 | % | ||||||||
16,234 | Adobe, Inc. | 7,622,999 | 11.04 | % | ||||||||
32,633 | Salesforce.com, Inc. | 7,098,983 | 10.28 | % |
^ | These investments are not direct holdings of the Fund. The holdings were determined based on the absolute notional values of the positions within the underlying swap basket. |
See accompanying Notes to Consolidated Financial Statements.
62
AXS Thomson Reuters Venture Capital Return Tracker Fund
CONSOLIDATED SUMMARY OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Security Type/Industry | Percent of Total Net Assets |
Common Stocks | |
Software | 28.7% |
Internet | 19.6% |
Computers | 12.1% |
Healthcare-Products | 5.5% |
Commercial Services | 5.3% |
Diversified Financial Services | 5.0% |
Healthcare-Services | 2.9% |
Pharmaceuticals | 2.0% |
Insurance | 1.8% |
Semiconductors | 1.4% |
Aerospace/Defense | 1.3% |
Transportation | 1.0% |
Cosmetics/Personal Care | 0.9% |
Chemicals | 0.9% |
Beverages | 0.8% |
Miscellaneous Manufacturing | 0.8% |
Banks | 0.7% |
Electronics | 0.7% |
Advertising | 0.7% |
Retail | 0.5% |
Telecommunications | 0.4% |
Agriculture | 0.4% |
Machinery-Construction & Mining | 0.4% |
Oil & Gas | 0.2% |
Mining | 0.2% |
Food | 0.2% |
Biotechnology | 0.2% |
Media | 0.1% |
Packaging & Containers | 0.1% |
REITS | 0.1% |
Household Products/Wares | 0.1% |
Auto Manufacturers | 0.1% |
Pipelines | 0.0% |
Oil & Gas Services | 0.0% |
Total Common Stocks | 95.1% |
Short-Term Investments | 3.9% |
Total Investments | 99.0% |
Other Assets in Excess of Liabilities | 1.0% |
Total Net Assets | 100.0% |
See accompanying Notes to Consolidated Financial Statements.
63
AXS Funds
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES
As of March 31, 2021 (Unaudited)
Aspect Core | ||||||||||||
Alternative | Diversified | Chesapeake | ||||||||||
Growth Fund | Strategy Fund | Strategy Fund | ||||||||||
Assets: | ||||||||||||
Investments, at value (cost $2,484,421, $17,264,073, and $15,014,890, respectively) | $ | 2,484,532 | $ | 17,264,073 | $ | 15,014,890 | ||||||
Cash | - | 1,290,989 | - | |||||||||
Cash deposited with brokers for open futures contracts | 354,467 | 1,091,615 | 1,723,224 | |||||||||
Cash deposited with brokers for open swap contract | 2,519,382 | - | - | |||||||||
Unrealized appreciation on open futures contracts | 15,384 | 192,245 | 332,894 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | - | - | 72 | |||||||||
Fund shares sold | 183 | 2,644 | - | |||||||||
Due from Advisor | 8,630 | - | - | |||||||||
Variation margin | - | - | - | |||||||||
Dividends and interest | 1 | 144 | 128 | |||||||||
Prepaid expenses and other assets | 61,050 | 44,872 | 56,530 | |||||||||
Total assets | 5,443,629 | 19,886,582 | 17,127,738 | |||||||||
Liabilities: | ||||||||||||
Unrealized depreciation on open swap contract | 748,333 | - | - | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | - | 5,796 | - | |||||||||
Payables: | - | |||||||||||
Investment securities purchased | - | - | - | |||||||||
Fund shares redeemed | 13,390 | - | 1,191 | |||||||||
Variation margin | 484,036 | - | - | |||||||||
Due to Broker - swap contract | 290,271 | - | - | |||||||||
Advisory fees | - | 771 | 1,876 | |||||||||
Distribution fees - Class A & Class C (Note 7) | 149 | 2,054 | 1,145 | |||||||||
Auditing fees | 12,710 | 12,229 | 14,460 | |||||||||
Fund administration and accounting fees | 2,991 | 1,589 | 8,553 | |||||||||
Custody fees | 2,496 | 135 | 883 | |||||||||
Transfer agent fees and expenses | 1,612 | 156 | 5,097 | |||||||||
Trustees' fees and expenses | 1,074 | 455 | 6,040 | |||||||||
Chief Compliance Officer fees | 1,012 | 892 | 1,374 | |||||||||
Trustees' deferred compensation (Note 3) | 879 | 1,674 | - | |||||||||
Swap interest | - | - | - | |||||||||
Sub-transfer agent fees and expenses | 445 | 494 | 1,552 | |||||||||
Shareholder reporting fees | 111 | - | 3,608 | |||||||||
Legal fees | 73 | 138 | 535 | |||||||||
Accrued other expenses | - | 782 | - | |||||||||
Total liabilities | 1,559,582 | 27,165 | 46,314 | |||||||||
Net Assets | $ | 3,884,047 | $ | 19,859,417 | $ | 17,081,424 |
See accompanying Notes to Consolidated Financial Statements.
64
AXS Funds
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES - Continued
As of March 31, 2021 (Unaudited)
Aspect Core | ||||||||||||
Alternative | Diversified | Chesapeake | ||||||||||
Growth Fund | Strategy Fund | Strategy Fund | ||||||||||
Components of Net Assets: | ||||||||||||
Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized) | $ | 6,458,696 | $ | 25,123,981 | $ | 44,338,188 | ||||||
Total distributable earnings (accumulated deficit) | (2,574,649 | ) | (5,264,564 | ) | (27,256,764 | ) | ||||||
Net Assets | $ | 3,884,047 | $ | 19,859,417 | $ | 17,081,424 | ||||||
Maximum Offering Price per Share: | ||||||||||||
Class A Shares: | ||||||||||||
Net assets applicable to shares outstanding | $ | 655,080 | $ | 836,078 | $ | 3,909,239 | ||||||
Shares of beneficial interest issued and outstanding | 52,202 | 100,301 | 333,308 | |||||||||
Redemption price per share1 | $ | 12.55 | $ | 8.34 | $ | 11.80 | ||||||
Maximum sales charge (5.75% of offering price)2 | 0.77 | 0.51 | 0.72 | |||||||||
Maximum offering price to public | $ | 13.32 | $ | 8.85 | $ | 12.52 | ||||||
Class C Shares: | ||||||||||||
Net assets applicable to shares outstanding | $ | 2,208,720 | $ | 371,998 | ||||||||
Shares of beneficial interest issued and outstanding | 276,129 | 32,373 | ||||||||||
Redemption price per share3 | $ | 8.00 | $ | 11.49 | ||||||||
Class I Shares: | ||||||||||||
Net assets applicable to shares outstanding | $ | 3,228,967 | $ | 16,814,619 | $ | 12,800,187 | ||||||
Shares of beneficial interest issued and outstanding | 253,973 | 2,009,063 | 1,074,390 | |||||||||
Redemption price per share1 | $ | 12.71 | $ | 8.37 | $ | 11.91 |
1 | Redemptions made within 30 days of purchase may be assessed a redemption fee of 1.00%. |
2 | No sales charge applies on investments of $1 million or more, but a contingent deferred sales charge (“CDSC”) of 1.00% will be imposed on certain redemptions of such shares within 12 months of the date of purchase. |
3 | A CDSC of 1.00% may be charged on purchases that are redeemed within 12 months of purchase. |
See accompanying Notes to Consolidated Financial Statements.
65
AXS Funds
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES - Continued
As of March 31, 2021 (Unaudited)
Managed | ||||||||||||
Futures | Multi-Strategy | Sustainable | ||||||||||
Strategy Fund | Alternatives Fund4 | Income Fund4 | ||||||||||
Assets: | ||||||||||||
Investments, at value (cost $27,342,373, $17,095,037, and $51,545,274, respectively) | $ | 27,343,252 | $ | 20,102,246 | $ | 52,671,954 | ||||||
Cash | 1,830,000 | 1,214 | - | |||||||||
Cash deposited with brokers for open futures contracts | - | - | - | |||||||||
Cash deposited with brokers for open swap contracts | 44,950,208 | - | - | |||||||||
Unrealized appreciation on open futures contracts | - | - | - | |||||||||
Receivables: | ||||||||||||
Investment securities sold | - | - | 295,784 | |||||||||
Fund shares sold | 539 | 15,278 | - | |||||||||
Due from Advisor | - | - | - | |||||||||
Variation margin | - | 58,966 | - | |||||||||
Dividends and interest | 57 | 6,977 | 912,438 | |||||||||
Prepaid expenses and other assets | 82,617 | 42,792 | 23,326 | |||||||||
Total assets | 74,206,673 | 20,227,473 | 53,903,502 | |||||||||
Liabilities: | ||||||||||||
Unrealized depreciation on open swap contracts | 9,414,743 | 184,294 | - | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | - | - | - | |||||||||
Payables: | ||||||||||||
Investment securities purchased | - | - | 520,417 | |||||||||
Fund shares redeemed | 197,114 | 54,197 | - | |||||||||
Variation margin | - | - | - | |||||||||
Due to Broker - swap contracts | 4,251,650 | - | - | |||||||||
Advisory fees | 13,454 | 3,523 | 14,151 | |||||||||
Distribution fees - Class A, Class C, & Class R-1 (Note 7) | 8,886 | 2,414 | - | |||||||||
Auditing fees | 10,388 | 11,141 | 8,775 | |||||||||
Fund administration and accounting fees | 8,409 | 7,501 | 7,884 | |||||||||
Custody fees | - | 1,528 | 4,505 | |||||||||
Transfer agent fees and expenses | 4,521 | 2,621 | 3,741 | |||||||||
Trustees' fees and expenses | 1,269 | 2,322 | 2,000 | |||||||||
Chief Compliance Officer fees | 1,664 | 2,228 | 1,858 | |||||||||
Trustees' deferred compensation (Note 3) | 8,359 | 4,414 | 945 | |||||||||
Swap interest | - | - | - | |||||||||
Sub-transfer agent fees and expenses | 599 | 3,008 | 5,978 | |||||||||
Shareholder reporting fees | 444 | 402 | 458 | |||||||||
Legal fees | 384 | 1,019 | 7,101 | |||||||||
Accrued other expenses | - | 962 | 834 | |||||||||
Total liabilities | 13,921,884 | 281,574 | 578,647 | |||||||||
Net Assets | $ | 60,284,789 | $ | 19,945,899 | $ | 53,324,855 |
See accompanying Notes to Consolidated Financial Statements.
66
AXS Funds
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES - Continued
As of March 31, 2021 (Unaudited)
Managed | ||||||||||||
Futures | Multi-Strategy | Sustainable | ||||||||||
Strategy Fund | Alternatives Fund4 | Income Fund4 | ||||||||||
Components of Net Assets: | ||||||||||||
Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized) | $ | 225,265,175 | $ | 15,975,672 | $ | 51,868,962 | ||||||
Total distributable earnings (accumulated deficit) | (164,980,386 | ) | 3,970,227 | 1,455,893 | ||||||||
Net Assets | $ | 60,284,789 | $ | 19,945,899 | $ | 53,324,855 | ||||||
Maximum Offering Price per Share: | ||||||||||||
Class A Shares: | ||||||||||||
Net assets applicable to shares outstanding | $ | 8,301,530 | ||||||||||
Shares of beneficial interest issued and outstanding | 1,382,402 | |||||||||||
Redemption price per share5 | $ | 6.01 | ||||||||||
Maximum sales charge (5.75% of offering price)6 | $ | 0.37 | ||||||||||
Maximum offering price to public | $ | 6.38 | ||||||||||
Class C Shares: | ||||||||||||
Net assets applicable to shares outstanding | $ | 8,169,372 | ||||||||||
Shares of beneficial interest issued and outstanding | 1,447,926 | |||||||||||
Redemption price per share7 | $ | 5.64 | ||||||||||
Class R-1 Shares: | ||||||||||||
Net assets applicable to shares outstanding | $ | 11,091,398 | ||||||||||
Shares of beneficial interest issued and outstanding | 853,561 | |||||||||||
Redemption price per share | $ | 12.99 | ||||||||||
Class I Shares: | ||||||||||||
Net assets applicable to shares outstanding | $ | 43,813,886 | $ | 8,854,501 | $ | 53,324,855 | ||||||
Shares of beneficial interest issued and outstanding | 7,183,432 | 678,870 | 5,173,812 | |||||||||
Redemption price per share | $ | 6.10 | $ | 13.04 | $ | 10.31 |
4 | Financial statements are not consolidated. |
5 | Redemptions made within 30 days of purchase may be assessed a redemption fee of 1.00%. |
6 | No sales charge applies on investments of $1 million or more, but a contingent deferred sales charge (“CDSC”) of 1.00% will be imposed on certain redemptions of such shares within 12 months of the date of purchase. |
7 | A CDSC of 1.00% may be charged on purchases that are redeemed within 12 months of purchase. |
See accompanying Notes to Consolidated Financial Statements.
67
AXS Funds
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES - Continued
As of March 31, 2021 (Unaudited)
Thomson Reuters | Thomson Reuters | |||||||
Private Equity Return | Venture Capital Return | |||||||
Tracker Fund8 | Tracker Fund8 | |||||||
Assets: | ||||||||
Investments, at value (cost $16,866,249 and $193,115,307, respectively) | $ | 22,992,391 | $ | 248,720,112 | ||||
Cash | 300,000 | 15,544 | ||||||
Cash deposited with brokers for open futures contracts | - | - | ||||||
Cash deposited with brokers for open swap contracts | - | - | ||||||
Unrealized appreciation on open swap contracts | - | 2,641,404 | ||||||
Receivables: | ||||||||
Investment securities sold | - | - | ||||||
Fund shares sold | 129 | 115,752 | ||||||
Due from Advisor | - | - | ||||||
Variation margin | - | - | ||||||
Dividends and interest | 12,981 | 82,779 | ||||||
Prepaid expenses | 61,713 | 99,225 | ||||||
Total assets | 23,367,214 | 251,674,816 | ||||||
Liabilities: | ||||||||
Unrealized depreciation on open swap contracts | 244,206 | - | ||||||
Unrealized depreciation on forward foreign currency exchange contracts | - | - | ||||||
Payables: | ||||||||
Investment securities purchased | - | - | ||||||
Fund shares redeemed | 17,046 | 192,655 | ||||||
Variation margin | - | - | ||||||
Due to Broker - swap contracts | - | - | ||||||
Advisory fees | 8,748 | 131,044 | ||||||
Distribution fees - Class A & Class C (Note 7) | 1,187 | 24,710 | ||||||
Auditing fees | 3,817 | 8,525 | ||||||
Fund administration and accounting fees | 944 | 23,980 | ||||||
Custody fees | 529 | 326 | ||||||
Transfer agent fees and expenses | 1,910 | 636 | ||||||
Trustees' fees and expenses | 454 | 2,952 | ||||||
Chief Compliance Officer fees | 256 | 3,365 | ||||||
Trustees' deferred compensation (Note 3) | 414 | 4,410 | ||||||
Swap interest | - | - | ||||||
Sub-transfer agent fees and expenses | 223 | 1,519 | ||||||
Shareholder reporting fees | 198 | 806 | ||||||
Legal fees | 626 | 7,441 | ||||||
Accrued other expenses | - | 8,383 | ||||||
Total liabilities | 280,558 | 410,752 | ||||||
Net Assets | $ | 23,086,656 | $ | 251,264,064 |
See accompanying Notes to Consolidated Financial Statements.
68
AXS Funds
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES - Continued
As of March 31, 2021 (Unaudited)
Thomson Reuters | Thomson Reuters | |||||||
Private Equity Return | Venture Capital Return | |||||||
Tracker Fund8 | Tracker Fund8 | |||||||
Components of Net Assets: | ||||||||
Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized) | $ | 13,343,939 | $ | 168,331,021 | ||||
Total distributable earnings (accumulated deficit) | 9,742,717 | 82,933,043 | ||||||
Net Assets | $ | 23,086,656 | $ | 251,264,064 | ||||
Maximum Offering Price per Share: | ||||||||
Class A Shares: | ||||||||
Net assets applicable to shares outstanding | $ | 269,033 | $ | 79,946,566 | ||||
Shares of beneficial interest issued and outstanding | 15,992 | 2,565,614 | ||||||
Redemption price per share9 | $ | 16.82 | $ | 31.16 | ||||
Maximum sales charge (5.75% of offering price)10 | 1.03 | 1.90 | ||||||
Maximum offering price to public | $ | 17.85 | $ | 33.06 | ||||
Class C Shares: | ||||||||
Net assets applicable to shares outstanding | $ | 1,348,374 | $ | 9,367,296 | ||||
Shares of beneficial interest issued and outstanding | 82,785 | 315,733 | ||||||
Redemption price per share9,11 | $ | 16.29 | $ | 29.67 | ||||
Class I Shares: | ||||||||
Net assets applicable to shares outstanding | $ | 21,469,249 | $ | 161,950,202 | ||||
Shares of beneficial interest issued and outstanding | 1,260,649 | 5,130,266 | ||||||
Redemption price per share9 | $ | 17.03 | $ | 31.57 |
8 | Financial statements are not consolidated. |
9 | Redemptions made within 30 days of purchase may be assessed a redemption fee of 1.00%. |
10 | No sales charge applies on investments of $1 million or more, but a contingent deferred sales charge (“CDSC”) of 1.00% will be imposed on certain redemptions of such shares within 12 months of the date of purchase. |
11 | A CDSC of 1.00% may be charged on purchases that are redeemed within 12 months of purchase. |
See accompanying Notes to Consolidated Financial Statements.
69
AXS Funds
CONSOLIDATED STATEMENTS OF OPERATIONS
For the Periods Ended March 31, 2021 (Unaudited)
Aspect Core | ||||||||||||
Alternative | Diversified | Chesapeake | ||||||||||
Growth Fund | Strategy Fund | Strategy Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 14 | $ | 60,560 | $ | - | ||||||
Interest | 12,000 | - | 70,908 | |||||||||
Total investment income | 12,014 | 60,560 | 70,908 | |||||||||
Expenses: | ||||||||||||
Registration fees | 22,510 | 31,639 | 37,063 | |||||||||
Advisory fees | 21,880 | 126,380 | 121,234 | |||||||||
Fund administration and accounting fees | 14,647 | 23,122 | 23,044 | |||||||||
Auditing fees | 14,289 | 14,164 | 12,130 | |||||||||
Shareholder reporting fees | 13,072 | 4,684 | 11,652 | |||||||||
Custody fees | 10,041 | 9,372 | 5,875 | |||||||||
Transfer agent fees and expenses | 7,234 | 5,578 | 8,880 | |||||||||
Legal fees | 7,008 | 10,645 | 9,669 | |||||||||
Miscellaneous | 5,450 | 6,442 | 6,118 | |||||||||
Sub-transfer agent fees and expenses | 3,889 | 4,333 | 9,523 | |||||||||
Chief Compliance Officer fees | 1,977 | 4,315 | 4,419 | |||||||||
Trustees' fees and expenses | 1,295 | 2,850 | 3,030 | |||||||||
Distribution fees - Class A (Note 7) | 1,001 | 948 | 4,504 | |||||||||
Insurance fees | 480 | 1,516 | 1,463 | |||||||||
Interest expense | 93 | 438 | - | |||||||||
Distribution fees - Class C (Note 7) | - | 11,016 | 1,666 | |||||||||
Distribution fees - Class R-1 (Note 7) | - | - | - | |||||||||
Total expenses | 124,866 | 257,442 | 260,270 | |||||||||
Advisory fees waived | (21,880 | ) | (102,780 | ) | (103,606 | ) | ||||||
Other expenses absorbed | (72,570 | ) | - | - | ||||||||
Fees paid indirectly (Note 3) | (444 | ) | (1,299 | ) | (972 | ) | ||||||
Net expenses | 29,972 | 153,363 | 155,692 | |||||||||
Net investment income (loss) | (17,958 | ) | (92,803 | ) | (84,784 | ) | ||||||
Realized and Unrealized Gain (Loss): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | 173 | - | - | |||||||||
Futures contracts | 1,129,259 | 854,870 | 3,269,691 | |||||||||
Forward foreign currency exchange contracts | - | (12,149 | ) | - | ||||||||
Foreign currency transactions | - | 3,577 | (5,428 | ) | ||||||||
Swap contract | (483,298 | ) | - | - | ||||||||
Net realized gain (loss) | 646,134 | 846,298 | 3,264,263 | |||||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||
Investments | (10,874 | ) | (57,543 | ) | (73,475 | ) | ||||||
Futures contracts | 88,499 | 98,666 | 468,688 | |||||||||
Forward foreign currency exchange contracts | - | (84,490 | ) | - | ||||||||
Foreign currency translations | - | (1,004 | ) | 15,598 | ||||||||
Swap contract | 62,301 | - | - | |||||||||
Net change in unrealized appreciation/depreciation | 139,926 | (44,371 | ) | 410,811 | ||||||||
Net increase from payment by affiliates (Note 3) | - | - | - | |||||||||
Net realized and unrealized gain | 786,060 | 801,927 | 3,675,074 | |||||||||
Net Increase in Net Assets from Operations | $ | 768,102 | $ | 709,124 | $ | 3,590,290 |
See accompanying Notes to Consolidated Financial Statements.
70
AXS Funds
CONSOLIDATED STATEMENTS OF OPERATIONS - Continued
For the Periods Ended March 31, 2021 (Unaudited)
Managed | ||||||||||||
Futures | Multi-Strategy | Sustainable | ||||||||||
Strategy Fund | Alternatives Fund1 | Income Fund1,2 | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | - | $ | 136,989 | $ | - | ||||||
Interest | 154,811 | 249 | 1,272,905 | |||||||||
Total investment income | 154,811 | 137,238 | 1,272,905 | |||||||||
Expenses: | ||||||||||||
Registration fees | 17,508 | 40,132 | 12,568 | |||||||||
Advisory fees | 624,132 | 162,091 | 158,197 | |||||||||
Fund administration and accounting fees | 4,853 | 27,074 | 22,869 | |||||||||
Auditing fees | 20,450 | 6,320 | 8,775 | |||||||||
Shareholder reporting fees | 24,650 | 5,432 | 5,192 | |||||||||
Custody fees | 12,916 | 5,570 | 4,505 | |||||||||
Transfer agent fees and expenses | 322 | 10,504 | 7,577 | |||||||||
Legal fees | 31,072 | 9,005 | 11,547 | |||||||||
Miscellaneous | 4,175 | 1,819 | 4,922 | |||||||||
Sub-transfer agent fees and expenses | 68,921 | 7,833 | 6,011 | |||||||||
Chief Compliance Officer fees | 4,217 | 6,364 | 5,035 | |||||||||
Trustees' fees and expenses | 11,848 | 5,940 | 5,054 | |||||||||
Distribution fees - Class A (Note 7) | 13,066 | - | - | |||||||||
Insurance fees | 4,343 | 1,254 | 1,500 | |||||||||
Interest expense | - | - | - | |||||||||
Distribution fees - Class C (Note 7) | 47,522 | - | - | |||||||||
Distribution fees - Class R-1 (Note 7) | - | 14,785 | - | |||||||||
Total expenses | 889,995 | 304,123 | 253,752 | |||||||||
Advisory fees waived | (91,499 | ) | (46,382 | ) | (28,827 | ) | ||||||
Other expenses absorbed | - | - | - | |||||||||
Fees paid indirectly (Note 3) | (6,168 | ) | (2,941 | ) | (1,189 | ) | ||||||
Net expenses | 792,328 | 254,800 | 223,736 | |||||||||
Net investment income (loss) | (637,517 | ) | (117,562 | ) | 1,049,169 | |||||||
Realized and Unrealized Gain (Loss): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | 39,898 | 6,178,989 | 476,472 | |||||||||
Futures contracts | - | - | - | |||||||||
Forward foreign currency exchange contracts | - | - | - | |||||||||
Foreign currency transactions | - | - | - | |||||||||
Swap contracts | (2,348,814 | ) | (985,720 | ) | - | |||||||
Net realized gain (loss) | (2,308,916 | ) | 5,193,269 | 476,472 | ||||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||
Investments | (180,859 | ) | (1,788,168 | ) | 1,126,680 | |||||||
Futures contracts | - | - | - | |||||||||
Forward foreign currency exchange contracts | - | - | - | |||||||||
Foreign currency translations | - | - | - | |||||||||
Swap contracts | 3,886,798 | 22,866 | - | |||||||||
Net change in unrealized appreciation/depreciation | 3,705,939 | (1,765,302 | ) | 1,126,680 | ||||||||
Net increase from payment by affiliates (Note 3) | - | - | - | |||||||||
Net realized and unrealized gain | 1,397,023 | 3,427,967 | 1,603,152 | |||||||||
Net Increase in Net Assets from Operations | $ | 759,506 | $ | 3,310,405 | $ | 2,652,321 |
1 | Financial statements are not consolidated. |
2 | For the period October 17, 2020 through March 31, 2021. |
See accompanying Notes to Consolidated Financial Statements.
71
AXS Funds
CONSOLIDATED STATEMENTS OF OPERATIONS - Continued
For the Periods Ended March 31, 2021 (Unaudited)
Thomson Reuters | Thomson Reuters | |||||||
Private Equity Return | Venture Capital Return | |||||||
Tracker Fund3 | Tracker Fund3 | |||||||
Investment Income: | ||||||||
Dividends | $ | 182,369 | $ | 954,847 | ||||
Interest | 63 | 322 | ||||||
Total investment income | 182,432 | 955,169 | ||||||
Expenses: | ||||||||
Registration fees | 2,231 | 14,399 | ||||||
Advisory fees | 141,204 | 1,539,223 | ||||||
Fund administration and accounting fees | 33,073 | 242,938 | ||||||
Auditing fees | 3,817 | 8,526 | ||||||
Shareholder reporting fees | 5,571 | 15,801 | ||||||
Custody fees | 6,528 | 7,232 | ||||||
Transfer agent fees and expenses | 4,623 | 13,771 | ||||||
Legal fees | 2,358 | 25,253 | ||||||
Miscellaneous | 5,397 | 21,996 | ||||||
Sub-transfer agent fees and expenses | 9,575 | 90,244 | ||||||
Chief Compliance Officer fees | 696 | 7,147 | ||||||
Trustees' fees and expenses | 1,791 | 17,174 | ||||||
Distribution fees - Class A (Note 7) | 333 | 101,683 | ||||||
Insurance fees | 817 | 4,124 | ||||||
Interest expense | - | - | ||||||
Distribution fees - Class C (Note 7) | 6,258 | 55,409 | ||||||
Distribution fees - Class I (Note 7) | - | - | ||||||
Total expenses | 224,272 | 2,164,920 | ||||||
Advisory fees waived | (41,453 | ) | (129,507 | ) | ||||
Other expenses absorbed | - | - | ||||||
Fees paid indirectly (Note 3) | (523 | ) | (5,552 | ) | ||||
Net expenses | 182,296 | 2,029,861 | ||||||
Net investment income (loss) | 136 | (1,074,692 | ) | |||||
Realized and Unrealized Gain (Loss): | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | 2,595,157 | 30,101,651 | ||||||
Futures contracts | - | - | ||||||
Forward foreign currency exchange contracts | - | - | ||||||
Foreign currency transactions | - | - | ||||||
Swap contracts | 397 | (15,195,879 | ) | |||||
Net realized gain (loss) | 2,595,554 | 14,905,772 | ||||||
Net change in unrealized appreciation/depreciation on: | ||||||||
Investments | 703,237 | 1,885,578 | ||||||
Futures contracts | - | - | ||||||
Forward foreign currency exchange contracts | - | - | ||||||
Foreign currency translations | - | - | ||||||
Swap contracts | 1,516,650 | 25,058,720 | ||||||
Net change in unrealized appreciation/depreciation | 2,219,887 | 26,944,298 | ||||||
Net increase from payment by affiliates (Note 3) | - | 3,927 | ||||||
Net realized and unrealized gain | 4,815,441 | 41,853,997 | ||||||
Net Increase in Net Assets from Operations | $ | 4,815,577 | $ | 40,779,305 |
3 | Financial statements are not consolidated. |
See accompanying Notes to Consolidated Financial Statements.
72
AXS Alternative Growth Fund
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
For the | For the Period | |||||||||||
Six Months Ended | July 1, 2020 | |||||||||||
March 31, 2021 | through | For the Year Ended | ||||||||||
(Unaudited) | September 30, 2020* | June 30, 20201 | ||||||||||
Increase (Decrease) in Net Assets from: | ||||||||||||
Operations: | ||||||||||||
Net investment income (loss) | $ | (17,958 | ) | $ | (4,898 | ) | $ | 53,395 | ||||
Net realized gain (loss) on investments, futures contracts and swap contract | 646,134 | 815,897 | (2,518,130 | ) | ||||||||
Net change in unrealized appreciation/depreciation on investments, futures contracts and swap contract | 139,926 | (279,492 | ) | (1,096,488 | ) | |||||||
Net increase (decrease) in net assets resulting from operations | 768,102 | 531,507 | (3,561,223 | ) | ||||||||
Distributions to Shareholders: | ||||||||||||
Distributions: | ||||||||||||
Class A | - | - | (131,196 | ) | ||||||||
Class I | - | - | (1,394,208 | ) | ||||||||
Total distributions to shareholders | - | - | (1,525,404 | ) | ||||||||
Capital Transactions: | ||||||||||||
Net proceeds from shares sold: | ||||||||||||
Class A | 17,728 | 12,725 | 3,929,092 | |||||||||
Class I | 777,726 | 1,667,805 | 20,297,244 | |||||||||
Reinvestment of distributions: | ||||||||||||
Class A | - | - | 122,272 | |||||||||
Class I | - | - | 1,022,008 | |||||||||
Cost of shares redeemed: | ||||||||||||
Class A2 | (410,936 | ) | (439,701 | ) | (3,267,260 | ) | ||||||
Class I3 | (5,240,506 | ) | (852,881 | ) | (16,630,753 | ) | ||||||
Net increase (decrease) in net assets from capital transactions | (4,855,988 | ) | 387,948 | 5,472,603 | ||||||||
Total increase (decrease) in net assets | (4,087,886 | ) | 919,455 | 385,976 | ||||||||
Net Assets: | ||||||||||||
Beginning of period | 7,971,933 | 7,052,478 | 6,666,502 | |||||||||
End of period | $ | 3,884,047 | $ | 7,971,933 | $ | 7,052,478 | ||||||
Capital Share Transactions: | ||||||||||||
Shares sold: | ||||||||||||
Class A | 1,528 | 1,112 | 334,813 | |||||||||
Class I | 65,043 | 149,160 | 1,719,381 | |||||||||
Shares reinvested: | ||||||||||||
Class A | - | - | 10,605 | |||||||||
Class I | - | - | 87,576 | |||||||||
Shares redeemed: | ||||||||||||
Class A | (34,708 | ) | (39,836 | ) | (322,742 | ) | ||||||
Class I | (437,475 | ) | (75,335 | ) | (1,728,137 | ) | ||||||
Net increase (decrease) in capital share transactions | (405,612 | ) | 35,101 | 101,496 |
* | Fiscal year end changed to September 30, effective July 1, 2020. |
1 | With the Plan of Reorganization with respect to the Equinox Ampersand Strategy Fund, Class A and Class I shareholders received Class A and Class I shares of the AXS Alternative Growth Fund, respectively, effective as of the close of business on November 8, 2019. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
2 | Net of redemption fee proceeds of $24, $0 and $7,399, respectively. |
3 | Net of redemption fee proceeds of $1,310, $119 and $5,614, respectively. |
See accompanying Notes to Consolidated Financial Statements.
73
AXS Aspect Core Diversified Strategy Fund
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
For the (Unaudited) | For the Year Ended | |||||||
Increase (Decrease) in Net Assets from: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | (92,803 | ) | $ | 30,598 | |||
Net realized gain (loss) on investments, futures contracts, forward foreign currency contracts and foreign currency transactions | 846,298 | (1,182,642 | ) | |||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, forward foreign currency contracts and foreign currency transactions | (44,371 | ) | 109,952 | |||||
Net increase (decrease) in net assets resulting from operations | 709,124 | (1,042,092 | ) | |||||
Distributions to Shareholders: | ||||||||
Distributions: | ||||||||
Class A | - | (57,109 | ) | |||||
Class C | - | (239,407 | ) | |||||
Class I | - | (1,278,806 | ) | |||||
From return of capital: | ||||||||
Class A | - | (25,536 | ) | |||||
Class C | - | (117,329 | ) | |||||
Class I | - | (553,854 | ) | |||||
Total distributions to shareholders | - | (2,272,041 | ) | |||||
Capital Transactions: | ||||||||
Net proceeds from shares sold: | ||||||||
Class A | 193,137 | 125,766 | ||||||
Class C | 507,287 | 450,353 | ||||||
Class I | 1,420,872 | 9,259,885 | ||||||
Reinvestment of distributions: | ||||||||
Class A | - | 82,645 | ||||||
Class C | - | 299,326 | ||||||
Class I | - | 1,356,208 | ||||||
Cost of shares redeemed: | ||||||||
Class A | (16,785 | ) | (188,441 | ) | ||||
Class C | (485,310 | ) | (1,605,417 | ) | ||||
Class I | (4,850,904 | ) | (7,524,674 | ) | ||||
Net increase (decrease) in net assets from capital transactions | (3,231,703 | ) | 2,255,651 | |||||
Total decrease in net assets | (2,522,579 | ) | (1,058,482 | ) | ||||
Net Assets: | ||||||||
Beginning of period | 22,381,996 | 23,440,478 | ||||||
End of period | $ | 19,859,417 | $ | 22,381,996 | ||||
Capital Share Transactions: | ||||||||
Shares sold: | ||||||||
Class A | 23,811 | 14,402 | ||||||
Class C | 65,151 | 57,206 | ||||||
Class I | 174,163 | 1,085,986 | ||||||
Shares reinvested: | ||||||||
Class A | - | 10,153 | ||||||
Class C | - | 37,938 | ||||||
Class I | - | 166,406 | ||||||
Shares redeemed: | ||||||||
Class A | (2,090 | ) | (22,146 | ) | ||||
Class C | (62,296 | ) | (195,843 | ) | ||||
Class I | (603,784 | ) | (858,339 | ) | ||||
Net increase (decrease) in capital share transactions | (405,045 | ) | 295,763 |
1 | With the Plan of Reorganization with respect to the Equinox Aspect Core Diversified Strategy Fund, Class A, Class C, and Class I shareholders received Class A, Class C, and Class I shares of the AXS Aspect Core Diversified Strategy Fund, respectively, effective as of the close of business on November 8, 2019. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
See accompanying Notes to Consolidated Financial Statements.
74
AXS Chesapeake Strategy Fund
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
For the | For the Year Ended | |||||||
Increase (Decrease) in Net Assets from: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | (84,784 | ) | $ | 7,758 | |||
Net realized gain (loss) on investments, futures contracts and foreign currency transactions | 3,264,263 | (9,138,740 | ) | |||||
Net change in unrealized appreciation/depreciation on investments, futures contracts and foreign currency translations | 410,811 | (1,631,917 | ) | |||||
Net increase from payment by affiliates (Note 3) | - | 457 | ||||||
Net increase (decrease) in net assets resulting from operations | 3,590,290 | (10,762,442 | ) | |||||
Distributions to Shareholders: | ||||||||
Distributions: | ||||||||
Class A | - | (170,310 | ) | |||||
Class C | - | (12,387 | ) | |||||
Class I | - | (2,963,494 | ) | |||||
Total distributions to shareholders | - | (3,146,191 | ) | |||||
Capital Transactions: | ||||||||
Net proceeds from shares sold: | ||||||||
Class A | 295,119 | 1,573,610 | ||||||
Class C | 26,812 | 30,000 | ||||||
Class I | 1,182,539 | 15,250,896 | ||||||
Reinvestment of distributions: | ||||||||
Class A | - | 162,508 | ||||||
Class C | - | 10,898 | ||||||
Class I | - | 2,777,102 | ||||||
Cost of shares redeemed: | ||||||||
Class A | (561,901 | ) | (2,570,995 | ) | ||||
Class C | (36,165 | ) | (249,436 | ) | ||||
Class I | (3,055,331 | ) | (83,180,693 | ) | ||||
Net decrease in net assets from capital transactions | (2,148,927 | ) | (66,196,110 | ) | ||||
Total increase (decrease) in net assets | 1,441,363 | (80,104,743 | ) | |||||
Net Assets: | ||||||||
Beginning of period | 15,640,061 | 95,744,804 | ||||||
End of period | $ | 17,081,424 | $ | 15,640,061 | ||||
Capital Share Transactions: | ||||||||
Shares sold: | ||||||||
Class A | 26,771 | 151,250 | ||||||
Class C | 2,316 | 3,015 | ||||||
Class I | 106,236 | 1,476,667 | ||||||
Shares reinvested: | ||||||||
Class A | - | 15,824 | ||||||
Class C | - | 1,079 | ||||||
Class I | - | 268,578 | ||||||
Shares redeemed: | ||||||||
Class A | (53,842 | ) | (257,101 | ) | ||||
Class C | (3,523 | ) | (24,462 | ) | ||||
Class I | (290,136 | ) | (8,423,115 | ) | ||||
Net decrease in capital share transactions | (212,178 | ) | (6,788,265 | ) |
1 | With the Plan of Reorganization with respect to the Equinox Chesapeake Strategy Fund, Class A, Class C and Class I shareholders received Class A, Class C and Class I shares of the AXS Chesapeake Strategy Fund, respectively, effective as of the close of business on November 8, 2019. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
See accompanying Notes to Consolidated Financial Statements.
75
AXS Managed Futures Strategy Fund
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
For the | For the Year Ended | |||||||
Increase (Decrease) in Net Assets from: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (637,517 | ) | $ | (793,511 | ) | ||
Net realized loss on investments and swap contracts | (2,308,916 | ) | (12,226,677 | ) | ||||
Net change in unrealized appreciation/depreciation on investments and swap contracts | 3,705,939 | (44,246,370 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 759,506 | (57,266,558 | ) | |||||
Distributions to Shareholders: | ||||||||
Distributions: | ||||||||
Class A | - | (3,604,474 | ) | |||||
Class C | - | (2,160,419 | ) | |||||
Class I | - | (21,960,143 | ) | |||||
From return of capital | ||||||||
Class A | - | (215,848 | ) | |||||
Class C | - | (129,373 | ) | |||||
Class I | - | (1,315,044 | ) | |||||
Total distributions to shareholders | - | (29,385,301 | ) | |||||
Capital Transactions: | ||||||||
Net proceeds from shares sold: | ||||||||
Class A | 724,253 | 5,692,683 | ||||||
Class C | 265,075 | 902,004 | ||||||
Class I | 7,576,953 | 56,712,284 | ||||||
Reinvestment of distributions: | ||||||||
Class A | - | 3,679,350 | ||||||
Class C | - | 2,204,352 | ||||||
Class I | - | 21,976,827 | ||||||
Cost of shares redeemed: | ||||||||
Class A2 | (6,036,815 | ) | (18,179,968 | ) | ||||
Class C3 | (2,952,316 | ) | (6,132,701 | ) | ||||
Class I4 | (56,267,095 | ) | (118,977,271 | ) | ||||
Net decrease in net assets from capital transactions | (56,689,945 | ) | (52,122,440 | ) | ||||
Total decrease in net assets | (55,930,439 | ) | (138,774,299 | ) | ||||
Net Assets: | ||||||||
Beginning of period | 116,215,228 | 254,989,527 | ||||||
End of period | $ | 60,284,789 | $ | 116,215,228 | ||||
Capital Share Transactions: | ||||||||
Shares sold: | ||||||||
Class A | 117,693 | 740,840 | ||||||
Class C | 46,095 | 122,591 | ||||||
Class I | 1,204,208 | 7,441,210 | ||||||
Shares reinvested: | ||||||||
Class A | - | 472,317 | ||||||
Class C | - | 298,288 | ||||||
Class I | - | 2,785,403 | ||||||
Shares redeemed: | ||||||||
Class A | (979,383 | ) | (2,554,978 | ) | ||||
Class C | (508,243 | ) | (894,179 | ) | ||||
Class I | (8,890,652 | ) | (16,817,971 | ) | ||||
Net decrease in capital share transactions | (9,010,282 | ) | (8,406,479 | ) |
1 | With the Plan of Reorganization with respect to the Equinox MutualHedge Futures Strategy Fund, Class A, Class C, and Class I shareholders received Class A, Class C, and Class I shares of the AXS Managed Futures Strategy Fund, respectively, effective as of the close of business on January 24, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
2 | Net of redemption fee proceeds of $382 and $8,566, respectively. |
3 | Net of redemption fee proceeds of $3 and $61, respectively. |
4 | Net of redemption fee proceeds of $3,568 and $19,340 respectively. |
See accompanying Notes to Consolidated Financial Statements.
76
AXS Multi-Strategy Alternatives Fund
STATEMENTS OF CHANGES IN NET ASSETS
For the | For the Period | For the | ||||||||||
Increase (Decrease) in Net Assets from: | ||||||||||||
Operations: | ||||||||||||
Net investment loss | $ | (117,562 | ) | $ | (140,351 | ) | $ | (182,356 | ) | |||
Net realized gain (loss) on investments and swap contracts | 5,193,269 | 1,736,581 | (5,129,397 | ) | ||||||||
Net change in unrealized appreciation/depreciation on investments and swap contracts | (1,765,302 | ) | 5,224,685 | (4,525,259 | ) | |||||||
Net increase (decrease) in net assets resulting from operations | 3,310,405 | 6,820,915 | (9,837,012 | ) | ||||||||
Distributions to Shareholders: | ||||||||||||
Distributions: | ||||||||||||
Class R-1 | - | - | (239,097 | ) | ||||||||
Class I | - | - | (579,979 | ) | ||||||||
Total distributions to shareholders | - | - | (819,076 | ) | ||||||||
Capital Transactions: | ||||||||||||
Net proceeds from shares sold: | ||||||||||||
Class R-1 | 865,135 | 866,530 | 4,838,789 | |||||||||
Class I | 655,675 | 3,042,521 | 70,226,126 | |||||||||
Reinvestment of distributions: | ||||||||||||
Class R-1 | - | - | 237,859 | |||||||||
Class I | - | - | 579,979 | |||||||||
Cost of shares redeemed: | ||||||||||||
Class R-1 | (4,512,174 | ) | (3,975,549 | ) | (83,269,760 | ) | ||||||
Class I | (43,238,788 | ) | (2,351,039 | ) | (21,287,319 | ) | ||||||
Capital contribution from a predecessor affiliate (Note 3) | - | - | 43,948 | |||||||||
Net decrease in net assets from capital transactions | (46,230,152 | ) | (2,417,537 | ) | (28,630,378 | ) | ||||||
Total increase (decrease) in net assets | (42,919,747 | ) | 4,403,378 | (39,286,466 | ) | |||||||
Net Assets: | ||||||||||||
Beginning of period | 62,865,646 | 58,462,268 | 97,748,734 | |||||||||
End of period | $ | 19,945,899 | $ | 62,865,646 | $ | 58,462,268 | ||||||
Capital Share Transactions: | ||||||||||||
Shares sold: | ||||||||||||
Class R-1 | 74,253 | 79,979 | 436,570 | |||||||||
Class I | 56,767 | 289,476 | 6,299,413 | |||||||||
Shares reinvested: | ||||||||||||
Class R-1 | - | - | 21,256 | |||||||||
Class I | - | - | 51,784 | |||||||||
Shares redeemed: | ||||||||||||
Class R-1 | (384,103 | ) | (382,487 | ) | (7,461,647 | ) | ||||||
Class I | (3,850,277 | ) | (216,039 | ) | (1,992,795 | ) | ||||||
Net decrease in capital share transactions | (4,103,360 | ) | (229,071 | ) | (2,645,419 | ) |
* | Fiscal year end changed to September 30, effective May 1, 2020. |
1 | With the Plan of Reorganization with respect to the KCM Macro Trends Fund, Class R-1 and Institutional Class shareholders received Class R-1 and Class I shares of the AXS Multi-Strategy Alternatives Fund, respectively, effective as of the close of business on October 18, 2019. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
See accompanying Notes to Consolidated Financial Statements.
77
AXS Sustainable Income Fund
STATEMENT OF CHANGES IN NET ASSETS
For the Period | ||||
Increase in Net Assets from: | ||||
Operations: | ||||
Net investment income | $ | 1,049,169 | ||
Net realized gain on investments | 476,472 | |||
Net change in unrealized appreciation/depreciation on investments | 1,126,680 | |||
Net increase in net assets resulting from operations | 2,652,321 | |||
Distributions to Shareholders: | ||||
Distributions: | ||||
Class I | (1,196,428 | ) | ||
Total distributions to shareholders | (1,196,428 | ) | ||
Capital Transactions: | ||||
Net proceeds from shares sold: | ||||
Class I | 51,831,465 | |||
Reinvestment of distributions: | ||||
Class I | 42,591 | |||
Cost of shares redeemed: | ||||
Class I | (5,094 | ) | ||
Net increase in net assets from capital transactions | 51,868,962 | |||
Total increase in net assets | 53,324,855 | |||
Net Assets: | ||||
Beginning of period | - | |||
End of period | $ | 53,324,855 | ||
Capital Share Transactions: | ||||
Shares sold: | ||||
Class I | 5,170,136 | |||
Shares reinvested: | ||||
Class I | 4,168 | |||
Shares redeemed: | ||||
Class I | (492 | ) | ||
Net increase in capital share transactions | 5,173,812 |
* | Commencement of operations. |
See accompanying Notes to Consolidated Financial Statements.
78
AXS Thomson Reuters Private Equity Return Tracker Fund
STATEMENTS OF CHANGES IN NET ASSETS
For the | For the Year Ended | |||||||
Increase (Decrease) in Net Assets from: | ||||||||
Operations: | ||||||||
Net investment income | $ | 136 | $ | 89,988 | ||||
Net realized gain on investments and swap contracts | 2,595,554 | 3,709,235 | ||||||
Net change in unrealized appreciation/depreciation on investments and swap contracts | 2,219,887 | (838,753 | ) | |||||
Net increase in net assets resulting from operations | 4,815,577 | 2,960,470 | ||||||
Distributions to Shareholders: | ||||||||
Distributions: | ||||||||
Class A | (11,023 | ) | - | |||||
Class C | (53,502 | ) | - | |||||
Class I | (890,391 | ) | - | |||||
Total distributions to shareholders | (954,916 | ) | - | |||||
Capital Transactions: | ||||||||
Net proceeds from shares sold: | ||||||||
Class A | 12,538 | 2,050 | ||||||
Class C | - | 592,850 | ||||||
Class I | 3,464,685 | 6,165,834 | ||||||
Reinvestment of distributions: | ||||||||
Class A | 11,023 | - | ||||||
Class C | 53,502 | - | ||||||
Class I | 844,149 | - | ||||||
Cost of shares redeemed: | ||||||||
Class A2 | (37,952 | ) | (1,443,389 | ) | ||||
Class C3 | (20 | ) | (250,969 | ) | ||||
Class I4 | (7,516,132 | ) | (5,191,994 | ) | ||||
Net decrease in net assets from capital transactions | (3,168,207 | ) | (125,618 | ) | ||||
Total increase in net assets | 692,454 | 2,834,852 | ||||||
Net Assets: | ||||||||
Beginning of period | 22,394,202 | 19,559,350 | ||||||
End of period | $ | 23,086,656 | $ | 22,394,202 | ||||
Capital Share Transactions: | ||||||||
Shares sold: | ||||||||
Class A | 773 | 157 | ||||||
Class C | - | 69,009 | ||||||
Class I | 215,931 | 549,169 | ||||||
Shares reinvested: | ||||||||
Class A | 698 | - | ||||||
Class C | 3,485 | - | ||||||
Class I | 52,726 | - | ||||||
Shares redeemed: | ||||||||
Class A | (2,348 | ) | (118,881 | ) | ||||
Class C | (1 | ) | (29,892 | ) | ||||
Class I | (492,330 | ) | (418,088 | ) | ||||
Net increase (decrease) in capital share transactions | (221,066 | ) | 51,474 | |||||
1 | With the Plan of Reorganization with respect to the Leland Thomson Reuters Private Equity Buyout Index Fund, Class A, Class C, and Class I shareholders received Class A, Class C, and Class I shares of the AXS Thomson Reuters Private Equity Return Tracker Fund, respectively, effective as of the close of business on November 20, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
2 | Net of redemption fee proceeds of $0 and $1, respectively. |
3 | Net of redemption fee proceeds of $0 and $28, respectively. |
4 | Net of redemption fee proceeds of $3,288 and $600, respectively. |
See accompanying Notes to Consolidated Financial Statements.
79
AXS Thomson Reuters Venture Capital Return Tracker Fund
STATEMENTS OF CHANGES IN NET ASSETS
For the | For the Year Ended | |||||||
Increase (Decrease) in Net Assets from: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (1,074,692 | ) | $ | (1,080,633 | ) | ||
Net realized gain on investments and swap contracts | 14,905,772 | 75,458,519 | ||||||
Net change in unrealized appreciation/depreciation on investments and swap contracts | 26,944,298 | 16,423,099 | ||||||
Net increase from payment by affiliates (Note 3) | 3,927 | - | ||||||
Net increase in net assets resulting from operations | 40,779,305 | 90,800,985 | ||||||
Distributions to Shareholders: | ||||||||
Distributions: | ||||||||
Class A | (13,240,552 | ) | - | |||||
Class C | (1,962,054 | ) | - | |||||
Class I | (23,679,428 | ) | - | |||||
Total distributions to shareholders | (38,882,034 | ) | - | |||||
Capital Transactions: | ||||||||
Net proceeds from shares sold: | ||||||||
Class A | 13,810,204 | 70,517,661 | ||||||
Class C | 1,921,090 | 6,717,075 | ||||||
Class I | 44,965,617 | 102,204,469 | ||||||
Reinvestment of distributions: | ||||||||
Class A | 13,091,280 | - | ||||||
Class C | 1,886,193 | - | ||||||
Class I | 22,996,333 | - | ||||||
Cost of shares redeemed: | ||||||||
Class A2 | (30,036,366 | ) | (56,872,556 | ) | ||||
Class C3 | (5,595,534 | ) | (4,774,420 | ) | ||||
Class I4 | (55,766,044 | ) | (69,473,783 | ) | ||||
Net increase in net assets from capital transactions | 7,272,773 | 48,318,446 | ||||||
Total increase in net assets | 9,170,044 | 139,119,431 | ||||||
Net Assets: | ||||||||
Beginning of period | 242,094,020 | 102,974,589 | ||||||
End of period | $ | 251,264,064 | $ | 242,094,020 | ||||
Capital Share Transactions: | ||||||||
Shares sold: | ||||||||
Class A | 440,554 | 3,067,904 | ||||||
Class C | 64,639 | 300,304 | ||||||
Class I | 1,428,911 | 4,458,369 | ||||||
Shares reinvested: | ||||||||
Class A | 438,275 | - | ||||||
Class C | 66,182 | - | ||||||
Class I | 760,461 | - | ||||||
Shares redeemed: | ||||||||
Class A | (968,273 | ) | (2,481,949 | ) | ||||
Class C | (188,802 | ) | (226,632 | ) | ||||
Class I | (1,771,136 | ) | (3,000,938 | ) | ||||
Net increase in capital share transactions | 270,811 | 2,117,058 |
1 | With the Plan of Reorganization with respect to the Leland Thomson Reuters Venture Capital Index Fund, Class A, Class C, and Class I shareholders received Class A, Class C, and Class I shares of the AXS Thomson Reuters Venture Capital Return Tracker Fund, respectively, effective as of the close of business on November 20, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
2 | Net of redemption fee proceeds of $19,905 and $40,836, respectively. |
3 | Net of redemption fee proceeds of $3,506 and $3,592, respectively. |
4 | Net of redemption fee proceeds of $19,236 and $36,998, respectively. |
See accompanying Notes to Consolidated Financial Statements.
80
AXS Alternative Growth Fund
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class A*
Per share operating performance.
For a capital share outstanding throughout each period.
For the | For the Period | For the Year Ended June 30, | ||||||||||||||||||||||
2021 (Unaudited) | September 30, 2020** | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Net asset value, beginning of period | $ | 11.08 | $ | 10.33 | $ | 11.47 | $ | 10.42 | $ | 10.36 | $ | 10.21 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.05 | ) | (0.01 | ) | 0.01 | 0.09 | (0.07 | ) | (0.11 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 1.52 | 0.76 | (0.44 | ) | 1.41 | 1.05 | 0.78 | |||||||||||||||||
Total from investment operations | 1.47 | 0.75 | (0.43 | ) | 1.50 | 0.98 | 0.67 | |||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | - | (0.34 | ) | - | 2 | - | (0.26 | ) | |||||||||||||||
From net realized gain | - | - | (0.41 | ) | (0.45 | ) | (0.92 | ) | (0.26 | ) | ||||||||||||||
Total distributions | - | - | (0.75 | ) | (0.45 | ) | (0.92 | ) | (0.52 | ) | ||||||||||||||
Redemption fee proceeds1 | - | 2 | - | 0.04 | - | 2 | - | 2 | - | 2 | ||||||||||||||
Net asset value, end of period | $ | 12.55 | $ | 11.08 | $ | 10.33 | $ | 11.47 | $ | 10.42 | $ | 10.36 | ||||||||||||
Total return3 | 13.27 | %7 | 7.26 | %7 | (4.05 | )% | 15.75 | % | 9.50 | % | 6.79 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 655 | $ | 946 | $ | 1,282 | $ | 1,163 | $ | 4,029 | $ | 4,098 | ||||||||||||
Ratio of expenses to average net assets (including interest expense): | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 4.49 | %8,9 | 4.83 | %8 | 2.33 | %4 | 3.98 | %5 | 3.36 | % | 3.37 | % | ||||||||||||
After fees waived and expenses absorbed | 1.24 | %8,9 | 1.24 | %8 | 1.25 | %4 | 1.24 | %5 | 1.45 | % | 1.45 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets (including interest expense): | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (4.08 | )%8 | (4.05 | )%8 | (0.95 | )% | (1.86 | )%5,6 | (2.61 | )% | (3.00 | )% | ||||||||||||
After fees waived and expenses absorbed | (0.83 | )%8 | (0.46 | )%8 | 0.13 | % | 0.88 | %5,6 | (0.70 | )% | (1.08 | )% | ||||||||||||
Portfolio turnover rate | 0 | %7 | 0 | %7 | 99 | % | 80 | % | 69 | % | 0 | % |
* | Financial information from June 30, 2015 through November 8, 2019 is for the Equinox Ampersand Strategy Fund, which was reorganized into the AXS Alternative Growth Fund as of the close of business on November 8, 2019. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
** | Fiscal year end changed to September 30, effective July 1, 2020. |
1 | Based on average shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns shown do not include payment of sales load of 5.75% of offering price which will not apply on sales of $1 million or more. If the sales charge was included total returns would be lower. |
4 | If expenses not included in the expense cap had been excluded, the expense ratios would have been lower by 0.01% for the year ended June 30, 2020. |
5 | Does not include the expenses of other investment companies in which the Fund invests. |
6 | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying exchange traded funds in which the Fund invests. |
7 | Not annualized. |
8 | Annualized. |
9 | If interest expense had been excluded, the expense ratios would have remained unchanged for the six months ended March 31, 2021. |
See accompanying Notes to Consolidated Financial Statements.
81
AXS Alternative Growth Fund
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class I*
Per share operating performance.
For a capital share outstanding throughout each period.
For the | For the Period | For the Year Ended June 30, | ||||||||||||||||||||||
2021 (Unaudited) | September 30, 2020** | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Net asset value, beginning of period | $ | 11.22 | $ | 10.44 | $ | 11.62 | $ | 10.56 | $ | 10.43 | $ | 10.28 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.03 | ) | (0.01 | ) | 0.04 | 0.11 | (0.04 | ) | (0.09 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 1.52 | 0.79 | (0.44 | ) | 1.45 | 1.05 | 0.79 | |||||||||||||||||
Total from investment operations | 1.49 | 0.78 | (0.40 | ) | 1.56 | 1.01 | 0.70 | |||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | - | (0.37 | ) | (0.05 | ) | - | (0.29 | ) | |||||||||||||||
From net realized gain | - | - | (0.41 | ) | (0.45 | ) | (0.92 | ) | (0.26 | ) | ||||||||||||||
Total distributions | - | - | (0.78 | ) | (0.50 | ) | (0.92 | ) | (0.55 | ) | ||||||||||||||
Redemption fee proceeds1 | - | 2 | - | 2 | - | 2 | - | 2 | 0.04 | - | ||||||||||||||
Net asset value, end of period | $ | 12.71 | $ | 11.22 | $ | 10.44 | $ | 11.62 | $ | 10.56 | $ | 10.43 | ||||||||||||
Total return3 | 13.28 | %7 | 7.47 | %7 | (4.13 | )% | 16.19 | % | 10.15 | % | 7.00 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,229 | $ | 7,026 | $ | 5,770 | $ | 5,503 | $ | 7,758 | $ | 2,458 | ||||||||||||
Ratio of expenses to average net assets (including interest expense): | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 4.24 | %8,9 | 4.58 | %8 | 2.08 | %4 | 3.57 | %5 | 3.32 | % | 3.11 | % | ||||||||||||
After fees waived and expenses absorbed | 0.99 | %8,9 | 0.99 | %8 | 1.00 | %4 | 0.99 | %5 | 1.20 | % | 1.20 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets (including interest expense): | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (3.83 | )%8 | (3.80 | )%8 | (0.70 | )% | (1.50 | )%5,6 | (2.53 | )% | (2.74 | )% | ||||||||||||
After fees waived and expenses absorbed | (0.58 | )%8 | (0.21 | )%8 | 0.38 | % | 1.08 | %5,6 | (0.41 | )% | (0.83 | )% | ||||||||||||
Portfolio turnover rate | 0 | %7 | 0 | %7 | 99 | % | 80 | % | 69 | % | 0 | % |
* | Financial information from June 30, 2015 through November 8, 2019 is for the Equinox Ampersand Strategy Fund, which was reorganized into the AXS Alternative Growth Fund as of the close of business on November 8, 2019. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
** | Fiscal year end changed to September 30, effective July 1, 2020. |
1 | Based on average shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
4 | If expenses not included in the expense cap had been excluded, the expense ratios would have been lower by 0.01% for the year ended June 30, 2020. |
5 | Does not include the expenses of other investment companies in which the Fund invests. |
6 | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying exchange traded funds in which the Fund invests. |
7 | Not annualized. |
8 | Annualized. |
9 | If interest expense had been excluded, the expense ratios would have remained unchanged for the six months ended March 31, 2021. |
See accompanying Notes to Consolidated Financial Statements.
82
AXS Aspect Core Diversified Strategy Fund
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class A*
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2021 (Unaudited) | ||||||||||||||||||||||||
For the Year Ended September 30, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 8.03 | $ | 9.42 | $ | 9.19 | $ | 9.29 | $ | 9.98 | $ | 10.73 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.04 | ) | - | 2 | 0.06 | (0.04 | ) | (0.12 | ) | (0.15 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 0.35 | (0.34 | ) | 0.17 | (0.06 | ) | (0.49 | ) | (0.04 | ) | ||||||||||||||
Total from investment operations | 0.31 | (0.34 | ) | 0.23 | (0.10 | ) | (0.61 | ) | (0.19 | ) | ||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | (0.73 | ) | - | - | (0.08 | ) | (0.13 | ) | |||||||||||||||
From net realized gain | - | - | - | - | - | (0.43 | ) | |||||||||||||||||
From return of capital | - | (0.32 | ) | - | - | - | - | |||||||||||||||||
Total distributions | - | (1.05 | ) | - | - | (0.08 | ) | (0.56 | ) | |||||||||||||||
Net asset value, end of period | $ | 8.34 | $ | 8.03 | $ | 9.42 | $ | 9.19 | $ | 9.29 | $ | 9.98 | ||||||||||||
Total return3 | 3.86 | % 4 | (3.79 | )% | 2.50 | % | (1.08 | )% | (6.18 | )% | (1.77 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 836 | $ | 631 | $ | 717 | $ | 614 | $ | 131 | $ | 734 | ||||||||||||
Ratio of expenses to average net assets (including interest expense): | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 2.78 | % 5,7 | 2.61 | %6 | 2.42 | % | 2.14 | % | 2.47 | % | 2.29 | % | ||||||||||||
After fees waived and expenses absorbed | 1.71 | % 5,7 | 1.72 | %6 | 1.70 | % | 1.70 | % | 1.70 | % | 1.70 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||||||
(including interest expense): | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (2.16) | % 5,7 | (0.87 | )% | (0.09 | )% | (0.88 | )% | (2.00 | )% | (2.03 | )% | ||||||||||||
After fees waived and expenses absorbed | (1.08) | % 5,7 | 2.00 | % | 0.63 | % | (0.44 | )% | (1.23 | )% | (1.44 | )% | ||||||||||||
Portfolio turnover rate | 0 | % 4 | 0 | % | 59 | % | 20 | % | 0 | % | 0 | % |
* | Financial information from September 30, 2015 through November 8, 2019 is for the Equinox Aspect Core Diversified Strategy Fund, which was reorganized into the AXS Aspect Core Diversified Strategy Fund as of the close of business on November 8, 2019. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns shown do not include payment of sales load of 5.75% of offering price which will not apply on sales of $1 million or more. If the sales charge was included total returns would be lower. |
4 | Not annualized. |
5 | Annualized. |
6 | If expenses not included in the expense cap had been excluded, the expense ratios would have been lower by 0.02% for the year ended September 30, 2020. |
7 | If interest expense had been excluded, the expense ratios would have been lower by 0.01% for the six months ending March 31, 2021 and 0%, 0%, 0%, 0% and 0% for the years ended September 30, 2020, 2019, 2018, 2017 and 2016, respectively. |
See accompanying Notes to Consolidated Financial Statements.
83
AXS Aspect Core Diversified Strategy Fund
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class C*
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2021 (Unaudited) | ||||||||||||||||||||||||
For the Year Ended September 30, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 7.73 | $ | 9.11 | $ | 8.96 | $ | 9.12 | $ | 9.89 | $ | 10.72 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment loss1 | (0.07 | ) | (0.06 | ) | (0.01 | ) | (0.11 | ) | (0.18 | ) | (0.22 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 0.34 | (0.34 | ) | 0.16 | (0.05 | ) | (0.51 | ) | (0.04 | ) | ||||||||||||||
Total from investment operations | 0.27 | (0.40 | ) | 0.15 | (0.16 | ) | (0.69 | ) | (0.26 | ) | ||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | (0.66 | ) | - | - | (0.08 | ) | (0.14 | ) | |||||||||||||||
From net realized gain | - | - | - | - | - | (0.43 | ) | |||||||||||||||||
From return of capital | - | (0.32 | ) | - | - | - | - | |||||||||||||||||
Total distributions | - | (0.98 | ) | - | - | (0.08 | ) | (0.57 | ) | |||||||||||||||
Net asset value, end of period | $ | 8.00 | $ | 7.73 | $ | 9.11 | $ | 8.96 | $ | 9.12 | $ | 9.89 | ||||||||||||
Total return2 | 3.49 | %3 | (4.57 | )% | 1.67 | % | (1.75 | )% | (6.99 | )% | (2.52 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,209 | $ | 2,113 | $ | 3,406 | $ | 2,963 | $ | 479 | $ | 261 | ||||||||||||
Ratio of expenses to average net assets (including interest expense): | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 3.53 | %4,6 | 3.36 | %5 | 3.18 | % | 2.89 | % | 3.17 | % | 3.07 | % | ||||||||||||
After fees waived and expenses absorbed | 2.46 | %4,6 | 2.47 | %5 | 2.45 | % | 2.45 | % | 2.45 | % | 2.45 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets (including interest expense): | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (2.91 | )%4,6 | (1.62 | )% | (0.85 | )% | (1.68 | )% | (2.68 | )% | (2.81 | )% | ||||||||||||
After fees waived and expenses absorbed | (1.83 | )%4,6 | (0.73 | )% | (0.12 | )% | (1.24 | )% | (1.96 | )% | (2.19 | )% | ||||||||||||
Portfolio turnover rate | 0 | %3 | 0 | % | 59 | % | 20 | % | 0 | % | 0 | % |
* | Financial information from September 30, 2015 through November 8, 2019 is for the Equinox Aspect Core Diversified Strategy Fund, which was reorganized into the AXS Aspect Core Diversified Strategy Fund as of the close of business on November 8, 2019. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average shares outstanding for the period. |
2 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns shown do not include payment of sales load of 5.75% of offering price which will not apply on sales of $1 million or more. If the sales charge was included total returns would be lower. |
3 | Not annualized. |
4 | Annualized. |
5 | If expenses not included in the expense cap had been excluded, the expense ratios would have been lower by 0.02% for the year ended September 30, 2020. |
6 | If interest expense had been excluded, the expense ratios would have been lower by 0.01% for the six months ending March 31, 2021 and 0%, 0%, 0%, 0% and 0% for the years ended September 30, 2020, 2019, 2018, 2017 and 2016, respectively. |
See accompanying Notes to Consolidated Financial Statements. |
84
AXS Aspect Core Diversified Strategy Fund
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class I*
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2021 (Unaudited) | ||||||||||||||||||||||||
For the Year Ended September 30, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 8.05 | $ | 9.45 | $ | 9.20 | $ | 9.27 | $ | 9.99 | $ | 10.72 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.03 | ) | 0.02 | 0.07 | (0.03 | ) | (0.09 | ) | (0.12 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 0.35 | (0.35 | ) | 0.18 | (0.04 | ) | (0.51 | ) | (0.04 | ) | ||||||||||||||
Total from investment operations | 0.32 | (0.33 | ) | 0.25 | (0.07 | ) | (0.60 | ) | (0.16 | ) | ||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | (0.75 | ) | - | - | (0.12 | ) | (0.14 | ) | |||||||||||||||
From net realized gain | - | - | - | - | - | (0.43 | ) | |||||||||||||||||
From return of capital | - | (0.32 | ) | - | - | - | - | |||||||||||||||||
Total distributions | - | (1.07 | ) | - | - | (0.12 | ) | (0.57 | ) | |||||||||||||||
Net asset value, end of period | $ | 8.37 | $ | 8.05 | $ | 9.45 | $ | 9.20 | $ | 9.27 | $ | 9.99 | ||||||||||||
Total return2 | 3.98 | %3 | (3.62 | )% | 2.72 | % | (0.76 | )% | (6.05 | )% | (1.54 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 16,814 | $ | 19,638 | $ | 19,317 | $ | 33,838 | $ | 31,991 | $ | 33,464 | ||||||||||||
Ratio of expenses to average net assets (including interest expense): | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 2.53 | %4,6 | 2.36 | %5 | 2.10 | % | 1.89 | % | 2.18 | % | 2.06 | % | ||||||||||||
After fees waived and expenses absorbed | 1.46 | %4,6 | 1.47 | %5 | 1.45 | % | 1.45 | % | 1.45 | % | 1.45 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets (including interest expense): | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (1.91 | )%4,6 | (0.62 | )% | 0.19 | % | (0.77 | )% | (1.69 | )% | (1.81 | )% | ||||||||||||
After fees waived and expenses absorbed | (0.83 | )%4,6 | 0.27 | % | 0.84 | % | (0.33 | )% | (0.96 | )% | (1.20 | )% | ||||||||||||
Portfolio turnover rate | 0 | %3 | 0 | % | 59 | % | 20 | % | 0 | % | 0 | % |
* | Financial information from September 30, 2015 through November 8, 2019 is for the Equinox Aspect Core Diversified Strategy Fund, which was reorganized into the AXS Aspect Core Diversified Strategy Fund as of the close of business on November 8, 2019. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average shares outstanding for the period. |
2 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
3 | Not annualized. |
4 | Annualized. |
5 | If expenses not included in the expense cap had been excluded, the expense ratios would have been lower by 0.02% for the year ended September 30, 2020. |
6 | If interest expense had been excluded, the expense ratios would have been lower by 0.01% for the six months ending March 31, 2021 and 0%, 0%, 0%, 0% and 0% for the years ended September 30, 2020, 2019, 2018, 2017 and 2016, respectively. |
See accompanying Notes to Consolidated Financial Statements. |
85
AXS Chesapeake Strategy Fund
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class A*
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2021 (Unaudited) | ||||||||||||||||||||||||
For the Year Ended September 30, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 9.42 | $ | 11.26 | $ | 12.54 | $ | 11.77 | $ | 11.90 | $ | 11.88 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.07 | ) | (0.02 | ) | 0.03 | (0.11 | ) | (0.10 | ) | (0.11 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 2.45 | (1.45 | ) | (1.21 | ) | 0.88 | (0.03 | ) | 0.13 | |||||||||||||||
Total from investment operations | 2.38 | (1.47 | ) | (1.18 | ) | 0.77 | (0.13 | ) | 0.02 | |||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | (0.37 | ) | (0.05 | ) | - | - | - | ||||||||||||||||
From net realized gain | - | - | (0.05 | ) | - | - | - | |||||||||||||||||
Total distributions | - | (0.37 | ) | (0.10 | ) | - | - | - | ||||||||||||||||
Net increase from payment by affiliates (Note 3) | - | 0.00 | 2 | - | - | - | - | |||||||||||||||||
Net asset value, end of period | $ | 11.80 | $ | 9.42 | $ | 11.26 | $ | 12.54 | $ | 11.77 | $ | 11.90 | ||||||||||||
Total return3 | 25.27 | %4 | (13.31 | )% | (9.40 | )% | 6.54 | % | (1.09 | )% | 0.17 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,909 | $ | 3,376 | $ | 5,048 | $ | 5,799 | $ | 1,181 | $ | 3,678 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed5 | 3.39 | %6 | 2.35 | % | 2.24 | % | 2.04 | % | 1.86 | % | 1.43 | % | ||||||||||||
After fees waived and expenses absorbed5 | 2.10 | %6 | 2.12 | % | 2.10 | % | 2.10 | % | 1.42 | % | 1.36 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (2.51 | )%6 | (0.44 | )% | 0.11 | % | (0.84 | )% | (1.32 | )% | (1.03 | )% | ||||||||||||
After fees waived and expenses absorbed | (1.22 | )%6 | (0.21 | )% | 0.25 | % | (0.90 | )% | (0.88 | )% | (0.96 | )% | ||||||||||||
Portfolio turnover rate | 0 | %4 | 0 | % | 36 | % | 13 | % | 0 | % | 0 | % |
* | Financial information from September 30, 2015 through November 8, 2019 is for the Equinox Chesapeake Strategy Fund, which was reorganized into the AXS Chesapeake Strategy Fund as of the close of business on November 8, 2019. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns shown do not include payment of sales load of 5.75% of offering price which will not apply on sales of $1 million or more. If the sales charge was included total returns would be lower. |
4 | Not annualized. |
5 | If reorganizational costs and interest expense had been excluded, the expense ratios would have been lower by 0% for the six months ending March 31, 2021 and 0.02%, 0%, 0%, 0% and 0.01% for the years ended September 30, 2020, 2019, 2018, 2017 and 2016, respectively. |
6 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
86
AXS Chesapeake Strategy Fund
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class C*
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2021 (Unaudited) | ||||||||||||||||||||||||
For the Year Ended September 30, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 9.21 | $ | 10.98 | $ | 12.26 | $ | 11.59 | $ | 11.81 | $ | 11.87 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment loss1 | (0.10 | ) | (0.10 | ) | (0.05 | ) | (0.20 | ) | (0.19 | ) | (0.20 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 2.38 | (1.41 | ) | (1.18 | ) | 0.87 | (0.03 | ) | 0.14 | |||||||||||||||
Total from investment operations | 2.28 | (1.51 | ) | (1.23 | ) | 0.67 | (0.22 | ) | (0.06 | ) | ||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | (0.26 | ) | - | - | - | - | |||||||||||||||||
From net realized gain | - | - | (0.05 | ) | - | - | - | |||||||||||||||||
Total distributions | - | (0.26 | ) | (0.05 | ) | - | - | - | ||||||||||||||||
Net increase from payment by affiliates (Note 3) | - | 0.00 | 2 | - | - | - | - | |||||||||||||||||
Net asset value, end of period | $ | 11.49 | $ | 9.21 | $ | 10.98 | $ | 12.26 | $ | 11.59 | $ | 11.81 | ||||||||||||
Total return3 | 24.76 | %4 | (13.96 | )% | (10.04 | )% | 5.78 | % | (1.86 | )% | (0.51 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 372 | $ | 309 | $ | 592 | $ | 931 | $ | 514 | $ | 359 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed5 | 4.14 | %6 | 3.10 | % | 2.99 | % | 2.81 | % | 2.90 | % | 2.16 | % | ||||||||||||
After fees waived and expenses absorbed5 | 2.85 | %6 | 2.87 | % | 2.85 | % | 2.85 | % | 2.24 | % | 2.11 | % | ||||||||||||
Ratio of net investment loss to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (3.26 | )%6 | (1.19 | )% | (0.63 | )% | (1.61 | )% | (2.34 | )% | (1.75 | )% | ||||||||||||
After fees waived and expenses absorbed | (1.97 | )%6 | (0.96 | )% | (0.49 | )% | (1.65 | )% | (1.68 | )% | (1.70 | )% | ||||||||||||
Portfolio turnover rate | 0 | %4 | 0 | % | 36 | % | 13 | % | 0 | % | 0 | % |
* | Financial information from September 30, 2015 through November 8, 2019 is for the Equinox Chesapeake Strategy Fund, which was reorganized into the AXS Chesapeake Strategy Fund as of the close of business on November 8, 2019. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
4 | Not annualized. |
5 | If reorganizational costs and interest expense had been excluded, the expense ratios would have been lower by 0% for the six months ending March 31, 2021 and 0.02%, 0%, 0%, 0% and 0.01% for the years ended September 30, 2020, 2019, 2018, 2017 and 2016, respectively. |
6 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
87
AXS Chesapeake Strategy Fund
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class I*
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2021 (Unaudited) | ||||||||||||||||||||||||
For the Year Ended September 30, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 9.50 | $ | 11.35 | $ | 12.65 | $ | 11.83 | $ | 11.93 | $ | 11.88 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.05 | ) | 0.00 | 2 | 0.05 | (0.08 | ) | (0.08 | ) | (0.09 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 2.46 | (1.45 | ) | (1.22 | ) | 0.90 | (0.02 | ) | 0.14 | |||||||||||||||
Total from investment operations | 2.41 | (1.45 | ) | (1.17 | ) | 0.82 | (0.10 | ) | 0.05 | |||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | (0.40 | ) | (0.08 | ) | - | - | - | ||||||||||||||||
From net realized gain | - | - | (0.05 | ) | - | - | - | |||||||||||||||||
Total distributions | - | (0.40 | ) | (0.13 | ) | - | - | - | ||||||||||||||||
Net increase from payment by affiliates (Note 3) | - | 0.00 | 2 | - | - | - | - | |||||||||||||||||
Net asset value, end of period | $ | 11.91 | $ | 9.50 | $ | 11.35 | $ | 12.65 | $ | 11.83 | $ | 11.93 | ||||||||||||
Total return3 | 25.37 | %4 | (13.07 | )% | (9.23 | )% | 6.93 | % | (0.84 | )% | 0.42 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 12,800 | $ | 11,955 | $ | 90,105 | $ | 158,876 | $ | 51,427 | $ | 58,438 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed5 | 3.14 | %6 | 2.10 | % | 1.98 | % | 1.81 | % | 1.87 | % | 1.18 | % | ||||||||||||
After fees waived and expenses absorbed5 | 1.85 | %6 | 1.87 | % | 1.85 | % | 1.85 | % | 1.24 | % | 1.11 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (2.26 | )%6 | (0.19 | )% | 0.36 | % | (0.56 | )% | (1.31 | )% | (0.81 | )% | ||||||||||||
After fees waived and expenses absorbed | (0.97 | )%6 | 0.04 | % | 0.49 | % | (0.60 | )% | (0.68 | )% | (0.74 | )% | ||||||||||||
Portfolio turnover rate | 0 | %4 | 0 | % | 36 | % | 13 | % | 0 | % | 0 | % |
* | Financial information from September 30, 2015 through November 8, 2019 is for the Equinox Chesapeake Strategy Fund, which was reorganized into the AXS Chesapeake Strategy Fund as of the close of business on November 8, 2019. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
4 | Not annualized. |
5 | If reorganizational costs and interest expense had been excluded, the expense ratios would have been lower by 0% for the six months ending March 31, 2021 and 0.02%, 0%, 0%, 0% and 0.01% for the years ended September 30, 2020, 2019, 2018, 2017 and 2016, respectively. |
6 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
88
AXS Managed Futures Strategy Fund
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class A*
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2021 (Unaudited) | ||||||||||||||||||||||||
For the Year Ended September 30, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 6.07 | $ | 9.24 | $ | 8.08 | $ | 8.05 | $ | 8.82 | $ | 9.57 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.05 | ) | (0.04 | ) | 0.02 | (0.08 | ) | (0.12 | ) | (0.07 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (0.01 | ) | (2.05 | ) | 1.14 | 0.11 | (0.36 | ) | 0.44 | |||||||||||||||
Total from investment operations | (0.06 | ) | (2.09 | ) | 1.16 | 0.03 | (0.48 | ) | 0.37 | |||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | (1.02 | ) | - | - | (0.11 | ) | (1.11 | ) | |||||||||||||||
From net realized gain | - | - | - | - | (0.04 | ) | (0.01 | ) | ||||||||||||||||
From return of capital | - | (0.06 | ) | - | - | (0.14 | ) | - | ||||||||||||||||
Total distributions | - | (1.08 | ) | - | - | (0.29 | ) | (1.12 | ) | |||||||||||||||
Redemption fee proceeds1 | - | 2 | - | 2 | - | 2 | - | 2 | - | 2 | - | 2 | ||||||||||||
Net asset value, end of period | $ | 6.01 | $ | 6.07 | $ | 9.24 | $ | 8.08 | $ | 8.05 | $ | 8.82 | ||||||||||||
Total return3 | (0.99 | )%4 | (25.22 | )% | 14.36 | % | 0.37 | % | (5.67 | )% | 4.48 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 8,302 | $ | 13,632 | $ | 33,150 | $ | 31,434 | $ | 72,169 | $ | 116,245 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 2.18 | %5 | 2.02 | % | 1.91 | % | 1.93 | % | 1.97 | % | 2.00 | % | ||||||||||||
After fees waived and expenses absorbed | 1.95 | %5 | 1.94 | % | 1.94 | % | 1.95 | % | 1.95 | % | 1.88 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (1.82 | )%5 | (0.62 | )% | 0.24 | % | (0.99 | )% | (1.48 | )% | (0.93 | )% | ||||||||||||
After fees waived and expenses absorbed | (1.59 | )%5 | (0.54 | )% | 0.21 | % | (1.01 | )% | (1.46 | )% | (0.81 | )% | ||||||||||||
Portfolio turnover rate | 0 | %4 | 15 | % | 11 | % | 75 | % | 78 | % | 20 | % |
* | Financial information from September 30, 2015 through January 24, 2020 is for the Equinox MutualHedge Futures Strategy Fund, which was reorganized into the AXS Managed Futures Strategy Fund as of the close of business on January 24, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns shown do not include payment of sales load of 5.75% of offering price which will not apply on sales of $1 million or more. If the sales charge was included total returns would be lower. |
4 | Not annualized. |
5 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
89
AXS Managed Futures Strategy Fund
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class C*
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2021 (Unaudited) | ||||||||||||||||||||||||
For the Year Ended September 30, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 5.73 | $ | 8.77 | $ | 7.72 | $ | 7.75 | $ | 8.50 | $ | 9.26 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment loss1 | (0.07 | ) | (0.09 | ) | (0.04 | ) | (0.13 | ) | (0.18 | ) | (0.14 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (0.02 | ) | (1.95 | ) | 1.09 | 0.10 | (0.35 | ) | 0.43 | |||||||||||||||
Total from investment operations | (0.09 | ) | (2.04 | ) | 1.05 | (0.03 | ) | (0.53 | ) | 0.29 | ||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | (0.94 | ) | - | - | (0.04 | ) | (1.04 | ) | |||||||||||||||
From net realized gain | - | - | - | - | (0.04 | ) | (0.01 | ) | ||||||||||||||||
From return of capital | - | (0.06 | ) | - | - | (0.14 | ) | - | ||||||||||||||||
Total distributions | - | (1.00 | ) | - | - | (0.22 | ) | (1.05 | ) | |||||||||||||||
Redemption fee proceeds1 | - | 2 | - | 2 | - | 2 | - | 2 | - | 2 | - | 2 | ||||||||||||
Net asset value, end of period | $ | 5.64 | $ | 5.73 | $ | 8.77 | $ | 7.72 | $ | 7.75 | $ | 8.50 | ||||||||||||
Total return3 | (1.57 | )%4 | (25.80 | )% | 13.60 | % | (0.39 | )% | (6.41 | )% | 3.69 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 8,169 | $ | 10,945 | $ | 20,892 | $ | 27,921 | $ | 32,203 | $ | 45,572 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 2.93 | %5 | 2.77 | % | 2.66 | % | 2.68 | % | 2.73 | % | 2.75 | % | ||||||||||||
After fees waived and expenses absorbed | 2.70 | %5 | 2.69 | % | 2.69 | % | 2.70 | % | 2.70 | % | 2.63 | % | ||||||||||||
Ratio of net investment loss to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (2.57 | )%5 | (1.37 | )% | (0.51 | )% | (1.67 | )% | (2.24 | )% | (1.69 | )% | ||||||||||||
After fees waived and expenses absorbed | (2.34 | )%5 | (1.29 | )% | (0.54 | )% | (1.69 | )% | (2.21 | )% | (1.57 | )% | ||||||||||||
Portfolio turnover rate | 0 | %4 | 15 | % | 11 | % | 75 | % | 78 | % | 20 | % |
* | Financial information from June 30, 2015 through January 24, 2020 is for the Equinox MutualHege Strategy Fund, which was reorganized into the AXS Managed Futures Strategy Fund as of the close of business on January 24, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 1.00% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns do not include payment of Contingent Deferred Sales Charge "(CDSC)" of 1.00% on certain redemptions of Class C shares made within 12 months of purchase. If the Sales charge was included, total returns would be lower. |
4 | Not annualized. |
5 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
90
AXS Managed Futures Strategy Fund
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class I*
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2021 (Unaudited) | ||||||||||||||||||||||||
For the Year Ended September 30, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 6.16 | $ | 9.36 | $ | 8.16 | $ | 8.12 | $ | 8.89 | $ | 9.64 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.04 | ) | (0.02 | ) | 0.04 | (0.05 | ) | (0.10 | ) | (0.05 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (0.02 | ) | (2.08 | ) | 1.16 | 0.09 | (0.36 | ) | 0.45 | |||||||||||||||
Total from investment operations | (0.06 | ) | (2.10 | ) | 1.20 | 0.04 | (0.46 | ) | 0.40 | |||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | (1.04 | ) | - | - | (0.13 | ) | (1.14 | ) | |||||||||||||||
From net realized gain | - | - | - | - | (0.04 | ) | (0.01 | ) | ||||||||||||||||
From return of capital | - | (0.06 | ) | - | - | (0.14 | ) | - | ||||||||||||||||
Total distributions | - | (1.10 | ) | - | - | (0.31 | ) | (1.15 | ) | |||||||||||||||
Redemption fee proceeds1 | - | 2 | - | 2 | - | 2 | - | 2 | - | 2 | - | 2 | ||||||||||||
Net asset value, end of period | $ | 6.10 | $ | 6.16 | $ | 9.36 | $ | 8.16 | $ | 8.12 | $ | 8.89 | ||||||||||||
Total return3 | (0.97 | )%4 | (25.01 | )% | 14.71 | % | 0.49 | % | (5.37 | )% | 4.73 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 43,814 | $ | 91,638 | $ | 200,948 | $ | 202,274 | $ | 152,690 | $ | 159,985 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 1.93 | %5 | 1.77 | % | 1.66 | % | 1.67 | % | 1.74 | % | 1.74 | % | ||||||||||||
After fees waived and expenses absorbed | 1.70 | %5 | 1.69 | % | 1.69 | % | 1.70 | % | 1.70 | % | 1.63 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (1.57 | )%5 | (0.37 | )% | 0.49 | % | (0.59 | )% | (1.26 | )% | (0.70 | )% | ||||||||||||
After fees waived and expenses absorbed | (1.34 | )%5 | (0.29 | )% | 0.46 | % | (0.62 | )% | (1.22 | )% | (0.59 | )% | ||||||||||||
Portfolio turnover rate | 0 | %4 | 15 | % | 11 | % | 75 | % | 78 | % | 20 | % |
* | Financial information from September 30, 2015 through January 24, 2020 is for the Equinox MutualHedge Futures Strategy Fund, which was reorganized into the AXS Managed Futures Strategy Fund as of the close of business on January 24, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
4 | Not annualized. |
5 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
91
AXS Multi-Strategy Alternatives Fund
FINANCIAL HIGHLIGHTS
Class R-1*
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2021 | For the Period May 1, 2020 through September 30, | For the Year Ended April 30, | ||||||||||||||||||||||||||
(Unaudited) | 2020** | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.12 | $ | 9.95 | $ | 11.49 | $ | 13.28 | $ | 12.80 | $ | 11.56 | $ | 12.57 | ||||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||||||
Net investment income (loss)1 | (0.05 | ) | (0.03 | ) | (0.03 | ) | - | 2 | 0.03 | 0.04 | (0.04 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | 1.92 | 1.20 | (1.41 | ) | 0.61 | 2.15 | 1.64 | (0.90 | ) | |||||||||||||||||||
Total from investment operations | 1.87 | 1.17 | (1.44 | ) | 0.61 | 2.18 | 1.68 | (0.94 | ) | |||||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||||||
From net investment income | - | - | - | - | (0.05 | ) | - | (0.02 | ) | |||||||||||||||||||
From net realized gain | - | - | (0.10 | ) | (2.40 | ) | (1.65 | ) | (0.44 | ) | (0.05 | ) | ||||||||||||||||
Total distributions | - | - | (0.10 | ) | (2.40 | ) | (1.70 | ) | (0.44 | ) | (0.07 | ) | ||||||||||||||||
Net asset value, end of period | $ | 12.99 | $ | 11.12 | $ | 9.95 | $ | 11.49 | $ | 13.28 | $ | 12.80 | $ | 11.56 | ||||||||||||||
Total return3 | 16.91 | %5 | 11.76 | %5 | (12.66 | )%4 | 5.34 | % | 17.25 | % | 14.70 | % | (7.50 | )% | ||||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 11,091 | $ | 12,941 | $ | 14,586 | $ | 97,281 | $ | 84,790 | $ | 81,999 | $ | 83,291 | ||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||||||
Before fees waived and expenses absorbed | 2.04 | %6 | 1.66 | %6 | 1.58 | % | 1.68 | % | 1.64 | % | 1.62 | % | 1.55 | % | ||||||||||||||
After fees waived and expenses absorbed | 1.68 | %6 | 1.66 | %6 | 1.58 | % | 1.68 | % | 1.64 | % | 1.62 | % | 1.55 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||||||
Before fees waived and expenses absorbed | (1.19 | )%6 | (0.75 | )%6 | (0.30 | )% | (0.02 | )% | 0.24 | % | 0.31 | % | (0.30 | )% | ||||||||||||||
After fees waived and expenses absorbed | (0.83 | )%6 | (0.75 | )%6 | (0.30 | )% | (0.02 | )% | 0.24 | % | 0.31 | % | (0.30 | )% | ||||||||||||||
Portfolio turnover rate | 261 | %5 | 193 | %5 | 727 | % | 838 | % | 534 | % | 318 | % | 437 | % |
* | Financial information from April 30, 2015 through October 18, 2019 is for the KCM Macro Trends Fund, which was reorganized into the AXS Multi-Strategy Alternatives Fund as of the close of business on October 18, 2019. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
** | Fiscal year end changed to September 30, effective May 1, 2020. |
1 | Based on average daily shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns are historic in nature and assume the reinvestment of all dividends and capital gain distributions if any. |
4 | A predecessor affiliate reimbursed the Fund $43,948 for losses on pricing error. The payment had a positive 0.09% impact to the total return. |
5 | Not annualized. |
6 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
92
AXS Multi-Strategy Alternatives Fund
FINANCIAL HIGHLIGHTS
Class I*
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2021 | For the Period May 1, 2020 through September 30, | For the Year Ended April 30, | For the Period March 20, 2017** through | |||||||||||||||||||||
(Unaudited) | 2020*** | 2020 | 2019 | 2018 | April 30, 2017 | |||||||||||||||||||
Net asset value, beginning of period | $ | 11.16 | $ | 9.97 | $ | 11.53 | $ | 13.28 | $ | 12.80 | $ | 12.77 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.04 | ) | (0.02 | ) | - | 2 | 0.02 | 0.04 | - | 2 | ||||||||||||||
Net realized and unrealized gain (loss) | 1.92 | 1.21 | (1.41 | ) | 0.63 | 2.18 | 0.03 | |||||||||||||||||
Total from investment operations | 1.88 | 1.19 | (1.41 | ) | 0.65 | 2.22 | 0.03 | |||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | - | (0.05 | ) | - | (0.09 | ) | - | ||||||||||||||||
From net realized gain | - | - | (0.10 | ) | (2.40 | ) | (1.65 | ) | - | |||||||||||||||
Total distributions | - | - | (0.15 | ) | (2.40 | ) | (1.74 | ) | - | |||||||||||||||
Net asset value, end of period | $ | 13.04 | $ | 11.16 | $ | 9.97 | $ | 11.53 | $ | 13.28 | $ | 12.80 | ||||||||||||
Total return3 | 16.94 | %4 | 11.94 | %4 | (12.43 | )%7 | 5.65 | % | 17.49 | % | 0.23 | %4 | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period6 | $ | 8,854,501 | $ | 49,924,822 | $ | 43,876,547 | $ | 467,278 | $ | 563,187 | $ | 15 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 1.79 | %5 | 1.41 | %5 | 1.31 | % | 1.51 | % | 1.63 | % | 1.37 | %5 | ||||||||||||
After fees waived and expenses absorbed | 1.51 | %5 | 1.41 | %5 | 1.31 | % | 1.51 | % | 1.63 | % | 1.37 | %5 | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (0.94 | )%5 | (0.50 | )%5 | (0.03 | )% | 0.18 | % | 0.31 | % | 0.00 | %5 | ||||||||||||
After fees waived and expenses absorbed | (0.66 | )%5 | (0.50 | )%5 | (0.03 | )% | 0.18 | % | 0.31 | % | 0.00 | %5 | ||||||||||||
Portfolio turnover rate | 261 | %4 | 193 | %4 | 727 | % | 838 | % | 534 | % | 318 | %4 |
* | Financial information from March 20, 2017 through October 18, 2019 is for the KCM Macro Trends Fund, which was reorganized into the AXS Multi-Strategy Alternatives Fund as of the close of business on October 18, 2019. On October 21, 2019, Institutional Class shares were re-designated into Class I Shares. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
** | Commencement of operations. |
*** | Fiscal year end changed to September 30, effective May 1, 2020. |
1 | Based on average daily shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns are historic in nature and assume the reinvestment of all dividends and capital gain distributions if any. |
4 | Not annualized. |
5 | Annualized. |
6 | Amount is actual; not presented in thousands. |
7 | Payment by a predecessor affiliate had no impact to the total return (Note 3). |
See accompanying Notes to Consolidated Financial Statements.
93
AXS Sustainable Income Fund
FINANCIAL HIGHLIGHTS
Class I
Per share operating performance.
For a capital share outstanding throughout each period.
For the Period | ||||
October 17, 2020* | ||||
through | ||||
March 31, 2021 | ||||
(Unaudited) | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Income from Investment Operations: | ||||
Net investment income 1 | 0.22 | |||
Net realized and unrealized gain | 0.32 | |||
Total from investment operations | 0.54 | |||
Less Distributions: | ||||
From net investment income | (0.23 | ) | ||
Total distributions | (0.23 | ) | ||
Net asset value, end of period | $ | 10.31 | ||
Total return 2 | 5.46 | %3 | ||
Ratios and Supplemental Data: | ||||
Net assets, end of period (in thousands) | $ | 53,325 | ||
Ratio of expenses to average net assets: | ||||
Before fees waived and expenses absorbed | 1.12 | %4 | ||
After fees waived and expenses absorbed | 0.99 | %4 | ||
Ratio of net investment income to average net assets: | ||||
Before fees waived and expenses absorbed | 4.51 | %4 | ||
After fees waived and expenses absorbed | 4.64 | %4 | ||
Portfolio turnover rate | 69 | %3 |
* | Commencement of operations. |
1 | Based on average shares outstanding for the period. |
2 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
3 | Not annualized. |
4 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
94
AXS Thomson Reuters Private Equity Return Tracker Fund
FINANCIAL HIGHLIGHTS
Class A*
Per share operating performance.
For a capital share outstanding throughout each period.
For the | ||||||||||||||||||||||||
Six Months Ended | For the Year Ended September 30, | |||||||||||||||||||||||
March 31, 2021 | ||||||||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net asset value, beginning of period | $ | 14.05 | $ | 12.70 | $ | 13.97 | $ | 11.83 | $ | 10.28 | $ | 9.28 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.02 | ) | 0.03 | 0.06 | 0.04 | 0.06 | 0.03 | |||||||||||||||||
Net realized and unrealized gain (loss) | 3.46 | 1.32 | (0.46 | ) | 2.66 | 1.64 | 1.41 | |||||||||||||||||
Total from investment operations | 3.44 | 1.35 | (0.40 | ) | 2.70 | 1.70 | 1.44 | |||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Return of capital | - | - | (0.02 | ) | - | - | - | |||||||||||||||||
From net investment income | - | - | - | (0.22 | ) | - | (0.44 | ) | ||||||||||||||||
From net realized gain | (0.67 | ) | - | (0.85 | ) | (0.35 | ) | (0.15 | ) | - | ||||||||||||||
Total distributions | (0.67 | ) | - | (0.87 | ) | (0.57 | ) | (0.15 | ) | (0.44 | ) | |||||||||||||
Redemption fee proceeds1 | - | - | 2 | - | 2 | 0.01 | - | - | ||||||||||||||||
Net asset value, end of period | $ | 16.82 | $ | 14.05 | $ | 12.70 | $ | 13.96 | $ | 11.83 | $ | 10.28 | ||||||||||||
Total return3 | 24.75 | %4 | 10.63 | % | (1.99 | )% | 23.41 | % | 16.71 | % | 15.72 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period | $ | 269,033 | $ | 237,027 | $ | 1,722,198 | $ | 1,123,625 | $ | 727,863 | $ | 24,844 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 2.17 | %5 | 1.94 | % | 2.05 | % | 2.05 | % | 2.06 | % | 1.87 | % | ||||||||||||
After fees waived and expenses absorbed | 1.80 | %5 | 1.75 | % | 1.75 | % | 1.75 | % | 1.75 | % | 1.75 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (0.56 | )%5 | 0.04 | % | 0.23 | % | 0.03 | % | 0.19 | % | 0.21 | % | ||||||||||||
After fees waived and expenses absorbed | (0.19 | )%5 | 0.23 | % | 0.53 | % | 0.33 | % | 0.50 | % | 0.33 | % | ||||||||||||
Portfolio turnover rate | 45 | %4 | 78 | % | 72 | % | 38 | % | 48 | % | 53 | % |
* | Financial information from October 1, 2015 through November 20, 2020 is for the Leland Thomson Reuters Private Equity Buyout Index Fund, which was reorganized into the AXS Thomson Reuters Private Equity Return Tracker Fund as of the close of business on November 20, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average daily shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns shown do not include payment of sales load of 5.75% of offering price which will not apply on sales of $1 million or more. If the sales charge was included total returns would be lower. |
4 | Not annualized. |
5 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
95
AXS Thomson Reuters Private Equity Return Tracker Fund
FINANCIAL HIGHLIGHTS
Class C*
Per share operating performance.
For a capital share outstanding throughout each period.
For the | ||||||||||||||||||||||||
Six Months Ended | For the Year Ended September 30, | |||||||||||||||||||||||
March 31, 2021 | ||||||||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net asset value, beginning of period | $ | 13.67 | $ | 12.46 | $ | 13.82 | $ | 11.71 | $ | 10.26 | $ | 9.28 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment loss1 | (0.07 | ) | (0.07 | ) | (0.03 | ) | (0.05 | ) | (0.04 | ) | (0.05 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 3.36 | 1.28 | (0.46 | ) | 2.63 | 1.64 | 1.47 | 2 | ||||||||||||||||
Total from investment operations | 3.29 | 1.21 | (0.49 | ) | 2.58 | 1.60 | 1.42 | |||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Return of capital | - | - | (0.02 | ) | - | - | - | |||||||||||||||||
From net investment income | - | - | - | (0.12 | ) | - | (0.44 | ) | ||||||||||||||||
From net realized gain | (0.67 | ) | - | (0.85 | ) | (0.35 | ) | (0.15 | ) | - | ||||||||||||||
Total distributions | (0.67 | ) | - | (0.87 | ) | (0.47 | ) | (0.15 | ) | (0.44 | ) | |||||||||||||
Redemption fee proceeds1 | - | - | 3 | - | 3 | - | - | - | ||||||||||||||||
Net asset value, end of period | $ | 16.29 | $ | 13.67 | $ | 12.46 | $ | 13.82 | $ | 11.71 | $ | 10.26 | ||||||||||||
Total return4 | 24.16 | %5 | 9.71 | % | (2.70 | )% | 22.42 | % | 15.76 | % | 15.49 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period | $ | 1,348,374 | $ | 1,084,258 | $ | 500,680 | $ | 664,524 | $ | 109,775 | $ | 94,823 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 2.92 | %6 | 2.69 | % | 2.80 | % | 2.80 | % | 2.81 | % | 2.62 | % | ||||||||||||
After fees waived and expenses absorbed | 2.55 | %6 | 2.50 | % | 2.50 | % | 2.50 | % | 2.50 | % | 2.50 | % | ||||||||||||
Ratio of net investment loss to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (1.31 | )%6 | (0.71 | )% | (0.52 | )% | (0.70 | )% | (0.67 | )% | (0.66 | )% | ||||||||||||
After fees waived and expenses absorbed | (0.94 | )%6 | (0.52 | )% | (0.22 | )% | (0.40 | )% | (0.36 | )% | (0.54 | )% | ||||||||||||
Portfolio turnover rate | 45 | %5 | 78 | % | 72 | % | 38 | % | 48 | % | 53 | % |
* | Financial information from October 1, 2015 through November 20, 2020 is for the Leland Thomson Reuters Private Equity Buyout Index Fund, which was reorganized into the AXS Thomson Reuters Private Equity Return Tracker Fund as of the close of business on November 20, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average daily shares outstanding for the period. |
2 | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value for the period, and may not reconcile with the aggregate gains and losses in the Statements of Operations due to share transactions for the period. |
3 | Amount represents less than $0.005 per share. |
4 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 1.00% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns do not include payment of Contingent Deferred Sales Charge ("CDSC") of 1.00% on certain redemptions of Class C shares made within 12 months of purchase. If the Sales charge was included, total returns would be lower. |
5 | Recognition of net investment income by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
5 | Not annualized. |
6 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
96
AXS Thomson Reuters Private Equity Return Tracker Fund
FINANCIAL HIGHLIGHTS
Class I*
Per share operating performance.
For a capital share outstanding throughout each period.
For the | ||||||||||||||||||||||||
�� | Six Months Ended | For the Year Ended September 30, | ||||||||||||||||||||||
March 31, 2021 | ||||||||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net asset value, beginning of period | $ | 14.20 | $ | 12.81 | $ | 14.05 | $ | 11.88 | $ | 10.30 | $ | 9.29 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income1 | - | 2 | 0.06 | 0.09 | 0.08 | 0.08 | 0.07 | |||||||||||||||||
Net realized and unrealized gain (loss) | 3.50 | 1.33 | (0.46 | ) | 2.68 | 1.65 | 1.38 | |||||||||||||||||
Total from investment operations | 3.50 | 1.39 | (0.37 | ) | 2.76 | 1.73 | 1.45 | |||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Return of capital | - | - | (0.02 | ) | - | - | - | |||||||||||||||||
From net investment income | - | - | - | (0.24 | ) | - | (0.44 | ) | ||||||||||||||||
From net realized gain | (0.67 | ) | - | (0.85 | ) | (0.35 | ) | (0.15 | ) | - | ||||||||||||||
Total distributions | (0.67 | ) | - | (0.87 | ) | (0.59 | ) | (0.15 | ) | (0.44 | ) | |||||||||||||
Redemption fee proceeds1 | - | 2 | - | 2 | - | 2 | - | 2 | - | 2 | - | |||||||||||||
Net asset value, end of period | $ | 17.03 | $ | 14.20 | $ | 12.81 | $ | 14.05 | $ | 11.88 | $ | 10.30 | ||||||||||||
Total return3 | 24.91 | %4 | 10.85 | % | (1.75 | )% | 23.71 | % | 16.98 | % | 15.94 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 21,469 | $ | 21,073 | $ | 17,336 | $ | 18,108 | $ | 9,884 | $ | 6,835 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 1.92 | %5 | 1.69 | % | 1.80 | % | 1.80 | % | 1.81 | % | 1.62 | % | ||||||||||||
After fees waived and expenses absorbed | 1.55 | %5 | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (0.31 | )%5 | 0.29 | % | 0.48 | % | 0.29 | % | 0.39 | % | 0.59 | % | ||||||||||||
After fees waived and expenses absorbed | 0.06 | %5 | 0.48 | % | 0.78 | % | 0.59 | % | 0.70 | % | 0.71 | % | ||||||||||||
Portfolio turnover rate | 45 | %4 | 78 | % | 72 | % | 38 | % | 48 | % | 53 | % |
* | Financial information from October 1, 2015 through November 20, 2020 is for the Leland Thomson Reuters Private Equity Buyout Index Fund, which was reorganized into the AXS Thomson Reuters Private Equity Return Tracker Fund as of the close of business on November 20, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average daily shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
4 | Not annualized. |
5 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
97
AXS Thomson Reuters Venture Capital Return Tracker Fund
FINANCIAL HIGHLIGHTS
Class A*
Per share operating performance.
For a capital share outstanding throughout each period.
For the | ||||||||||||||||||||||||
Six Months Ended | For the Year Ended September 30, | |||||||||||||||||||||||
March 31, 2021 | ||||||||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net asset value, beginning of period | $ | 31.14 | $ | 18.26 | $ | 19.88 | $ | 14.73 | $ | 11.50 | $ | 10.42 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment loss1 | (0.16 | ) | (0.18 | ) | (0.09 | ) | (0.15 | ) | (0.10 | ) | (0.03 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 5.58 | 13.04 | (0.45 | ) | 6.87 | 3.77 | 2.05 | |||||||||||||||||
Net increase from payment by affiliates (Note 3) | - | 2 | - | - | - | - | - | |||||||||||||||||
Total from investment operations | 5.42 | 12.86 | (0.54 | ) | 6.72 | 3.67 | 2.02 | |||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | - | - | (0.36 | ) | - | (0.34 | ) | ||||||||||||||||
From net realized gain | (5.41 | ) | - | (1.08 | ) | (1.23 | ) | (0.44 | ) | (0.60 | ) | |||||||||||||
Total distributions | (5.41 | ) | - | (1.08 | ) | (1.59 | ) | (0.44 | ) | (0.94 | ) | |||||||||||||
Redemption fee proceeds1 | 0.01 | 0.02 | - | 2 | 0.02 | - | - | |||||||||||||||||
Net asset value, end of period | $ | 31.16 | $ | 31.14 | $ | 18.26 | $ | 19.88 | $ | 14.73 | $ | 11.50 | ||||||||||||
Total return3 | 18.17 | %4 | 70.54 | % | (1.84 | )% | 49.63 | % | 33.24 | % | 19.37 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 79,947 | $ | 82,691 | $ | 37,779 | $ | 41,820 | $ | 1,519 | $ | 314 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 1.88 | %5 | 1.89 | % | 2.06 | % | 1.99 | % | 1.99 | % | 1.83 | % | ||||||||||||
After fees waived and expenses absorbed | 1.77 | %5 | 1.75 | % | 1.75 | % | 1.75 | % | 1.75 | % | 1.75 | % | ||||||||||||
Ratio of net investment loss to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (1.11 | )%5 | (0.90 | )% | (0.83 | )% | (1.06 | )% | (0.96 | )% | (0.42 | )% | ||||||||||||
After fees waived and expenses absorbed | (1.00 | )%5 | (0.76 | )% | (0.52 | )% | (0.82 | )% | (0.72 | )% | (0.34 | )% | ||||||||||||
Portfolio turnover rate | 68 | %4 | 115 | % | 115 | % | 47 | % | 88 | % | 256 | % |
* | Financial information from October 1, 2015 through November 20, 2020 is for the Leland Thomson Reuters Venture Capital Index Fund, which was reorganized into the AXS Thomson Reuters Venture Capital Return Tracker Fund as of the close of business on November 20, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average daily shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns shown do not include payment of sales load of 5.75% of offering price which will not apply on sales of $1 million or more. If the sales charge was included total returns would be lower. |
4 | Not annualized. |
5 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
98
AXS Thomson Reuters Venture Capital Return Tracker Fund
FINANCIAL HIGHLIGHTS
Class C*
Per share operating performance.
For a capital share outstanding throughout each period.
For the | ||||||||||||||||||||||||
Six Months Ended | For the Year Ended September 30, | |||||||||||||||||||||||
March 31, 2021 | ||||||||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net asset value, beginning of period | $ | 29.98 | $ | 17.71 | $ | 19.46 | $ | 14.52 | $ | 11.43 | $ | 10.43 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment loss1 | (0.26 | ) | (0.34 | ) | (0.22 | ) | (0.28 | ) | (0.20 | ) | (0.11 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 5.35 | 12.60 | (0.45 | ) | 6.78 | 3.73 | 2.05 | |||||||||||||||||
Net increase from payment by affiliates (Note 3) | - | 2 | - | - | - | - | - | |||||||||||||||||
Total from investment operations | 5.09 | 12.26 | (0.67 | ) | 6.50 | 3.53 | 1.94 | |||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | - | - | (0.34 | ) | - | (0.34 | ) | ||||||||||||||||
From net realized gain | �� | (5.41 | ) | - | (1.08 | ) | (1.23 | ) | (0.44 | ) | (0.60 | ) | ||||||||||||
Total distributions | (5.41 | ) | - | (1.08 | ) | (1.57 | ) | (0.44 | ) | (0.94 | ) | |||||||||||||
Redemption fee proceeds1 | 0.01 | 0.01 | - | 2 | 0.01 | - | - | |||||||||||||||||
Net asset value, end of period | $ | 29.67 | $ | 29.98 | $ | 17.71 | $ | 19.46 | $ | 14.52 | $ | 11.43 | ||||||||||||
Total return3 | 17.74 | %4 | 69.28 | % | (2.59 | )% | 48.59 | % | 32.19 | % | 18.63 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,367 | $ | 11,205 | $ | 5,315 | $ | 6,198 | $ | 98 | $ | 28 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 2.63 | %5 | 2.64 | % | 2.81 | % | 2.74 | % | 2.74 | % | 2.58 | % | ||||||||||||
After fees waived and expenses absorbed | 2.52 | %5 | 2.50 | % | 2.50 | % | 2.50 | % | 2.50 | % | 2.50 | % | ||||||||||||
Ratio of net investment loss to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (1.86 | )%5 | (1.64 | )% | (1.58 | )% | (1.81 | )% | (1.74 | )% | (1.16 | )% | ||||||||||||
After fees waived and expenses absorbed | (1.75 | )%5 | (1.50 | )% | (1.27 | )% | (1.57 | )% | (1.50 | )% | (1.08 | )% | ||||||||||||
Portfolio turnover rate | 68 | %4 | 115 | % | 115 | % | 47 | % | 88 | % | 256 | % |
* | Financial information from October 1, 2015 through November 20, 2020 is for the Leland Thomson Reuters Venture Capital Index Fund, which was reorganized into the AXS Thomson Reuters Venture Capital Return Tracker Fund as of the close of business on November 20, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average daily shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 1.00% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns do not include payment of Contingent Deferred Sales Charge ("CDSC") of 1.00% on certain redemptions of Class C shares made within 12 months of purchase. If the Sales charge was included, total returns would be lower. |
4 | Not annualized. |
5 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
99
AXS Thomson Reuters Venture Capital Return Tracker Fund
FINANCIAL HIGHLIGHTS
Class I*
Per share operating performance.
For a capital share outstanding throughout each period.
For the | ||||||||||||||||||||||||
Six Months Ended | For the Year Ended September 30, | |||||||||||||||||||||||
March 31, 2021 | ||||||||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net asset value, beginning of period | $ | 31.45 | $ | 18.40 | $ | 19.97 | $ | 14.79 | $ | 11.51 | $ | 10.44 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment loss1 | (0.12 | ) | (0.12 | ) | (0.05 | ) | (0.10 | ) | (0.06 | ) | (0.02 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 5.64 | 13.16 | (0.44 | ) | 6.88 | 3.78 | 2.04 | |||||||||||||||||
Net increase from payment by affiliates (Note 3) | - | 2 | - | - | - | - | - | |||||||||||||||||
Total from investment operations | 5.52 | 13.04 | (0.49 | ) | 6.78 | 3.72 | 2.02 | |||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | - | - | (0.37 | ) | - | (0.35 | ) | ||||||||||||||||
From net realized gain | (5.41 | ) | - | (1.08 | ) | (1.23 | ) | (0.44 | ) | (0.60 | ) | |||||||||||||
Total distributions | (5.41 | ) | - | (1.08 | ) | (1.60 | ) | (0.44 | ) | (0.95 | ) | |||||||||||||
Redemption fee proceeds1 | 0.01 | 0.01 | - | 2 | - | 2 | - | - | 2 | |||||||||||||||
Net asset value, end of period | $ | 31.57 | $ | 31.45 | $ | 18.40 | $ | 19.97 | $ | 14.79 | $ | 11.51 | ||||||||||||
Total return3 | 18.33 | %4 | 70.92 | % | (1.57 | )% | 49.75 | % | 33.66 | % | 19.44 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 161,950 | $ | 148,199 | $ | 59,881 | $ | 54,377 | $ | 12,191 | $ | 13,474 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 1.63 | %5 | 1.64 | % | 1.81 | % | 1.74 | % | 1.74 | % | 1.58 | % | ||||||||||||
After fees waived and expenses absorbed | 1.52 | %5 | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | ||||||||||||
Ratio of net investment loss to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (0.86 | )%5 | (0.66 | )% | (0.59 | )% | (0.78 | )% | (0.72 | )% | (0.21 | )% | ||||||||||||
After fees waived and expenses absorbed | (0.75 | )%5 | (0.52 | )% | (0.28 | )% | (0.54 | )% | (0.48 | )% | (0.13 | )% | ||||||||||||
Portfolio turnover rate | 68 | %4 | 115 | % | 115 | % | 47 | % | 88 | % | 256 | % |
* | Financial information from October 1, 2015 through November 20, 2020 is for the Leland Thomson Reuters Venture Capital Index Fund, which was reorganized into the AXS Thomson Reuters Venture Capital Return Tracker Fund as of the close of business on November 20, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average daily shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
4 | Not annualized. |
5 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
100
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2021 (Unaudited)
Note 1 – Organization
AXS Alternative Growth Fund (the “Alternative Growth Fund”), AXS Aspect Core Diversified Strategy Fund (the “Aspect Core Diversified Strategy Fund”), AXS Chesapeake Strategy Fund (the “Chesapeake Strategy Fund”), AXS Managed Futures Strategy Fund (the “Managed Futures Strategy Fund”), AXS Multi-Strategy Alternatives Fund (the “Multi-Strategy Alternatives Fund”), AXS Sustainable Income Fund (the “Sustainable Income Fund”), AXS Thomson Reuters Private Equity Return Tracker Fund (the “Thomson Reuters Private Equity Return Tracker Fund”) and AXS Thomson Reuters Venture Capital Return Tracker Fund (the “Thomson Reuters Venture Capital Return Tracker Fund”) (each a “Fund” and collectively the ‘‘Funds’’) are organized as a diversified series of Investment Managers Series Trust II, a Delaware statutory trust (the “Trust”) which is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”).
Each Fund, other than the Alternative Growth Fund, the Multi-Strategy Alternatives Fund, and the Sustainable Income Fund, is authorized to, and currently offers three classes of shares, Class A, Class C, and Class I. The Alternative Growth Fund currently offers two classes of shares, Class A and Class I. The Multi-Strategy Alternatives Fund currently offers two classes of shares, Class R-1 and Class I. The Sustainable Income Fund currently offers one class of shares, Class I. Class A Shares of the Sustainable Income Fund are not currently available.
The Alternative Growth Fund’s investment objective is to seek to achieve returns and volatility comparable to the S&P 500® Total Return Index, while seeking to avoid the full impact of downside risk. Effective July 1, 2020, the Alternative Growth Fund changed fiscal year end from June 30th to September 30th.
The Alternative Growth Fund commenced investment operations on November 11, 2019 with Class A shares and Class I shares. Prior to that date, the Alternative Growth Fund acquired the assets and assumed the liabilities of the Equinox Ampersand Strategy Fund (the "Alternative Growth Predecessor Fund"), a series of Equinox Funds Trust, which offered two classes of shares, Class A shares and Class I shares, in a tax-free reorganization as set out in the Agreement and Plan of Reorganization. The proposed Plan of Reorganization was approved by the Trust’s Board on June 14, 2019, by the Board of Equinox Funds Trust on July 1, 2019, and by beneficial owners of the Alternative Growth Predecessor Fund on October 17, 2019. The tax-free reorganization was accomplished on November 8, 2019. As a result of the reorganization, the Alternative Growth Fund assumed the performance and accounting history of the Alternative Growth Predecessor Fund. Financial information included for the dates prior to the reorganization is that of the Alternative Growth Predecessor Fund.
The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Alternative Growth Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
Shares Issued | Net Assets | |||||||
Class A | 146,943 | $ | 1,754,296 | |||||
Class I | 1,488,202 | $ | 18,014,396 |
The net unrealized appreciation of investments transferred was $653,641 as of the date of the acquisition.
The Aspect Core Diversified Strategy Fund’s investment objective is to achieve long term capital appreciation.
The Aspect Core Diversified Strategy Fund commenced investment operations on November 11, 2019 with Class A shares, Class C Shares and Class I shares. Prior to that date, the Aspect Core Diversified Strategy Fund acquired the assets and assumed the liabilities of the Equinox Aspect Core Diversified Strategy Fund (the “Aspect Core Diversified Strategy Predecessor Fund”), a series of Equinox Funds Trust, which offered three class of shares, Class A, Class C, and Class I shares. On October 15, 2019, beneficial owners of the Aspect Core Diversified Strategy Predecessor Fund approved a proposed Agreement and Plan of Reorganization that provided for the reorganization into the AXS Aspect Core Diversified Strategy Fund. The Plan of Reorganization was approved by the Trust’s Board on June 14, 2019 and by the Equinox Funds Trust Board on July 1, 2019. The tax-free reorganization was accomplished on November 8, 2019. As a result of the reorganization, the Aspect Core Diversified Strategy Fund assumed the performance and accounting history of the Aspect Core Diversified Strategy Predecessor Fund. Financial information included for the dates prior to the reorganization is that of the Aspect Core Diversified Strategy Predecessor Fund Predecessor Fund.
101
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Aspect Core Diversified Strategy Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
Shares Issued | Net Assets | |||||||
Class A | 78,751 | $ | 722,915 | |||||
Class C | 365,100 | $ | 3,238,610 | |||||
Class I | 2,041,750 | $ | 18,804,907 |
The net unrealized appreciation of investments transferred was $27,284 as of the date of the acquisition.
The Chesapeake Strategy Fund’s investment objective is to achieve long-term capital appreciation.
The Chesapeake Strategy Fund commenced investment operations on November 11, 2019 with Class A shares, Class C Shares and Class I shares. Prior to that date, the Chesapeake Strategy Fund acquired the assets and assumed the liabilities of the Equinox Chesapeake Strategy Fund (the “Chesapeake Strategy Predecessor Fund”), a series of Equinox Funds Trust, which offered three class of shares, Class A, Class C, and Class I shares. On November 6, 2019, beneficial owners of the Chesapeake Strategy Predecessor Fund approved a proposed Agreement and Plan of Reorganization that provided for the reorganization into the AXS Chesapeake Strategy Fund. The Plan of Reorganization was approved by the Trust’s Board on June 14, 2019 and by the Equinox Funds Trust Board on July 1, 2019. The tax-free reorganization was accomplished on November 8, 2019. As a result of the reorganization, the Chesapeake Strategy Fund assumed the performance and accounting history of the Chesapeake Strategy Predecessor Fund. Financial information included for the dates prior to the reorganization is that of the Chesapeake Strategy Predecessor Fund.
The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Chesapeake Strategy Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
Shares Issued | Net Assets | |||||||
Class A | 455,380 | $ | 4,835,786 | |||||
Class C | 52,298 | $ | 541,044 | |||||
Class I | 7,369,196 | $ | 78,929,398 |
The net unrealized depreciation of investments transferred was $2,540,824 as of the date of the acquisition.
The Managed Futures Strategy Fund’s investment objective is to seek capital appreciation in both rising and falling (bull and bear) equity markets with an annualized level of volatility that is generally lower than the historic level of volatility experienced by the S&P 500 Index.
102
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
The Managed Futures Strategy Fund commenced investment operations on January 27, 2020 with Class A shares, Class C shares, and Class I shares. Prior to that date, the Managed Futures Strategy Fund acquired the assets and assumed the liabilities of the Equinox MutualHedge Futures Strategy Fund (the "Managed Futures Strategy Predecessor Fund"), a series of Northern Lights Fund Trust, which offered three classes of shares, Class A shares, Class C shares, and Class I shares, in a tax-free reorganization as set out in the Agreement and Plan of Reorganization. The proposed Plan of Reorganization was approved by the Trust’s Board on June 14, 2019, by the Board of Equinox Funds Trust on June 17, 2019, and by beneficial owners of the Managed Futures Strategy Predecessor Fund on December 20, 2019. The tax-free reorganization was accomplished on January 24, 2020. As a result of the reorganization, the Managed Futures Strategy Fund assumed the performance and accounting history of the Managed Futures Strategy Predecessor Fund. Financial information included for the dates prior to the reorganization is that of the Managed Futures Strategy Predecessor Fund.
The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Managed Futures Strategy Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
Shares Issued | Net Assets | |||||||
Class A | 3,732,844 | $ | 29,812,110 | |||||
Class C | 2,500,224 | 18,932,788 | ||||||
Class I | 24,003,504 | 194,134,986 |
The net unrealized appreciation of investments transferred was $27,079,696 as of the date of the acquisition.
The Multi-Strategy Alternatives Fund’s investment objective is long-term growth of capital. As a secondary goal, the Fund seeks to manage volatility and market risk. Effective May 1, 2020, the Multi-Strategy Alternatives Fund changed fiscal year end from April 30th to September 30th.
The Multi-Strategy Alternatives Fund commenced investment operations on October 21, 2019 with Class R-1 and Class I shares. Prior to that date, the Multi-Strategy Alternatives Fund acquired the assets and assumed the liabilities of the KCM Macro Trends Fund (the "Multi-Strategy Alternatives Predecessor Fund"), a series of Northern Lights Fund Trust, which offered two classes of shares, Class R-1 and Institutional Class, in a tax-free reorganization as set out in the Agreement and Plan of Reorganization. The proposed Plan of Reorganization was approved by the Trusts Board on June 14, 2019, by the Board of Northern Lights Fund Trust on June 17, 2019, and by beneficial owners of the Multi-Strategy Alternatives Predecessor Fund on October 17, 2019. The tax-free reorganization was accomplished on October 18, 2019. Upon closing of the Plan of Reorganization, Institutional Class shares were designated to Class I shares. As a result of the reorganization, the Multi-Strategy Alternatives Fund assumed the performance and accounting history of the Multi-Strategy Alternatives Predecessor Fund. Financial information included for the dates prior to the reorganization is that of the Multi-Strategy Alternatives Predecessor Fund.
The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Multi-Strategy Alternatives Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
Shares Issued | Net Assets | |||||||
Class R-1 | 7,643,433 | $ | 84,119,077 | |||||
Class I | 67,002 | $ | 740,865 |
103
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
The net unrealized appreciation of investments transferred was $2,594,449 as of the date of the acquisition.
The Sustainable Income Fund’s investment objective is to seek to generate current income.
The Sustainable Income Fund commenced investment operations on October 17, 2020 with Class I shares. Prior to that date, its only activity was a transfer of 101,960 newly issued shares of the Fund’s Class I in exchange for the net assets of the SKY Harbor Short Duration High Yield Partners, LP, a Delaware limited liability company (the “Company”) valued at $1,019,596. This exchange was nontaxable. The primary assets received by the Fund were cash, interest receivable and securities of the Company with a fair value of $946,696 (identified cost of investments transferred were $951,387), totaling $1,019,596. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the Company was carried forward to align ongoing reporting of the Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
The Thomson Reuters Private Equity Return Tracker Fund’s investment objective is to provide investment results that, before fees and expenses, correspond generally to the price performance of a specific benchmark designed to track the aggregate performance of U.S. private equity-backed companies. The Fund’s current benchmark is the Thomson Reuters Private Equity Buyout Index.
The Thomson Reuters Private Equity Return Tracker Fund commenced investment operations on November 21, 2020 with Class A shares, Class C shares, and Class I shares. Prior to that date, the Thomson Reuters Private Equity Return Tracker Fund acquired the assets and assumed the liabilities of the Leland Thomson Reuters Private Equity Buyout Index Fund (the "Thomson Reuters Private Equity Return Tracker Predecessor Fund"), a series of Northern Lights Fund Trust III, which offered three classes of shares, Class A shares, Class C shares, and Class I shares, in a tax-free reorganization as set out in the Agreement and Plan of Reorganization. The proposed Plan of Reorganization was approved by the Trust’s Board on August 6, 2020, by the Board of Northern Lights Fund Trust III on August 5, 2020, and by beneficial owners of the Thomson Reuters Private Equity Return Tracker Predecessor Fund on November 18, 2020. The tax-free reorganization was accomplished on November 20, 2020. As a result of the reorganization, the Thomson Reuters Private Equity Return Tracker Fund assumed the performance and accounting history of the Thomson Reuters Private Equity Return Tracker Predecessor Fund. Financial information included for the dates prior to the reorganization is that of the Thomson Reuters Private Equity Return Tracker Predecessor Fund.
The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Thomson Reuters Private Equity Return Tracker Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
Shares Issued | Net Assets | |||||||
Class A | 16,123 | $ | 248,292 | |||||
Class C | 79,301 | 1,187,114 | ||||||
Class I | 1,342,937 | 20,904,719 |
The net unrealized appreciation of investments transferred was $7,553,217 as of the date of the acquisition.
The Thomson Reuters Venture Capital Return Tracker Fund’s investment objective is to provide investment results that, before fees and expenses, correspond generally to the price performance of a specific benchmark designed to track the aggregate performance of U.S. venture capital-backed companies. The Fund’s current benchmark is the Thomson Reuters Venture Capital Index.
104
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
The Thomson Reuters Venture Capital Return Tracker Fund commenced investment operations on November 21, 2020 with Class A shares, Class C shares, and Class I shares. Prior to that date, the Thomson Reuters Venture Capital Return Tracker Fund acquired the assets and assumed the liabilities of the Leland Thomson Reuters Venture Capital Index Fund (the " Thomson Reuters Venture Capital Return Tracker Predecessor Fund"), a series of Northern Lights Fund Trust III, which offered three classes of shares, Class A shares, Class C shares, and Class I shares, in a tax-free reorganization as set out in the Agreement and Plan of Reorganization. The proposed Plan of Reorganization was approved by the Trust’s Board on August 6, 2020, by the Board of Northern Lights Fund Trust III on August 5, 2020, and by beneficial owners of the Thomson Reuters Venture Capital Return Tracker Predecessor Fund on November 18, 2020. The tax-free reorganization was accomplished on November 20, 2020. As a result of the reorganization, the Thomson Reuters Venture Capital Return Tracker Fund assumed the performance and accounting history of the Thomson Reuters Venture Capital Return Tracker Predecessor Fund. Financial information included for the dates prior to the reorganization is that of the Thomson Reuters Venture Capital Return Tracker Predecessor Fund.
The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Thomson Reuters Venture Capital Return Tracker Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
Shares Issued | Net Assets | |||||||
Class A | 2,543,961 | $ | 81,237,729 | |||||
Class C | 382,538 | 11,745,929 | ||||||
Class I | 4,326,594 | 139,556,985 |
The net unrealized appreciation of investments transferred was $64,795,988 as of the date of the acquisition.
The shares of each class of each Fund (other than the Sustainable Income Fund which currently only offers one class of shares) represent an interest in the same portfolio of investments of each particular Fund and have equal rights as to voting, redemptions, dividends and liquidation, subject to the approval of the Trustees. Income, expenses (other than expenses attributable to a specific class) and realized and unrealized gains and losses on investments are allocated to each class of shares in proportion to their relative net assets. Shareholders of a class that bears distribution and service expenses under the terms of a distribution plan have exclusive voting rights to that distribution plan.
Each Fund 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.”
(a) Consolidation of Subsidiary
The Alternative Growth Fund may invest up to 25% of its total assets in its subsidiary, AXS Alternative Growth Fund Limited, a wholly-owned and controlled subsidiary formed under the laws of the Cayman Islands. The Consolidated Schedule of Investments, Statement of Assets and Liabilities, Statement of Operations, Statements of Changes in Net Assets and Financial Highlights of the Fund include the accounts of the AXS Alternative Growth Fund Limited. All inter-company accounts and transactions have been eliminated in the consolidation for the Alternative Growth Fund. The AXS Alternative Growth Fund Limited is advised by Ampersand Investment Management LLC (“Ampersand” or the “Sub-Advisor”) and acts as an investment vehicle in order to effect certain investments consistent with the Alternative Growth Fund’s investment objectives and policies specified in the Alternative Growth Fund’s prospectus and statement of additional information. The AXS Alternative Growth Fund Limited will generally invest in derivatives, including swaps, and other investments intended to serve as margin or collateral for swap positions. The inception date of the AXS Alternative Growth Fund Limited was June 27, 2018. As of March 31, 2021, total assets of the Alternative Growth Fund were $5,443,629, of which $996,741, or approximately 18.3%, represented the Alternative Growth Fund’s ownership of the shares of the AXS Alternative Growth Fund Limited.
105
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
The Aspect Core Diversified Strategy Fund may invest up to 25% of its total assets in its subsidiary, Aspect Core Diversified Strategy Fund Limited, a wholly-owned and controlled subsidiary formed under the laws of the Cayman Islands. The Consolidated Schedule of Investments, Statement of Assets and Liabilities, Statement of Operations, Statements of Changes in Net Assets and Financial Highlights of the Aspect Core Diversified Strategy Fund include the accounts of the Aspect Core Diversified Strategy Fund Limited. All inter-company accounts and transactions have been eliminated in the consolidation for the Aspect Core Diversified Strategy Fund. The Aspect Core Diversified Strategy Fund Limited is advised by Aspect Capital Limited (“Aspect” or the “Sub-Advisor”) and acts as an investment vehicle in order to effect certain investments consistent with the Aspect Core Diversified Strategy Fund’s investment objectives and policies specified in the Aspect Core Diversified Strategy Fund’s prospectus and statement of additional information. The Aspect Core Diversified Strategy Fund Limited will generally invest in derivatives, including commodity futures, and other investments intended to serve as margin or collateral for derivative positions. The inception date of the Aspect Core Diversified Strategy Fund Limited was November 6, 2014. As of March 31, 2021, total assets of the Aspect Core Diversified Strategy Fund were $19,886,582, of which $318,132, or approximately 1.6%, represented the Aspect Core Diversified Strategy Fund’s ownership of the shares of the Aspect Core Diversified Strategy Fund Limited.
The Chesapeake Strategy Fund may invest up to 25% of its total assets in its subsidiary, AXS Chesapeake Strategy Fund Limited, a wholly-owned and controlled subsidiary formed under the laws of the Cayman Islands. The Consolidated Schedule of Investments, Statement of Assets and Liabilities, Statement of Operations, Statements of Changes in Net Assets and Financial Highlights of the Chesapeake Strategy Fund include the accounts of the AXS Chesapeake Strategy Fund Limited. All inter-company accounts and transactions have been eliminated in the consolidation for the Chesapeake Strategy Fund. The AXS Chesapeake Strategy Fund Limited is advised by Chesapeake Investment Management LLC (“Chesapeake” or the “Sub-Advisor”) and acts as an investment vehicle in order to effect certain investments consistent with the Chesapeake Strategy Fund’s investment objectives and policies specified in the Chesapeake Strategy Fund’s prospectus and statement of additional information. The AXS Chesapeake Strategy Fund Limited will generally invest in derivatives, including commodity futures, and other investments intended to serve as margin or collateral for derivative positions. The inception date of the AXS Chesapeake Strategy Fund Limited was April 19, 2012. As of March 31, 2021, total assets of the Chesapeake Strategy Fund were $17,127,738 of which $776,692, or approximately 4.5%, represented the Chesapeake Strategy Fund’s ownership of the shares of the AXS Chesapeake Strategy Fund Limited.
The Managed Futures Strategy Fund may invest up to 25% of its total assets in its subsidiary, AXS Managed Futures Fund Limited, a wholly-owned and controlled subsidiary formed under the laws of the Cayman Islands. The Consolidated Schedule of Investments, Statement of Assets and Liabilities, Statement of Operations, Statements of Changes in Net Assets and Financial Highlights of the Managed Futures Strategy Fund include the accounts of the AXS Managed Futures Fund Limited. All inter-company accounts and transactions have been eliminated in the consolidation for the Managed Futures Strategy Fund. The AXS Managed Futures Fund Limited is advised by Ampersand Investment Management LLC (“Ampersand” or the “Sub-Advisor”) and acts as an investment vehicle in order to effect certain investments consistent with the Managed Futures Strategy Fund’s investment objectives and policies specified in the Managed Futures Strategy Fund’s prospectus and statement of additional information. The AXS Managed Futures Fund Limited will generally invest in derivatives, including swaps, and other investments intended to serve as margin or collateral for swap positions. The inception date of the AXS Managed Futures Fund Limited was January 12, 2010. As of March 31, 2021, total assets of the Managed Futures Strategy Fund were $74,206,673, of which $15,110,571 or approximately 20.4%, represented the Managed Futures Strategy Fund’s ownership of the shares of the AXS Managed Futures Fund Limited.
106
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
For tax purposes, the AXS Alternative Growth Fund Limited, Aspect Core Diversified Strategy Fund Limited, AXS Chesapeake Strategy Fund Limited and AXS Managed Futures Fund Limited are each an exempted Cayman investment company. Each subsidiary has received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, each subsidiary is a Controlled Foreign Corporation (“CFC”) and as such is not subject to U.S. income tax. However, as a wholly-owned CFC, each subsidiary’s net income and capital gains, to the extent of its earnings and profits, will be included each year in the Funds’ investment company taxable income.
Note 2 – Accounting Policies
The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of their financial statements. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
(a) Valuation of Investments
The Funds value equity securities at the last reported sale price on the principal exchange or in the principal over the counter (“OTC”) market in which such securities are traded, as of the close of regular trading on the NYSE on the day the securities are being valued or, if the last-quoted sales price is not readily available, the securities will be valued at the last bid or the mean between the last available bid and ask price. Securities traded on the NASDAQ are valued at the NASDAQ Official Closing Price (“NOCP”). Investments in open-end investment companies are valued at the daily closing net asset value of the respective investment company. Debt securities are valued by utilizing a price supplied by independent pricing service providers. The independent pricing service providers may use various valuation methodologies including matrix pricing and other analytical pricing models as well as market transactions and dealer quotations. These models generally consider such factors as yields or prices of bonds of comparable quality, type of issue, coupon, maturity, ratings and general market conditions. If a price is not readily available for a portfolio security, the security will be valued at fair value (the amount which the Funds might reasonably expect to receive for the security upon its current sale) as determined in good faith by the Funds’ advisor, subject to review and approval by the Valuation Committee, pursuant to procedures adopted by the Board of Trustees. The actions of the Valuation Committee are subsequently reviewed by the Board at its next regularly scheduled board meeting. The Valuation Committee meets as needed. The Valuation Committee is comprised of all the Trustees, but action may be taken by any one of the Trustees.
(b) Foreign Currency Translation
The Funds’ records are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the reporting period. The currencies are translated into U.S. dollars by using the exchange rates quoted as of 4:00 PM Eastern Standard Time. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
The Funds do not isolate that portion of their net realized and unrealized gains and losses on investments resulting from changes in foreign exchange rates from the impact arising from changes in market prices. Such fluctuations are included with net realized and unrealized gain or loss from investments and foreign currency.
Net realized foreign currency transaction gains and losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the differences between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency translation gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in the exchange rates.
107
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
(c) Exchange Traded Funds (“ETFs”)
ETFs typically trade on securities exchanges and their shares may, at times, trade at a premium or discount to their net asset values. In addition, an ETF may not replicate exactly the performance of the benchmark index it seeks to track for a number of reasons, including transaction costs incurred by the ETF, the temporary unavailability of certain index securities in the secondary market or discrepancies between the ETF and the index with respect to the weighting of securities or the number of securities held. Investing in ETFs, which are investment companies, may involve duplication of advisory fees and certain other expenses. As a result, Fund shareholders indirectly bear their proportionate share of these incurred expenses. Therefore, the cost of investing in the Funds will be higher than the cost of investing directly in ETFs and may be higher than other mutual funds that invest directly in securities.
Each ETF in which the Funds invest is subject to specific risks, depending on the nature of the ETF. Each ETF is subject to the risks associated with direct ownership of the securities comprising the index on which the ETF is based. These risks could include liquidity risk, sector risk, and risks associated with fixed-income securities.
(d) Total Return Swaps
The Alternative Growth Fund and Managed Futures Strategy Fund are subject to equity price risk, interest rate risk and/or commodity risk in the normal course of pursuing its investment objective. The Funds enter into various swap transactions for investment purposes and to manage interest rate, equity, foreign exchange (currency), or credit risk. These two-party contracts are entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined investments or instruments.
To help to reduce counterparty risk on the Managed Futures Strategy Fund, the Advisor has the right to reduce the Managed Futures Strategy Fund’s exposure and remove cash from the Managed Futures Strategy Fund’s total return swap with Deutsche Bank AG. This cash holding shall be in excess of $250,000 and may not exceed 40% of the Index exposure in total. The Managed Futures Strategy Fund is charged interest on this cash holding and any amount removed will be offset against the final settlement value of the swap. As of March 31, 2021, the Managed Futures Strategy Fund did not have such cash advance.
The gross returns exchanged or “swapped” between parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as net change in unrealized appreciation or depreciation in the Consolidated 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. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Consolidated Statements of Operations. Realized gains and losses from a decrease in the notional value swap are recognized on trade date. Swap agreements may also involve fees, commissions and other costs that may reduce the value of the swap agreement. These costs are not reflected in the Consolidated Statements of Operations, are deducted from the return of any such derivative instrument and, therefore, represent an indirect cost of investment in the Funds.
(e) Equity Swaps (Total Return Swaps)
The Multi-Strategy Alternatives Fund, Thomson Reuters Private Equity Return Tracker Fund and Thomson Reuters Venture Capital Return Tracker Fund may enter into equity swap contracts for hedging or investment purposes. Equity swap contracts may be structured in different ways. The counterparty may agree to pay the Fund the amount, if any, by which the notional amount of the equity swap contract would have increased in value had it been invested in particular stocks (or an index of stocks), plus the dividends that would have been received on those stocks. In these cases, the Fund may agree to pay to the counterparty a floating-rate of interest on the notional amount of the equity swap contract plus the amount, if any, by which that notional amount would have decreased in value had it been invested in such stocks. In these cases, the return to the Fund on any equity swap contract should be the gain or loss on the notional amount plus dividends on the stocks less the interest paid by the Fund on the notional amount. In other cases, the counterparty and the Fund may agree to pay the other the difference between the relative investment performance that would have been achieved if the notional amount of the equity swap contract had been invested in different stocks (or indices of stocks).
108
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Total return swap contracts are agreements between counterparties to exchange cash flow, one based on a market-linked return of an individual asset or group of assets (such as an index), and the other on a fixed or floating rate. As a total return swap, an equity swap may be structured in different ways. When the Fund enters into a “long” equity swap, the counterparty may agree to pay the Fund the amount, if any, by which the notional amount of the equity swap would have increased in value had it been invested in a particular referenced security or securities, plus the dividends that would have been received on those securities. In return, the Fund will generally agree to pay the counterparty interest on the notional amount of the equity swap plus the amount, if any, by which that notional amount would have decreased in value had it been invested in such referenced security or securities, plus, in certain instances, commissions or trading spreads on the notional amounts. Therefore, the Fund’ return on the equity swap generally should equal the gain or loss on the notional amount, plus dividends on the referenced security or securities less the interest paid by the Fund on the notional amount. Alternatively, when the Fund enters into a “short” equity swap, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the equity swap would have decreased in value had the Fund sold a particular referenced security or securities short, less the dividend expense that the Fund would have incurred on the referenced security or securities, as adjusted for interest payments or other economic factors. In this situation, the Fund will generally be obligated to pay the amount, if any, by which the notional amount of the swap would have increased in value had it been invested directly in the referenced security or securities.
Equity swaps generally do not involve the delivery of securities or other referenced assets. Accordingly, the risk of loss with respect to equity swaps is normally limited to the net amount of payments that the Fund is contractually obligated to make. If the other party to an equity swap defaults, the Fund’s risk of loss consists of the net amount of payments that the Fund is contractually entitled to receive, if any. The Fund will segregate cash or liquid assets, enter into offsetting transactions or use other measures permitted by applicable law to “cover” the Fund’ current obligations.
Equity swaps are derivatives and their value can be very volatile. The Fund may engage in total return swaps to gain exposure to securities, along with offsetting long total return swap positions to maintain appropriate currency balances and risk exposures across all swap positions. To the extent that the Advisor does not accurately analyze and predict future market trends, the values or assets or economic factors, the Fund may suffer a loss, which may be substantial. As of March 31, 2021, open swap agreements are shown in the Schedules of Investments.
(f) Futures Contracts
The Funds purchase and sell futures contracts to pursue its investment objective and to gain exposure to, or hedge against, change in the value of equities, interest rates, foreign currency, or commodities. 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, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. If a Fund was unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund 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. The Funds segregate liquid securities having a value at least equal to the amount of the current obligation under any open futures contract. Risks may exceed amounts recognized in the Consolidated Statements of Assets and Liabilities. With futures, there is minimal counterparty credit risk to a Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
109
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
(g) Forward Foreign Currency Contracts
The Aspect Core Diversified Strategy Fund and the Chesapeake Strategy Fund may enter into forward currency exchange contracts in order to hedge against foreign currency exchange rate risks. A forward involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. The market value of the contract fluctuates with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by the Fund as an unrealized gain or loss. As foreign securities are sold, a portion of the contract is generally closed and the Funds record 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 Consolidated Statements of Operations.
(h) Short-Term Investments
The Alternative Growth Fund invests a significant amount (31.2% as of March 31, 2021) in the Fidelity Investments Money Market Government Portfolio (“FIGXX”). FIGXX Invests in U.S. Government securities and/or repurchase agreements that are collateralized fully, U.S. Government securities issued by entities that are chartered by Congress but whose securities are neither issued nor guaranteed by the U.S. Treasury and investing in compliance with industry-standard regulatory requirements for money market funds for the quality, maturity, liquidity and diversification of investments. FIGXX may invest at least 80% of its assets in U.S. Treasury securities and repurchase agreements for those securities.
The Aspect Core Diversified Strategy Fund invests a significant amount (39.6% as of March 31, 2021) in the Fidelity Investments Money Market Treasury Portfolio (“FISXX”). FISXX Invests in U.S. Treasury securities and/or repurchase agreements that are collateralized fully, U.S. Government securities issued by entities that are chartered or sponsored by Congress but whose securities are neither issued nor guaranteed by the U.S. Treasury, and investing in compliance with industry-standard regulatory requirements for money market funds for the quality, maturity, liquidity and diversification of investments. FISXX may invest at least 80% of its assets in U.S. Treasury securities and repurchase agreements for those securities.
The Aspect Core Diversified Strategy Fund invests a significant amount (47.3% as of March 31, 2021) in the UMB Money Market Fiduciary. The UMB Money Market Fiduciary acts as a bank deposit for the Fund, providing an interest bearing account for short-term investment purposes. This investment vehicle is not publicly traded on open markets. Accounting Standards Codification Topic 825, Financial Instruments identifies this situation as a concentration of credit risk requiring disclosure, regardless of degree of risk. The risk is managed by monitoring the financial institution in which the deposits are made.
110
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
(i) Investment Transactions, Investment Income and Expenses
Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income is recorded net of applicable withholding taxes on the ex-dividend date and interest income is recorded on an accrual basis. Withholding taxes on foreign dividends, if applicable, are paid (a portion of which may be reclaimable) or provided for in accordance with the applicable country’s tax rules and rates and are disclosed in the Consolidated Statement of Operations. Withholding tax reclaims are filed in certain countries to recover a portion of the amounts previously withheld. The Funds record a reclaim receivable based on a number of factors, including a jurisdiction’s legal obligation to pay reclaims as well as payment history and market convention. Income and expenses of the Funds (other than the Sustainable Income Fund which currently only offers one class of shares) are allocated on a pro rata basis to each class of shares relative assets, except for distribution and service fees which are unique to each class of shares. Expenses incurred by the Trust with respect to more than one fund are allocated in proportion to the net assets of the fund except where allocation of direct expenses to the fund or an alternative allocation method can be more appropriately made.
(j) Federal Income Tax
The Funds intend to comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of their net investment income and any net realized gains to their shareholders. Therefore, no provision is made for federal income or excise taxes. Due to the timing of dividend distributions and the differences in accounting for income and realized gains and losses for financial statement and federal income tax purposes, the fiscal year in which amounts are distributed may differ from the year in which the income and realized gains and losses are recorded by the Funds.
Accounting for Uncertainty in Income Taxes (the “Income Tax Statement”) requires an evaluation of tax positions taken (or expected to be taken) in the course of preparing a Fund’s tax returns to determine whether these positions meet a “more-likely-than-not” standard that, based on the technical merits, have a more than fifty percent likelihood of being sustained by a taxing authority upon examination. A tax position that meets the “more-likely-than-not” recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Consolidated Statements of Operations.
The Income Tax Statement requires management of the Funds to analyze tax positions taken in the prior three open tax years, if any, and tax positions expected to be taken in the Funds’ current tax year, as defined by the IRS statute of limitations for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of March 31, 2021, and during the prior three open tax years, the Funds did not have a liability for any unrecognized tax benefits. The Funds have no examinations in progress and is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
(k) Distributions to Shareholders
Dividends from net investment income, if any, are declared and paid at least annually. Distributable net realized capital gains, if any, are declared and distributed annually. Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
The character of distributions made during the year from net investment income or net realized gains may differ from the characterization for federal income tax purposes due to differences in the recognition of income, expense and gain (loss) items for financial statement and tax purposes.
111
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
(l) Illiquid Securities
Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted a Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Funds limit their illiquid investments that are assets to no more than 15% of net assets. An illiquid investment is any security which may not reasonably be expected to 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. If the Advisor, at any time, determines that the value of illiquid securities held by the Fund exceed 15% of its net asset value, the Advisor will take such steps as it considers appropriate to reduce them as soon as reasonably practicable in accordance with the Funds’ written LRMP.
Note 3 – Investment Advisory and Other Agreements
The Trust, on behalf of the Funds, entered into an Investment Advisory Agreement (the “Agreement”) with AXS Investments LLC (the “Advisor”). Under the terms of the Agreement, the Funds pay twice a month investment advisory fee to the Advisor. The annual rates are listed by Fund in the table below.
Fund | Investment Advisory Fees | Subsidiary | Investment Advisory Fees |
Alternative Growth Fund | 0.75% | Alternative Growth Fund Limited | 0.75% |
Aspect Core Diversified Strategy Fund | 1.30% | Aspect Core Diversified Strategy Fund Limited | 1.30% |
Chesapeake Strategy Fund | 1.50% | Chesapeake Strategy Fund Limited | 1.50% |
Managed Futures Strategy Fund | 1.45% | Managed Futures Strategy Fund Limited | 1.45% |
Multi-Strategy Alternatives Fund | 1.00% | ||
Sustainable Income Fund | 0.70% | ||
Thomson Reuters Private Equity Return Tracker Fund | 1.25% | ||
Thomson Reuters Venture Capital Return Tracker Fund | 1.25% |
The investment management fees included a management fee paid to the Advisor by each Fund’s subsidiary at an annual rate listed above of the subsidiary’s average daily net assets. The Advisor had contractually agreed, for so long as each Fund invests in each subsidiary, to waive the management fee it received from the Fund in an amount equal to the management fee paid to the Advisor by each subsidiary. This undertaking may not be terminated by the advisor as long as the investment advisory agreement between the Subsidiary and the Advisor is in place unless the Advisor obtains the prior approval of the Fund’s Board of Trustees. The Advisor has contractually agreed to waive its fee and, if necessary, to absorb other operating expenses to ensure that total annual operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with Form N-1A, expenses incurred in connection with any merger or reorganization, and extraordinary expenses such as litigation expenses) in order to limit total annual operating expenses of each fund. For the Alternative Growth Fund, the Aspect Core Diversified Strategy Fund, the Chesapeake Strategy Fund, the Managed Futures Strategy Fund, the Multi-Strategy Alternatives Fund and the Sustainable Income Fund, this agreement is effective until January 31, 2022. For the Thomson Reuters Private Equity Return Tracker Fund and the Thomson Reuters Venture Capital Return Tracker Fund, this agreement is effective until November 21, 2022. These agreements may be terminated before that date only by the Trust’s Board of Trustees. The table below contains the expense cap by Fund and by Class.
112
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Total Limit on Annual Operating Expenses | ||||
Class A Shares | Class C Shares | Class I Shares | Class R-1 Shares | |
Alternative Growth Fund | 1.24% | - | 0.99% | - |
Aspect Core Diversified Strategy Fund | 1.70% | 2.45% | 1.45% | - |
Chesapeake Strategy Fund | 2.10% | 2.85% | 1.85% | - |
Managed Futures Strategy Fund | 1.95% | 2.70% | 1.70% | - |
Multi-Strategy Alternatives Fund | - | - | 1.51% | 1.68% |
Sustainable Income Fund | - | - | 0.99% | - |
Thomson Reuters Private Equity Return Tracker Fund | 1.75% | 2.50% | 1.50% | - |
Thomson Reuters Venture Capital Return Tracker Fund | 1.75% | 2.50% | 1.50% | - |
The Advisor has engaged Ampersand Investment Management LLC (the “Ampersand”), a Sub-Advisor, to manage the Alternative Growth Fund and Managed Futures Strategy Fund and pays Ampersand from its advisory fees.
The Advisor has engaged Aspect Capital Limited (“Aspect”), a Sub-Advisor, to manage the Aspect Core Diversified Strategy Fund and pays Aspect from its advisory fees.
The Advisor has engaged Chesapeake Capital Corporation (“Chesapeake”), a Sub-Advisor, to manage the Chesapeake Strategy Fund’s overall investment program, and pays Chesapeake from its advisory fees.
The Advisor has engaged SKY Harbor Capital Management, LLC (“SKY Harbor”), a Sub-Advisor, to manage the Sustainable Income Fund’s overall investment program, and pays SKY Harbor from its advisory fees.
Effective January 19, 2021, Kerns Capital Management, Inc. ("KCM") no longer serves as Sub-Advisor to the Multi-Strategy Alternatives Fund. As of January 19, 2021, the Advisor is responsible for the day-to-day management of the Fund's portfolio.
Prior to the close of business on November 8, 2019, investment advisory services were provided to the Alternative Growth Predecessor Fund, the Aspect Core Diversified Strategy Predecessor Fund, and the Chesapeake Strategy Predecessor Fund by Equinox Institutional Asset Management, LP (“Equinox”), which received investment management fees for their services pursuant to the terms of the investment advisory agreements for the Alternative Growth Predecessor Fund, the Aspect Core Diversified Strategy Predecessor Fund, and the Chesapeake Strategy Predecessor Fund. The investment advisory fees were computed and accrued daily and paid monthly at an annual rate of 0.75% of the Alternative Growth Predecessor Fund’s average daily net assets, 1.30% of the Aspect Core Diversified Strategy Predecessor Fund’s average daily net assets, and 1.50% of the Chesapeake Strategy Predecessor Fund’s, average daily net assets. Equinox had contractually agreed to waive its fee and, if necessary, to absorb other operating expenses to ensure that total annual operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with Form N-1A, expenses incurred in connection with any merger or reorganization, and extraordinary expenses such as litigation expenses) do not exceed 1.24% and 0.99% of the average daily net assets of Class A and Class I shares, respectively, of the Alternative Growth Predecessor Fund. Equinox had contractually agreed to waive its fee and, if necessary, to absorb other operating expenses to ensure that total annual operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with Form N-1A, expenses incurred in connection with any merger or reorganization, and extraordinary expenses such as litigation expenses) do not exceed 1.70%, 2.45% and 1.45% of the average daily net assets of Class A, Class C and Class I shares, respectively, of the Aspect Core Diversified Strategy Predecessor Fund. Equinox had contractually agreed to waive its fee and, if necessary, to absorb other operating expenses to ensure that total annual operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with Form N-1A, expenses incurred in connection with any merger or reorganization, and extraordinary expenses such as litigation expenses) do not exceed 2.10%, 2.85% and 1.85% of the average daily net assets of Class A, Class C and Class I shares, respectively, of the Chesapeake Strategy Predecessor Fund.
113
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Prior to the close of business on January 24, 2020, investment advisory services were provided to the Managed Futures Strategy Predecessor Fund by Equinox, which received investment management fees for their services pursuant to the terms of the investment advisory agreements for the Managed Futures Strategy Predecessor Fund. The investment advisory fees were computed and accrued daily and paid monthly at an annual rate of 1.45% of the Managed Futures Strategy Predecessor Fund’s average daily net assets. Equinox had contractually agreed to waive its fee and, if necessary, to absorb other operating expenses to ensure that total annual operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with Form N-1A, expenses incurred in connection with any merger or reorganization, and extraordinary expenses such as litigation expenses) do not exceed 1.95%, 2.70%, and 1.70% of the average daily net assets of Class A, Class C, and Class I shares, respectively, of the Managed Futures Strategy Predecessor Fund.
Prior to the close of business on October 18, 2019, investment advisory services were provided to the Multi-Strategy Alternatives Predecessor Fund by Kerns Capital Management, Inc., which received investment management fees for their services pursuant to the terms of the investment advisory agreements for the Multi-Strategy Alternatives Predecessor Fund. The investment advisory fees, which were computed and accrued daily and paid monthly, at an annual rate of 1.00% of the Fund’s average daily net assets.
Prior to the close of business on November 20, 2020, investment advisory services were provided to the Thomson Reuters Private Equity Return Tracker Predecessor Fund and the Thomson Reuters Venture Capital Return Tracker Predecessor Fund by Good Harbor Financial, LLC (“Good Harbor”) which received investment management fees for their services pursuant to the terms of the investment advisory agreements for the Thomson Reuters Private Equity Return Tracker Predecessor Fund and the Thomson Reuters Venture Capital Return Tracker Predecessor Fund. The investment advisory fees were computed and accrued daily and paid monthly at an annual rate of 1.25% of the Thomson Reuters Private Equity Return Tracker Predecessor Fund's average daily net assets and 1.25% of the Thomson Reuters Venture Capital Return Tracker Predecessor Fund's average daily net assets. Good Harbor had contractually agreed to waive its fee and, if necessary, to absorb other operating expenses to ensure that total annual operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with Form N-1A, expenses incurred in connection with any merger or reorganization, and extraordinary expenses such as litigation expenses) do not exceed 1.75%, 2.50%, and 1.50% of the average daily net assets of Class A, Class C, and Class I shares, respectively, of the Thomson Reuters Private Equity Return Tracker Predecessor Fund and the Thomson Reuters Venture Capital Return Tracker Predecessor Fund.
The Funds’ Advisor may recover from the Fund’s fees and/or expenses previously waived and/or absorbed if the Funds’ expense ratio, including the recovered expenses, falls below the expense limit at which it was waived. The Funds’ advisor is permitted to seek reimbursement from the Fund, subject to certain limitations, of fees waived or payments made to the Fund for a period ending three years after the date of the waiver or payment. This reimbursement may be requested from the Funds if the reimbursement will not cause the Funds’ annual expense ratio to exceed the lesser of (a) the expense limitation amount in effect at the time such fees were waived or payments made, or (b) the expense limitation amount in effect at the time of the reimbursement. The Advisor may recapture all or a portion of this amount no later than the dates stated below:
114
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Alternative Growth Fund | Aspect Core Diversified Strategy Fund | Chesapeake Strategy Fund | Managed Futures Strategy Fund | Multi-Strategy Alternatives fund | ||||||||||||||||
June 30, 2023 | $ | 121,818 | $ | - | $ | - | $ | - | $ | - | ||||||||||
September 30, 2023 | 69,919 | 164,898 | 120,589 | 120,251 | - | |||||||||||||||
September 30, 2024 | 94,450 | 102,780 | 103,606 | 91,499 | 46,382 | |||||||||||||||
Total | $ | 286,187 | $ | 267,678 | $ | 224,195 | $ | 211,750 | $ | 46,382 |
Sustainable Income Fund | Thomson Reuters Private Equity Return Tracker Fund | Thomson Reuters Venture Capital Return Tracker Fund | |||||||||||
September 30, 2024 | $ | 28,827 | $ | 31,087 | $ | 31,092 | |||||||
Total | $ | 28,827 | $ | 31,087 | $ | 31,092 |
Equinox is permitted to seek reimbursement, subject to certain limitations, of fees waived or payments made by Equinox to the Alternative Growth Predecessor Fund prior to the Alternative Growth Predecessor Fund’s reorganization on November 8, 2019, for a period ending three years after the date of the waiver of payment for the Alternative Growth Fund. This reimbursement may be requested from the Alternative Growth Fund if the reimbursement will not cause the Alternative Growth Fund’s annual expense ratio to exceed the lesser of (a) the expense limitation amount in effect at the time such fees were waived or payments made, or (b) the expense limitation amount in effect at the time of the reimbursement. Reimbursements of fees waived or payments made will be made on a “first in, first out” basis so that the oldest fees waived or payments are satisfied first. Any reimbursement of fees waived or payments made by Equinox to the Alternative Growth Predecessor Fund prior to the reorganization must be approved by the Trust’s Board of Trustees. Equinox may recapture all or a portion of this amount no later than June 30 of the years of the dates stated below for the Alternative Growth Fund:
2021 | $ | 211,146 | |||
2022 | 231,363 | ||||
2023 | 45,463 | ||||
Total | $ | 487,972 |
Equinox is permitted to seek reimbursement, subject to certain limitations, of fees waived or payments made by Equinox to the Aspect Core Diversified Strategy Predecessor Fund prior to the Aspect Core Diversified Strategy Predecessor Fund’s reorganization on November 8, 2019, for a period ending three years after the date of the waiver of payment. This reimbursement may be requested from the Aspect Core Diversified Strategy Fund if the reimbursement will not cause the Aspect Core Diversified Strategy Fund’s annual expense ratio to exceed the lesser of (a) the expense limitation amount in effect at the time such fees were waived or payments made, or (b) the expense limitation amount in effect at the time of the reimbursement. Reimbursements of fees waived or payments made will be made on a “first in, first out” basis so that the oldest fees waived or payments are satisfied first. Any reimbursement of fees waived or payments made by Equinox to the Aspect Core Diversified Strategy Predecessor Fund prior to the reorganization must be approved by the Trust’s Board of Trustees. Equinox may recapture all or a portion of this amount no later than September 30 of the years stated below for the Aspect Core Diversified Strategy Fund:
115
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
2021 | $ | 160,460 | |||
2022 | 179,344 | ||||
2023 | 22,266 | ||||
Total | $ | 362,070 |
Equinox is permitted to seek reimbursement, subject to certain limitations, of fees waived or payments made by Equinox to the Chesapeake Strategy Predecessor Fund prior to the Chesapeake Strategy Predecessor Fund’s reorganization on November 8, 2019, for a period ending three years after the date of the waiver of payment. This reimbursement may be requested from the Chesapeake Strategy Fund if the reimbursement will not cause the Chesapeake Strategy Fund’s annual expense ratio to exceed the lesser of (a) the expense limitation amount in effect at the time such fees were waived or payments made, or (b) the expense limitation amount in effect at the time of the reimbursement. Reimbursements of fees waived or payments made will be made on a “first in, first out” basis so that the oldest fees waived or payments are satisfied first. Any reimbursement of fees waived or payments made by Equinox to the Chesapeake Strategy Predecessor Fund prior to the reorganization must be approved by the Trust’s Board of Trustees. Equinox may recapture all or a portion of this amount no later than September 30 of the years stated below for the Chesapeake Strategy Fund:
2022 | $ | 148,881 | |||
2023 | 9,685 | ||||
Total | $ | 158,566 |
Good Harbor is permitted to seek reimbursement, subject to certain limitations, of fees waived or payments made by Good Harbor to the Thomson Reuters Private Equity Return Tracker Predecessor Fund and Thomson Reuters Venture Capital Return Tracker Predecessor Fund prior to reorganization on November 20, 2020, for a period ending three years after the date of the waiver of payment. This reimbursement may be requested from the Thomson Reuters Private Equity Return Tracker Fund and Thomson Reuters Venture Capital Return Tracker Fund if the reimbursement will not cause the Thomson Reuters Private Equity Return Tracker’s annual expense ratio to exceed the lesser of (a) the expense limitation amount in effect at the time such fees were waived or payments made, or (b) the expense limitation amount in effect at the time of the reimbursement. Reimbursements of fees waived or payments made will be made on a “first in, first out” basis so that the oldest fees waived or payments are satisfied first. Any reimbursement of fees waived or payments made by Good Harbor to the Thomson Reuters Private Equity Return Tracker Predecessor Fund prior to the reorganization must be approved by the Trust’s Board of Trustees. Good Harbor may recapture all or a portion of this amount no later than September 30 of the years stated below for the Thomson Reuters Private Equity Return Tracker Fund and Thomson Reuters Venture Capital Return Tracker Fund:
Thomson Reuters Private Equity Return Tracker Fund | |||||
2021 | $ | 46,594 | |||
2022 | 56,758 | ||||
2023 | 38,717 | ||||
2024 | 10,366 | ||||
Total | $ | 152,435 |
116
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Thomson Reuters Venture Capital Return Tracker Fund | |||||
2021 | $ | 116,158 | |||
2022 | 307,693 | ||||
2023 | 231,346 | ||||
2024 | 98,415 | ||||
Total | $ | 753,612 |
During the periods ended March 31, 2021, a service provider reimbursed the Thomson Reuters Venture Capital Return Tracker Fund $3,927 for losses from a pricing error. This amount is reported on the Thomson Reuters Venture Capital Return Tracker Fund’s Statements of Operations and Statements of Changes under the caption “Net increase from payment by affiliates.” This reimbursement had no impact to the total return.
The Multi-Strategy Alternatives Predecessor’s Fund administrator reimbursed the Fund $43,948 for losses incurred by the Fund related to an operational error during the year ended April 30, 2020. The amounts are reported on the Fund’s Statement of Changes under the caption “Capital contribution from a predecessor affiliate".
During the year ended September 30, 2020, the Advisor reimbursed the Chesapeake Strategy Fund $457 for losses from a trade error. This amount is reported on the Chesapeake Strategy Fund’s Statements of Changes under the caption “Net increase from payment by affiliates.” This reimbursement had no impact to the total return.
UMB Fund Services, Inc. (“UMBFS”) serves as the Funds’ fund accountant, transfer agent and co-administrator; and Mutual Fund Administration, LLC (“MFAC”) serves as the Funds’ other co-administrator. UMB Bank, N.A., an affiliate of UMBFS, serves as the Funds’ custodian. Deutsche Bank Trust Company America (“DBTCA”) acts as the custodian with respect to certain collateral arrangements between the Alternative Growth Fund and Managed Futures Strategy Fund and counter-parties. DBTCA also acts as the custodian for the Alternative Growth Fund’s and Managed Futures Strategy Fund’s subsidiaries, Alternative Growth Fund Limited and Managed Futures Strategy Fund Limited, respectively, including certain collateral arrangements between the Subsidiaries and counter-parties.
Prior to the close of business on November 20, 2020, Gemini Fund Services, LLC (“GFS”), an affiliate of Northern Lights Distributors, LLC (“NLD”), served as administrator, fund accountant, and transfer agent to the Thomson Reuters Private Equity Return Tracker Predecessor Fund’s and Thomson Reuters Venture Capital Return Tracker Predecessor Fund and U.S. Bank N.A. served as these Predecessor Funds’ Custodian. These Funds’ allocated fees incurred for fund accounting, fund administration, transfer agency and custody services for the periods ended March 31, 2021, are reported on the Consolidated Statements of Operations.
IMST Distributors, LLC serves as the Funds’ distributor (the “Distributor”).
Prior to the close of business on November 20, 2020, NLD served as distributor to the Thomson Reuters Private Equity Return Tracker Predecessor Fund and Thomson Reuters Venture Capital Return Tracker Predecessor Fund.
Certain trustees and officers of the Trust are employees of UMBFS or MFAC. The Funds do not compensate trustees and officers affiliated with the Funds’ co-administrators. For the periods ended March 31, 2021, the Funds’ allocated fees incurred to Trustees who are not affiliated with the Funds’ co-administrators are reported on the Consolidated Statements of Operations. A portion of the fees were paid by the Trust’s Co-Administrators. Such amount is shown as a reduction of expenses, “Fees paid indirectly”, on the Consolidated Statements of Operations.
117
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
The Funds’ Board of Trustees has adopted a Deferred Compensation Plan (the “Plan”) for the Independent Trustees that enables Trustees to elect to receive payment in cash or the option to select various fund(s) in the Trust in which their deferred accounts shall be deemed to be invested. If a trustee elects to defer payment, the Plan provides for the creation of a deferred payment account. The Funds’ liability for these amounts is adjusted for market value changes in the invested fund and remains a liability to the Funds until distributed in accordance with the Plan. The Trustees’ Deferred compensation liability under the Plan constitutes a general unsecured obligation of the Funds and is disclosed in the Consolidated Statements of Assets and Liabilities. Contributions made under the plan and the change in unrealized appreciation/depreciation and income are included in the Trustees’ fees and expenses in the Consolidated Statements of Operations.
Dziura Compliance Consulting, LLC provides Chief Compliance Officer (“CCO”) services to the Trust. Prior to the close of business on November 20, 2020, Northern Lights Compliance Services, LLC (“NLCS”), an affiliate of GFS and NLD, served as the CCO to the Thomson Reuters Private Equity Return Tracker Predecessor Fund and Thomson Reuters Venture Capital Return Tracker Predecessor Fund. The Funds’ allocated fees incurred for CCO services for the periods ended March 31, 2021, are reported on the Consolidated Statements of Operations.
Note 4 – Federal Income Taxes
At March 31, 2021, gross unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes were as follows:
Alternative Growth Fund | Aspect Core Diversified Strategy Fund | Chesapeake Strategy Fund | Managed Futures Strategy Fund | |||||||||||||
Cost of investments | $ | 2,484,421 | $ | 17,264,073 | $ | 15,014,890 | $ | 36,757,116 | ||||||||
Gross unrealized appreciation | $ | 111 | $ | - | $ | - | $ | 17,917 | ||||||||
Gross unrealized depreciation | - | - | - | (9,431,781 | ) | |||||||||||
Net unrealized appreciation (depreciation) on investments | $ | 111 | $ | - | $ | - | $ | (9,413,864 | ) |
118
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Multi-Strategy Alternatives Fund | Sustainable Income Fund | Thomson Reuters Private Equity Return Tracker Fund | Thomson Reuters Venture Capital Return Tracker Fund | |||||||||||||
Cost of investments | $ | 17,095,037 | $ | 51,545,274 | $ | 16,866,249 | $ | 193,115,307 | ||||||||
Gross unrealized appreciation | $ | 3,130,726 | $ | 1,212,268 | $ | 6,489,169 | $ | 59,827,293 | ||||||||
Gross unrealized depreciation | (123,517 | ) | (85,588 | ) | (363,027 | ) | (4,222,488 | ) | ||||||||
Net unrealized appreciation on investments | $ | 3,007,209 | $ | 1,126,680 | $ | 6,126,142 | $ | 55,604,805 |
The difference between cost amounts for financial statement and federal income tax purposes is due primarily to timing differences in recognizing certain gains and losses in security transactions.
As of September 30, 2020, the components of accumulated earnings (deficit) on a tax basis were as follows:
Alternative Growth Fund | Aspect Core Diversified Strategy Fund | Chesapeake Strategy Fund | ||||||||||
Undistributed ordinary income | $ | - | $ | - | $ | - | ||||||
Undistributed long-term capital gains | - | - | - | |||||||||
Tax accumulated earnings | - | - | - | |||||||||
Accumulated capital and other losses | (2,261,400 | ) | (3,344,191 | ) | (18,239,715 | ) | ||||||
Unrealized depreciation on investments | (270,111 | ) | (2,801,892 | ) | (12,488,212 | ) | ||||||
Unrealized depreciation on open swap contracts | (810,634 | ) | - | - | ||||||||
Unrealized appreciation (depreciation) on futures contracts | - | 93,579 | (135,794 | ) | ||||||||
Unrealized appreciation on forward foreign currency exchange contracts | - | 78,694 | - | |||||||||
Unrealized appreciation on foreign currency translations | - | 995 | 18,922 | |||||||||
Unrealized Trustees’ deferred compensation | (606 | ) | (873 | ) | (2,254 | ) | ||||||
Total accumulated deficit | $ | (3,342,751 | ) | $ | (5,973,688 | ) | $ | (30,847,053 | ) |
119
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Managed Futures Strategy Fund | Multi-Strategy Alternatives Fund | |||||||
Undistributed ordinary income | $ | - | $ | - | ||||
Undistributed long-term capital gains | - | - | ||||||
Tax accumulated earnings | - | - | ||||||
Accumulated capital and other losses | (36,665,992 | ) | (3,733,071 | ) | ||||
Unrealized appreciation (depreciation) on investments | (115,767,772 | ) | 4,602,848 | |||||
Unrealized depreciation on open swap contracts | (13,301,542 | ) | (207,160 | ) | ||||
Unrealized appreciation (depreciation) on futures contracts | - | - | ||||||
Unrealized appreciation on forward foreign currency exchange contracts | - | - | ||||||
Unrealized appreciation on foreign currency translations | - | - | ||||||
Unrealized Trustees’ deferred compensation | (4,586 | ) | (2,795 | ) | ||||
Total accumulated earnings (deficit) | $ | (165,739,892 | ) | $ | 659,822 |
Thomson Reuters Private Equity Return Tracker Fund | Thomson Reuters Venture Capital Return Tracker Fund | |||||||
Undistributed ordinary income | $ | 954,906 | $ | 38,878,862 | ||||
Undistributed long-term capital gains | - | - | ||||||
Tax accumulated earnings | 954,906 | 38,878,862 | ||||||
Accumulated capital and other losses | - | - | ||||||
Unrealized appreciation (depreciation) | 4,927,150 | 42,160,837 | ||||||
Unrealized Trustees’ deferred compensation | - | - | ||||||
Total accumulated earnings | $ | 5,882,056 | $ | 81,039,699 |
120
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
The tax character of the distributions paid during the periods ended September 30, 2020, June 30, 2020, April 30, 2020, June 30, 2019 and April 30, 2019 were as follows:
Alternative Growth Fund | ||||||||||||
September 30, 2020 | June 30, 2020 | June 30, 2019 | ||||||||||
Distributions paid from: | ||||||||||||
Ordinary income | $ | - | $ | 614,316 | $ | 30,437 | ||||||
Net long-term capital gains | - | 211,019 | 366,567 | |||||||||
Return of capital | - | 700,069 | - | |||||||||
Total distributions paid | $ | - | $ | 1,525,404 | $ | 397,004 |
Aspect Core Diversified Strategy Fund | Chesapeake Strategy Fund | |||||||||||||||
Distributions paid from: | September 30, 2020 | September 30, 2019 | September 30, 2020 | September 30, 2019 | ||||||||||||
Ordinary income | $ | 1,575,322 | $ | - | $ | 3,146,191 | $ | 1,698,338 | ||||||||
Net long-term capital gains | - | - | - | - | ||||||||||||
Return of capital | 696,719 | - | - | - | ||||||||||||
Total distributions paid | $ | 2,272,041 | $ | - | $ | 3,146,191 | $ | 1,698,338 |
Managed Futures Strategy Fund | ||||||||
Distributions paid from: | September 30, 2020 | September 30, 2019 | ||||||
Ordinary income | $ | 27,725,036 | $ | - | ||||
Net long-term capital gains | - | - | ||||||
Return of capital | 1,660,265 | - | ||||||
Total distributions paid | $ | 29,385,301 | $ | - |
Multi-Strategy Alternatives Fund | ||||||||||||
September 30, 2020 | April 30, 2020 | April 30, 2019 | ||||||||||
Distributions paid from: | ||||||||||||
Ordinary income | $ | - | $ | - | $ | 10,948,056 | ||||||
Net long-term capital gains | - | 625,829 | 4,133,286 | |||||||||
Return of capital | - | 193,247 | - | |||||||||
Total distributions paid | $ | - | $ | 819,076 | $ | 15,081,342 |
Thomson Reuters Private Equity Return Tracker Fund | ||||||||
September 30, 2020 | September 30, 2019 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 126,901 | $ | 1,108,518 | ||||
Net long-term capital gains | 126,587 | 70,385 | ||||||
Return of capital | - | 27,002 | ||||||
Total distributions paid | $ | 253,488 | $ | 1,205,905 |
121
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Thomson Reuters Venture Capital Return Tracker Fund | ||||||||
September 30, 2020 | September 30, 2019 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 13,498,495 | $ | 5,275,567 | ||||
Net long-term capital gains | 3,955,152 | 132,635 | ||||||
Return of capital | - | 622 | ||||||
Total distributions paid | $ | 17,453,647 | $ | 5,408,824 |
As of September 30, 2020, the Alternative Growth Fund, the Aspect Core Diversified Strategy Fund, the Chesapeake Strategy Fund, the Managed Futures Strategy Fund, the Multi-Strategy Alternatives Fund, the Thomson Reuters Private Equity Return Tracker Fund and the Thomson Reuters Venture Capital Return Tracker Fund had $0, $146,846, $209,158, $36,486,701, $0, $253,488 and $17,453,647, respectively, of qualified late-year ordinary losses, which are deferred until fiscal year 2020 for tax purposes. Net late-year ordinary losses incurred after December 31, and within the taxable year, are deemed to arise on the first day of each Fund’s next taxable year.
As of September 30, 2020, the Funds had net capital loss carryovers as follows:
Alternative Growth Fund | Aspect Core Diversified Strategy Fund | Chesapeake Strategy Fund | Managed Futures Strategy Fund | Multi- Strategy Alternatives Fund | Thomson Reuters Private Equity Return Tracker Fund | Thomson Reuters Venture Capital Return Tracker Fund | ||||||||||||||||||||||
Not subject to expiration: | ||||||||||||||||||||||||||||
Short-term | $ | 870,091 | $ | 1,698,635 | $ | 15,931,841 | $ | 58,445 | $ | 3,733,071 | $ | - | $ | - | ||||||||||||||
Long-Term | 1,391,309 | 1,498,710 | 2,098,716 | 120,846 | - | - | - | |||||||||||||||||||||
Total | $ | 2,261,400 | $ | 3,197,345 | $ | 18,030,557 | $ | 179,291 | $ | 3,733,071 | $ | - | $ | - |
The Managed Futures Strategy Fund, Multi-Strategy Alternatives Fund, Thomson Reuters Private Equity Return Tracker Fund and the Thomson Reuters Venture Capital Return Tracker Fund had utilized capital loss carry overs totaling $170,773, $2,005,644, $60,338 and $3,962,965, respectively.
122
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Note 5 – Redemption Fee
The Alternative Growth Fund, Managed Futures Strategy Fund, Sustainable Income Fund, Thomson Reuters Private Equity Return Tracker Fund and Thomson Reuters Venture Capital Return Tracker Fund may impose a redemption fee of 1.00% of the total redemption amount on all shares redeemed within 30 days of purchase. These Funds received redemption fees as follows:
Periods Ended March 31, 2021 | Periods Ended September 30, 2020 | Year Ended June 30, 2020 | ||||||||||
Alternative Growth Fund | $ | 1,334 | $ | 119 | $ | 13,013 | ||||||
Managed Futures Strategy Fund | 3,953 | 27,967 | - | |||||||||
Sustainable Income Fund | - | - | - | |||||||||
Thomson Reuters Private Equity Return Tracker Fund | 3,288 | 629 | - | |||||||||
Thomson Reuters Venture Capital Return Tracker Fund | 42,647 | 81,426 | - |
Note 6 – Investment Transactions
For the periods ended March 31, 2021, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments and short-term U.S. Government securities were as follows:
Purchases | Sales | |||||||
Alternative Growth Fund | $ | - | $ | 3,368,048 | ||||
Aspect Core Diversified Strategy Fund | - | 8,400,000 | ||||||
Chesapeake Strategy Fund | - | 12,000,000 | ||||||
Managed Futures Strategy Fund | - | 30,480,493 | ||||||
Multi-Strategy Alternatives Fund | 74,435,174 | 116,165,670 | ||||||
Sustainable Income Fund | 83,598,210 | 34,706,229 | ||||||
Thomson Reuters Private Equity Return Tracker Fund | 9,307,606 | 14,467,059 | ||||||
Thomson Reuters Venture Capital Return Tracker Fund | 160,230,403 | 184,999,835 |
Note 7 – Distribution Plan
The Trust, on behalf of each Fund, has adopted a Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act that allows each Fund to pay distribution fees for the sale and distribution of its shares. With respect to Class A shares and Class R-1 shares, the Plan provides for the payment of distribution fees at the annual rate of up to 0.25% of average daily net assets. For Class C shares, the maximum annual fees payable to the Distributor for distribution services and administrative services are 0.75% and 0.25%, respectively, of the average daily net assets of such shares. Class I Shares are not subject to any distribution or service fees under the Plan.
Prior to the close of business on November 20, 2020, the Thomson Reuters Private Equity Return Tracker Predecessor Fund and Thomson Reuters Venture Capital Return Tracker Predecessor Fund adopted a distribution plan pursuant to Rule 12b-1 with respect to Class A shares and C shares. Pursuant to the Plan, the Thomson Reuters Private Equity Return Tracker Predecessor Fund and Thomson Reuters Venture Capital Return Tracker Predecessor Fund paid NLD at the annual rate of up to 0.25% and 1.00% of average daily net assets attributable to Class A shares and C shares, respectively. Class I shares did not pay any distribution fees. For the period October 1, 2020 to November 20, 2020, the Thomson Reuters Private Equity Return Tracker Predecessor Fund and Thomson Reuters Venture Capital Return Tracker Predecessor Fund paid NLD $1,668 and $45,346 respectively, with respect to Class A and Class C shares under the Predecessor Funds’ distribution plan. For the periods ended March 31, 2021, distribution fees incurred are disclosed on the Consolidated Statements of Operations.
123
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Note 8 – Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations, which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote.
Note 9 – Fair Value Measurements and Disclosure
Fair Value Measurements and Disclosures defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and expands disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or a liability, when a transaction is not orderly, and how that information must be incorporated into a fair value measurement.
Under Fair Value Measurements and Disclosures, various inputs are used in determining the value of the Funds’ investments. These inputs are summarized into three broad Levels as described below:
● | Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have 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 on 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 Funds’ 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.
124
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the inputs used, as of March 31, 2021, in valuing the Funds’ assets carried at fair value:
Alternative Growth Fund | Level 1 | Level 2 | Level 3* | Total | ||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Short-Term Investments | $ | 1,209,576 | $ | - | $ | - | $ | 1,209,576 | ||||||||
U.S. Treasury Bills | - | 1,274,956 | - | 1,274,956 | ||||||||||||
Total Investments | 1,209,576 | 1,274,956 | - | 2,484,532 | ||||||||||||
Other Financial Instruments** | ||||||||||||||||
Futures Contracts | 15,384 | - | - | 15,384 | ||||||||||||
Total Assets | $ | 1,224,960 | $ | 1,274,956 | $ | - | $ | 2,499,916 | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Swap Contract | $ | - | $ | 748,333 | $ | - | $ | 748,333 | ||||||||
Total Liabilities | $ | - | $ | 748,333 | $ | - | $ | 748,333 |
Aspect Core Diversified Strategy Fund | Level 1 | Level 2 | Level 3* | Total | ||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Short-Term Investments | $ | 17,264,073 | $ | - | $ | - | $ | 17,264,073 | ||||||||
Total Investments | 17,264,073 | - | - | 17,264,073 | ||||||||||||
Other Financial Instruments** | ||||||||||||||||
Futures Contracts | 357,136 | - | - | 357,136 | ||||||||||||
Forward Foreign Currency Contracts | - | 85,382 | - | 85,382 | ||||||||||||
Total Assets | $ | 17,621,209 | $ | 85,382 | $ | - | $ | 17,706,591 | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Futures Contracts | $ | 164,891 | $ | - | $ | - | $ | 164,891 | ||||||||
Forward Foreign Currency Contracts | - | 91,178 | - | 91,178 | ||||||||||||
Total Liabilities | $ | 164,891 | $ | 91,178 | $ | - | $ | 256,069 |
125
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Chesapeake Strategy Fund | Level 1 | Level 2 | Level 3* | Total | ||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Short-Term Investments | $ | 15,014,890 | $ | - | $ | - | $ | 15,014,890 | ||||||||
Total Investments | 15,014,890 | - | - | 15,014,890 | ||||||||||||
Other Financial Instruments** | ||||||||||||||||
Futures Contracts | 832,685 | - | - | 832,685 | ||||||||||||
Total Assets | $ | 15,847,757 | $ | - | $ | - | $ | 15,847,575 | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Futures Contracts | $ | 499,791 | $ | - | $ | - | $ | 499,791 | ||||||||
Total Liabilities | $ | 499,791 | $ | - | $ | - | $ | 499,791 |
Managed Futures Strategy Fund | Level 1 | Level 2 | Level 3* | Total | ||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
U.S. Treasury Bills | $ | - | $ | 9,749,649 | $ | - | $ | 9,749,649 | ||||||||
Short-Term Investments | 17,593,603 | - | - | 17,593,603 | ||||||||||||
Total Investments | 17,593,603 | 9,749,649 | - | 27,343,252 | ||||||||||||
Other Financial Instruments** | ||||||||||||||||
Swap Contracts | - | 16,387 | - | 16,387 | ||||||||||||
Total Assets | $ | 17,593,603 | $ | 9,766,036 | $ | - | $ | 27,359,639 | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Swap Contracts | $ | - | $ | 9,431,130 | $ | - | $ | 9,431,130 | ||||||||
Total Liabilities | $ | - | $ | 9,431,130 | $ | - | $ | 9,431,130 |
126
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Multi-Strategy Alternatives Fund | Level 1 | Level 2 | Level 3* | Total | ||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Investments1 | $ | 11,571,881 | $ | - | $ | - | $ | 11,571,881 | ||||||||
Exchange-Traded Funds | 5,295,136 | - | - | 5,295,136 | ||||||||||||
Short-Term Investments | 3,235,229 | - | - | 3,235,229 | ||||||||||||
Total Assets | $ | 20,102,246 | $ | - | $ | - | $ | 20,102,246 | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Swap Contracts | $ | - | $ | 184,294 | $ | - | $ | 184,294 | ||||||||
Total Liabilities | $ | - | $ | 184,294 | $ | - | $ | 184,294 |
Sustainable Income Fund | Level 1 | Level 2 | Level 3* | Total | ||||||||||||
Investments | ||||||||||||||||
Corporate Bonds1 | $ | - | $ | 51,245,434 | $ | - | $ | 51,245,434 | ||||||||
Short-Term Investments | 1,426,520 | - | - | 1,426,520 | ||||||||||||
Total Investments | $ | 1,426,520 | $ | 51,245,434 | $ | - | $ | 52,671,954 |
Thomson Reuters Private Equity Return Tracker Fund | Level 1 | Level 2 | Level 3* | Total | ||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Investments1 | $ | 20,141,795 | $ | - | $ | - | $ | 20,141,795 | ||||||||
Short-Term Investments | 2,850,596 | - | - | 2,850,596 | ||||||||||||
Total Assets | $ | 22,992,391 | $ | - | $ | - | $ | 22,992,391 | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Swap Contracts | $ | - | $ | 244,206 | $ | - | $ | 244,206 | ||||||||
Total Liabilities | $ | - | $ | 244,206 | $ | - | $ | 244,206 |
127
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Thomson Reuters Venture Capital Return Tracker Fund | Level 1 | Level 2 | Level 3* | Total | ||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Investments1 | $ | 238,914,402 | $ | - | $ | - | $ | 238,914,402 | ||||||||
Short-Term Investments | 9,805,710 | - | - | 9,805,710 | ||||||||||||
Total Investments | $ | 248,720,112 | $ | - | $ | - | $ | 248,720,112 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Swap Contracts | - | 3,571,278 | - | 3,571,278 | ||||||||||||
Total Assets | $ | 248,720,112 | $ | 3,571,278 | $ | - | $ | 252,291,390 | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Swap Contracts | $ | - | $ | 929,874 | $ | - | $ | 929,874 | ||||||||
Total Liabilities | $ | - | $ | 929,874 | $ | - | $ | 929,874 |
1 | For a detailed break-out of common stocks and corporate bonds by major industry classification, please refer to the Schedules of Investments. |
* | The Funds did not hold any Level 3 securities at period end. |
** | Other financial instruments are derivative instruments such as swap contracts, futures contracts and forward foreign currency contracts. Swap contracts, futures contracts and forward foreign currency contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
Note 10 – Derivative and Hedging Disclosure
Derivatives and Hedging requires enhanced disclosures about the Funds’ derivative and hedging activities, including how such activities are accounted for and their effects on the Funds’ financial position and performance. The Funds invested in futures contracts, swap contracts and forward foreign currency contracts during the periods ended March 31, 2021.
128
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
The effects of these derivative instruments on the Funds’ financial position and financial performance as reflected in the Consolidated Statements of Assets and Liabilities and Consolidated Statements of Operations are presented in the tables below. The fair values of derivative instruments, as of March 31, 2021, by risk category are as follows:
Alternative Growth Fund | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not designated as hedging instruments | Consolidated Statements of Assets and Liabilities | Value | Consolidated Statements of Assets and Liabilities | Value | ||||||||
Equity contracts | Unrealized appreciation on open futures contracts | $ | 15,384 | Unrealized depreciation on open swap contract | $ | - | ||||||
Mixed: Interest rate, equity and foreign exchange contracts | Unrealized appreciation on open futures contracts | - | Unrealized depreciation on open swap contract | 748,333 | ||||||||
Total | $ | 15,384 | $ | 748,333 |
129
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Aspect Core Diversified Strategy Fund | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not designated as hedging instruments | Consolidated Statements of Assets and Liabilities |
Value | Consolidated Statements of Assets and Liabilities |
Value | ||||||||
Commodity contracts | Unrealized appreciation on open futures contracts | $ | 99,104 | Unrealized depreciation on open futures contracts | $ | 89,717 | ||||||
Currency contracts | Unrealized appreciation on open futures contracts | 50,190 | Unrealized depreciation on open futures contracts | 40,109 | ||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 85,382 | Unrealized depreciation on forward foreign currency exchange contracts | 91,178 | |||||||||
Interest rate contracts | Unrealized appreciation on open futures contracts | 138,465 | Unrealized depreciation on open futures contracts | 13,813 | ||||||||
Index contracts | Unrealized appreciation on open futures contracts | 69,377 | Unrealized depreciation on open futures contracts | 21,252 | ||||||||
Total | $ | 442,518 | $ | 256,069 |
130
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Chesapeake Strategy Fund | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not designated as hedging instruments | Consolidated Statements of Assets and Liabilities |
Value | Consolidated Statements of Assets and Liabilities |
Value | ||||||||
Commodity contracts | Unrealized appreciation on open futures contracts | $ | 265,308 | Unrealized depreciation on open futures contracts | $ | 293,477 | ||||||
Currency contracts | Unrealized appreciation on open futures contracts | 55,679 | Unrealized depreciation on open futures contracts | 186,529 | ||||||||
Interest rate contracts | Unrealized appreciation on open futures contracts | 461,452 | Unrealized depreciation on open futures contracts | 15,574 | ||||||||
Index contracts | Unrealized appreciation on open futures contracts | 50,246 | Unrealized depreciation on open futures contracts | 4,211 | ||||||||
Total | $ | 832,685 | $ | 499,791 |
Managed Futures Strategy Fund | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not designated as hedging instruments | Consolidated Statements of Assets and Liabilities |
Value | Consolidated Statements of Assets and Liabilities |
Value | ||||||||
Mixed: Interest rate, equity and foreign exchange contracts | Unrealized appreciation on open swap contracts | $ | 16,387 | Unrealized depreciation on open swap contracts | $ | 9,431,130 |
131
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Multi-Strategy Alternatives Fund | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not designated as hedging instruments | Consolidated Statements of Assets and Liabilities |
Value | Consolidated Statements of Assets and Liabilities |
Value | ||||||||
Equity contracts | Unrealized appreciation on open swap contracts | $ | - | Unrealized depreciation on open swap contracts | $ | 184,294 |
Thomson Reuters Private Equity Return Tracker Fund | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not designated as hedging instruments | Consolidated Statements of Assets and Liabilities |
Value | Consolidated Statements of Assets and Liabilities |
Value | ||||||||
Equity contracts | Unrealized appreciation on open swap contracts | $ | - | Unrealized depreciation on open swap contracts | $ | 244,206 |
Thomson Reuters Venture Capital Return Tracker Fund | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not designated as hedging instruments | Consolidated Statements of Assets and Liabilities |
Value | Consolidated Statements of Assets and Liabilities |
Value | ||||||||
Equity contracts | Unrealized appreciation on open swap contracts | $ | 3,571,278 | Unrealized depreciation on open swap contracts | $ | 929,874 |
The effects of derivative instruments on the Consolidated Statements of Operations for the periods ended March 31, 2021, are as follows:
Alternative Growth Fund | ||||||||
Amount of Realized Gain or (Loss) on Derivatives Recognized in the Consolidated Statements of Operations | ||||||||
Derivatives not designated as hedging instruments | Futures Contracts | Open Swap Contract | ||||||
Equity contracts | $ | 1,129,259 | $ | - | ||||
Mixed: Interest rate, equity and foreign exchange contracts | - | (483,298 | ) |
132
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Aspect Core Diversified Strategy Fund | ||||||||||||
Amount of Realized Gain or (Loss) on Derivatives Recognized in the Consolidated Statements of Operations | ||||||||||||
Derivatives not designated as hedging instruments | Futures Contracts | Forward Foreign Currency Exchange Contracts | Total | |||||||||
Commodity contracts | $ | 560,932 | $ | - | $ | 560,932 | ||||||
Currency | 134,299 | (12,149 | ) | 122,150 | ||||||||
Index contracts | 210,193 | - | 210,193 | |||||||||
Interest rate contracts | (50,554 | ) | - | (50,554 | ) | |||||||
Total | $ | 854,870 | $ | (12,149 | ) | $ | 842,721 |
Chesapeake Strategy Fund | ||||
Amount of Realized Gain or (Loss) on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Futures Contracts | |||
Commodity contracts | $ | 2,104,112 | ||
Currency contracts | 661,471 | |||
Equity contracts | - | |||
Index contracts | 555,745 | |||
Interest rate contracts | (51,637 | ) | ||
Total | $ | 3,269,691 |
Managed Futures Strategy Fund | ||||
Amount of Realized Gain or (Loss) on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Open Swap Contracts | |||
Mixed: Interest rate, equity and foreign exchange contracts | $ | (2,348,814 | ) |
Multi-Strategy Alternatives Fund | ||||
Amount of Realized Gain or (Loss) on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Open Swap Contracts | |||
Equity contracts | $ | (985,720 | ) |
133
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Thomson Reuters Private Equity Return Tracker Fund | ||||
Amount of Realized Gain or (Loss) on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Open Swap Contracts | |||
Equity contracts | $ | 397 |
Thomson Reuters Venture Capital Return Tracker Fund | ||||
Amount of Realized Gain or (Loss) on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Open Swap Contracts | |||
Equity contracts | $ | (15,195,879 | ) |
Alternative Growth Fund | ||||||||||||
Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in the Consolidated Statements of Operations | ||||||||||||
Derivatives not designated as hedging instruments | Futures Contracts | Open Swap Contract | Total | |||||||||
Equity contracts | $ | 88,499 | $ | - | $ | 88,499 | ||||||
Mixed: Interest rate, equity and foreign exchange contracts | - | 62,301 | 62,301 | |||||||||
Total | $ | 88,499 | $ | 62,301 | $ | 150,800 |
Aspect Core Diversified Strategy Fund | ||||||||||||
Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in the Consolidated Statements of Operations | ||||||||||||
Derivatives not designated as hedging instruments | Futures Contracts | Forward Foreign Currency Exchange Contracts | Total | |||||||||
Commodity contracts | $ | (22,798 | ) | $ | - | $ | (22,798 | ) | ||||
Foreign exchange contracts | 96,976 | (84,490 | ) | 12,486 | ||||||||
Index contracts | 6,076 | - | 6,076 | |||||||||
Interest rate contracts | 18,412 | - | 18,412 | |||||||||
Total | $ | 98,666 | $ | (84,490 | ) | $ | 14,176 |
134
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Chesapeake Strategy Fund | ||||
Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Futures Contracts | |||
Commodity contracts | $ | 12,168 | ||
Currency contracts | 83,324 | |||
Equity contracts | - | |||
Index contracts | (27,055 | ) | ||
Interest rate contracts | 400,251 | |||
Total | $ | 468,688 |
Managed Futures Strategy Fund | ||||
Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Open Swap Contracts | |||
Mixed: Interest rate, equity and foreign exchange contracts | $ | 3,886,798 |
Multi-Strategy Alternatives Fund | ||||
Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Open Swap Contracts | |||
Equity contracts | $ | 22,866 |
Thomson Reuters Private Equity Return Tracker Fund | ||||
Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Open Swap Contracts | |||
Equity contracts | $ | 1,516,650 |
Thomson Reuters Venture Capital Return Tracker Fund | ||||
Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Open Swap Contracts | |||
Equity contracts | $ | 25,058,720 |
135
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
The average quarterly volume of derivative instruments held by the Funds during the periods ended March 31, 2021 are as follows:
Alternative Growth Fund | ||||||||||
Futures Contracts | Open Swap Contract | |||||||||
Equity contracts | Notional Value | $ | 7,188,573 | $ | - | |||||
Mixed: Interest Rate, Equity and Foreign Exchange Contracts | Notional Value | - | 11,726,972 |
Aspect Core Diversified Strategy Fund | ||||||||||
Long Futures Contracts | Short Futures Contracts | |||||||||
Commodity contracts | Notional Value | $ | 3,413,004 | $ | (1,073,803 | ) | ||||
Currency contracts | Notional Value | 7,583,166 | (1,711,003 | ) | ||||||
Index contracts | Notional Value | 37,496,308 | (2,332,207 | ) | ||||||
Interest rate contracts | Notional Value | 137,410,584 | (106,745,067 | ) |
Chesapeake Strategy Fund | ||||||||||
Long Futures Contracts | Short Futures Contracts | |||||||||
Commodity contracts | Notional Value | $ | 11,781,747 | $ | (173,370 | ) | ||||
Currency contracts | Notional Value | 9,903,950 | (12,742,230 | ) | ||||||
Equity contracts | Notional Value | - | - | |||||||
Index contracts | Notional Value | 103,645,050 | - | |||||||
Interest rate contracts | Notional Value | 4,015,710 | (19,492,590 | ) |
Managed Futures Strategy Fund | ||||||
Open Swap Contract | ||||||
Mixed: Interest Rate, Equity and Foreign Exchange Contracts | Notional Value | $ | 319,868,641 |
Multi-Strategy Alternatives Fund | ||||||||||
Open Swap Contracts - Long | Open Swap Contracts - Short | |||||||||
Equity contracts | Notional Value | $ | 6,779,813 | $ | (6,817,431 | ) |
136
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Thomson Reuters Private Equity Return Tracker Fund | |||||||||||
Open Swap Contracts - Long | Open Swap Contracts - Short | ||||||||||
Equity contracts | Notional Value | $ | 27,397,082 | $ | - |
Thomson Reuters Venture Capital Return Tracker Fund | ||||||||||
Open Swap Contracts - Long | Open Swap Contracts - Short | |||||||||
Equity contracts | Notional Value | $ | 389,507,734 | $ | - |
The value of the forward foreign currency contracts outstanding as of March 31, 2021 as disclosed in the Consolidated Schedules of Investments and the amounts of realized gains and losses and changes in unrealized appreciation/(depreciation) on derivative instruments during the period as disclosed above and within the Consolidated Statement of Operations serve as indicators of the volume of derivative activity for the Aspect Core Diversified Strategy Fund.
Note 11 - Disclosures about Offsetting Assets and Liabilities
Disclosures about Offsetting Assets and Liabilities requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The guidance requires retrospective application for all comparative periods presented.
A Fund mitigates credit risk with respect to OTC derivative counterparties through credit support annexes included with International Swaps and Derivative Association (“ISDA”) Master Agreements or other Master Netting Agreements which are the standard contracts governing most derivative transactions between the Funds and each of its counterparties. These agreements allow the Funds and each counterparty to offset certain derivative financial instruments’ payables and/or receivables against each other and/or with collateral, which is generally held by the Funds’ custodian. The amount of collateral moved to/from applicable counterparties is based upon minimum transfer amounts specified in the agreement. To the extent amounts due to the Funds from its counterparties are not fully collateralized contractually or otherwise, the Funds bear the risk of loss from counterparty non-performance.
137
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
It is the Funds’ policy to recognize a net asset or liability equal to the unrealized appreciation (depreciation) of futures, forward foreign currency exchange and swap contracts. As of March 31, 2021, the Funds are subject to a master netting arrangement for the futures and swap contracts. The following table shows additional information regarding the offsetting of assets and liabilities as of March 31, 2021:
Alternative Growth Fund | ||||||||||||||||||||||||||
Amounts Not Offset in Statement of Assets and Liabilities | ||||||||||||||||||||||||||
Description | Counterparty | Gross Amounts of Recognized Assets & Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | Financial Instruments* | Cash Collateral* | Net Amount | |||||||||||||||||||
Unrealized appreciation on open futures contracts | Morgan Stanley | $ | 15,384 | $ | - | $ | 15,384 | $ | - | $ | - | $ | - | |||||||||||||
Unrealized depreciation on open swap contract | Deutsche Bank | (748,333 | ) | - | (748,333 | ) | - | 748,333 | - |
Aspect Core Diversified Strategy Fund | ||||||||||||||||||||||||||
Amounts Not Offset in Statement of Assets and Liabilities | ||||||||||||||||||||||||||
Description | Counterparty | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | Financial Instruments* | Cash Collateral* | Net Amount | |||||||||||||||||||
Unrealized appreciation on open futures contracts | Morgan Stanley | $ | 357,136 | $ | (164,891 | ) | $ | 192,245 | $ | - | $ | - | $ | - | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | Morgan Stanley | 85,382 | (91,178 | ) | (5,796 | ) | - | 5,796 | - |
138
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Chesapeake Strategy Fund | |||||||||||||||||||||||||
Amounts Not Offset in Statement of Assets and Liabilities | |||||||||||||||||||||||||
Description | Counterparty | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | Financial Instruments* | Cash Collateral* | Net Amount | ||||||||||||||||||
Unrealized appreciation on open futures contracts | Morgan Stanley | $ | (499,791 | ) | $ | 832,685 | $ | 332,894 | $ | - | $ | - | $ | - |
Managed Futures Strategy Fund | ||||||||||||||||||||||||||
Amounts Not Offset in Statement of Assets and Liabilities | ||||||||||||||||||||||||||
Description | Counterparty | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | Financial Instruments* | Cash Collateral* | Net Amount | |||||||||||||||||||
Unrealized depreciation on open swap contracts | Deutsche Bank | $ | (9,319,493 | ) | $ | - | $ | (9,319,493 | ) | $ | - | $ | 9,319,493 | $ | - | |||||||||||
Unrealized depreciation on open swap contracts | Morgan Stanley | (111,637 | ) | 16,387 | (95,250 | ) | - | 95,250 | - |
139
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Multi-Strategy Alternatives Fund | |||||||||||||||||||||||||
Amounts Not Offset in Statement of Assets and Liabilities | |||||||||||||||||||||||||
Description | Counterparty | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | Financial Instruments* | Cash Collateral* | Net Amount | ||||||||||||||||||
Unrealized depreciation on open swap contracts | Cowen | $ | (184,294 | ) | $ | - | $ | (184,294 | ) | $ | 184,294 | $ | - | $ | - |
Thomson Reuters Private Equity Return Tracker Fund | |||||||||||||||||||||||||
Amounts Not Offset in Statement of Assets and Liabilities | |||||||||||||||||||||||||
Description | Counterparty | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | Financial Instruments* | Cash Collateral* | Net Amount | ||||||||||||||||||
Unrealized depreciation on open swap contracts | BNP Paribas | $ | (244,206 | ) | $ | - | $ | (244,206 | ) | $ | - | $ | 244,206 | $ | - |
140
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Thomson Reuters Venture Capital Return Tracker Fund | |||||||||||||||||||||||||
Amounts Not Offset in Statement of Assets and Liabilities | |||||||||||||||||||||||||
Description | Counterparty | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | Financial Instruments* | Cash Collateral* | Net Amount | ||||||||||||||||||
Unrealized depreciation on open swap contracts | BNP Paribas | $ | 3,571,278 | $ | (929,874 | ) | $ | 2,641,404 | $ | - | $ | - | $ | - |
* | Amounts relate to master netting agreements and collateral agreements which have been determined by the Advisor to be legally enforceable in the event of default but where certain other criteria are not met in accordance with applicable offsetting accounting guidance. The collateral amounts may exceed the related net amounts of financial assets and liabilities presented in the Consolidated Statements of Assets and Liabilities. Where this is the case, the total amount reported is limited to the net amounts of financial assets and liabilities with that counterparty. |
Note 12 – Control Ownership
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Fund creates presumption of control of the Fund, under Section 2(a) 9 of the Act. As of March 31, 2021, beneficial ownership in excess of 25% is as follows:
Fund | Beneficial Owner | % of Outstanding Shares |
Alternative Growth Fund | National Financial Services, LLC | 64% |
Aspect Core Diversified Strategy Fund | Alyssum Investments Limited | 49% |
Raymond James Financial | 27% | |
Chesapeake Strategy Fund | National Financial Services, LLC | 32% |
Managed Futures Strategy Fund | Raymond James Financial | 59% |
Sustainable Income Fund | AXIS Reinsurance Company | 96% |
Thomson Reuters Private Equity Return Tracker Fund | National Financial Services, LLC | 71% |
Thomson Reuters Venture Capital Return Tracker Fund | Charles Schwab | 26% |
The Trust has no knowledge as to whether all or any portion of the shares owned of record are also owned beneficially.
141
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Note 13 – COVID-19 Risks
In early 2020, an outbreak of a novel strain of coronavirus (COVID-19) emerged globally. This coronavirus has resulted in closing international borders, enhanced health screenings, healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general public concern and uncertainty. The impact of this outbreak has negatively affected the worldwide economy, as well as the economies of individual countries, the financial health of individual companies and the market in general in significant and unforeseen ways. The future impact of COVID-19 is currently unknown, and it may exacerbate other risks that apply to the Funds, including political, social and economic risks. Any such impact could adversely affect the Funds’ performance, the performance of the securities in which the Funds invest and may lead to losses on your investment in the Funds. The ultimate impact of COVID-19 on the financial performance of the Funds’ investments is not reasonably estimable at this time.
Note 14 – Events Subsequent to the Fiscal Period End
The Funds have adopted financial reporting rules regarding subsequent events which require an entity to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the balance sheet. Management has evaluated the Funds’ related events and transactions that occurred through the date of issuance of the Funds’ consolidated financial statements. There were no events or transactions that occurred during this period that materially impacted the amounts or disclosures in the Funds’ consolidated financial statements.
142
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited)
Board Consideration of Investment Advisory and Sub-Advisory Agreements
At a meeting held on July 16, 2020, the Board of Trustees (the “Board”) of Investment Managers Series Trust II (the “Trust”), including the trustees who are not “interested persons” of the Trust (the “Independent Trustees”) as defined in the Investment Company Act of 1940, as amended (the “1940 Act”), reviewed and unanimously approved the investment advisory agreement (the “Advisory Agreement”) between the Trust and AXS Investments LLC (the “Investment Advisor”) and the sub-advisory agreement (the “SKY Harbor Sub-Advisory Agreement”) between the Investment Advisor and SKY Harbor Capital Management, LLC (“SKY Harbor”) with respect to the AXS Sustainable Income Fund series of the Trust (the “Sustainable Income Fund”), each for an initial two-year term.
At a meeting held on October 19-20, 2020, the Board and the Independent Trustees also reviewed and unanimously approved the Advisory Agreement between the Trust and the Investment Advisor with respect to the AXS Thomson Reuters Private Equity Return Tracker Fund (the “Private Equity Return Tracker Fund”) and the AXS Thomson Reuters Venture Capital Return Tracker Fund (the “Venture Capital Return Tracker Fund”) for an initial two-year term. The Sustainable Income Fund, the Private Equity Return Tracker Fund, and the Venture Capital Return Tracker Fund are each referred to below as a “New Fund” and, collectively, as the “New Funds.”
At a meeting held on January 20, 2021, the Board and the Independent Trustees also reviewed and unanimously approved the renewal of the Advisory Agreement between the Trust and the Investment Advisor for an additional one-year term from when it otherwise would expire, with respect to the following series of the Trust (each a “Fund” and collectively, the “Funds”):
● | the AXS Alternative Growth Fund (the “Alternative Growth Fund”), |
● | the AXS Managed Futures Strategy Fund (the “Managed Futures Strategy Fund”), |
● | the AXS Aspect Core Diversified Strategy Fund (the “Aspect Core Diversified Strategy Fund”), |
● | the AXS Chesapeake Strategy Fund (the “Chesapeake Strategy Fund”), and |
● | the AXS Multi-Strategy Alternatives Fund (the “Multi-Strategy Alternatives Fund”). |
At the same meeting in January, the Board and the Independent Trustees also reviewed and unanimously approved the renewal of the following agreements for an additional one-year term from when they otherwise would expire:
● | the sub-advisory agreement (the “Ampersand Sub-Advisory Agreement”) between the Investment Advisor and Ampersand Investment Management LLC (“Ampersand”) with respect to the Alternative Growth Fund and the Managed Futures Strategy Fund; |
● | the sub-advisory agreement (the “Aspect Sub-Advisory Agreement”) between the Investment Advisor and Aspect Capital Limited (“Aspect Capital”) with respect to the Aspect Core Diversified Strategy Fund; |
● | the sub-advisory agreement (the “Chesapeake Sub-Advisory Agreement”) between the Investment Advisor and Chesapeake Capital Corporation (“Chesapeake Capital” and together with Ampersand and Aspect Capital, the “Sub-Advisors”) with respect to the Chesapeake Strategy Fund; |
● | the investment advisory agreement between the Investment Advisor and AXS Alternative Growth Fund Limited (the “Alternative Growth Fund Subsidiary”), a wholly-owned subsidiary of the Alternative Growth Fund organized in the Cayman Islands, and the sub-advisory agreement between the Investment Advisor and Ampersand with respect to the Alternative Growth Fund Subsidiary (together, the “Alternative Growth Fund Subsidiary Agreements”); |
143
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited) - Continued
● | the investment advisory agreement between the Investment Advisor and AXS Managed Futures Strategy Fund Limited (the “Managed Futures Strategy Fund Subsidiary”), a wholly-owned subsidiary of the Managed Futures Strategy Fund organized in the Cayman Islands, and the sub-advisory agreement between the Investment Advisor and Ampersand with respect to the Managed Futures Strategy Fund Subsidiary (together, the “Managed Futures Strategy Fund Subsidiary Agreements”); |
● | the investment advisory agreement between the Investment Advisor and AXS Aspect Core Diversified Strategy Fund Limited (the “Aspect Core Diversified Strategy Fund Subsidiary”), a wholly-owned subsidiary of the Aspect Core Diversified Strategy Fund organized in the Cayman Islands, and the sub-advisory agreement between the Investment Advisor and Aspect Capital with respect to the Aspect Core Diversified Strategy Fund Subsidiary (together, the “Aspect Core Diversified Strategy Fund Subsidiary Agreements”); and |
● | the investment advisory agreement between the Investment Advisor and AXS Chesapeake Strategy Fund Limited (the “Chesapeake Strategy Fund Subsidiary” and together with the Alternative Growth Fund Subsidiary, Managed Futures Strategy Fund Subsidiary, and Aspect Core Diversified Strategy Fund Subsidiary, the “Subsidiaries”), a wholly-owned subsidiary of the Chesapeake Strategy Fund organized in the Cayman Islands, and the sub-advisory agreement between the Investment Advisor and Chesapeake Capital with respect to the Chesapeake Strategy Fund Subsidiary (together, the “Chesapeake Strategy Fund Subsidiary Agreements”). |
The Alternative Growth Fund Subsidiary Agreements, the Managed Futures Strategy Fund Subsidiary Agreements, the Aspect Core Diversified Strategy Fund Subsidiary Agreements, and the Chesapeake Strategy Fund Subsidiary Agreements are collectively referred to below as the “Subsidiary Agreements.” The Advisory Agreement, the SKY Harbor Sub-Advisory Agreement, the Ampersand Sub-Advisory Agreement, the Aspect Sub-Advisory Agreement, the Chesapeake Sub-Advisory Agreement, and the Subsidiary Agreements are collectively referred to below as the “Fund Advisory Agreements.”
In approving the Fund Advisory Agreements with respect to each New Fund, as applicable, the Board, including the Independent Trustees, determined that such approval was in the best interests of the New Fund and its shareholders. In renewing the Fund Advisory Agreements with respect to each Fund, as applicable, the Board, including the Independent Trustees, determined that such renewal was in the best interests of the Fund and its shareholders. The Board acknowledged that in accordance with exemptive relief granted by the U.S. Securities and Exchange Commission, due to unforeseen emergency circumstances related to the COVID-19 pandemic, each meeting was being held by videoconference, and that as required by the relief, the Board would ratify the approval and the renewal of the Fund Advisory Agreements, as applicable, at its next in-person meeting.
AXS Sustainable Income Fund
Background
In advance of the meeting held on July 16, 2020, the Board received information about the Sustainable Income Fund and the Fund Advisory Agreements from the Investment Advisor, SKY Harbor, and Mutual Fund Administration, LLC and UMB Fund Services, Inc., the Trust’s co-administrators, certain portions of which are discussed below. The materials, among other things, included information about the organization and financial condition of the Investment Advisor and SKY Harbor; information regarding the background, experience, and compensation structure of relevant personnel who would be providing services to the Sustainable Income Fund; information about the Investment Advisor’s and SKY Harbor’s compliance policies and procedures, disaster recovery and contingency planning, and policies with respect to portfolio execution and trading; information regarding the estimated profitability of the Investment Advisor’s overall relationship with the New Fund; information regarding the performance of a private fund managed by SKY Harbor (the “Private Fund”), which would be reorganizing into the Sustainable Income Fund, for various periods ended March 31, 2020; and a report prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) comparing the proposed advisory fee and estimated total expenses of the New Fund with those of a group of comparable funds selected by Broadridge (the “Peer Group”) from Morningstar, Inc.’s High Yield Bond fund universe (the “Fund Universe”). The Board also received a memorandum from legal counsel to the Trust and the Independent Trustees discussing the legal standards under the 1940 Act and other applicable law for their consideration of the proposed approval of the Fund Advisory Agreements. No representatives of the Investment Advisor or SKY Harbor were present during the Board’s consideration of the Fund Advisory Agreements, and the Independent Trustees were represented by their legal counsel with respect to the matters considered.
144
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited) - Continued
In approving the Fund Advisory Agreements, the Board and the Independent Trustees considered a variety of factors, including those discussed below. In their deliberations, the Board and the Independent Trustees did not identify any particular factor that was controlling, and each Trustee may have attributed different weights to the various factors.
AXS Investments LLC
Nature, Extent and Quality of Services
With respect to relevant performance information, the meeting materials indicated that the annualized total returns of the Private Fund, which SKY Harbor began managing on January 31, 2013, were higher than the Bloomberg Barclays 1-3 Year U.S. Government/Credit Index returns for the since inception period, but were lower than the Index’s returns for the five-, three-, and one-year periods by 0.05%, 1.79%, and 10.35%, respectively. The Trustees considered SKY Harbor’s assertion that the Private Fund’s underperformance relative to the Index was due in part to the sharp sell-off of risk assets in March 2020 caused by the COVID-19 pandemic, and that as of January 31, 2019, the Private Fund had been outperforming over all periods.
The Board noted its familiarity with the Investment Advisor as the investment advisor for several other series of the Trust, and considered SKY Harbor’s role as the investment advisor to the Private Fund. The Board also considered the services to be provided by the Investment Advisor and SKY Harbor to the Sustainable Income Fund. In doing so, the Board considered the Investment Advisor’s role as the New Fund’s investment advisor, noting that the Investment Advisor would provide overall supervision of the general investment management and investment operations of the New Fund, and oversee SKY Harbor with respect to the New Fund’s operations, including monitoring the SKY Harbor’s investment and trading activities with respect to the New Fund, monitoring the New Fund’s compliance with its investment policies, and providing general administrative services related to the Investment Advisor’s overall supervision of the New Fund; and that SKY Harbor’s responsibilities would include day-to-day portfolio management for the New Fund. The Board also considered the qualifications, experience, and responsibilities of the personnel of the Investment Advisor who would be involved in the activities of the New Fund. In addition, the Board considered the overall quality of the organization and operations of the Investment Advisor, as well as its compliance structure and compliance procedures.
The Board and the Independent Trustees concluded that based on the various factors they had reviewed, the Investment Advisor would have the capabilities, resources, and personnel necessary to manage the Sustainable Income Fund, and that the Investment Advisor would provide the New Fund with a reasonable potential for good investment results.
Advisory Fee and Expense Ratio
The Board reviewed information regarding the Sustainable Income Fund’s proposed advisory fee and estimated total expenses. The meeting materials indicated that the New Fund’s proposed annual investment advisory fee (gross of fee waivers) was higher than the Fund Universe and Peer Group medians by 0.10% and 0.15%, respectively. The Trustees noted, however, that the Investment Advisor expected to waive a significant portion of its advisory fee during the first year of the New Fund’s operations. In reviewing the advisory fee, the Trustees considered the Investment Advisor’s assertion that the New Fund’s advisory fee is appropriate in light of the New Fund’s strategy, which is somewhat unique in that it incorporates environmental, social, and governance considerations, unlike most funds in the Peer Group. The Trustees also considered the advisory fees of a peer group of funds selected by SKY Harbor, the median advisory fee of which was only 0.02% below the New Fund’s advisory fee. The Trustees also observed that the proposed advisory fee was lower than the advisory fees paid by other series of the Trust managed by the Investment Advisor.
145
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited) - Continued
The estimated annual total expenses (net of fee waivers) of the Sustainable Income Fund were higher than the Peer Group and Fund Universe medians by 0.04% and 0.07%, respectively. The Trustees considered that the New Fund’s estimated annual total expenses were likely higher than those of other funds in the Peer Group and Fund Universe because of the New Fund’s higher advisory fee.
The Board and the Independent Trustees concluded that the proposed compensation payable to the Investment Advisor under the Advisory Agreement would be fair and reasonable in light of the nature and quality of the services proposed to be provided by the Investment Advisor to the Sustainable Income Fund.
Profitability and Economies of Scale
The Board next reviewed the estimated profitability to the Investment Advisor of its relationship with the Sustainable Income Fund in the New Fund’s first year of operations, taking into account estimated assets of $60 million. The Board observed that the Investment Advisor anticipated waiving a portion of its advisory fee for the New Fund, and determined that the Investment Advisor’s anticipated profits from its relationship with the New Fund were reasonable.
The Board noted that the potential benefits received by the Investment Advisor as a result of its relationship with the New Fund, other than the receipt of its advisory fee, would include the usual types of “fall out” benefits received by advisors to the Trust, including the beneficial effects from the review by the Trust’s Chief Compliance Officer of the Investment Advisor’s compliance program, and the intangible benefits of its association with the New Fund generally and any favorable publicity arising in connection with the New Fund’s performance. The Board also noted that although the Advisory Agreement does not provide for any advisory fee breakpoints, the New Fund’s asset level would likely be too low to achieve significant economies of scale during the initial startup period, and that any such economies would be considered in the future as the New Fund’s assets grow.
SKY Harbor Capital Management, LLC
Nature, Extent and Quality of Services
The Board considered the overall quality of services to be provided by SKY Harbor to the Sustainable Income Fund. In doing so, the Board noted that as the sole sub-advisor to the New Fund, SKY Harbor would be primarily responsible for the day-to-day management of the New Fund and its investment results. The Board also considered the services to be provided by SKY Harbor to the New Fund, and the qualifications, experience, and responsibilities of the personnel of SKY Harbor who would be involved in the activities of the New Fund. In addition, the Board considered the overall quality of the organization and operations of SKY Harbor, as well as its compliance structure and compliance procedures. Information regarding the performance of the Private Fund is described above.
146
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited) - Continued
The Board and the Independent Trustees concluded that based on the various factors they had reviewed, SKY Harbor would have the capabilities, resources, and personnel necessary to manage the Sustainable Income Fund, and that SKY Harbor would provide the New Fund with a reasonable potential for good investment results.
Sub-Advisory Fee
The Board reviewed information regarding the annual sub-advisory fee proposed to be charged by SKY Harbor with respect to the Sustainable Income Fund, and considered the relative levels and types of services to be provided by the Investment Advisor and SKY Harbor. The Board noted that SKY Harbor serves as advisor to a variety of institutional accounts and funds across several different strategies, none of which are the same as the New Fund, and that the sub-advisory fee proposed to be charged by SKY Harbor to the New Fund was lower than the fees that SKY Harbor charges to manage its other institutional accounts and funds. The Board observed that the Investment Advisor would pay SKY Harbor’s sub-advisory fee from the Investment Advisor’s advisory fee. The Board also noted that the Investment Advisor indicated its intention to modify SKY Harbor’s sub-advisory fee to be in the range of 25 to 35 basis points based on the New Fund’s asset level or another benchmark, and the Board ratified an amended version of the SKY Harbor Sub-Advisory Agreement, which reflected a 35 basis point sub-advisory fee, at the Board’s meeting on October 19-20, 2020.
The Board and the Independent Trustees concluded that the proposed compensation payable to SKY Harbor under the SKY Harbor Sub-Advisory Agreement would be fair and reasonable in light of the nature and quality of the services proposed to be provided by SKY Harbor to the Sustainable Income Fund.
Benefits to the Sub-Advisor
The Board also considered that the potential benefits to be received by SKY Harbor as a result of its relationship with the Sustainable Income Fund, other than the receipt of its sub-advisory fee, would include the usual types of “fall out” benefits received by sub-advisors to the Trust, including any research received from broker-dealers providing execution services to the New Fund, the beneficial effects from the review by the Trust’s Chief Compliance Officer of SKY Harbor’s compliance program, and the intangible benefits of SKY Harbor’s association with the New Fund generally and any favorable publicity arising in connection with the New Fund’s performance.
Conclusion
Based on these and other factors, the Board and the Independent Trustees concluded that approval of each Fund Advisory Agreement was in the best interests of the Sustainable Income Fund and its shareholders and, accordingly, approved each Fund Advisory Agreement with respect to the New Fund.
AXS Thomson Reuters Private Equity Return Tracker Fund and AXS Thomson Reuters Venture Capital Return Tracker Fund
Background
In advance of the meeting held on October 19-20, 2020, the Board received information about the Private Equity Return Tracker Fund, the Venture Capital Return Tracker Fund, and the Advisory Agreement from the Investment Advisor and from Mutual Fund Administration, LLC and UMB Fund Services, Inc., the Trust’s co-administrators, certain portions of which are discussed below. The materials, among other things, included information about the organization and financial condition of the Investment Advisor; information regarding the background, experience, and compensation structure of relevant personnel who would be providing services to the New Funds; information about the Investment Advisor’s compliance policies and procedures, disaster recovery and contingency planning, and policies with respect to portfolio execution and trading; information regarding the estimated profitability of the Investment Advisor’s overall relationship with the New Funds; information regarding the performance of the predecessor funds of the Private Equity Return Tracker Fund (the “Private Equity Return Tracker Predecessor Fund”) and the Venture Capital Return Tracker Fund (the “Venture Capital Return Tracker Predecessor Fund” and together with the Private Equity Return Tracker Predecessor Fund, the “Predecessor Funds”), which would be reorganized into the New Funds, for various periods ended June 30, 2020; and reports prepared by Broadridge comparing the proposed advisory fee and estimated total expenses of each New Fund with those of its Peer Group selected by Broadridge from Morningstar, Inc.’s relevant Fund Universe. The Board also received a memorandum from legal counsel to the Trust and the Independent Trustees discussing the legal standards under the 1940 Act and other applicable law for their consideration of the proposed approval of the Advisory Agreement. In addition, the Board considered information reviewed by the Board regarding other series of the Trust managed by the Investment Advisor during the year at other Board and Board committee meetings. No representatives of the Investment Advisor were present during the Board’s consideration of the Advisory Agreement, and the Independent Trustees were represented by their legal counsel with respect to the matters considered.
147
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited) - Continued
In approving the Advisory Agreement, the Board and the Independent Trustees considered a variety of factors, including those discussed below. In their deliberations, the Board and the Independent Trustees did not identify any particular factor that was controlling, and each Trustee may have attributed different weights to the various factors.
Nature, Extent and Quality of Services
The Trustees considered that the New Funds are alternative index funds designed to track specific indices, including a research index that tracks the returns of the underlying portfolio companies of U.S. private equity funds or U.S. venture capital backed companies, as applicable (each a “Research Index”), and an investable index (each an “Underlying Index”) that is designed to track the Research Index. With respect to the relevant performance information, the meeting materials indicated the performance of each Predecessor Fund correlated highly with its corresponding Underlying Index.
The Board noted its familiarity with the Investment Advisor as the investment advisor for several other series of the Trust, and considered the services to be provided by the Investment Advisor to each New Fund. In doing so, the Board considered the Investment Advisor’s specific responsibilities in day-to-day management and oversight of the New Funds, as well as the qualifications, experience, and responsibilities of the personnel who would be involved in the activities of the New Funds. The Board also considered the overall quality of the organization and operations, and the compliance structures and compliance procedures, of the Investment Advisor. The Board and the Independent Trustees concluded that based on the various factors they had reviewed, the Investment Advisor would have the capabilities, resources, and personnel necessary to manage each New Fund, and that the Investment Advisor would provide each New Fund with a reasonable potential for good investment results.
Advisory Fee and Expense Ratio
The Board reviewed information regarding each New Fund’s proposed advisory fee and estimated total expenses. The meeting materials indicated the following:
● | The Private Equity Return Tracker Fund’s proposed annual investment advisory fee (gross of fee waivers) was higher than the Large Blend Fund Universe and Peer Group medians by 0.61% and 0.65%, respectively. The Trustees noted the Investment Advisor’s assertions that the New Fund offers an investment objective and strategies that are unique and distinct from those of the funds in the Peer Group and Fund Universe, that the New Fund’s strategies are typically only available in more costly and less transparent portfolios that charge both management fees and performance fees, and that the advisory fee includes the cost of licensing the Research Index and Underlying Index. The Trustees also noted that the proposed advisory fee was the same as the advisory fee for the Private Equity Return Tracker Predecessor Fund, and that the Investment Advisor does not manage any other accounts with the same objectives and policies as the New Fund, and therefore the Trustees did not have a good basis for comparing the New Fund’s proposed advisory fee with those of other similar client accounts of the Investment Advisor. The Trustees also considered that the New Fund’s proposed advisory fee was within the range of advisory fees paid by other series of the Trust managed by the Investment Advisor. |
148
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited) - Continued
The estimated annual total expenses (net of fee waivers) of the Private Equity Return Tracker Fund were higher than the Peer Group and Fund Universe medians by 0.72% and 0.80%, respectively. The Trustees noted, however, that the average net assets of the New Fund’s class considered by Broadridge were significantly lower than the average net assets of corresponding classes of funds in the Peer Group and Fund Universe, and that certain of those other funds also had significant assets in other classes. The Trustees also considered that the New Fund’s estimated annual total expenses were likely higher than those of other funds in the Peer Group and Fund Universe because of the New Fund’s higher advisory fee.
● | The Venture Capital Return Tracker Fund’s proposed annual investment advisory fee (gross of fee waivers) was higher than both the Peer Group and Large Growth Fund Universe medians by 0.55%. The Trustees noted the Investment Advisor’s assertions that the New Fund offers an investment objective and strategies that are unique and distinct from those of the funds in the Peer Group and Fund Universe, that the New Fund’s strategies are typically only available in more costly and less transparent portfolios that charge both management fees and performance fees, and that the advisory fee includes the cost of licensing the Research Index and Underlying Index. The Trustees also noted that the proposed advisory fee was the same as the advisory fee for the Venture Capital Return Tracker Predecessor Fund, and that the Investment Advisor does not manage any other accounts with the same objectives and policies as the New Fund, and therefore the Trustees did not have a good basis for comparing the New Fund’s proposed advisory fee with those of other similar client accounts of the Investment Advisor. The Trustees also considered that the New Fund’s proposed advisory fee was within the range of advisory fees paid by other series of the Trust managed by the Investment Advisor. |
The estimated annual total expenses (net of fee waivers) of the Venture Capital Return Tracker Fund were higher than the Peer Group and Fund Universe medians by 0.60% and 0.72%, respectively. The Trustees noted, however, that the average net assets of the New Fund’s class considered by Broadridge were significantly lower than the average net assets of corresponding classes of funds in the Fund Universe, and that certain of those other funds also had significant assets in other classes. The Trustees also considered that the New Fund’s estimated annual total expenses were likely higher than those of other funds in the Peer Group and Fund Universe because of the New Fund’s higher advisory fee.
The Board and the Independent Trustees concluded that the proposed compensation payable to the Investment Advisor under the Advisory Agreement would be fair and reasonable in light of the nature and quality of the services proposed to be provided by the Investment Advisor to the New Funds.
Profitability and Economies of Scale
The Board next reviewed the estimated profitability to the Investment Advisor of its relationship with each New Fund in the New Fund’s first year of operations, taking into account the respective Predecessor Fund’s current assets. The Board observed that the Investment Advisor anticipated waiving a portion of its advisory fee with respect to the Private Equity Return Tracker Fund, and it determined that the Investment Advisor’s profit level with respect to each New Fund was reasonable.
The Board noted that the potential benefits received by the Investment Advisor as a result of its relationship with the New Funds, other than the receipt of its advisory fees, would include the usual types of “fall out” benefits received by advisors to the Trust, including any research received from broker-dealers providing execution services to the New Funds, the beneficial effects from the review by the Trust’s Chief Compliance Officer of the Investment Advisor’s compliance program, the intangible benefits of its association with the New Funds generally and any favorable publicity arising in connection with the New Funds’ performance. The Board also noted that although the Advisory Agreement does not provide for any advisory fee breakpoints, the New Funds’ asset levels would likely be too low to achieve significant economies of scale during the initial startup period, and that any such economies would be considered in the future as the New Funds’ assets grow.
149
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SUPPLEMENTAL INFORMATION (Unaudited) - Continued
Conclusion
Based on these and other factors, the Board and the Independent Trustees concluded that approval of the Advisory Agreement was in the best interests of each New Fund and its shareholders and, accordingly, approved the Advisory Agreement with respect to each New Fund.
AXS Alternative Growth Fund, AXS Managed Futures Strategy Fund, AXS Aspect Core Diversified Strategy Fund, AXS Chesapeake Strategy Fund, and AXS Multi-Strategy Alternatives Fund
Background
In advance of the meeting held on January 20, 2021, the Board received information about the Funds, the Subsidiaries, and the Fund Advisory Agreements from the Investment Advisor, the Sub-Advisors, and Mutual Fund Administration, LLC and UMB Fund Services, Inc., the Trust’s co-administrators, certain portions of which are discussed below. The materials, among other things, included information about the organization and financial condition of the Investment Advisor and the Sub-Advisors; information regarding the background, experience, and compensation structure of relevant personnel providing services to each Fund and Subsidiary, as applicable; information about the Investment Advisor’s and the Sub-Advisors’ compliance policies and procedures, disaster recovery and contingency planning, and policies with respect to portfolio execution and trading; information regarding the profitability of the Investment Advisor’s overall relationship with the Funds; reports comparing the performance of each Fund with returns of its benchmark index and a Peer Group selected by Broadridge from Morningstar, Inc.’s relevant Fund Universe for various periods ended October 31, 2020; reports comparing the investment advisory fee and total expenses of each Fund with those of its respective Peer Group and Fund Universe; and the advisory and sub-advisory fees paid pursuant to each Fund Advisory Agreement, as applicable. The Board also received a memorandum from legal counsel to the Trust and the Independent Trustees discussing the legal standards under the 1940 Act and other applicable law for their consideration of the proposed renewal of the Fund Advisory Agreements. In addition, the Board considered information reviewed by the Board regarding other series of the Trust managed by the Investment Advisor during the year at other Board and Board committee meetings. No representatives of the Investment Advisor or the Sub-Advisors were present during the Board’s consideration of the Fund Advisory Agreements, and the Independent Trustees were represented by their legal counsel with respect to the matters considered.
In renewing each Fund Advisory Agreement, the Board and the Independent Trustees considered a variety of factors, including those discussed below. In their deliberations, the Board and the Independent Trustees did not identify any particular factor that was controlling, and each Trustee may have attributed different weights to the various factors.
AXS Investments LLC
Nature, Extent and Quality of Services
The Board considered information included in the meeting materials regarding the performance of each Fund. The materials they reviewed indicated the following:
● | The Alternative Growth Fund’s annualized total returns for the three- and five-year periods were above the Peer Group and Long-Short Equity Fund Universe median returns, but below the S&P 500 Index returns by 4.89% and 4.44%, respectively. The Fund’s total return for the one-year period was below the Fund Universe and Peer Group median returns and the S&P 500 Index return by 2.17%, 2.80%, and 15.57%, respectively. The Trustees considered the Investment Advisor’s explanation that the Fund’s Peer Group includes a significant range of strategies including long-bias and short-bias strategies; that over the one-year period, the Fund was outperforming the S&P 500 Index until the market decline caused by the COVID-19 pandemic began in late February 2020; and that in the market recovery that followed, the Fund’s diversifying commodity trading advisor (“CTA”) strategies and dynamic hedge programs detracted from the Fund’s performance. |
150
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SUPPLEMENTAL INFORMATION (Unaudited) - Continued
● | The Managed Futures Strategy Fund’s annualized total return for the five-year period was below the Peer Group and Managed Futures Fund Universe median returns and the S&P 500 Index return by 1.97%, 2.20%, and 15.40%, respectively. The Fund’s annualized total return for the three-year period was below the Peer Group median return by 4.88%, the Fund Universe median return by 7.25%, and the S&P 500 Index return by 18.25%. The Fund’s total return for the one-year period was below the Peer Group and Fund Universe median returns and the S&P 500 Index return by 19.79%, 25.73%, and 34.72%, respectively. The Trustees noted the Investment Advisor’s belief that the Fund’s underperformance over the one-year period was attributable to the Fund’s allocation to multiple investment strategies and the overall diversified nature of the Fund, which resulted in a lower overall correlation to the equity markets, which benefitted from a more rapid recovery in 2020. The Trustees also considered the Investment Advisor’s and Ampersand’s observations that the Fund’s returns are within statistical expectations, and that the strategy has a longer-term investment horizon in determining its CTA allocation decisions. The Trustees also noted that the Fund’s annualized total return for the ten-year period ended December 31, 2020, was above the median return of the Peer Group. |
● | The Aspect Core Diversified Strategy Fund’s total return for the one-year period was above the Barclay BTOP50 Index return and the Peer Group median return, but below the SG Trend Index return by 0.09% and the Managed Futures Fund Universe median return by 2.00%. The Fund’s annualized total return for the five-year period was below the Fund Universe and Peer Group median returns, the Barclay BTOP50 Index return, and the SG Trend Index return by 0.07%, 0.35%, 0.69%, and 0.75%, respectively. The Fund’s annualized total return for the three-year period was below both the Fund Universe and Peer Group median returns by 1.41%, and below the Barclay BTOP50 Index return and the SG Trend Index return by 2.26% and 2.30%, respectively. The Trustees observed that the Fund’s volatility of returns, as measured by its standard deviation, and its downside volatility, as measured by its Morningstar risk score, ranked it in the first or second quartile of the funds (which are the most favorable) in the Peer Group and Fund Universe for the one-, three-, and five-year periods. |
● | The Chesapeake Strategy Fund’s annualized total return for the five-year period was below the Managed Futures Fund Universe and Peer Group median returns, and the Barclay BTOP50 Index and SG Trend Index returns by 1.56%, 1.57%, 2.18%, and 2.24%, respectively. The Fund’s annualized total return for the three-year period was below the Peer Group and Fund Universe median returns, and the Barclay BTOP50 Index and SG Trend Index returns by 3.79%, 5.98%, 6.83%, and 6.87%, respectively. The Fund’s total return for the one-year period was below the Peer Group median return by 6.83%, the Barclay BTOP50 Index return by 9.67%, the SG Trend Index return by 10.12%, and the Fund Universe median return by 12.03%. The Trustees considered the Investment Advisor’s assertion that the Fund’s strategy is a long-term trend following program, and that some funds in the Peer Group incorporate short-term strategies, which allowed those funds to react quickly and benefit more significantly from the market recovery that began in the second quarter of 2020. The Trustees also considered Chesapeake Capital’s assertion that relative performance of managed futures funds can change within a few months, and noted that for periods ended December 31, 2020, the Fund’s annualized total return was higher than the median return of the Peer Group for the one-year period, and slightly below the median returns of the Peer Group by 0.95% and 0.23% for the three- and five-year periods, respectively. The Trustees also observed that the Fund’s downside volatility, as measured by its Morningstar risk score, ranked it in the second quartile of the funds in the Peer Group and Fund Universe for the one-year period. |
151
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SUPPLEMENTAL INFORMATION (Unaudited) - Continued
● | The Multi-Strategy Alternatives Fund’s annualized total return for three-year period was above the Peer Group median return, the HFRX Equity Hedge Index return, and the Long-Short Equity Fund Universe median return. The Fund’s total return for the one-year period was above the Fund Universe median return, but below the Peer Group median return and the HFRX Equity Hedge Index return by 0.04% and 0.36%, respectively. The Trustees observed that the Fund’s volatility of returns, as measured by its standard deviation, ranked it in the first quartile of the funds (which is the most favorable) in the Peer Group and Fund Universe for the one- and three-year periods. |
The Board noted its familiarity with the Investment Advisor and considered the overall quality of services provided by the Investment Advisor to the Funds and the Subsidiaries. In doing so, the Board considered the Investment Advisor’s specific responsibilities in day-to-day management and oversight of the Funds and the Subsidiaries, as well as the qualifications, experience, and responsibilities of the personnel involved in the activities of the Funds and the Subsidiaries. The Board also considered the overall quality of the organization and operations of the Investment Advisor, as well as its compliance structure. In addition, the Board considered the respective roles of the Investment Advisor and the Sub-Advisors, noting that the Investment Advisor provides overall supervision of the general investment management and investment operations of each applicable Fund and its corresponding Subsidiary, and oversees the Sub-Advisors with respect to each applicable Fund’s and Subsidiary’s operations, including monitoring the investment and trading activities of the Sub-Advisors, monitoring each Fund’s and Subsidiary’s compliance with its investment policies, and providing general administrative services related to the Investment Advisor’s overall supervision of each Fund and Subsidiary; and that the Sub-Advisors’ responsibilities include day-to-day portfolio management. The Board and the Independent Trustees concluded that based on the various factors they had reviewed, the nature, overall quality, and extent of the management and oversight services provided by the Investment Advisor to each Fund and Subsidiary were satisfactory.
Advisory Fees and Expense Ratios
With respect to the advisory fees and expenses paid by the Funds, the meeting materials indicated the following:
● | The Alternative Growth Fund’s annual investment advisory fee (gross of fee waivers) was lower than the Peer Group and Long-Short Equity Fund Universe medians. The annual total expenses paid by the Fund (net of fee waivers) for the Fund’s most recent fiscal year were lower than the Peer Group and Fund Universe medians. |
● | The Managed Futures Strategy Fund’s annual investment advisory fee (gross of fee waivers) was higher than the Managed Futures Fund Universe and Peer Group medians by 0.20% and 0.35%, respectively. The annual total expenses paid by the Fund (net of fee waivers) for the Fund’s most recent fiscal year were higher than both the Peer Group and Fund Universe medians by 0.18%. The Trustees noted the Investment Advisor’s observation that some of the funds in the Peer Group are part of larger fund complexes and therefore could have lower expenses or support lower expense caps. The Trustees also noted that the average net assets of the Fund’s class considered by Broadridge were lower than the average net assets of corresponding classes of funds in the Fund Universe, and that certain of those other funds also had significant assets in other classes. |
● | The Aspect Core Diversified Strategy Fund’s annual investment advisory fee (gross of fee waivers) was higher than both the Peer Group and Managed Futures Fund Universe medians by 0.05%. The annual total expenses paid by the Fund (net of fee waivers) for the Fund’s most recent fiscal year were lower than the Peer Group and Fund Universe medians. |
152
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited) - Continued
● | The Chesapeake Strategy Fund’s annual investment advisory fee (gross of fee waivers) was higher than the Managed Futures Fund Universe and Peer Group medians by 0.25% and 0.35%, respectively. The Trustees considered the Investment Advisor’s observation that the Fund has greater diversification, invests in a broader universe of markets and employs a less trend-following style than many of the funds in the Peer Group. |
The annual total expenses paid by the Fund (net of fee waivers) for the Fund’s most recent fiscal year were higher than the Fund Universe and Peer Group medians by 0.33% and 0.44%, respectively. The Trustees noted the Investment Advisor’s observation that some of the funds in the Peer Group are part of larger fund complexes and therefore could have lower expenses or support lower expense caps. The Trustees also noted that the average net assets of the Fund’s class considered by Broadridge were lower than the average net assets of corresponding classes of funds in the Peer Group, and significantly lower than the average net assets of corresponding classes of funds in the Fund Universe, and that certain of those other funds also had significant assets in other classes.
● | The Multi-Strategy Alternatives Fund’s annual investment advisory fee (gross of fee waivers) was lower than the Peer Group and Long-Short Equity Fund Universe medians. The annual total expenses paid by the Fund (net of fee waivers) for the Fund’s most recent fiscal year were lower than the Peer Group and Fund Universe medians. |
In reviewing the advisory fee for each Fund, the Trustees noted that the Investment Advisor does not manage any other accounts with the same objectives and policies as any Fund, and therefore they did not have a good basis for comparing each Fund’s advisory fee with those of other similar client accounts of the Investment Advisor. The Trustee also considered that each Fund’s advisory fee was within the range of advisory fees paid by other series of the Trust managed by the Investment Advisor.
The Board and the Independent Trustees concluded that based on the factors they had reviewed, the compensation payable to the Investment Advisor under the Advisory Agreement was fair and reasonable in light of the nature and quality of the services the Investment Advisor provides to the Funds and the Subsidiaries.
Profitability and Economies of Scale
The Board next considered information prepared by the Investment Advisor relating to its costs and profits with respect to each Fund for the year ended October 31, 2020, noting that the Investment Advisor had waived its entire advisory fee and subsidized certain of the operating expenses for the Alternative Growth Fund; had waived a significant portion of its advisory fee for the Aspect Core Diversified Strategy Fund; had waived a portion of its advisory fee for the Managed Futures Strategy Fund, Chesapeake Strategy Fund, and Multi-Strategy Alternatives Fund; and had not realized a profit with respect to the Alternative Growth Fund and Aspect Core Diversified Strategy Fund. The Board and the Independent Trustees determined that the profits of the Investment Advisor from its relationships with the Managed Futures Strategy Fund, Chesapeake Strategy Fund, and Multi-Strategy Alternatives Fund were reasonable.
The Board also considered the benefits received by the Investment Advisor as a result of the Investment Advisor’s relationship with the Funds, other than the receipt of its investment advisory fees, including any research received from broker-dealers providing execution services to the Funds, the beneficial effects from the review by the Trust’s Chief Compliance Officer of the Investment Advisor’s compliance program, and the intangible benefits of the Investment Advisor’s association with the Funds generally and any favorable publicity arising in connection with the Funds’ performance. The Board noted that although there were no advisory fee breakpoints, the asset levels of the Funds were not currently likely to lead to significant economies of scale, and that any such economies would be considered in the future as the assets of the Funds grow.
153
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited) - Continued
Ampersand Investment Management LLC
Nature, Extent and Quality of Services
The Board considered the overall quality of services provided by Ampersand to the Alternative Growth Fund, the Managed Futures Strategy Fund, and each Fund’s Subsidiary. In doing so, the Board considered Ampersand’s specific responsibilities in day-to-day portfolio management of the Funds and the Subsidiaries, as well as the qualifications, experience, and responsibilities of the personnel involved in the activities of the Funds and the Subsidiaries. The Board also considered the overall quality of the organization and operations of Ampersand, as well as its compliance structure. The Board’s observations regarding the performance of the Alternative Growth Fund and the Managed Futures Strategy Fund are described above. The Board and the Independent Trustees concluded that based on the various factors they had reviewed, the nature, overall quality, and extent of the management services provided by Ampersand to the Alternative Growth Fund, the Managed Futures Strategy Fund, and each Fund’s Subsidiary were satisfactory.
Sub-Advisory Fee
The Board reviewed information regarding the sub-advisory fee charged by Ampersand with respect to the Alternative Growth Fund, the Managed Futures Strategy Fund, and each Fund’s Subsidiary. The Board noted that Ampersand does not manage any other accounts with the same investment objectives and policies as the Alternative Growth Fund or the Managed Futures Strategy Fund, and therefore they did not have a good basis for comparing the Funds’ sub-advisory fees with those of other similar client accounts of Ampersand. The Board also noted that the Investment Advisor’s services include supervision and monitoring of the investment and trading activities of Ampersand, analysis of each Fund’s and its Subsidiary’s investment operations, and general administrative services related to the Investment Advisor’s overall supervision of each Fund and its Subsidiary. The Board also noted that the Investment Advisor pays Ampersand’s sub-advisory fees out of the Investment Advisor’s advisory fees.
The Board and the Independent Trustees concluded that based on the factors they had reviewed, the compensation payable to Ampersand under the Ampersand Sub-Advisory Agreement was fair and reasonable in light of the nature and quality of the services Ampersand provides to the Funds and the Subsidiaries.
Benefits to the Sub-Advisor
The Board also considered the benefits received by Ampersand as a result of its relationship with the Alternative Growth Fund, the Managed Futures Strategy Fund, and each Fund’s Subsidiary, other than the receipt of its sub-advisory fees, including any research received from broker-dealers providing execution services to the Funds, the beneficial effects from the review by the Trust’s Chief Compliance Officer of Ampersand’s compliance program, and the intangible benefits of Ampersand’s association with the Funds and the Subsidiaries generally and any favorable publicity arising in connection with the Funds’ performance.
Aspect Capital Limited
Nature, Extent and Quality of Services
The Board considered the overall quality of services provided by Aspect Capital to the Aspect Core Diversified Strategy Fund and its Subsidiary. In doing so, the Board considered Aspect Capital’s specific responsibilities in day-to-day portfolio management of the Fund and its Subsidiary, as well as the qualifications, experience, and responsibilities of the personnel involved in the activities of the Fund and its Subsidiary. The Board also considered the overall quality of the organization and operations of Aspect Capital, as well as its compliance structure. The Board’s observations regarding the performance of the Aspect Core Diversified Strategy Fund are described above. The Board and the Independent Trustees concluded that based on the various factors they had reviewed, the nature, overall quality, and extent of the management services provided by Aspect Capital to the Aspect Core Diversified Strategy Fund and its Subsidiary were satisfactory.
154
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited) - Continued
Sub-Advisory Fee
The Board reviewed information regarding the sub-advisory fee charged by Aspect Capital with respect to the Aspect Core Diversified Strategy Fund and its Subsidiary, which they noted was lower than the advisory fee that Aspect Capital charges to a pooled investment vehicle with similar investment objectives and policies as the Fund, and they considered the relative levels and types of services provided by the Investment Advisor and Aspect Capital. The Board also noted that the Investment Advisor’s services include supervision and monitoring of the investment and trading activities of Aspect Capital, analysis of the Fund’s and its Subsidiary’s investment operations, and general administrative services related to the Investment Advisor’s overall supervision of the Fund and its Subsidiary. The Board also noted that the Investment Advisor pays Aspect Capital’s sub-advisory fee out of the Investment Advisor’s advisory fee.
The Board and the Independent Trustees concluded that based on the factors they had reviewed, the compensation payable to Aspect Capital under the Aspect Sub-Advisory Agreement was fair and reasonable in light of the nature and quality of the services Aspect Capital provides to the Fund and its Subsidiary.
Benefits to the Sub-Advisor
The Board also considered the benefits received by Aspect Capital as a result of its relationship with the Aspect Core Diversified Strategy Fund and its Subsidiary, other than the receipt of its sub-advisory fee, including any research received from broker-dealers providing execution services to the Fund, the beneficial effects from the review by the Trust’s Chief Compliance Officer of Aspect Capital’s compliance program, and the intangible benefits of Aspect Capital’s association with the Fund and its Subsidiary generally and any favorable publicity arising in connection with the Fund’s performance.
Chesapeake Capital Corporation
Nature, Extent and Quality of Services
The Board considered the overall quality of services provided by Chesapeake Capital to the Chesapeake Strategy Fund and its Subsidiary. In doing so, the Board considered Chesapeake Capital’s specific responsibilities in day-to-day portfolio management of the Fund and its Subsidiary, as well as the qualifications, experience, and responsibilities of the personnel involved in the activities of the Fund and its Subsidiary. The Board also considered the overall quality of the organization and operations of Chesapeake Capital, as well as its compliance structure. The Board’s observations regarding the performance of the Chesapeake Strategy Fund are described above. The Board and the Independent Trustees concluded that based on the various factors they had reviewed, the nature, overall quality, and extent of the management services provided by Chesapeake Capital to the Chesapeake Strategy Fund and its Subsidiary were satisfactory.
Sub-Advisory Fee
The Board reviewed information regarding the sub-advisory fee charged by Chesapeake Capital with respect to the Chesapeake Strategy Fund and its Subsidiary, which they noted was within the range of the management fees that Chesapeake Capital charges to manage various series of interests in a private fund, which also charges an incentive fee and an administrative fee to certain of the series. The Trustees observed, however, that management of mutual fund assets requires compliance with certain requirements under the 1940 Act that do not apply to the private fund that Chesapeake Capital manages. The Board also noted that the Investment Advisor’s services include supervision and monitoring of the investment and trading activities of Chesapeake Capital, analysis of the Fund’s and its Subsidiary’s investment operations, and general administrative services related to the Investment Advisor’s overall supervision of the Fund and its Subsidiary. The Board also noted that the Investment Advisor pays Chesapeake Capital’s sub-advisory fee out of the Investment Advisor’s advisory fee.
155
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited) - Continued
The Board and the Independent Trustees concluded that based on the factors they had reviewed, the compensation payable to Chesapeake Capital under the Chesapeake Sub-Advisory Agreement was fair and reasonable in light of the nature and quality of the services Chesapeake Capital provides to the Fund and its Subsidiary.
Benefits to the Sub-Advisor
The Board also considered the benefits received by Chesapeake Capital as a result of its relationship with the Chesapeake Strategy Fund and its Subsidiary, other than the receipt of its sub-advisory fee, including any research received from broker-dealers providing execution services to the Fund, the beneficial effects from the review by the Trust’s Chief Compliance Officer of Chesapeake Capital’s compliance program, and the intangible benefits of Chesapeake Capital’s association with the Fund and its Subsidiary generally and any favorable publicity arising in connection with the Fund’s performance.
Conclusion
Based on these and other factors, the Board and the Independent Trustees concluded that renewal of each Fund Advisory Agreement was in the best interests of each Fund, each Subsidiary, and the shareholders of the Funds and the Subsidiaries and, accordingly, approved the renewal of each Fund Advisory Agreement with respect to the Funds and the Subsidiaries, as applicable.
156
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited) – Continued
Statement Regarding Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Board of Trustees (the “Board”) of Investment Managers Series Trust II (the “Trust”) met on October 19-20, 2020 and on January 20, 2021 (the “Meetings”), to review the liquidity risk management program (the “Fund Program”) applicable to the following series of the Trust (each, a “Fund” and together, the “Funds”) pursuant to the Liquidity Rule:
Board Meeting Dates | |
October 19 & 20, 2020 | January 20, 2021 |
Reporting Period December 1, 2019 through July 31, 2020 | Reporting Period August 1, 2020 through January 1, 2021 |
AXS Alternative Growth Fund | AXS Alternative Growth Fund |
AXS Aspect Core Diversified Strategy Fund | AXS Aspect Core Diversified Strategy Fund |
AXS Chesapeake Strategy Fund | AXS Chesapeake Strategy Fund |
AXS Managed Futures Strategy Fund | AXS Managed Futures Strategy Fund |
AXS Multi-Strategy Alternatives Fund | AXS Multi-Strategy Alternatives Fund |
AXS Sustainable Income Fund |
The Board has appointed AXS Investments LLC, the investment adviser to the Funds, as the program administrator (“Program Administrator”) for the Fund Program. Under the Trust’s liquidity risk management program (the “Trust Program”), the Board has delegated oversight of the Trust Program to the Liquidity Oversight Committee (the “Oversight Committee”). At the each Meeting, the Oversight Committee, on behalf of Program Administrator and the Funds, provided the Board with a written report (the “Reports”) that addressed the operation, adequacy, and effectiveness of implementation of the Fund Program, and any material changes to it for the periods from December 1, 2019 through July 31, 2020 and from August 1, 2020 through October 31, 2020 (the “Program Reporting Periods”).
In assessing the adequacy and effectiveness of implementation of the Fund Program, the Reports discussed the following, among other things:
● | The Fund Program’s liquidity classification methodology for categorizing each Fund’s investments (including derivative transactions); |
● | An overview of market liquidity for each Fund during the Program Reporting Periods; |
● | Each Fund’s ability to meet redemption requests; |
● | Each Fund’s cash management; |
● | Each Fund’s borrowing activity, if any, in order to meet redemption requests; |
● | Each Fund’s compliance with the 15% limit of illiquid investments; and |
● | Each Fund’s status as a primarily highly liquid fund (“PHLF”), the effectiveness of the implementation of the PHLF standard, and whether it would be appropriate for each Fund to adopt a highly liquid investment minimum (“HLIM”). |
The Reports stated that the Funds primarily hold assets that are defined under the Liquidity Rule as "highly liquid investments," and therefore each Fund is not required to establish an HLIM. Highly liquid investments are defined as cash and any investment reasonably expected to be convertible to cash in current market conditions in three business days or less without the conversion to cash significantly changing the market value of the investment. The Reports also stated that there were no material changes made to the Fund Program during the Program Reporting Periods.
157
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited) – Continued
In the Reports, the Program Administrator concluded that (i) the Fund Program, as adopted and implemented, remains reasonably designed to assess and manage each Fund’s liquidity risk; (ii) each Fund continues to qualify as a PHLF and therefore is not required to adopt an HLIM; (iii) during the Program Reporting Periods, each Fund was able to meet redemption requests without significant dilution of remaining investors’ interests; and (iv) there were no weaknesses in the design or implementation of the Fund Program during the Program Reporting Periods.
There can be no assurance that the Fund Program will achieve its objectives in the future. Please refer to the Funds’ prospectus for more information regarding each Fund’s exposure to liquidity risk and other principal risks to which an investment in the Funds may be subject.
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AXS Funds
EXPENSE EXAMPLES
For the Periods Ended March 31, 2021 (Unaudited)
Expense Examples
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees; distribution and/or 12b-1 fees (Class A, Class C, and Class R-1 shares only) and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from October 1, 2020 to March 31, 2021.
The Sustainable Income Fund’s Actual Performance example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from October 17, 2020* to March 31, 2021.
Actual Expenses
The information in the row titled “Actual Performance” of the table below provides actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the appropriate row for your share class, under the column titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The information in the row titled “Hypothetical (5% annual return before expenses)” of the table below provides hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (load) or contingent deferred sales charges. Therefore, the information in the row titled “Hypothetical (5% annual return before expenses)” is 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.
Beginning Account Value | Ending Account Value | Expenses Paid During Period* | ||
Alternative Growth Fund | 10/1/20 | 3/31/21 | 10/1/20 – 3/31/21 | |
Class A | Actual Performance | $1,000.00 | $1,132.70 | $6.61 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,018.73 | 6.26 | |
Class I | Actual Performance | 1,000.00 | 1,132.80 | 5.28 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,019.98 | 5.00 |
* | Expenses are equal to the Fund’s annualized expense ratios of 1.24% and 0.99% for Class A shares and Class I shares, respectively, multiplied by the average account values over the period, multiplied by 182/365 (to reflect the six month period). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested. |
159
AXS Funds
EXPENSE EXAMPLES - Continued
For the Periods Ended March 31, 2021 (Unaudited)
Beginning Account Value | Ending Account Value | Expenses Paid During Period* | ||
Aspect Core Diversified Strategy Fund | 10/1/20 | 3/31/21 | 10/1/20 – 3/31/21 | |
Class A | Actual Performance | $1,000.00 | $1,038.60 | $8.68 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,016.42 | 8.59 | |
Class C | Actual Performance | 1,000.00 | 1,034.90 | 12.47 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,012.67 | 12.34 | |
Class I | Actual Performance | 1,000.00 | 1,039.80 | 7.40 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,017.68 | 7.32 |
* | Expenses are equal to the Fund’s annualized expense ratios of 1.71%, 2.46%, and 1.46% for Class A shares, Class C share, and Class I shares, respectively, multiplied by the average account values over the period, multiplied by 182/365 (to reflect the six month period). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested. |
Beginning Account Value | Ending Account Value | Expenses Paid During Period* | ||
Chesapeake Strategy Fund | 10/1/20 | 3/31/21 | 10/1/20 – 3/31/21 | |
Class A | Actual Performance | $1,000.00 | $1,252.70 | $11.79 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,014.46 | 10.55 | |
Class C | Actual Performance | 1,000.00 | 1,247.60 | 15.97 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,010.72 | 14.28 | |
Class I | Actual Performance | 1,000.00 | 1,253.70 | 10.39 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,015.71 | 9.30 |
* | Expenses are equal to the Fund’s annualized expense ratios of 2.10%, 2.85% and 1.85% for Class A shares, Class C shares and Class I shares, respectively, multiplied by the average account values over the period, multiplied by 182/365 (to reflect the six month period). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested. |
160
AXS Funds
EXPENSE EXAMPLES - Continued
For the Periods Ended March 31, 2021 (Unaudited)
Beginning Account Value | Ending Account Value | Expenses Paid During Period* | ||
Managed Futures Strategy Fund | 10/1/20 | 3/31/21 | 10/1/20 – 3/31/21 | |
Class A | Actual Performance | $1,000.00 | $990.10 | $9.68 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,015.21 | 9.80 | |
Class C | Actual Performance | 1,000.00 | 984.30 | 13.36 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,011.47 | 13.54 | |
Class I | Actual Performance | 1,000.00 | 990.30 | 8.44 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,016.45 | 8.55 |
* | Expenses are equal to the Fund’s annualized expense ratios of 1.95%, 2.70%, and 1.70% for Class A shares, Class C share, and Class I shares, respectively, multiplied by the average account values over the period, multiplied by 182/365 (to reflect the six month period). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested. |
Beginning Account Value | Ending Account Value | Expenses Paid During Period* | ||
Multi-Strategy Alternatives Fund | 10/1/20 | 3/31/21 | 10/1/20 – 3/31/21 | |
Class R-1 | Actual Performance | $1,000.00 | $1,169.10 | $9.10 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,016.54 | 8.46 | |
Class I | Actual Performance | 1,000.00 | 1,169.40 | 8.16 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,017.41 | 7.59 |
* | Expenses are equal to the Fund’s annualized expense ratios of 1.68% and 1.51% for Class R-1 shares and Class I shares, respectively, multiplied by the average account values over the period, multiplied by 182/365 (to reflect the six month period). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested. |
Beginning Account Value | Ending Account Value | Expenses Paid During Period | ||
Sustainable Income Fund | 10/17/20* | 3/31/21 | 10/17/20* – 3/31/21 | |
Class I | Actual Performance** | $1,000.00 | $1,054.60 | $4.65 |
10/1/20 | 3/31/21 | 10/1/20 – 3/31/21 | ||
Hypothetical (5% annual return before expenses)^ | 1,000.00 | 1,020.00 | 4.99 |
* | Commencement of operations. |
** | Expenses are equal to the Fund’s annualized expense ratios of 0.99% for Class I shares, multiplied by the average account values over the period, multiplied by 167/365 (to reflect the since inception period). The expense ratio reflects an expense waiver. Assumes all dividends and distributions were reinvested. |
^ | Expenses are equal to the Fund’s annualized expense ratio of 0.99%, multiplied by the average account values over the period, multiplied by 182/365 (to reflect the six month period). The expense ratio reflects an expense waiver. Assumes all dividends and distributions were reinvested. |
161
AXS Funds
EXPENSE EXAMPLES - Continued
For the Periods Ended March 31, 2021 (Unaudited)
Beginning Account Value | Ending Account Value | Expenses Paid During Period* | ||
Thomson Reuters Private Equity Return Tracker Fund | 10/1/20 | 3/31/21 | 10/1/20 – 3/31/21 | |
Class A | Actual Performance | $1,000.00 | $1,247.50 | $10.11 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,015.93 | 9.07 | |
Class C | Actual Performance | 1,000.00 | 1,241.60 | 14.28 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,012.19 | 12.81 | |
Class I | Actual Performance | 1,000.00 | 1,249.10 | 8.72 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,017.18 | 7.82 |
* | Expenses are equal to the Fund’s annualized expense ratios of 1.80%, 2.55% and 1.56% for Class A shares, Class C shares and Class I shares, respectively, multiplied by the average account values over the period, multiplied by 182/365 (to reflect the six month period). The expense ratio reflects an expense waiver. Assumes all dividends and distributions were reinvested. |
Beginning Account Value | Ending Account Value | Expenses Paid During Period* | ||
Thomson Reuters Venture Capital Return Tracker Fund | 10/1/20 | 3/31/21 | 10/1/20 – 3/31/21 | |
Class A | Actual Performance | $1,000.00 | $1,181.70 | $9.64 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,016.10 | 8.91 | |
Class C | Actual Performance | 1,000.00 | 1,177.40 | 13.69 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,012.36 | 12.65 | |
Class I | Actual Performance | 1,000.00 | 1,183.30 | 8.28 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,017.34 | 7.65 |
* | Expenses are equal to the Fund’s annualized expense ratios of 1.77%, 2.52% and 1.52% for Class A shares, Class C shares and Class I shares, respectively, multiplied by the average account values over the period, multiplied by 182/365 (to reflect the six month period). The expense ratio reflects an expense waiver. Assumes all dividends and distributions were reinvested. |
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AXS Funds
Each a series of Investment Managers Series Trust II
Investment Advisor
AXS Investments LLC
181 Westchester Avenue, Unit 402
Port Chester, New York 10573
Sub-Advisor
Ampersand Investment Management, LLC
10 Canal Street, Suite 336
Bristol, Pennsylvania 19007
Sub-Advisor
Aspect Capital Limited
10 Portman Square
London W1H 6AZ United Kingdom
Sub-Advisor
Chesapeake Capital Corporation
1721 Summit Avenue
Richmond, Virginia 23220
Sub-Advisor
SKY Harbor Capital Management, LLC
20 Horseneck Lane, 1st Floor
Greenwich, Connecticut 06830
Custodian
UMB Bank, n.a.
928 Grand Boulevard, 5th Floor
Kansas City, Missouri 64106
Fund Co-Administrator
Mutual Fund Administration, LLC
2220 E. Route 66, Suite 226
Glendora, California 91740
Fund Co-Administrator, Transfer Agent and Fund Accountant
UMB Fund Services, Inc.
235 W. Galena Street
Milwaukee, Wisconsin 53212
Distributor
IMST Distributors, LLC
Three Canal Plaza, Suite 100
Portland, Maine 04101
www.foreside.com
FUND INFORMATION
TICKER | CUSIP | |
AXS Alternative Growth Fund – Class A | EEHAX | 46141T 430 |
AXS Alternative Growth Fund – Class I | EEHIX | 46141T 380 |
AXS Aspect Core Diversified Strategy Fund – Class A | EQAAX | 46141T 422 |
AXS Aspect Core Diversified Strategy Fund – Class C | EQACX | 46141T 414 |
AXS Aspect Core Diversified Strategy Fund – Class I | EQAIX | 46141T 398 |
AXS Chesapeake Strategy Fund – Class A | ECHAX | 46141T 471 |
AXS Chesapeake Strategy Fund – Class C | ECHCX | 46141T 463 |
AXS Chesapeake Strategy Fund – Class I | EQCHX | 46141T 372 |
AXS Managed Futures Strategy Fund – Class A | MHFAX | 46141T 521 |
AXS Managed Futures Strategy Fund – Class C | MHFCX | 46141T 513 |
AXS Managed Futures Strategy Fund – Class I | MHFIX | 46141T 489 |
AXS Multi-Strategy Alternatives Fund – Class I | KCMIX | 46141T 455 |
AXS Multi-Strategy Alternatives Fund – Class R-1 | KCMTX | 46141T 448 |
AXS Sustainable Income Fund – Class I | AXSKX | 46141T 349 |
AXS Thomas Reuters Private Equity Return Tracker Fund – Class A | LDPAX | 46141T 323 |
AXS Thomas Reuters Private Equity Return Tracker Fund – Class C | LDPCX | 46141T 315 |
AXS Thomas Reuters Private Equity Return Tracker Fund – Class I | LDPIX | 46141T 299 |
AXS Thomas Reuters Venture Capital Return Tracker Fund – Class A | LDVAX | 46141T 281 |
AXS Thomas Reuters Venture Capital Return Tracker Fund – Class C | LDVCX | 46141T 273 |
AXS Thomas Reuters Venture Capital Return Tracker Fund – Class I | LDVIX | 46141T 265 |
Privacy Principles of the AXS Funds for Shareholders
The Funds are committed to maintaining the privacy of its shareholders and to safeguarding its non-public personal information. The following information is provided to help you understand what personal information the Funds collect, how we protect that information and why, in certain cases, we may share information with select other parties.
Generally, the Funds do not receive any non-public personal information relating to its shareholders, although certain non-public personal information of its shareholders may become available to the Funds. The Funds do not disclose any non-public personal information about its shareholders or former shareholders to anyone, except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third party administrator).
This report is sent to shareholders of the AXS Funds for their information. It is not a Prospectus, circular or representation intended for use in the purchase or sale of shares of the Funds or of any securities mentioned in this report.
Proxy Voting
The Funds’ proxy voting policies and procedures, as well as information regarding how the Funds voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, are available, without charge and upon request by calling (833) 297-2587 or on the SEC’s website at www.sec.gov.
Fund Portfolio Holdings
The Funds file a complete schedule of their portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the Funds’ Form N-PORT on the SEC’s website at www.sec.gov.
Prior to their use of Form N-PORT, the Funds file their complete schedule of portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.
Householding
The Funds will mail only one copy of shareholder documents, including prospectuses, notice of annual and semi-annual reports availability and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (833) 297-2587.
AXS Funds
P.O. Box 2175
Milwaukee, WI 53201
Toll Free: (833) 297-2587
Item 1. Report to Stockholders (Continued).
(b) Not applicable.
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
(a) | Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934). |
(b) | Not applicable. |
Item 6. Schedule of Investments.
(a) | Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form. |
(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 shareholders may recommend nominees to the registrant’s board of trustees.
Item 11. Controls and Procedures.
(a) | The Registrant’s President/Chief Executive Officer and Treasurer/Chief Financial Officer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
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) Any code of ethics or amendment thereto, that is subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable. |
(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.
(b) | Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
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.
(Registrant) | Investment Managers Series Trust II | |
By (Signature and Title) | /s/ Terrance Gallagher | |
Terrance Gallagher, President/Chief Executive Officer | ||
Date | 6/9/2021 |
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 (Signature and Title) | /s/ Terrance Gallagher | |
Terrance Gallagher, President/Chief Executive Officer | ||
Date | 6/9/2021 | |
By (Signature and Title) | /s/ Rita Dam | |
Rita Dam, Treasurer/Chief Financial Officer | ||
Date | 6/9/2021 |