UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-22906
Virtus Alternative Solutions Trust
(Exact name of registrant as specified in charter)
101 Munson Street
Greenfield, MA 01301
(Address of principal executive offices) (Zip code)
Jennifer Fromm, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
One Financial Plaza
Hartford, CT 06103-4506
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 243-1574
Date of fiscal year end: October 31
Date of reporting period: April 30, 2019
FormN-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
Virtus Aviva Multi-Strategy Target Return Fund |
Virtus Duff & Phelps Select MLP and Energy Fund |
Virtus KAR Long/Short Equity Fund |
Message to Shareholders | 1 | |
Disclosure of Fund Expenses | 2 | |
Key Investment Terms | 4 | |
Portfolio Holdings Summary Weightings | 6 | |
Fund | Schedule of Investments | |
Virtus Aviva Multi-Strategy Target Return Fund (“Aviva Multi-Strategy Target Return Fund”) | 7 | |
Virtus Duff & Phelps Select MLP and Energy Fund (“Duff & Phelps Select MLP and Energy Fund”) | 14 | |
Virtus KAR Long/Short Equity Fund (“KAR Long/Short Equity Fund ”) | 16 | |
Statements of Assets and Liabilities | 18 | |
Statements of Operations | 20 | |
Statements of Changes in Net Assets | 22 | |
Financial Highlights | 24 | |
Notes to Financial Statements | 26 | |
Consideration of Advisory and Subadvisory Agreements by the Board of Trustees | 43 |
President, Virtus Funds
Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||
Aviva Multi-Strategy Target Return Fund | ||||||||
Class A | $ 1,000.00 | $ 1,005.20 | 1.69 % | $ 8.40 | ||||
Class C | 1,000.00 | 1,001.70 | 2.44 | 12.11 | ||||
Class I | 1,000.00 | 1,006.30 | 1.44 | 7.16 | ||||
Class R6 | 1,000.00 | 1,006.80 | 1.38 | 6.87 | ||||
Duff & Phelps Select MLP and Energy Fund | ||||||||
Class A | 1,000.00 | 1,021.50 | 1.40 | 7.02 | ||||
Class C | 1,000.00 | 1,018.20 | 2.15 | 10.76 | ||||
Class I | 1,000.00 | 1,022.40 | 1.15 | 5.77 | ||||
KAR Long/Short Equity Fund*** | ||||||||
Class A | 1,000.00 | 1,195.00 | 2.44 | 10.42 | ||||
Class C | 1,000.00 | 1,192.00 | 3.19 | 13.60 | ||||
Class I | 1,000.00 | 1,196.00 | 2.17 | 9.27 | ||||
Class R6 | 1,000.00 | 1,197.00 | 2.12 | 9.06 |
* | Annualized expense ratios include dividend and interest expense on securities sold short. |
** | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (181) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
*** | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (142) expenses were accrued in the most recent fiscal period, then divided by 365. |
Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Aviva Multi-Strategy Target Return Fund | ||||||||
Class A | $ 1,000.00 | $ 1,016.41 | 1.69 % | $ 8.45 | ||||
Class C | 1,000.00 | 1,012.69 | 2.44 | 12.18 | ||||
Class I | 1,000.00 | 1,017.65 | 1.44 | 7.20 | ||||
Class R6 | 1,000.00 | 1,017.95 | 1.38 | 6.90 | ||||
Duff & Phelps Select MLP and Energy Fund | ||||||||
Class A | 1,000.00 | 1,017.85 | 1.40 | 7.00 | ||||
Class C | 1,000.00 | 1,014.13 | 2.15 | 10.74 | ||||
Class I | 1,000.00 | 1,019.09 | 1.15 | 5.76 | ||||
KAR Long/Short Equity Fund | ||||||||
Class A | 1,000.00 | 1,012.69 | 2.44 | 12.18 | ||||
Class C | 1,000.00 | 1,008.98 | 3.19 | 15.89 | ||||
Class I | 1,000.00 | 1,014.03 | 2.17 | 10.84 | ||||
Class R6 | 1,000.00 | 1,014.28 | 2.12 | 10.59 |
* | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (181) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Short-Term Investments* | 52% |
Common Stocks | 25 |
Exchange-Traded Funds | 13 |
Foreign Government Securities | 10 |
Total | 100% |
* Represents collateral utilized for derivative contracts. |
Master Limited Partnerships and Related Companies | 92% | |
Diversified | 27% | |
Natural Gas Pipelines | 15 | |
Gathering/Processing | 14 | |
Petroleum Transportation & Storage | 12 | |
Downstream/Other | 12 | |
Marine/Shipping | 7 | |
Upstream | 3 | |
Electric, LDC & Power | 2 | |
Short-Term Investment | 5 | |
Exchange-Traded Fund | 3 | |
Total | 100% |
Common Stocks | 109% | |
Financials | 27% | |
Information Technology | 21 | |
Industrials | 17 | |
Consumer Discretionary | 12 | |
Consumer Staples | 11 | |
Communication Services | 9 | |
Health Care | 6 | |
All other Common Stocks | 6 | |
Short-Term Investment | 15 | |
Securities Sold Short | (24) | |
Total | 100% |
Par Value | Value | ||
Foreign Government Securities—7.8% | |||
Indonesia Treasury Bond 8.250%, 7/15/21(1) | 18,841,000IDR | $1,359 | |
Republic of South Africa Government Bond | |||
10.500%, 12/21/26(1) | 14,400ZAR | 1,113 | |
8.250%, 3/31/32(1) | 12,500ZAR | 801 | |
Total Foreign Government Securities (Identified Cost $3,426) | 3,273 | ||
Shares | ||
Common Stocks—19.8% | ||
Communication Services—0.6% | ||
BCE, Inc. | 244 | 11 |
Cellnex Telecom SA 144A(2) | 688 | 21 |
Elisa OYJ | 483 | 20 |
Koninklijke KPN NV | 11,316 | 35 |
ProSiebenSat.1 Media SE | 748 | 12 |
Rogers Communications, Inc. Class B | 582 | 29 |
Scout24 AG 144A(2) | 345 | 18 |
SES SA | 1,230 | 21 |
Shaw Communications, Inc. Class B | 739 | 15 |
Telecom Italia SpA/Milano(3) | 34,646 | 19 |
TELUS Corp. | 317 | 12 |
Ubisoft Entertainment SA(3) | 237 | 23 |
United Internet AG | 401 | 16 |
252 | ||
Consumer Discretionary—0.8% | ||
Accor SA | 651 | 27 |
Canadian Tire Corp., Ltd. Class A | 97 | 11 |
Delivery Hero SE 144A(2)(3) | 421 | 19 |
Dollarama, Inc. | 487 | 15 |
Gildan Activewear, Inc. | 331 | 12 |
HUGO BOSS AG | 203 | 14 |
Magna International, Inc. | 508 | 28 |
Moncler SpA | 567 | 23 |
Nokian Renkaat OYJ | 443 | 15 |
Paddy Power Betfair plc(3) | 258 | 22 |
Porsche Automobil Holding SE | 499 | 35 |
Restaurant Brands International, Inc. | 382 | 25 |
Sodexo SA | 278 | 32 |
Stars Group, Inc. (The)(3) | 283 | 5 |
Valeo SA | 771 | 28 |
Zalando SE 144A(2)(3) | 472 | 22 |
333 | ||
Consumer Staples—0.4% | ||
Alimentation Couche-Tard, Inc. Class B | 701 | 41 |
Beiersdorf AG | 320 | 35 |
Colruyt SA | 206 | 15 |
Shares | Value | ||
Consumer Staples—continued | |||
Empire Co., Ltd. | 278 | $6 | |
George Weston, Ltd. | 123 | 9 | |
Heineken Holding NV | 322 | 33 | |
Loblaw Cos., Ltd. | 300 | 15 | |
Metro, Inc. | 390 | 14 | |
Saputo, Inc. | 374 | 13 | |
181 | |||
Energy—2.9% | |||
ARC Resources, Ltd. | 567 | 4 | |
BP PLC | 29,252 | 213 | |
Cameco Corp. | 634 | 7 | |
Canadian Natural Resources, Ltd. | 1,931 | 58 | |
Cenovus Energy, Inc. | 1,673 | 17 | |
Enagas SA | 728 | 21 | |
Enbridge, Inc. | 3,237 | 120 | |
Encana Corp. | 2,381 | 16 | |
Galp Energia SGPS SA | 1,574 | 26 | |
Husky Energy, Inc. | 563 | 6 | |
Imperial Oil, Ltd. | 444 | 13 | |
Inter Pipeline, Ltd. | 642 | 10 | |
Keyera Corp. | 335 | 8 | |
OMV AG | 458 | 25 | |
Pembina Pipeline Corp. | 810 | 28 | |
PrairieSky Royalty, Ltd. | 338 | 5 | |
Royal Dutch Shell PLC Class A | 6,747 | 215 | |
Seven Generations Energy, Ltd. Class A(3) | 435 | 3 | |
Suncor Energy, Inc. | 2,570 | 85 | |
Tenaris SA | 1,498 | 21 | |
TOTAL SA | 3,857 | 214 | |
Tourmaline Oil Corp. | 414 | 6 | |
TransCanada Corp. | 1,464 | 70 | |
Vermilion Energy, Inc. | 232 | 6 | |
1,197 | |||
Financials—2.9% | |||
Aegon NV | 5,755 | 30 | |
Ageas | 628 | 33 | |
ASR Nederland NV | 464 | 21 | |
Banco de Sabadell SA | 18,053 | 21 | |
Bank of Ireland Group PLC | 2,978 | 19 | |
Bank of Montreal | 1,025 | 81 | |
Bank of Nova Scotia (The) | 1,965 | 108 | |
Bankinter SA | 2,071 | 16 | |
Brookfield Asset Management, Inc. Class A | 1,351 | 65 | |
Canadian Imperial Bank of Commerce | 709 | 60 | |
CI Financial Corp. | 379 | 5 | |
Commerzbank AG(3) | 3,250 | 29 | |
EXOR NV | 371 | 25 | |
Fairfax Financial Holdings, Ltd. | 44 | 21 | |
FinecoBank Banca Fineco SpA | 1,262 | 17 | |
Great-West Lifeco, Inc. | 446 | 11 | |
Groupe Bruxelles Lambert SA | 259 | 25 | |
Hannover Rueck SE | 193 | 29 | |
iA Financial Corp, Inc. | 176 | 7 |
Shares | Value | ||
Financials—continued | |||
IGM Financial, Inc. | 141 | $4 | |
Intact Financial Corp. | 223 | 18 | |
Manulife Financial Corp. | 3,179 | 59 | |
Mediobanca Banca di Credito Finanziario SpA | 2,256 | 24 | |
National Bank of Canada | 538 | 26 | |
Natixis SA | 2,961 | 17 | |
Onex Corp. | 137 | 8 | |
Power Corp. of Canada | 482 | 11 | |
Power Financial Corp. | 425 | 10 | |
Royal Bank of Canada | 2,305 | 184 | |
SCOR SE | 565 | 23 | |
Sun Life Financial, Inc. | 966 | 40 | |
Toronto-Dominion Bank (The) | 2,931 | 167 | |
1,214 | |||
Health Care—0.5% | |||
Aurora Cannabis, Inc.(3) | 1,118 | 10 | |
Bausch Health Cos, Inc.(3) | 504 | 12 | |
Canopy Growth Corp.(3) | 330 | 17 | |
Cronos Group, Inc.(3) | 293 | 5 | |
Eurofins Scientific SE | 36 | 16 | |
Galapagos NV(3) | 153 | 17 | |
Grifols SA | 946 | 26 | |
Ipsen SA | 117 | 14 | |
Orpea | 154 | 19 | |
QIAGEN NV(3) | 754 | 29 | |
Sartorius AG | 110 | 20 | |
Siemens Healthineers AG 144A(2) | 481 | 21 | |
206 | |||
Industrials—1.6% | |||
Aeroports de Paris | 90 | 18 | |
Alstom SA | 530 | 23 | |
Bombardier, Inc. Class B(3) | 3,404 | 6 | |
Brenntag AG | 496 | 27 | |
Bureau Veritas SA | 917 | 23 | |
CAE, Inc. | 427 | 10 | |
Canadian National Railway Co. | 1,166 | 108 | |
Canadian Pacific Railway, Ltd. | 228 | 51 | |
Deutsche Lufthansa AG | 762 | 18 | |
Edenred | 768 | 36 | |
Eiffage SA | 320 | 34 | |
Finning International, Inc. | 269 | 5 | |
GEA Group AG | 475 | 13 | |
Getlink SE | 1,402 | 23 | |
Kingspan Group plc | 495 | 26 | |
KION Group AG | 208 | 14 | |
Knorr-Bremse AG(3) | 154 | 17 | |
Leonardo SpA | 1,295 | 15 | |
OSRAM Licht AG | 311 | 11 | |
Prysmian SpA | 860 | 17 | |
Randstad NV | 383 | 22 | |
Rexel SA | 975 | 13 | |
Rheinmetall AG | 140 | 16 | |
Safran SA(4)(5) | 246 | 36 | |
SNC-Lavalin Group, Inc. | 281 | 7 | |
Teleperformance | 188 | 36 | |
Thomson Reuters Corp. | 323 | 20 |
Shares | Value | ||
Industrials—continued | |||
Wartsila OYJ Abp | 1,458 | $23 | |
WSP Global, Inc. | 167 | 9 | |
677 | |||
Information Technology—1.8% | |||
Adyen NV 144A(2)(3) | 45 | 37 | |
Atos SE | 303 | 31 | |
BlackBerry Ltd.(3) | 818 | 8 | |
CGI, Inc.(3) | 399 | 29 | |
Constellation Software, Inc. | 32 | 28 | |
Ingenico Group SA | 192 | 16 | |
InterXion Holding NV(3) | 932 | 64 | |
Micron Technology, Inc.(3) | 4,217 | 177 | |
Open Text Corp. | 430 | 17 | |
Samsung Electronics Co. Ltd. | 4,081 | 160 | |
Shopify, Inc. Class A(3) | 144 | 35 | |
SK Hynix, Inc. | 2,488 | 168 | |
770 | |||
Materials—2.5% | |||
Agnico Eagle Mines Ltd. | 375 | 16 | |
Anglo American PLC | 7,741 | 200 | |
Arkema SA | 230 | 24 | |
Barrick Gold Corp. | 2,797 | 36 | |
BHP Group PLC | 8,991 | 212 | |
CCL Industries, Inc. Class B | 239 | 10 | |
Evonik Industries AG | 534 | 16 | |
First Quantum Minerals, Ltd. | 1,104 | 12 | |
Franco-Nevada Corp. | 298 | 21 | |
Glencore PLC | 49,169 | 195 | |
K+S AG | 614 | 12 | |
Kinross Gold Corp.(3) | 2,002 | 6 | |
LANXESS AG | 264 | 15 | |
Lundin Mining Corp. | 1,057 | 6 | |
Methanex Corp. | 100 | 6 | |
Nutrien, Ltd. | 984 | 53 | |
Smurfit Kappa Group PLC | 725 | 21 | |
Solvay SA | 235 | 28 | |
Stora Enso OYJ Class R | 1,964 | 24 | |
Symrise AG | 415 | 40 | |
Teck Resources, Ltd. Class B | 817 | 19 | |
thyssenkrupp AG | 1,579 | 22 | |
Turquoise Hill Resources, Ltd.(3) | 1,745 | 3 | |
Umicore SA | 652 | 25 | |
West Fraser Timber Co., Ltd. | 87 | 5 | |
Wheaton Precious Metals Corp. | 711 | 15 | |
1,042 | |||
Real Estate—5.1% | |||
Activia Properties, Inc. | 5 | 21 | |
Advance Residence Investment Corp. | 9 | 25 | |
AEON REIT Investment Corp. | 10 | 12 | |
American Tower Corp. | 984 | 192 | |
Aroundtown SA | 2,484 | 20 | |
Comforia Residential REIT, Inc. | 4 | 11 | |
CoreSite Realty Corp. | 1,742 | 191 | |
Covivio | 198 | 21 |
Shares | Value | ||
Real Estate—continued | |||
CRE Logistics REIT, Inc. | 1 | $1 | |
Crown Castle International Corp. | 1,544 | 194 | |
CyrusOne, Inc. | 2,248 | 125 | |
Daiwa House REIT Investment Corp. | 12 | 28 | |
Daiwa Office Investment Corp. | 2 | 13 | |
Digital Realty Trust, Inc. | 1,594 | 188 | |
Equinix, Inc. | 419 | 191 | |
ESCON Japan Reit Investment Corp. | 1 | 1 | |
First Capital Realty, Inc. | 280 | 4 | |
Frontier Real Estate Investment Corp. | 3 | 12 | |
Fukuoka REIT Corp. | 5 | 8 | |
Gecina SA | 175 | 26 | |
Global One Real Estate Investment Corp. | 6 | 7 | |
GLP J-REIT | 22 | 24 | |
H&R Real Estate Investment Trust | 224 | 4 | |
Hankyu Hanshin REIT, Inc. | 4 | 5 | |
Health Care & Medical Investment Corp. | 2 | 2 | |
Heiwa Real Estate REIT, Inc. | 6 | 7 | |
Hoshino Resorts REIT, Inc. | 1 | 5 | |
Hulic Reit, Inc. | 7 | 11 | |
Ichigo Hotel REIT Investment Corp. | 2 | 2 | |
Ichigo Office REIT Investment | 8 | 7 | |
Industrial & Infrastructure Fund Investment Corp. | 11 | 12 | |
Invesco Office J-REIT, Inc. | 54 | 8 | |
Invincible Investment Corp. | 32 | 16 | |
Itochu Advance Logistics Investment Corp. | 1 | 1 | |
Japan Excellent, Inc. | 8 | 11 | |
Japan Hotel REIT Investment Corp. | 30 | 24 | |
Japan Logistics Fund, Inc. | 6 | 13 | |
Japan Prime Realty Investment Corp. | 6 | 24 | |
Japan Real Estate Investment Corp. | 9 | 50 | |
Japan Rental Housing Investments, Inc. | 10 | 8 | |
Japan Retail Fund Investment Corp. | 17 | 33 | |
Kenedix Office Investment Corp. | 3 | 20 | |
Kenedix Residential Next Investment Corp. | 5 | 8 | |
Kenedix Retail REIT Corp. | 3 | 7 | |
Klepierre SA | 697 | 25 | |
LaSalle Logiport REIT | 7 | 7 | |
LEG Immobilien AG | 203 | 24 | |
MCUBS MidCity Investment Corp. | 10 | 9 | |
Merlin Properties Socimi SA | 1,172 | 16 | |
Mirai Corp. | 8 | 4 | |
Mitsubishi Estate Logistics REIT Investment Corp. | 1 | 2 |
Shares | Value | ||
Real Estate—continued | |||
Mitsui Fudosan Logistics Park, Inc. | 2 | $6 | |
Mori Hills REIT Investment Corp. | 10 | 13 | |
Mori Trust Hotel REIT, Inc. | 2 | 2 | |
Mori Trust Sogo REIT, Inc. | 6 | 9 | |
Nippon Accommodations Fund, Inc. | 3 | 15 | |
Nippon Building Fund, Inc. | 9 | 58 | |
Nippon Prologis REIT, Inc. | 12 | 26 | |
NIPPON REIT Investment Corp. | 3 | 11 | |
Nomura Real Estate Master Fund, Inc. | 27 | 40 | |
One REIT, Inc. | 1 | 2 | |
Ooedo Onsen REIT Investment Corp. | 2 | 2 | |
Orix REIT, Inc. | 18 | 32 | |
Premier Investment Corp. | 8 | 10 | |
RioCan Real Estate Investment Trust | 241 | 5 | |
Sakura Sogo REIT Investment Corp. | 2 | 2 | |
Samty Residential Investment Corp. | 2 | 2 | |
SBA Communications, Corp.(3) | 631 | 129 | |
Sekisui House REIT, Inc. | 23 | 17 | |
SmartCentres Real Estate Investment Trust | 116 | 3 | |
Star Asia Investment Corp. | 3 | 3 | |
Starts Proceed Investment Corp. | 1 | 2 | |
Takara Leben Real Estate Investment Corp. | 1 | 1 | |
Tokyu REIT, Inc. | 6 | 9 | |
Tosei REIT Investment Corp. | 2 | 2 | |
United Urban Investment Corp. | 20 | 32 | |
XYMAX REIT Investment Corp. | 1 | 1 | |
2,114 | |||
Utilities—0.7% | |||
AltaGas, Ltd. | 433 | 6 | |
Atco, Ltd. Class I | 122 | 4 | |
Canadian Utilities, Ltd. Class A | 207 | 6 | |
EDP - Energias de Portugal SA | 8,158 | 31 | |
Electricite de France SA | 1,574 | 23 | |
Emera, Inc. | 101 | 4 | |
Endesa SA | 1,016 | 25 | |
Fortis, Inc. | 683 | 25 | |
Fortum OYJ | 1,427 | 30 | |
Hydro One, Ltd. 144A(2) | 525 | 8 | |
Naturgy Energy Group SA | 1,122 | 32 | |
Red Electrica Corp. SA | 1,389 | 29 | |
Rubis SCA | 278 | 15 | |
Suez | 1,237 | 17 | |
Terna Rete Elettrica Nazionale SpA | 4,604 | 28 |
Shares | Value | ||
Utilities—continued | |||
Uniper SE | 618 | $19 | |
302 | |||
Total Common Stocks (Identified Cost $7,822) | 8,288 | ||
Exchange-Traded Funds—10.1% | |||
Invesco Emerging Markets Sovereign Debt ETF(6) | 76,725 | 2,145 | |
iShares JP Morgan USD Emerging Markets Bond ETF(6) | 19,192 | 2,107 | |
Total Exchange-Traded Funds (Identified Cost $4,183) | 4,252 | ||
Purchased Options—0.3% | |||
(See open purchased options schedule) | |||
Total Purchased Options (Premiums paid $192) | 109 | ||
Purchased Swaptions—0.0% | |||
(See open purchased swaptions schedule) | |||
Total Purchased Swaptions (Premiums paid $0) | 7 | ||
Total Long-Term Investments—38.0% (Identified Cost $15,623) | 15,929 | ||
Short-Term Investments—40.3% | |||
Money Market Mutual Fund—28.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 2.33%) Class I(6) | 11,865,750 | 11,866 | |
Total Money Market Mutual Fund (Identified Cost $11,866) | 11,866 | ||
Par Value | Value | ||
U.S. Government Security—12.0% | |||
U.S. Treasury Bill (seven-day effective yield 0.085%) | 5,000 | $5,000 | |
Total U.S. Government Security (Identified Cost $5,000) | 5,000 | ||
Total Short-Term Investments (Identified Cost $16,866) | 16,866 | ||
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—78.3% (Identified Cost $32,489) | $32,795 | ||
Written Options—(0.0)% | ||
(See open written options schedule) | ||
Total Written Options (Premiums received $16) | (24) | |
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—78.3% (Identified Cost $32,473) | $32,771 | |
Other assets and liabilities, net—21.7% | 9,103 | |
NET ASSETS—100.0% | $41,874 |
Abbreviations: | |
ETF | Exchange-Traded Fund |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
TERM | Payment Frequency at Termination |
Footnote Legend: | |
(1) | Par value reported in thousands. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2019, these securities amounted to a value of $146 or 0.3% of net assets. |
(3) | Non-income producing. |
(4) | Security valued at fair value as determined in good faith by or under the direction of the Trustees. |
(5) | Non-tradable security. |
(6) | Shares of these funds are publicly offered, and the prospectus and annual reports of each are publicly available. |
Counterparties: | |
BNP | BNP Paribas |
CITI | Citibank |
GS | Goldman Sachs & Co. |
JPM | JPMorgan Chase Bank N.A. |
ML | Merrill Lynch |
Nomura | Nomura Global Financial Products, Inc. |
Soc Gen | Societe Generale |
Foreign Currencies: | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
EUR | Euro |
GBP | United Kingdom Pound Sterling |
HKD | Hong Kong Dollar |
IDR | Indonesian Rupiah |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SGD | Singapore Dollar |
TRY | Turkish Lira |
TWD | Taiwan Dollar |
USD | United States Dollar |
ZAR | South African Rand |
Country Weightings† | |
United States | 69% |
Canada | 7 |
South Africa | 6 |
Indonesia | 4 |
United Kingdom | 3 |
France | 3 |
Japan | 2 |
Other | 6 |
Total | 100% |
† % of total investments as of, net of written options, April 30, 2019. |
Open purchased option contracts as of April 30, 2019 were as follows: | ||||||
Description of Options | Counterparty | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Put Options | ||||||
Put USD 295 versus Call TRY 1,180 | CITI | 295,000 | $295 | $4.00 | 05/04/20 | $—(2) |
Put USD 590 versus Call TRY 2,360 | CITI | 590,000 | 590 | 4.00 | 06/04/20 | —(2) |
Put USD 591 versus Call TRY 2,246 | CITI | 590,862 | 591 | 3.80 | 06/19/19 | —(2) |
Put USD 295 versus Call TRY 1,121 | CITI | 295,000 | 295 | 3.80 | 06/27/19 | —(2) |
Put USD 591 versus Call TRY 2,246 | CITI | 591,292 | 591 | 3.80 | 07/10/19 | —(2) |
Put USD 295 versus Call TRY 1,121 | CITI | 295,431 | 295 | 3.80 | 07/17/19 | —(2) |
S&P 500® Index | JPM | 3 | —(2) | 2,900.00 | 06/21/19 | 10 |
Call Options | ||||||
DJ Euro Stoxx Banks | JPM | 111 | 1 | 3,500.00 | 06/21/19 | 48 |
DJ Euro Stoxx Banks | JPM | 186 | 9 | 102.50 | 06/21/19 | 16 |
S&P 500® Index | JPM | 12 | 1 | 2,980.00 | 06/21/19 | 35 |
Total | $109 |
Footnote Legend: | |
(1) | Strike price not reported in thousands. |
(2) | Amount is less than $500. |
Open purchased swaption contracts as of April 30, 2019 were as follows: | ||||||
Description of Swaptions | Counterparty | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Put Swaptions | ||||||
30-Year USD Interest Rate Swap | GS | 1,900,000 | $1,900 | $2.24 | 07/03/19 | $24 |
30-Year USD Interest Rate Swap | GS | 1,900,000 | 1,900 | 1.24 | 07/03/19 | (17) |
Total | $7 |
Footnote Legend: | |
(1) | Strike price not reported in thousands. |
Open written option contracts as of April 30, 2019 were as follows: | ||||||
Description of Options | Counterparty | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Option | ||||||
S&P 500® Index | JPM | (3) | $—(2) | $2,900.00 | 06/21/19 | $(24) |
Total | $(24) |
Footnote Legend: | |
(1) | Strike price not reported in thousands. |
(2) | Amount is less than $500. |
Futures contracts as of April 30, 2019 were as follows: | ||||
Issue | Expiration | Contracts Purchased/(Sold) | Notional Value | Value/Unrealized Appreciation (Depreciation) |
TOPIX Index Future | June 2019 | 16 | $2,320 | $15 |
U.S. Ultra Bond Future | June 2019 | 59 | 9,693 | 146 |
ASX SPI 200 Future | June 2019 | (21) | (2,333) | (47) |
Euro Stoxx 50 Future | June 2019 | (30) | (1,162) | (16) |
FTSE 100 Index Future | June 2019 | 9 | 865 | 37 |
MSCI Brazil Index Future | June 2019 | (16) | (850) | 25 |
MSCI Emerging Markets Index Future | June 2019 | 31 | 1,674 | 62 |
S&P 500 E-Mini Future | June 2019 | 18 | 2,654 | 155 |
Stoxx Europe 600 Future | June 2019 | (60) | (1,302) | (23) |
Total | $354 |
Forward foreign currency exchange contracts as of April 30, 2019 were as follows: | |||||||
Currency Purchased | Value(1) | Currency Sold | Value(1) | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) |
AUD(2) | 2,067 | NZD | 2,181 | CITI | 06/19/19 | $—(3) | $— |
AUD(2) | 1,033 | NZD | 1,093 | GS | 06/19/19 | — | (1) |
BRL(2) | 1,850 | USD | 477 | CITI | 07/17/19 | — | (8) |
CAD(2) | 162 | USD | 121 | BNP | 05/15/19 | — | (—)(3) |
CAD(2) | 7 | USD | 5 | BNP | 05/15/19 | —(3) | — |
CAD(2) | 632 | USD | 471 | GS | 05/15/19 | 1 | — |
EUR(2) | 394 | USD | 449 | JPM | 05/15/19 | — | (6) |
GBP(2) | 214 | USD | 277 | JPM | 05/15/19 | 1 | — |
GBP(2) | 191 | USD | 249 | ML | 05/15/19 | —(3) | — |
JPY(2) | 146,073 | AUD | 1,858 | JPM | 05/15/19 | 3 | — |
JPY(2) | 80,568 | USD | 728 | BNP | 05/15/19 | — | (3) |
JPY(2) | 24,148 | USD | 217 | GS | 05/15/19 | — | (—)(3) |
JPY(2) | 145,945 | USD | 1,309 | JPM | 05/15/19 | 3 | — |
JPY(2) | 41,214 | USD | 371 | JPM | 05/15/19 | — | (—)(3) |
JPY(2) | 95,529 | USD | 859 | ML | 05/15/19 | — | (—)(3) |
JPY(2) | 31,200 | USD | 281 | Nomura | 05/15/19 | — | (—)(3) |
JPY(2) | 182,549 | SGD | 2,235 | Soc Gen | 06/19/19 | 1 | — |
KRW(2) | 41,500 | USD | 37 | BNP | 05/15/19 | — | (1) |
KRW(2) | 180,000 | USD | 158 | JPM | 05/15/19 | — | (4) |
MXN(2) | 18,845 | USD | 963 | JPM | 05/15/19 | 29 | — |
NOK(2) | 25,585 | EUR | 2,649 | BNP | 07/17/19 | — | (17) |
SGD(2) | 2,235 | JPY | 183,861 | JPM | 06/19/19 | — | (13) |
SGD(2) | 338 | USD | 250 | GS | 06/19/19 | — | (1) |
TRY(2) | 2,603 | USD | 470 | CITI | 05/15/19 | — | (38) |
TWD(2) | 12,110 | USD | 393 | BNP | 05/15/19 | — | (1) |
USD(2) | 217 | CAD | 286 | CITI | 05/15/19 | 4 | — |
USD(2) | 2,592 | CAD | 3,430 | Soc Gen | 05/15/19 | 30 | — |
USD(2) | 20 | EUR | 18 | BNP | 05/15/19 | —(3) | — |
USD(2) | 410 | EUR | 359 | GS | 05/15/19 | 6 | — |
USD(2) | 2,664 | EUR | 2,344 | ML | 05/15/19 | 31 | — |
USD(2) | 1,394 | GBP | 1,077 | JPM | 05/15/19 | — | (12) |
USD(2) | 3,637 | JPY | 400,892 | JPM | 05/15/19 | 33 | — |
USD(2) | 69 | JPY | 7,697 | ML | 05/15/19 | — | (—)(3) |
USD(2) | 1,369 | KRW | 1,548,853 | CITI | 05/15/19 | 42 | — |
USD(2) | 1,306 | KRW | 1,463,629 | JPM | 05/15/19 | 53 | — |
USD(2) | 121 | MXN | 2,300 | ML | 05/15/19 | —(3) | — |
USD(2) | 470 | TRY | 2,752 | JPM | 05/15/19 | 13 | — |
USD(2) | 394 | TWD | 12,110 | CITI | 05/15/19 | 2 | — |
USD(2) | 863 | ZAR | 12,150 | CITI | 05/15/19 | 15 | — |
USD(2) | 1,138 | ZAR | 15,900 | ML | 05/15/19 | 28 | — |
USD(2) | 1,972 | SGD | 2,667 | GS | 06/19/19 | 9 | — |
USD(2) | 2,559 | TWD | 78,814 | BNP | 06/19/19 | — | (—)(3) |
Forward foreign currency exchange contracts as of April 30, 2019 were as follows (continued): | ||||||||
Currency Purchased | Value(1) | Currency Sold | Value(1) | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |
USD(2) | 859 | AUD | 1,200 | JPM | 07/17/19 | $12 | $— | |
USD(2) | 463 | BRL | 1,850 | CITI | 07/17/19 | — | (6) | |
ZAR(2) | 15,114 | USD | 1,076 | CITI | 05/15/19 | — | (21) | |
Total | $316 | $(132) |
Footnote Legend: | |
(1) | Reported in thousands. |
(2) | Non deliverable forward. See Note 3B in the Notes to Financial Statements. |
(3) | Amount is less than $500. |
Centrally cleared inflation swaps outstanding as of April 30, 2019 were as follows: | |||||||||||||
Fixed Rate | Floating Rate | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized Depreciation | ||||
1.995%(1) | 1-Month-USCPI | TERM | JPM | 06/27/27 | 1,100 | USD | $11 | $— | $11 | $— | |||
2.034%(1) | 1-Month USCPI | TERM | JPM | 02/01/29 | 5,600 | USD | 44 | — | 44 | — | |||
2.070%(1) | 1-Month USCPI | TERM | JPM | 02/13/29 | 1,000 | USD | 5 | — | 5 | — | |||
2.070%(2) | 1-Month USCPI | TERM | JPM | 02/04/29 | 1,000 | USD | (5) | — | — | (5) | |||
Total | $55 | $— | $60 | $(5) |
Footnote Legend: | |
(1) | Fund pays the fixed rate and receives the floating rate. |
(2) | Fund pays the floating rate and receives the fixed rate. |
Over-the-counter inflation swaps outstanding as of April 30, 2019 were as follows: | |||||||||||||
Fixed Rate | Floating Rate | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized Depreciation | ||||
2.281%(1) | 1-Month USCPI | TERM | JPM | 10/31/28 | 2,700 | USD | $(49) | $— | $— | $(49) | |||
Total | $(49) | $— | $— | $(49) |
Footnote Legend: | |
(1) | Fund pays the fixed rate and receives the floating rate. |
Centrally cleared interest rate swaps outstanding as of April 30, 2019 were as follows: | |||||||||||||
Fixed Rate | Floating Rate | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized Depreciation | ||||
1.765%(1) | 6-Month LIBOR | Semi | JPM | 10/06/47 | 3,865 | GBP | $(115) | $— | $— | $(115) | |||
1.519%(1) | 6-Month LIBOR | Semi | JPM | 01/14/48 | 1,850 | GBP | 13 | — | 13 | — | |||
Total | $(102) | $— | $13 | $(115) |
Footnote Legend: | |
(1) | Fund pays the fixed rate and receives the floating rate. |
Over-the-counter variance swaps outstanding as of April 30, 2019 were as follows: | |||||||||||||
Referenced Entity | Strike Price | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized Depreciation | ||||
S&P 500® Composite Stock Price Index(1) | $21.00 | TERM | ML | 12/20/19 | 16 | USD | $51 | $— | $51 | $— | |||
S&P 500® Composite Stock Price Index(1) | 27.90 | TERM | ML | 12/17/21 | 44 | USD | (55) | — | — | (55) | |||
Hang Seng China Enterprises Index(2) | 28.05 | TERM | JPM | 12/30/21 | 493 | HKD | (203) | — | — | (203) | |||
Hang Seng China Enterprises Index(2) | 28.05 | TERM | JPM | 12/30/19 | 180 | HKD | 155 | — | 155 | — | |||
Hang Seng China Enterprises Index(2) | 27.10 | TERM | Soc Gen | 12/30/19 | 6 | HKD | (4) | — | — | (4) | |||
S&P 500® Composite Stock Price Index(1) | 22.90 | TERM | Soc Gen | 12/20/19 | 1 | USD | 4 | — | 4 | — | |||
S&P 500® Composite Stock Price Index(1) | 22.75 | TERM | JPM | 12/20/19 | 1 | USD | 4 | — | 4 | — | |||
Hang Seng China Enterprises Index(2) | 26.50 | TERM | JPM | 12/30/19 | 5 | HKD | (4) | — | — | (4) | |||
Total | $(52) | $— | $214 | $(266) |
Footnote Legend: | |
(1) | Fund pays the variance payment and receives the fixed strike price. |
(2) | Fund pays the fixed strike price and receives the variance payment. |
Total Value at April 30, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Foreign Government Securities | $3,273 | $— | $3,273 | ||
U.S. Government Security | 5,000 | — | 5,000 | ||
Equity Securities: | |||||
Common Stocks | 8,288 | 8,252 | 36 | ||
Exchange-Traded Funds | 4,252 | 4,252 | — | ||
Money Market Mutual Fund | 11,866 | 11,866 | — | ||
Other Financial Instruments: | |||||
Purchased Options | 109 | 109 | — | ||
Purchased Swaptions | 24 | — | 24 | ||
Futures Contracts | 440 | 440 | — | ||
Forward Foreign Currency Exchange Contracts | 316 | — | 316 | ||
Centrally Cleared Inflation Swaps | 60 | — | 60 | ||
Centrally Cleared Interest Rate Swaps | 13 | — | 13 | ||
Over-the-Counter Variance Swaps | 214 | — | 214 | ||
Total Assets | 33,855 | 24,919 | 8,936 | ||
Liabilities: | |||||
Other Financial Instruments: | |||||
Purchased Swaptions | (17) | — | (17) | ||
Written Options | (24) | (24) | — | ||
Futures Contracts | (86) | (86) | — | ||
Forward Foreign Currency Exchange Contracts | (132) | — | (132) | ||
Centrally Cleared Inflation Swaps | (5) | — | (5) | ||
Over-the-Counter Inflation Swap | (49) | — | (49) | ||
Centrally Cleared Interest Rate Swaps | (115) | — | (115) | ||
Over-the-Counter Variance Swaps | (266) | — | (266) | ||
Total Liabilities | (694) | (110) | (584) | ||
Total Investments | $33,161 | $24,809 | $8,352 |
Shares | Value | ||
Exchange-Traded Fund—2.7% | |||
JPMorgan Alerian MLP Index ETN(1) | 9,870 | $247 | |
Total Exchange-Traded Fund (Identified Cost $273) | 247 | ||
Master Limited Partnerships and Related Companies—89.8% | |||
Diversified—26.5% | |||
Energy Transfer LP | 39,120 | 592 | |
Enterprise Products Partners LP | 17,155 | 491 | |
Kinder Morgan, Inc. | 22,660 | 450 | |
MPLX LP | 7,951 | 257 | |
ONEOK, Inc. | 6,270 | 426 | |
Pembina Pipeline Corp. | 5,515 | 197 | |
2,413 | |||
Downstream/Other—12.0% | |||
Cheniere Energy, Inc.(2) | 9,202 | 592 | |
Delek US Holdings, Inc. | 3,575 | 133 | |
Marathon Petroleum Corp. | 4,425 | 269 | |
Tellurian, Inc.(2) | 10,445 | 99 | |
1,093 | |||
Electric, LDC & Power—1.7% | |||
NextEra Energy Partners LP | 3,425 | 158 | |
Gathering/Processing—13.1% | |||
Antero Midstream Corp. | 27,215 | 332 | |
Hess Midstream Partners LP | 6,270 | 139 | |
Noble Midstream Partners LP | 2,325 | 80 | |
Targa Resources Corp. | 10,830 | 435 | |
Western Midstream Partners LP | 6,755 | 213 | |
1,199 | |||
Marine/Shipping—6.9% | |||
GasLog Ltd. | 10,000 | 156 | |
GasLog Partners LP | 9,045 | 190 |
Shares | Value | ||
Marine/Shipping—continued | |||
Golar LNG Ltd. | 14,570 | $285 | |
631 | |||
Natural Gas Pipelines—14.7% | |||
Tallgrass Energy LP | 14,400 | 348 | |
TransCanada Corp. | 5,355 | 256 | |
Williams Cos., Inc. (The) | 26,100 | 739 | |
1,343 | |||
Petroleum Transportation & Storage—12.1% | |||
Enbridge, Inc. | 4,905 | 181 | |
Magellan Midstream Partners LP | 2,240 | 139 | |
Phillips 66 Partners LP | 4,400 | 218 | |
Plains GP Holdings LP Class A | 24,024 | 567 | |
1,105 | |||
Upstream—2.8% | |||
Anadarko Petroleum Corp. | 3,465 | 252 | |
Total Master Limited Partnerships and Related Companies (Identified Cost $7,973) | 8,194 | ||
Total Long-Term Investments—92.5% (Identified Cost $8,246) | 8,441 | ||
Short-Term Investment—4.8% | |||
Money Market Mutual Fund—4.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 2.33%) Class I(1) | 441,772 | 442 | |
Total Short-Term Investment (Identified Cost $442) | 442 | ||
Value | ||
TOTAL INVESTMENTS—97.3% (Identified Cost $8,688) | $8,883 | |
Other assets and liabilities, net—2.7% | 243 | |
NET ASSETS—100.0% | $9,126 |
Abbreviations: | |
ETN | Exchange-Traded Note |
LP | Limited Partnership |
MLP | Master Limited Partnership |
Footnote Legend: | |
(1) | Shares of these funds are publicly offered, and the prospectus and annual reports of each are publicly available. |
(2) | Non-income producing. |
Country Weightings† | |
United States | 86% |
Canada | 7 |
Bermuda | 5 |
Marshall Island | 2 |
Total | 100% |
† % of total investments as of April 30, 2019. |
Ownership Structure (Unaudited)†,†† | |
Major Midstream Companies | 32% |
Midstream MLP | 24 |
Embedded General Partner | 22 |
MLP Affiliate & Other | 12 |
Exchange-Traded Note | 3 |
Foreign LP | 2 |
Cash & Other | 5 |
Total | 100% |
† % of total investments as of April 30, 2019. |
Total Value at April 30, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Master Limited Partnerships and Related Companies | $8,194 | $8,194 | |
Exchange-Traded Fund | 247 | 247 | |
Money Market Mutual Fund | 442 | 442 | |
Total Investments | $8,883 | $8,883 |
Shares | Value | ||
Common Stocks—90.7% | |||
Communication Services—7.7% | |||
Alphabet, Inc. Class C(1)(2) | 287 | $341 | |
Auto Trader Group plc | 39,636 | 292 | |
633 | |||
Consumer Discretionary—9.6% | |||
Home Depot, Inc. (The) | 1,426 | 290 | |
Pool Corp. | 1,507 | 277 | |
Thor Industries, Inc. | 3,440 | 227 | |
794 | |||
Consumer Staples—9.6% | |||
Hormel Foods Corp. | 4,136 | 165 | |
Lamb Weston Holdings, Inc. | 5,997 | 420 | |
Monster Beverage Corp.(2) | 3,473 | 207 | |
792 | |||
Financials—22.6% | |||
Berkley (W.R.) Corp. | 3,625 | 222 | |
FactSet Research Systems, Inc.(1) | 963 | 266 | |
Moelis & Co. Class A | 7,011 | 287 | |
Moody’s Corp. | 1,333 | 262 | |
Primerica, Inc.(1) | 2,730 | 356 | |
SEI Investments Co. | 4,050 | 220 | |
Signature Bank | 1,855 | 245 | |
1,858 | |||
Health Care—5.3% | |||
Mettler-Toledo International, Inc.(2) | 285 | 213 | |
Silk Road Medical, Inc.(2) | 387 | 16 | |
Zoetis, Inc. | 2,063 | 210 | |
439 | |||
Industrials—13.9% | |||
Expeditors International of Washington, Inc. | 2,754 | 219 | |
Lennox International, Inc. | 777 | 211 | |
Old Dominion Freight Line, Inc. | 1,633 | 244 | |
TransUnion | 3,636 | 253 | |
Verisk Analytics, Inc.(1) | 1,542 | 217 | |
1,144 | |||
Information Technology—17.3% | |||
Avalara, Inc.(2) | 3,035 | 179 | |
CDW Corp.(1) | 2,128 | 225 | |
DocuSign, Inc.(2) | 3,166 | 179 | |
Intuit, Inc.(1) | 825 | 207 | |
Jack Henry & Associates, Inc.(1) | 988 | 147 |
Shares | Value | ||
Information Technology—continued | |||
Trade Desk, Inc. (The) Class A(2) | 906 | $201 | |
Visa, Inc. Class A | 1,747 | 287 | |
1,425 | |||
Materials—3.0% | |||
Scotts Miracle-Gro Co. (The) | 2,922 | 249 | |
Real Estate—1.7% | |||
HFF, Inc. Class A | 2,852 | 136 | |
Total Common Stocks (Identified Cost $6,694) | 7,470 | ||
Total Long-Term Investments—90.7% (Identified Cost $6,694) | 7,470 | ||
Short-Term Investment—12.8% | |||
Money Market Mutual Fund—12.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 2.33%) Class I(3) | 1,049,580 | 1,050 | |
Total Short-Term Investment (Identified Cost $1,050) | 1,050 | ||
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT—103.5% (Identified Cost $7,744) | 8,520 | ||
Securities Sold Short(4)—(20.1)% | |||
Communication Services—(0.9)% | |||
WideOpenWest, Inc.(5) | (8,999) | (72) | |
Consumer Discretionary—(2.9)% | |||
H&R Block, Inc. | (3,592) | (98) | |
Houghton Mifflin Harcourt Co.(5) | (11,844) | (84) | |
Office Depot, Inc. | (23,361) | (56) | |
(238) | |||
Consumer Staples—(1.1)% | |||
Flowers Foods, Inc. | (4,041) | (88) | |
Energy—(0.8)% | |||
Superior Energy Services, Inc.(5) | (19,529) | (70) | |
Financials—(4.5)% | |||
Focus Financial Partners, Inc. Class A(5) | (2,477) | (93) |
Shares | Value | ||
Financials—continued | |||
LendingClub Corp.(5) | (28,949) | $(92) | |
Third Point Reinsurance, Ltd.(5) | (8,066) | (93) | |
Waddell & Reed Financial, Inc. Class A | (4,905) | (92) | |
(370) | |||
Industrials—(6.0)% | |||
ACCO Brands Corp. | (9,984) | (91) | |
Allison Transmission Holdings, Inc. | (1,508) | (71) | |
ArcBest Corp. | (2,718) | (84) | |
Deluxe Corp. | (2,049) | (92) | |
Quad/Graphics, Inc. | (5,875) | (72) | |
Werner Enterprises, Inc. | (2,519) | (84) | |
(494) | |||
Information Technology—(0.8)% | |||
Endurance International Group Holdings, Inc.(5) | (11,903) | (66) | |
Real Estate—(3.1)% | |||
Paramount Group, Inc. | (5,960) | (86) | |
Regency Centers Corp. | (1,269) | (85) | |
Retail Opportunity Investments Corp. | (4,979) | (88) | |
(259) | |||
Total Securities Sold Short (Proceeds $(1,704)) | (1,657) | ||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT—83.4% (Identified Cost $6,040) | $6,863 | ||
Other assets and liabilities, net—16.6% | 1,370 | ||
NET ASSETS—100.0% | $8,233 |
Footnote Legend: | |
(1) | All or portion segregated as collateral for securities sold short. |
(2) | Non-income producing. |
(3) | Shares of these funds are publicly offered, and the prospectus and annual reports of each are publicly available. |
(4) | The Fund is contractually responsible to the lender for any dividends payable and interest accrued on securities while those securities are in a short position. These dividends and interest are recorded as an expense of the Fund. |
(5) | No dividend expense on security sold short. |
Total Value at April 30, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $7,470 | $7,470 | |
Money Market Mutual Fund | 1,050 | 1,050 | |
Total Assets | 8,520 | 8,520 | |
Liabilities: | |||
Equity Securities: | |||
Common Stocks | (1,657) | (1,657) | |
Total Liabilities | (1,657) | (1,657) | |
Total Investments | $6,863 | $6,863 |
Aviva Multi-Strategy Target Return Fund | Duff & Phelps Select MLP and Energy Fund | KAR Long/Short Equity Fund | |||
Assets | |||||
Investment in securities at value(1) | $32,795 | $8,883 | $8,520 | ||
Foreign currency at value(2) | 329 | — | — | ||
Cash | 7,247 | 183 | — | ||
Collateral pledged for securities sold short | — | — | 1,713 | ||
Deposits with prime broker | 765 | — | — | ||
Variation margin receivable on cleared swaps | 588 | — | — | ||
Variation margin receivable on futures contracts | 65 | — | — | ||
Swaps at value | 287 | — | — | ||
Unrealized appreciation on forward foreign currency exchange contracts | 316 | — | — | ||
Receivables | |||||
Investment securities sold | 201 | 8 | — | ||
Fund shares sold | —(a) | — | 10 | ||
Receivable from adviser | — | — | —(a) | ||
Dividends and interest | 136 | 62 | 3 | ||
Tax reclaims | 11 | 1 | — | ||
Prepaid trustees retainer | —(a) | — | — | ||
Prepaid expenses | 25 | 21 | 28 | ||
Other assets | 2 | 1 | —(a) | ||
Total assets | 42,767 | 9,159 | 10,274 | ||
Liabilities | |||||
Written options at value(3) | 24 | — | — | ||
Securities sold short(4) | — | — | 1,657 | ||
Dividends and interest payable for securities sold short | — | — | 3 | ||
Variation margin payable on futures contracts | 10 | — | — | ||
Swaps at value | 435 | — | — | ||
Unrealized depreciation on forward foreign currency exchange contracts | 132 | — | — | ||
Payables | |||||
Fund shares repurchased | 182 | — | — | ||
Investment securities purchased | — | — | 377 | ||
Investment advisory fees | 30 | —(a) | — | ||
Distribution and service fees | 1 | 1 | —(a) | ||
Administration and accounting fees | 5 | 1 | 1 | ||
Transfer agent and sub-transfer agent fees and expenses | 8 | 1 | —(a) | ||
Professional fees | 36 | 29 | 3 | ||
Trustee deferred compensation plan | 2 | 1 | —(a) | ||
Other accrued expenses | 28 | —(a) | —(a) | ||
Total liabilities | 893 | 33 | 2,041 | ||
Net Assets | $41,874 | $9,126 | $8,233 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $45,188 | $9,363 | $7,386 | ||
Accumulated earnings (loss) | (3,314) | (237) | 847 | ||
Net Assets | $41,874 | $9,126 | $8,233 | ||
Aviva Multi-Strategy Target Return Fund | Duff & Phelps Select MLP and Energy Fund | KAR Long/Short Equity Fund | |||
Net Assets: | |||||
Class A | $1,546 | $3,618 | $119 | ||
Class C | $1,080 | $166 | $127 | ||
Class I | $39,147 | $5,342 | $4,756 | ||
Class R6 | $101 | $— | $3,231 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 163,216 | 394,038 | 10,000 | ||
Class C | 115,624 | 18,253 | 10,691 | ||
Class I | 4,119,141 | 582,972 | 397,497 | ||
Class R6 | 10,632 | — | 270,000 | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $9.47 | $9.18 | $11.95 | ||
Class C | $9.34 | $9.12 | $11.92 | ||
Class I | $9.50 | $9.16 | $11.96 | ||
Class R6 | $9.51 | $— | $11.97 | ||
Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $10.05 | $9.74 | $12.68 | ||
Maximum Sales Charge - Class A | 5.75% | 5.75% | 5.75% | ||
(1)Investment in securities at cost | $32,489 | $8,688 | $7,744 | ||
(2) Foreign currency at cost | $324 | $— | $— | ||
(3) Written options premiums received | $16 | $— | $— | ||
(4) Securities Sold Short Premiums | $— | $— | $1,704 |
(a) | Amount is less than $500. |
Aviva Multi-Strategy Target Return Fund | Duff & Phelps Select MLP and Energy Fund | KAR Long/Short Equity Fund(1) | |||
Investment Income | |||||
Dividends | $427 | $175 | $25 | ||
Interest | 337 | 4 | — | ||
Return of capital distributions | — | (61) | — | ||
Foreign taxes withheld | (48) | (2) | — | ||
Total investment income | 716 | 116 | 25 | ||
Expenses | |||||
Investment advisory fees | 373 | 30 | 22 | ||
Distribution and service fees, Class A | 2 | 2 | —(2) | ||
Distribution and service fees, Class C | 6 | 1 | —(2) | ||
Administration and accounting fees | 34 | 8 | 5 | ||
Transfer agent fees and expenses | 13 | 2 | 1 | ||
Sub-transfer agent fees and expenses, Class A | 1 | —(2) | —(2) | ||
Sub-transfer agent fees and expenses, Class C | —(2) | —(2) | —(2) | ||
Sub-transfer agent fees and expenses, Class I | 15 | —(2) | —(2) | ||
Custodian fees | 10 | —(2) | —(2) | ||
Printing fees and expenses | 12 | 1 | 1 | ||
Professional fees | 25 | 16 | 20 | ||
Registration fees | 30 | 22 | 18 | ||
Trustees’ fees and expenses | 3 | —(2) | —(2) | ||
Miscellaneous expenses | 5 | 1 | 1 | ||
Total expenses | 529 | 83 | 68 | ||
Dividend expense and interest expense on securities sold short | — | — | 11 | ||
Total expenses, including dividend and interest expense on securities sold short | 529 | 83 | 79 | ||
Less expenses reimbursed and/or waived by investment adviser(3) | (107) | (42) | (41) | ||
Net expenses | 422 | 41 | 38 | ||
Net investment income (loss) | 294 | 75 | (13) | ||
Aviva Multi-Strategy Target Return Fund | Duff & Phelps Select MLP and Energy Fund | KAR Long/Short Equity Fund(1) | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | $(4,594) | $(238) | $38 | ||
Foreign currency transactions | 16 | — | (2) | ||
Forward foreign currency transactions | 228 | — | — | ||
Written options | 1,200 | — | — | ||
Futures | 670 | — | — | ||
Swaps | (631) | — | — | ||
Net change in unrealized appreciation (depreciation) from: | |||||
Investments | 3,468 | 313 | 776 | ||
Securities sold short | — | — | 48 | ||
Foreign currency transactions | (16) | — | — | ||
Forward foreign currency transactions | (103) | — | — | ||
Written options | (110) | — | — | ||
Futures | (360) | — | — | ||
Swaps | (510) | — | — | ||
Net realized and unrealized gain (loss) on investments | (742) | 75 | 860 | ||
Net increase (decrease) in net assets resulting from operations | $(448) | $150 | $847 |
(1) | From inception date December 6, 2018. |
(2) | Amount is less than $500. |
(3) | See Note 4D in the Notes to Financial Statements. |
Aviva Multi-Strategy Target Return Fund | Duff & Phelps Select MLP and Energy Fund | ||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||
Increase (Decrease) in Net Assets Resulting From Operations | |||||||
Net investment income (loss) | $294 | $560 | $75 | $24 | |||
Net realized gain (loss) | (3,111) | 757 | (238) | 121 | |||
Net change in unrealized appreciation (depreciation) | 2,369 | (1,846) | 313 | (39) | |||
Increase (decrease) in net assets resulting from operations | (448) | (529) | 150 | 106 | |||
Dividends and Distributions to Shareholders: | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (50) | (3) | (9) | (6) | |||
Class C | (19) | (1) | (4) | (2) | |||
Class I | (1,589) | (162) | (134) | (112) | |||
Class R6 | (3) | —(1) | — | — | |||
Return of Capital: | |||||||
Class A | — | — | — | (2) | |||
Class C | — | — | — | —(1) | |||
Class I | — | — | — | (27) | |||
Dividends and Distributions to Shareholders | (1,661) | (166) | (147) | (149) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (971) | (265) | 3,250 | (62) | |||
Class C | (491) | (1,015) | 24 | 2 | |||
Class I | (33,599) | (27,397) | 396 | 22 | |||
Class R6 | —(1) | 2 | — | — | |||
Increase (decrease) in net assets from capital transactions | (35,061) | (28,675) | 3,670 | (38) | |||
Net increase (decrease) in net assets | (37,170) | (29,370) | 3,673 | (81) | |||
Net Assets | |||||||
Beginning of period | 79,044 | 108,414 | 5,453 | 5,534 | |||
End of Period | $41,874 | $79,044 | $9,126 | $5,453 |
(1) | Amount is less than $500. |
KAR Long/Short Equity Fund | |
From Inception: December 06, 2018 to April 30, 2019 (Unaudited) | |
Increase (Decrease) in Net Assets Resulting From Operations | |
Net investment income (loss) | $(13) |
Net realized gain (loss) | 36 |
Net change in unrealized appreciation (depreciation) | 824 |
Increase (decrease) in net assets resulting from operations | 847 |
Change in Net Assets from Capital Transactions (See Note 6): | |
Class A | 100 |
Class C | 107 |
Class I | 4,479 |
Class R6 | 2,700 |
Increase (decrease) in net assets from capital transactions | 7,386 |
Net increase (decrease) in net assets | 8,233 |
Net Assets | |
Beginning of period | — |
End of Period | $8,233 |
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Tax Return of Capital | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets (including dividend and interest expense on securities sold short)(4) | Ratio of Gross Expenses to Average Net Assets(4) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Aviva Multi-Strategy Target Return Fund | |||||||||||||||||
Class A | |||||||||||||||||
11/1/18 to 4/30/19(5) | $9.65 | 0.04 | (0.01) | 0.03 | (0.13) | — | (0.08) | (0.21) | (0.18) | $9.47 | 0.52 % | $1,546 | 1.69 % | 2.08 % | 0.80 % | 106 % | |
11/1/17 to 10/31/18 | 9.74 | 0.04 | (0.12) | (0.08) | (0.01) | — | — | (0.01) | (0.09) | 9.65 | (0.79) | 2,580 | 1.69 | 2.01 | 0.41 | 113 | |
11/1/16 to 10/31/17 | 9.71 | (0.01) | 0.07 | 0.06 | (0.01) | — | (0.02) | (0.03) | 0.03 | 9.74 | 0.63 | 2,873 | 1.69 | 2.14 | (0.09) | 106 | |
11/1/15 to 10/31/16 | 10.02 | (0.06) | (0.19) | (0.25) | (0.02) | — | (0.04) | (0.06) | (0.31) | 9.71 | (2.51) | 4,847 | 1.72 (6)(7) | 2.31 | (0.65) | 129 | |
7/20/15(8) to 10/31/15 | 10.00 | (0.04) | 0.06 | 0.02 | — | — | — | — | 0.02 | 10.02 | 0.20 | 863 | 1.80 | 4.07 | (1.40) | 1 | |
Class C | |||||||||||||||||
11/1/18 to 4/30/19(5) | $9.46 | — (9) | — | — (9) | (0.04) | — | (0.08) | (0.12) | (0.12) | $9.34 | 0.17 % | $1,080 | 2.44 % | 2.82 % | 0.06 % | 106 % | |
11/1/17 to 10/31/18 | 9.61 | (0.03) | (0.12) | (0.15) | — (9) | — | — | — (9) | (0.15) | 9.46 | (1.54) | 1,597 | 2.44 | 2.72 | (0.34) | 113 | |
11/1/16 to 10/31/17 | 9.62 | (0.08) | 0.07 | (0.01) | — | — | — | — | (0.01) | 9.61 | (0.10) | 2,637 | 2.44 | 2.89 | (0.85) | 106 | |
11/1/15 to 10/31/16 | 10.00 | (0.13) | (0.20) | (0.33) | (0.01) | — | (0.04) | (0.05) | (0.38) | 9.62 | (3.26) | 4,655 | 2.46 (6)(7) | 3.09 | (1.40) | 129 | |
7/20/15(8) to 10/31/15 | 10.00 | (0.06) | 0.06 | — | — | — | — | — | — | 10.00 | 0.00 | 448 | 2.55 | 4.63 | (2.15) | 1 | |
Class I | |||||||||||||||||
11/1/18 to 4/30/19(5) | $9.70 | 0.05 | (0.01) | 0.04 | (0.16) | — | (0.08) | (0.24) | (0.20) | $9.50 | 0.63 % | $39,147 | 1.44 % | 1.81 % | 1.05 % | 106 % | |
11/1/17 to 10/31/18 | 9.77 | 0.06 | (0.11) | (0.05) | (0.02) | — | — | (0.02) | (0.07) | 9.70 | (0.52) | 74,764 | 1.44 | 1.74 | 0.66 | 113 | |
11/1/16 to 10/31/17 | 9.74 | 0.02 | 0.07 | 0.09 | (0.04) | — | (0.02) | (0.06) | 0.03 | 9.77 | 0.92 | 102,802 | 1.44 | 1.88 | 0.16 | 106 | |
11/1/15 to 10/31/16 | 10.03 | (0.04) | (0.19) | (0.23) | (0.02) | — | (0.04) | (0.06) | (0.29) | 9.74 | (2.30) | 113,343 | 1.47 (6)(7) | 2.08 | (0.41) | 129 | |
7/20/15(8) to 10/31/15 | 10.00 | (0.03) | 0.06 | 0.03 | — | — | — | — | 0.03 | 10.03 | 0.30 | 53,325 | 1.55 | 3.24 | (1.15) | 1 | |
Class R6 | |||||||||||||||||
11/1/18 to 4/30/19(5) | $9.71 | 0.05 | (0.01) | 0.04 | (0.16) | — | (0.08) | (0.24) | (0.20) | $9.51 | 0.68 % | $101 | 1.38 % | 1.78 % | 1.17 % | 106 % | |
11/1/17 to 10/31/18 | 9.77 | 0.07 | (0.11) | (0.04) | (0.02) | — | — | (0.02) | (0.06) | 9.71 | (0.41) | 103 | 1.38 | 1.70 | 0.72 | 113 | |
11/3/16(8) to 10/31/17 | 9.65 | 0.02 | 0.16 | 0.18 | (0.04) | — | (0.02) | (0.06) | 0.12 | 9.77 | 1.87 | 102 | 1.39 | 1.84 | 0.21 | 106 | |
Duff & Phelps Select MLP and Energy Fund | |||||||||||||||||
Class A | |||||||||||||||||
11/1/18 to 4/30/19(5) | $9.26 | 0.09 | 0.07 | 0.16 | (0.24) | — | — | (0.24) | (0.08) | $9.18 | 2.15 % | $3,618 | 1.40 % | 2.68 % | 2.05 % | 18 % | |
11/1/17 to 10/31/18 | 9.39 | 0.02 | 0.07 | 0.09 | (0.17) | (0.05) | — | (0.22) | (0.13) | 9.26 | 0.79 | 321 | 1.45 (6) | 2.87 | 0.21 | 29 | |
11/1/16 to 10/31/17 | 9.57 | — (9) | 0.02 | 0.02 | (0.10) | (0.10) | — | (0.20) | (0.18) | 9.39 | 0.06 | 333 | 1.55 | 4.75 | 0.01 | 32 | |
11/1/15 to 10/31/16 | 9.79 | 0.06 | (0.10) | (0.04) | (0.08) | (0.10) | — | (0.18) | (0.22) | 9.57 | (0.17) | 226 | 1.56 (7) | 6.20 | 0.69 | 33 | |
9/9/15(8) to 10/31/15 | 10.00 | 0.01 | (0.22) | (0.21) | — | — | — | — | (0.21) | 9.79 | (2.10) | 102 | 1.55 | 10.70 | 1.00 | 0 | |
Class C | |||||||||||||||||
11/1/18 to 4/30/19(5) | $9.20 | 0.06 | 0.07 | 0.13 | (0.21) | — | — | (0.21) | (0.08) | $9.12 | 1.82 % | $166 | 2.15 % | 3.42 % | 1.30 % | 18 % | |
11/1/17 to 10/31/18 | 9.36 | (0.05) | 0.05 | — | (0.11) | (0.05) | — | (0.16) | (0.16) | 9.20 | (0.13) | 143 | 2.21 (6) | 3.61 | (0.55) | 29 | |
11/1/16 to 10/31/17 | 9.54 | (0.07) | 0.01 | (0.06) | (0.02) | (0.10) | — | (0.12) | (0.18) | 9.36 | (0.69) | 145 | 2.30 | 5.47 | (0.74) | 32 | |
11/1/15 to 10/31/16 | 9.78 | (0.01) | (0.09) | (0.10) | (0.04) | (0.10) | — | (0.14) | (0.24) | 9.54 | (0.93) | 128 | 2.31 (7) | 6.93 | (0.06) | 33 | |
9/9/15(8) to 10/31/15 | 10.00 | — (9) | (0.22) | (0.22) | — | — | — | — | (0.22) | 9.78 | (2.20) | 98 | 2.30 | 11.41 | 0.25 | 0 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Tax Return of Capital | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets (including dividend and interest expense on securities sold short)(4) | Ratio of Gross Expenses to Average Net Assets(4) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Duff & Phelps Select MLP and Energy Fund (Continued) | |||||||||||||||||
Class I | |||||||||||||||||
11/1/18 to 4/30/19(5) | $9.25 | 0.10 | 0.06 | 0.16 | (0.25) | — | — | (0.25) | (0.09) | $9.16 | 2.24 % | $5,342 | 1.15 % | 2.39 % | 2.26 % | 18 % | |
11/1/17 to 10/31/18 | 9.40 | 0.04 | 0.07 | 0.11 | (0.21) | (0.05) | — | (0.26) | (0.15) | 9.25 | 0.99 | 4,989 | 1.21 (6) | 2.56 | 0.45 | 29 | |
11/1/16 to 10/31/17 | 9.58 | 0.03 | 0.01 | 0.04 | (0.12) | (0.10) | — | (0.22) | (0.18) | 9.40 | 0.27 | 5,056 | 1.30 | 4.46 | 0.26 | 32 | |
11/1/15 to 10/31/16 | 9.79 | 0.08 | (0.09) | (0.01) | (0.10) | (0.10) | — | (0.20) | (0.21) | 9.58 | 0.10 | 4,738 | 1.31 (7) | 5.95 | 0.94 | 33 | |
9/9/15(8) to 10/31/15 | 10.00 | 0.02 | (0.23) | (0.21) | — | — | — | — | (0.21) | 9.79 | (2.10) | 4,699 | 1.30 | 10.41 | 1.25 | 0 | |
KAR Long/Short Equity Fund | |||||||||||||||||
Class A | |||||||||||||||||
12/6/18(8) to 4/30/19(5) | $10.00 | (0.03) | 1.98 | 1.95 | — | — | — | — | 1.95 | $11.95 | 19.50 % | $119 | 2.44 % (10) | 4.79 % | (0.83) % | 40 % | |
Class C | |||||||||||||||||
12/6/18(8) to 4/30/19(5) | $10.00 | (0.07) | 1.99 | 1.92 | — | — | — | — | 1.92 | $11.92 | 19.20 % | $127 | 3.19 % (10) | 5.54 % | (1.58) % | 40 % | |
Class I | |||||||||||||||||
12/6/18(8) to 4/30/19(5) | $10.00 | (0.05) | 2.01 | 1.96 | — | — | — | — | 1.96 | $11.96 | 19.60 % | $4,756 | 2.17 % (10) | 4.49 % | (1.16) % | 40 % | |
Class R6 | |||||||||||||||||
12/6/18(8) to 4/30/19(5) | $10.00 | (0.02) | 1.99 | 1.97 | — | — | — | — | 1.97 | $11.97 | 19.70 % | $3,231 | 2.12 % (10) | 4.52 % | (0.50) % | 40 % |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | Sales charges, where applicable, are not reflected in the total return calculation. |
(4) | Annualized for periods less than one year. |
(5) | Unaudited. |
(6) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(7) | Net expense ratio includes extraordinary proxy expenses. |
(8) | Inception date. |
(9) | Amount is less than $0.005 per share. |
(10) | The ratio of net expenses to average net assets excluding dividend and interest expense on securities sold short for the KAR Long/Short Equity Fund for Class A is 1.80%, for Class C is 2.55%, for Class I is 1.55% and for Class R6 is 1.48% for the period ended April 30, 2019. |
Fund | Investment objective(s) | |
Aviva Multi-Strategy Target Return Fund | Long-term total return. | |
Duff & Phelps Select MLP and Energy Fund | Total return with a secondary objective of income. | |
KAR Long/Short Equity Fund | Seeking long-term capital appreciation. |
A. | Security Valuation |
Each Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. Each Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period. |
• | Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
• | Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 – prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
B. | Security Transactions, Investment Income and Return of Capital Estimates |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as a Fund is notified. Interest income is recorded on the accrual basis. Each Fund amortizes premiums and accretes discounts using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from REIT and MLP investments is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed its cost basis, the distributions are treated as realized gains. The Duff & Phelps Select MLP and Energy Fund invests in MLPs that make distributions that are primarily attributable to return of capital. The actual amounts of income, return of capital, and capital gains are only determined by each REIT and MLP after its fiscal year-end, and may differ from the estimated amounts. | |
C. | Income Taxes |
Each Fund is treated as a separate taxable entity. It is the intention of each Fund to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. | |
Certain Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of April 30, 2019, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2015 forward (with limited exceptions). |
D. | Distributions to Shareholders |
Distributions are recorded by each Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by a Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expense to each Fund or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that a Fund bears directly, the shareholders of a Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. | |
F. | Foreign Currency Translation |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
G. | When-issued Purchases and Forward Commitments (Delayed Delivery) |
Certain Funds may engage in when-issued or forward commitment transactions. Transactions on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by a Fund to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable the Fund to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates. Each Fund records when-issued and forward commitment securities on the trade date. Each Fund maintains collateral for the securities purchased. Securities purchased on a when-issued or forward commitment basis begin earning interest on the settlement date. | |
H. | Short Sales |
Each Fund may sell securities short. A short sale is a transaction in which a Fund sells a security it does not own in anticipation of a decline in market price. To sell a security short, a Fund must borrow the security. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by the proceeds from the short sale retained by the broker and by cash and securities deposited in a segregated account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs. On ex-dividend date, dividends on short sales are recorded as an expense to the Fund. | |
In accordance with the terms of its prime brokerage agreement, KAR Long/Short Equity Fund may receive rebate income or be charged a fee on borrowed securities which is under “Interest expense on securities sold short” on the Statements of Operations. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security. |
A. | Futures Contracts |
A futures contract is an agreement between two parties to purchase (long) or sell (short) a security at a set price for delivery on a future date. Upon entering into a futures contract, a Fund is required to pledge to the broker an amount of cash and/or securities equal to the “initial margin” requirements of the futures exchange on which the contract is traded. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund for financial statement purposes on a daily basis as unrealized appreciation or depreciation. When the contract expires or is closed, 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 is realized. This is presented in the Statements of Operations as net realized gain (loss) on futures contracts. | |
During the fiscal period, Aviva Multi-Strategy Target Return Fund utilized futures to optimize performance by gaining exposure to broad markets or to hedge the risk of securities within the portfolios. The potential risks of doing so are that 1) the use of futures may result in larger losses or smaller gains than the use of more traditional investments, 2) the prices of futures and the price movements of the securities that the future is intended to simulate may not correlate well, 3) the Fund’s success in using futures will be dependent upon the subadviser’s ability to correctly predict such price movements, 4) liquidity of futures can be adversely affected by market factors, and the prices of such securities may move in unexpected ways, and 5) if the Fund cannot close out a futures position, it may be compelled to continue to make daily cash payments to the broker to meet margin requirements, thus increasing transaction costs. Futures contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments. |
B. | Forward Foreign Currency Exchange Contracts |
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Forward foreign currency exchange contracts, when used by a Fund, help to manage the overall exposure to the currencies in which some of the investments held by the Fund are denominated. The contract is marked-to-market daily, and the change in market value is recorded by the Fund as an unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts involves the risk that the value of the contract changes unfavorably due to movements in the value of the referenced foreign currencies. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency. | |
During the fiscal period, Aviva Multi-Strategy Target Return Fund entered into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, foreign currencies (foreign currency exchange rate risk). Forward foreign currency contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments. | |
C. | Options Contracts |
An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price. Certain Funds may purchase or write both put and call options on portfolio securities. A Fund doing so is subject to equity price risk and/or foreign currency risk in the normal course of pursuing its investment objectives. | |
When a Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. Holdings of the Fund designated to cover outstanding written options are noted in the Schedules of Investments. Purchased options are reported as an asset within “Investment in securities at value” in the Statements of Assets and Liabilities. Written options are reported as a liability within “Written options at value.” Changes in value of the purchased option are included in “Net change in unrealized appreciation (depreciation) from investments” in the Statements of Operations. Changes in value of written options are included in “Net change in unrealized appreciation (depreciation) from written options” in the Statements of Operations. | |
If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in “Net realized gain (loss) on investments” in the Statements of Operations. Gain or loss on written options is presented separately as “Net realized gain (loss) from written options” in the Statements of Operations. | |
The risk in writing call options is that the Fund gives up the opportunity for profit if the market price/foreign currency rate of the referenced security/currency increases and the option is exercised. The risk in writing put options is that the Fund may incur a loss if the market price/foreign currency rate of the referenced security/currency decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value. | |
During the fiscal period, Aviva Multi-Strategy Target Return Fund used options contracts to gain asymmetric exposure to, or hedge against, market and idiosyncratic risk or to reduce portfolio volatility. | |
D. | Swaps |
Certain Funds may enter into swap agreements, in which the Fund and a counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). The value of the swap is reflected on the Statements of Assets and Liabilities as “Swaps at value”. Swaps are marked-to-market daily and changes in value are recorded as “Net change in unrealized appreciation (depreciation) on swaps” in the Statements of Operations. | |
Any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown under “Swaps at value” in the Statements of Assets and Liabilities and are amortized over the term of the swap. When a swap is terminated, the Fund records 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 any. Generally, the basis of the contracts is the unamortized premium received or paid. Cash settlements between the Fund and the counterparty are recognized as “Net realized gain (loss) on swaps” in the Statements of Operations. Swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments. | |
In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is submitted to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through a clearing broker. Upon entering into a centrally cleared swap, a Fund is required to deposit initial margin with the clearing broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. | |
Securities deposited as margin are designated on the Schedule of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as “Cash pledged as collateral for swaps”. |
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions. | |
Credit default swaps– A Fund may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on a combination or basket of single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make specific payment should a negative credit event take place with respect to any of the referenced entities (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. The Funds may enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). | |
During the fiscal period, Aviva Multi-Strategy Target Return Fund utilized both single name credit default swaps and credit index swaps to gain long or short exposure to individual securities or to gain exposure to a credit or asset-backed index. | |
Total return swaps– Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Certain Funds may enter into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). | |
Certain Funds may enter into equity basket swaps to obtain exposure to a portfolio of long and short securities. Under the terms of the agreement, the swap is designed to function as a portfolio of direct investments in long and short equity or fixed income positions. This means that the Fund has the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as “financing costs”. Positions within the swap are reset periodically, and financing costs are reset monthly. | |
During a reset, any unrealized gains (losses) on positions and accrued financing costs become available for cash settlement between the Fund and the swap counterparty. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of the ISDA Master Agreement (defined below in “Derivative Risks”) between the Fund and the counterparty. | |
The value of the swap is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing prices on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable. The swap involves additional risks than if the Fund has invested in the underlying positions directly, including: the risk that changes in the swap may not correlate perfectly with the underlying long and short securities; credit risk related to the counterparty’s failure to perform under contract terms; and liquidity risk related to the lack of a liquid market for the swap contract, which may limit the ability of the Fund to close out its position(s). | |
During the fiscal period, Aviva Multi-Strategy Target Return Fund utilized total return swaps to gain exposure to broad markets or to hedge the risk of individual securities within the portfolios, obtain long or short exposure to the underlying reference instrument, obtain leverage and gain exposure to restricted markets in order to avoid the operational burden of ownership filing requirements. At April 30, 2019, the Aviva Multi-Strategy Target Return Fund did not hold Swap Baskets. | |
Interest rate swaps– Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. Certain Funds may enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). | |
During the fiscal period, Aviva Multi-Strategy Target Return Fund utilized interest rate swaps to gain exposure to interest rates or to hedge interest rate risk within its portfolio. |
Inflation swaps– Inflation swaps are contracts in which one party agrees to pay the cumulative percentage increase in a price index (e.g., the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), while the other pays a compounded fixed rate. One factor that may lead to changes in the values of inflation swaps is a change in real interest rates, which are tied to the relationship between nominal interest rates and the rate of inflation. If nominal interest rates increase at a faster rate than inflation, real interest rates may rise, which may lead to a decrease in value of an inflation swap. Certain Funds may enter into inflation swaps to hedge the inflation risk associated with non-inflation indexed investments, thereby creating “synthetic” inflation-indexed investments. | |
During the fiscal period, Aviva Multi-Strategy Target Return Fund utilized inflation swaps to hedge inflation risk within its portfolio or to gain exposure to the impact of inflation. | |
Variance swaps–Variance swaps are contracts in which two parties agree to exchange cash payments based on the difference between the stated level of variance and the actual variance realized on an underlying asset or index. Certain Funds may enter into variance swaps in an attempt to hedge equity market risk or adjust exposure to the equity markets. | |
During the fiscal period, Aviva Multi-Strategy Target Return Fund utilized variance swaps to capitalize on volatility in the equity markets. | |
The following is a summary of derivative instruments categorized by primary risk exposure as of April 30, 2019: |
Fair Values of Derivative Financial Instruments as of April 30, 2019 | ||
Derivative Assets | ||
Aviva Multi-Strategy Target Return Fund | ||
Primary Risk | Statement of Assets and Liabilities Location | Value |
Interest rate contracts | Investment in securities at value1; Net unrealized appreciation (depreciation) on investments2; Swaps at value | $243 |
Foreign currency exchange contracts | Investment in securities at value1; Unrealized appreciation on forward foreign currency exchange contracts | 316 |
Equity contracts | Net unrealized appreciation (depreciation) on investments2; Investment in securities at value; Swaps at value | 617 |
Total | $1,176 |
1 | Includes purchased options and swaptions at value as reported in the Schedules of Investments. |
2 | Includes cumulative appreciation (depreciation) on futures contracts and purchased options at value as reported in the Schedules of Investments. For futures contracts only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
Fair Value of Derivative Financial Instruments as of April 30, 2019 | ||
Derivative Liabilities | ||
Aviva Multi-Strategy Target Return Fund | ||
Primary Risk | Statement of Assets and Liabilities Location | Value |
Interest rate contracts | Investment in securities at value1; Net unrealized appreciation (depreciation) on investments2; Swaps at value | $186 |
Foreign currency exchange contracts | Unrealized depreciation on forward foreign currency exchange contracts | 132 |
Equity contracts | Written options at value; Net unrealized appreciation (depreciation) on investments2; Swaps at value | 376 |
Total | $694 |
1 | Includes purchased options and swaptions at value as reported in the Schedules of Investments. |
2 | Includes cumulative appreciation (depreciation) on futures contracts and purchased options at value as reported in the Schedules of Investments. For futures contracts only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The Effect of Derivative Financial Instruments in the Statement of Operations Six Months Ended April 30, 2019 | |||
Net Realized Gain (Loss) From | |||
Aviva Multi-Strategy Target Return Fund | |||
Interest rate contracts: | |||
Futures contracts1 | $91 | ||
Purchased swaptions2 | (1,349) | ||
Swaps3 | (577) | ||
Foreign currency exchange contracts: | |||
Forward foreign currency transactions4 | 228 | ||
Purchased options2 | (547) | ||
Written options5 | (16) | ||
Equity contracts: | |||
Futures1 | 579 | ||
Purchased options2 | (1,828) | ||
Written options5 | 1,216 | ||
Swaps3 | (190) | ||
Credit contracts: | |||
Swaps3 | 136 | ||
Total | $(2,257) |
1 Included in net realized gain (loss) from futures within the Statement of Operations. |
2 Included in net realized gain (loss) from investments within the Statement of Operations. |
3 Included in net realized gain (loss) from swaps within the Statement of Operations. |
4 Included in net realized gain (loss) from forward foreign currency transactions within the Statement of Operations. |
5 Included in net realized gain (loss) from written options within the Statement of Operations. |
The Effect of Derivative Financial Instruments in the Statement of Operations Six Months Ended April 30, 2019 | |||
Net Change in Unrealized Appreciation/(Depreciation) on | |||
Aviva Multi-Strategy Target Return Fund | |||
Interest rate contracts: | |||
Futures contracts1 | $(155) | ||
Purchased swaptions2 | (58) | ||
Swaps3 | (491) | ||
Foreign currency exchange contracts: | |||
Forward foreign currency transactions4 | (103) | ||
Purchased options2 | 470 | ||
Written options5 | 28 | ||
Equity contracts: | |||
Futures contracts1 | (205) | ||
Purchased options2 | 273 | ||
Written options5 | (138) | ||
Swaps3 | 71 | ||
Credit contracts: | |||
Swaps3 | (90) | ||
Total | $(398) |
1 Included in net change in unrealized appreciation (depreciation) from futures within the Statement of Operations. |
2 Included in net change in unrealized appreciation (depreciation) from investments within the Statement of Operations. |
3 Included in net change in unrealized appreciation (depreciation) from swaps within the Statement of Operations. |
4 Included in net change in unrealized appreciation (depreciation) from forward foreign currency transactions within the Statement of Operations. |
5 Included in net change in unrealized appreciation (depreciation) from written options within the Statement of Operations. |
Aviva Multi-Strategy Target Return Fund | |
Purchased Options | $1,070 |
Purchased Swaptions | 773 |
Written Options | (419) |
Futures Contracts - Long Positions | 144 |
Futures Contracts - Short Positions | 183 |
Forward Foreign Currency Exchange Purchase Contracts | 124,817 |
Forward Foreign Currency Exchange Sale Contracts | (40,332) |
Interest Rate Swap Agreements | 121,226 |
Credit Default Swap Agreements - Buy Protection | 11,258 |
Inflation Swap Agreements | 22,157 |
Variance Swap Agreements | 2,475 |
E. | Derivative Risks |
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract. | |
A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Fund. For OTC purchased options, each Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by a Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund, and not the counterparty, to perform. | |
With exchange traded purchased options and futures and centrally cleared swaps, generally speaking, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund. | |
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, each Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. | |
F. | Collateral Requirements and Master Netting Agreements (“MNA”) |
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. |
At April 30, 2019, the Funds’ derivative assets and liabilities (by type) are as follows: | |||||
Aviva Multi-Strategy Target Return Fund | |||||
Assets | Liabilities | ||||
Derivative Financial Instruments: | |||||
Futures contracts | $65 | $10 | |||
Forward foreign currency exchange contracts | 316 | 132 | |||
Swaps | 287 | 435 | |||
Purchased options | 109 | — | |||
Purchased swaptions | 24 | 17 | |||
Written options | — | 24 | |||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | $801 | $618 | |||
Derivatives not subject to a MNA or similar agreement | (247) | (154) | |||
Total assets and liabilities subject to a MNA | $554 | $464 |
Aviva Multi-Strategy Target Return Fund | ||||||||||
Counterparty | Derivative Assets Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-Cash Collateral Received1 | Cash Collateral Received1 | Net Amount of Derivative Assets2 | |||||
Citibank | $ 63 | $ (63) | $ — | $ — | $ — | |||||
Goldman Sachs & Co | 40 | (19) | — | — | 21 | |||||
JPMorgan Chase Bank N.A. | 306 | (291) | — | (15) | — | |||||
Merrill Lynch | 110 | (55) | — | — | 55 | |||||
Societe Generale | 35 | (4) | — | — | 31 | |||||
Total | $ 554 | $ (432) | $ — | $ (15) | $ 107 |
Counterparty | Derivatives Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged3 | Cash Collateral Pledged3 | Net Amount of Derivative Liabilities4 | |||||
BNP Paribas | $ 22 | $ — | $ — | $ — | $ 22 | |||||
Citibank | 73 | (63) | — | — | 10 | |||||
Goldman Sachs & Co | 19 | (19) | — | — | — | |||||
JPMorgan Chase Bank N.A. | 291 | (291) | — | — | — | |||||
Merrill Lynch | 55 | (55) | — | — | — | |||||
Societe Generale | 4 | (4) | — | — | — | |||||
Total | $ 464 | $ (432) | $ — | $ — | $ 32 |
A. | Investment Adviser |
Virtus Alternative Investment Advisers, Inc. (“VAIA” or the “Adviser”), an indirect wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Funds. The Adviser manages the Funds’ investment programs and general operations of the Funds, including oversight of the Funds’ subadvisers. | |
As compensation for its services to the Funds, the Adviser is entitled to a fee, which is calculated daily and paid monthly, based upon the following annual rates as a percentage of the average daily net assets of each Fund. |
All Assets | 1st $1 Billion | 1st $5 Billion | $1+ Billion | $5+ Billion | |||||
Aviva Multi-Strategy Target Return Fund | —% | —% | 1.30%* | —% | 1.25% | ||||
Duff & Phelps Select MLP and Energy Fund | 0.90 | — | — | — | — | ||||
KAR Long/Short Equity Fund | — | 1.25 | — | 1.20 | — |
B. | Subadvisers |
The subadvisers manage the investments of each Fund for which they are paid a fee by the Adviser. | |
The subadvisers and the Funds they serve as of the end of the period are as follows: Aviva Investors Americas LLC (“Aviva”), for Aviva Multi-Strategy Target Return Fund; Duff & Phelps Investment Management Co. (“Duff & Phelps”), an indirect wholly-owned subsidiary of Virtus, for Duff & Phelps Select MLP and Energy Fund; and Kayne Anderson Rudnick Investment Management, LLC (“KAR”), an indirect wholly-owned subsidiary of Virtus, for KAR Long/Short Equity Fund. | |
C. | Expense Limits and Fee Waivers |
The Adviser has contractually agreed to limit each Fund’s total operating expenses (excluding front-end or contingent deferred loads, taxes, leverage expenses, interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, unusual or infrequently occurring expenses (such as litigation), acquired fund fees and expenses, and dividend expenses, if any), so that such expenses do not exceed, on an annualized basis, the following respective percentages of average daily net assets through February 28, 2020. The waivers and reimbursements are accrued daily and received monthly. |
Fund | Class A | Class C | Class I | Class R6 | ||||
Aviva Multi-Strategy Target Return Fund | 1.69 % | 2.44 % | 1.44 % | 1.38 % | ||||
Duff & Phelps Select MLP and Energy Fund | 1.40 | 2.15 | 1.15 | N/A | ||||
KAR Long/Short Equity Fund | 1.80 | 2.55 | 1.55 | 1.48 |
D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. A Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending: |
Expiration | ||||||||||
Fund | 2019 | 2020 | 2021 | 2022 | Total | |||||
Aviva Multi-Strategy Target Return Fund | ||||||||||
Class A | $19 | $16 | $7 | $3 | $45 | |||||
Class C | 17 | 14 | 5 | 2 | 38 | |||||
Class I | 387 | 435 | 208 | 87 | 1,117 | |||||
Class R6 | — | —(1) | —(1) | —(1) | —(1) | |||||
Duff & Phelps Select MLP and Energy Fund | ||||||||||
Class A | 3 | 10 | 6 | 11 | 30 | |||||
Class C | 2 | 5 | 2 | 1 | 10 | |||||
Class I | 80 | 164 | 77 | 30 | 351 | |||||
KAR Long/Short Equity Fund | ||||||||||
Class A | — | — | — | 1 | 1 | |||||
Class C | — | — | — | 1 | 1 | |||||
Class I | — | — | — | 12 | 12 | |||||
Class R6 | — | — | — | 27 | 27 |
(1) | Amount is less than $500. |
E. | Distributor |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of each Fund’s shares. VP Distributors has advised the Funds that for the six months (the “period”) ended April 30, 2019, there were less than $500 in commissions for Class A shares and less than $500 in CDSC for Class A shares and Class C shares, respectively. | |
In addition, each Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class at the annual rates of 0.25% for Class A shares and 1.00% for Class C shares. Class I and Class R6 shares are not subject to a 12b-1 Plan. | |
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply. | |
F. | Administrator and Transfer Agent |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator and transfer agent to the Funds. | |
For the period ended April 30, 2019, the Funds incurred administration fees totaling $47 which are included in the Statements of Operations within the line item “Administration and accounting fees”. The fees are calculated daily and paid monthly. | |
For the period ended April 30, 2019, the Funds incurred transfer agent fees totaling $32 which are included in the Statements of Operations within the line item “Transfer agent fees and expenses” and “Sub-transfer agent fees and expenses.” A portion of these fees was paid to outside entities that also provide services to the Funds. The fees are calculated daily and paid monthly. | |
G. | Affiliated Shareholders |
At April 30, 2019, Virtus and its affiliates held shares of certain Funds, which may be redeemed at any time, that aggregated to the following: |
Shares | Aggregate Net Asset Value | ||
Aviva Multi-Strategy Target Return Fund | |||
Class A | 10,106 | $96 | |
Class C | 10,058 | 94 | |
Class I | 1,902,815 | 18,096 | |
Class R6 | 10,470 | 100 | |
Duff & Phelps Select MLP and Energy Fund | |||
Class A | 10,601 | 97 | |
Class C | 10,431 | 95 | |
Class I | 511,612 | 4,686 | |
KAR Long/Short Equity Fund | |||
Class A | 10,000 | 119 | |
Class C | 10,000 | 119 | |
Class I | 10,000 | 120 | |
Class R6 | 270,000 | 3,232 |
H. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other Assets” on the Statements of Assets and Liabilities at April 30, 2019. |
Purchases | Sales | ||
Aviva Multi-Strategy Target Return Fund | $12,490 | $27,210 | |
Duff & Phelps Select MLP And Energy Fund | 4,227 | 1,155 | |
KAR Long/Short Equity Fund | 6,876 | 1,924 |
Purchases | Sales | ||
Aviva Multi-Strategy Target Return Fund | $14,408 | $17,811 |
Aviva Multi-Strategy Target Return Fund | |||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Shares sold and cross class conversions | 6 | $56 | 130 | $1,269 | |||
Reinvestment of distributions | 5 | 48 | —(1) | 3 | |||
Shares repurchased and cross class conversions | (115) | (1,075) | (158) | (1,537) | |||
Net Increase / (Decrease) | (104) | $(971) | (28) | $(265) |
Aviva Multi-Strategy Target Return Fund | |||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class C | |||||||
Shares sold and cross class conversions | 9 | $82 | 5 | $47 | |||
Reinvestment of distributions | 2 | 17 | —(1) | —(1) | |||
Shares repurchased and cross class conversions | (64) | (590) | (111) | (1,062) | |||
Net Increase / (Decrease) | (53) | $(491) | (106) | $(1,015) | |||
Class I | |||||||
Shares sold and cross class conversions | 328 | $3,086 | 1,562 | $15,286 | |||
Reinvestment of distributions | 85 | 757 | 15 | 152 | |||
Shares repurchased and cross class conversions | (4,004) | (37,442) | (4,391) | (42,835) | |||
Net Increase / (Decrease) | (3,591) | $(33,599) | (2,814) | $(27,397) | |||
Class R6 | |||||||
Shares sold and cross class conversions | —(1) | $3 | —(1) | $3 | |||
Reinvestment of distributions | —(1) | —(1) | —(1) | —(1) | |||
Shares repurchased and cross class conversions | (—) (1) | (3) | — (1) | (1) | |||
Net Increase / (Decrease) | —(1) | $—(1) | —(1) | $2 |
(1) | Amount is less than $500 or 500 shares. |
Duff & Phelps Select MLP and Energy Fund | |||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Shares sold and cross class conversions | 364 | $3,289 | 64 | $567 | |||
Reinvestment of distributions | 1 | 6 | 1 | 7 | |||
Shares repurchased and cross class conversions | (6) | (45) | (65) | (636) | |||
Net Increase / (Decrease) | 359 | $3,250 | —(1) | $(62) | |||
Class C | |||||||
Shares sold and cross class conversions | 6 | $51 | 2 | $18 | |||
Reinvestment of distributions | —(1) | 2 | —(1) | 2 | |||
Shares repurchased and cross class conversions | (3) | (29) | (1) | (18) | |||
Net Increase / (Decrease) | 3 | $24 | 1 | $2 |
Duff & Phelps Select MLP and Energy Fund | |||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class I | |||||||
Shares sold and cross class conversions | 50 | $454 | 4 | $40 | |||
Reinvestment of distributions | 1 | 6 | 11 | 106 | |||
Shares repurchased and cross class conversions | (8) | (64) | (13) | (124) | |||
Net Increase / (Decrease) | 43 | $396 | 2 | $22 |
(1) | Amount is less than $500 or 500 shares. |
KAR Long/Short Equity Fund | |||
From Inception: December 06, 2018 to April 30, 2019 (Unaudited) | |||
SHARES | AMOUNT | ||
Class A | |||
Shares sold and cross class conversions | 10 | $100 | |
Net Increase / (Decrease) | 10 | $100 | |
Class C | |||
Shares sold and cross class conversions | 11 | $107 | |
Net Increase / (Decrease) | 11 | $107 | |
Class I | |||
Shares sold and cross class conversions | 397 | $4,479 | |
Net Increase / (Decrease) | 397 | $4,479 | |
Class R6 | |||
Shares sold and cross class conversions | 270 | $2,700 | |
Net Increase / (Decrease) | 270 | $2,700 |
Exchange Redemptions | Exchange Subscriptions | ||||||||||
Class A Shares | Class C Shares | Class I Shares | Class A Shares | Class I Shares | Value | ||||||
Aviva Multi-Strategy Target Return Fund | 8 | 2 | 2 | 2 | 8 | $111 | |||||
Duff & Phelps Select MLP and Energy Fund | — | 3 | — | 3 | — | 29 |
% of Shares Outstanding | Number of Accounts | ||
Aviva Multi-Strategy Target Return Fund | 55% | 2 | |
Duff & Phelps Select MLP and Energy Fund | 52 | 1 | |
KAR Long/Short Equity Fund | 94 | 2 |
Fund | Investment | Date of Acquisition | Cost | Value | Percentage of Net Assets | |||||
Aviva Multi-Strategy Target Return Fund | Safran SA | 2/16/2018 | $27 | $36 | 0.1% |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Aviva Multi-Strategy Target Return Fund - securities and derivatives | $32,489 | $1,841 | $(1,145) | $696 | ||||
Aviva Multi-Strategy Target Return Fund - Written Options | (16) | - | (8) | (8) |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Duff & Phelps Select MLP and Energy Fund - Investments | $8,688 | $568 | $(373) | $195 | ||||
KAR Long/Short Equity Fund - Investments | 7,744 | 809 | (33) | 776 | ||||
KAR Long/Short Equity Fund - Short Sales | (1,704) | 99 | (52) | 47 |
Late Year Ordinary Losses Deferred | Late Year Ordinary Losses Recognized | Capital Loss Deferred | Capital Loss Recognized | |||||
Duff & Phelps Select MLP and Energy Fund | $ 40 | $ 27 | $ — | $ — |
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Undistributed Tax-Exempt Income | |||
Aviva Multi-Strategy Target Return Fund | $1,464 | $— | $ — |
Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | ||||
Aviva Multi-Strategy Target Return Fund | |||||||
10/31/18 | $ 166 | $ — | $ — | $166 | |||
10/31/17 | 572 | 179 | — | 751 | |||
Duff & Phelps Select MLP and Energy Fund | |||||||
10/31/18 | 58 | 63 | 29 | 150 | |||
10/31/17 | 60 | — | 58 | 118 |
Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
please contact us at1-800-243-1574, orVirtus.com.
8554 | 06-19 |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period 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 forClosed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable.
Item 9. | Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of RegulationS-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on an evaluation of those controls and procedures made as of a date within 90 days of the filing date of this report as required by Rule30a-3(b) under the 1940 Act and Rule13a-15(b) under the Exchange Act. |
(b) | There has been no change in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act) that occurred during the last fiscal quarter 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 forClosed-End Management Investment Companies. |
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable |
(a)(2) | Certifications pursuant to Rule30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Virtus Alternative Solutions Trust |
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President | ||
(principal executive officer) |
Date | 7/05/2019 |
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/ George R. Aylward | |
George R. Aylward, President | ||
(principal executive officer) |
Date | 7/05/2019 |
By (Signature and Title)* | /s/ W. Patrick Bradley |
W. Patrick Bradley, Executive Vice President, Chief Financial Officer and Treasurer | ||
(principal financial and accounting officer) |
Date | 7/05/2019 |
* Print the name and title of each signing officer under his or her signature.