UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-22906
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:October 31, 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 | |
Fund | Fund Summary | Schedule of Investments |
Virtus Aviva Multi-Strategy Target Return Fund (“Aviva Multi-Strategy Target Return Fund”) | 6 | 15 |
Virtus Duff & Phelps Select MLP and Energy Fund (“Duff & Phelps Select MLP and Energy Fund”) | 9 | 22 |
Virtus KAR Long/Short Equity Fund (“KAR Long/Short Equity Fund ”) | 12 | 24 |
Statements of Assets and Liabilities | 26 | |
Statements of Operations | 28 | |
Statements of Changes in Net Assets | 30 | |
Financial Highlights | 32 | |
Notes to Financial Statements | 34 | |
Report of Independent Registered Public Accounting Firm | 51 | |
Tax Information Notice | 52 | |
Fund Management Tables | 53 |
President, Virtus Funds
Beginning Account Value May 1, 2019 | Ending Account Value October 31, 2019 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||
Aviva Multi-Strategy Target Return Fund | ||||||||
Class A | $ 1,000.00 | $ 1,028.50 | 1.69 % | $ 8.64 | ||||
Class C | 1,000.00 | 1,024.60 | 2.44 | 12.45 | ||||
Class I | 1,000.00 | 1,029.40 | 1.44 | 7.37 | ||||
Class R6 | 1,000.00 | 1,029.40 | 1.38 | 7.06 | ||||
Duff & Phelps Select MLP and Energy Fund | ||||||||
Class A | 1,000.00 | 908.20 | 1.40 | 6.73 | ||||
Class C | 1,000.00 | 905.20 | 2.16 | 10.37 | ||||
Class I | 1,000.00 | 909.80 | 1.16 | 5.58 | ||||
KAR Long/Short Equity Fund | ||||||||
Class A | 1,000.00 | 1,061.90 | 2.38 | 12.37 | ||||
Class C | 1,000.00 | 1,057.90 | 3.13 | 16.24 | ||||
Class I | 1,000.00 | 1,063.50 | 2.03 | 10.56 | ||||
Class R6 | 1,000.00 | 1,063.50 | 2.06 | 10.71 |
* | 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 (184) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Beginning Account Value May 1, 2019 | Ending Account Value October 31, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Aviva Multi-Strategy Target Return Fund | ||||||||
Class A | $ 1,000.00 | $ 1,016.69 | 1.69 % | $ 8.59 | ||||
Class C | 1,000.00 | 1,012.91 | 2.44 | 12.38 | ||||
Class I | 1,000.00 | 1,017.95 | 1.44 | 7.32 | ||||
Class R6 | 1,000.00 | 1,018.25 | 1.38 | 7.02 | ||||
Duff & Phelps Select MLP and Energy Fund | ||||||||
Class A | 1,000.00 | 1,018.15 | 1.40 | 7.12 | ||||
Class C | 1,000.00 | 1,014.32 | 2.16 | 10.97 | ||||
Class I | 1,000.00 | 1,019.36 | 1.16 | 5.90 | ||||
KAR Long/Short Equity Fund | ||||||||
Class A | 1,000.00 | 1,013.21 | 2.38 | 12.08 | ||||
Class C | 1,000.00 | 1,009.43 | 3.13 | 15.85 | ||||
Class I | 1,000.00 | 1,014.97 | 2.03 | 10.31 | ||||
Class R6 | 1,000.00 | 1,014.82 | 2.06 | 10.46 |
* | 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 (184) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Ticker Symbols: | |
Class A: VMSAX | |
Aviva Multi-Strategy Target Return Fund Fund Summary (Unaudited) | Class C: VCMSX Class I: VMSIX Class R6: VMSRX |
■ | The Fund is diversified and has an investment objective of long-term total return. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended October 31, 2019, the Fund’s Class A shares at NAV returned 3.38%, Class C shares at NAV returned 2.63%, Class I shares at NAV returned 3.59% and Class R6 shares at NAV returned 3.64%. For the same period, the U.S. Treasury Federal Funds Rate, which serves as both the Fund’s broad-based and style-specific benchmark appropriate for comparison, returned 1.58%. |
■ | Challenges to global growth, rising interest rates, and underlying trade-oriented risks caused financial markets to end 2018 on a negative note. Having experienced some significant volatility throughout the year, global equity markets saw a deep sell-off in the fourth quarter of 2018, with U.S. equity values dropping a whopping 14% during the quarter, as measured by the S&P 500® Index. While moves in U.S. and international bond markets could not compare in magnitude to equity volatility, the yield on the 10-year U.S. Treasury bond fell by 0.38%, setting a new trend for global rates into 2019. |
■ | Investors rushed back into risk assets at the start of 2019 in an effort to benefit from cheap valuations and broadly improving equity performance, as losses from the previous quarter were partially recovered in the first quarter of 2019. Bond markets benefitted from the notable change in tone from the U.S. Federal Reserve (the Fed), which indicated that it was conscious of |
■ | Equities, particularly in the U.S., continued to rise through the end of the fiscal year, albeit in a volatile manner. Global bonds saw a steep decline in yields, with U.S. 10-year Treasuries dropping below 1.50% at the end of the summer. During May, August, and October, headlines about U.S. and China trade and a global growth slowdown dominated the price action in the markets. The political and economic concerns strengthened expectations for rate cuts in the U.S. and other parts of the world, particularly Europe and Australia. The Fed delivered three rates cuts by the end of October 2019, which alleviated some investor concerns and created a supportive environment for most asset classes. |
■ | The U.S. dollar was broadly flat against its major peers throughout the fiscal year, as any gains made in the more volatile periods were eroded in the second half of October, when investors sought cheaply valued currency exposure. Within credit, both the investment grade and high yield universes benefitted from lower risk-free rates as emerging market debt saw strong performance across hard currency and local currency debt, recovering most of the damage done in 2018 when political issues in Turkey and Argentina negatively impacted market sentiment toward the emerging markets. |
■ | Key market volatility indicators reached extreme levels in December of 2018. However, this was not indicative of what was to follow in 2019, as investors received steady reassurance from central banks that more stimulus would be provided if the trade spat between the U.S. and China or the global economic picture were to further dampen risk sentiment. |
■ | The Fund delivered a positive return for the fiscal year ended October 31, 2019, due to strong gains in the Market Returns strategy of the portfolio (positions designed to profit from traditionally riskier asset classes) and Risk-Reducing Returns strategies (mostly defensive trades). The Opportunistic Returns portion of the portfolio lost money, as our investment thesis for some |
positions that were less market-sensitive was not realized. | |
■ | Within top contributors, the Fund’s exposure to long term U.S. government bonds benefitted the Fund the most as interest rates fell across the board. While market participants were looking for ways to sell bonds in 2018, 2019 marked a completely different story. Investors were quick to jump into these safe-haven assets when market volatility picked up. The Fed advocating for more monetary stimulus also contributed strongly to U.S. government bonds being one of the most heavily sought-after asset classes, which increased the value of our position significantly. |
■ | Emerging markets hard currency debt exposure also added to returns. The asset class posted a negative total return for 2018, however 2019 saw a significant change in investor sentiment. The asset class benefited from its sensitivity to the direction of U.S. Treasuries, as well as its cheap valuations. The size of the Fund’s position was progressively increased during the period, due to the team’s belief that both major drivers of returns in the asset class – U.S. government bond yields and credit spreads reflecting the emerging market country-specific risk – had room to go even lower. |
■ | Other contributors included exposure to U.S. data infrastructure and Japanese real estate investment trust (REIT) shares. These positions provided useful diversification to the Fund. U.S. data infrastructure has benefited from recent digitalization trends and an increase in cloud-based data consumption. In the case of Japanese REITs, we decided to take profit on the position after a period of strong performance made valuations less attractive. |
■ | Finally, the Fund’s emerging markets equity position delivered strong returns as valuations partially recovered after a volatile 2018. Most of the gains were made in the first half of the fiscal year, before volatility picked up in May and August of 2019. Given the sensitivity of the emerging markets to developments in the U.S.-China trade relationship, we reduced the size of the strategy before the end of the fiscal year. |
■ | Among major negative contributors to Fund performance, positions participating in global rates markets detracted the most. The Fund’s short |
position in U.S. government bonds lost money as yields fell sharply at the end of 2018 before the position was removed in anticipation of a U-turn in Fed policy that led to further declines in U.S. Treasury yields. | |
■ | Also, as U.S.-China trade tension escalated toward the end of 2018, investors downgraded their global growth expectations which, in turn, impacted the performance of inflation-linked assets. The Fund’s exposure to U.S. inflation delivered negative returns. |
■ | Among other detractors were Japanese and U.S. interest rate positions, which were designed to profit if rates and volatility in the Japanese and U.S. government bond markets picked up. One of the most noticeable features of global fixed income markets throughout 2017 and 2018 was the lack of volatility, which created a case for anticipating increased bond volatility. This did not materialize, as rates fell and market expectations for uncertainty in fixed income markets decreased. |
■ | Finally, a position that was designed to profit from rising U.K. long-term government bond yields detracted from performance as Brexit-related uncertainty and broader global bond trends kept bond valuations high and yields low. |
■ | The Fund’s usage of derivatives did not materially impact returns, since derivatives are used for risk |
management and efficient portfolio management purposes, as opposed to return enhancement. |
Short-Term Investments* | 66% |
Common Stocks | 13 |
Exchange-Traded Funds | 13 |
U.S. Government Security | 5 |
Foreign Government Security | 3 |
Total | 100% |
*Portion represents collateral utilized for derivative contracts. |
1 Year | Since inception | Inception date | ||||||
Class A shares at NAV2 | 3.38 % | 0.19 % | 7/20/15 | |||||
Class A shares at POP3,4 | -2.56 | -1.18 | 7/20/15 | |||||
Class C shares at NAV and with CDSC2,4 | 2.63 | -0.55 | 7/20/15 | |||||
Class I shares at NAV | 3.59 | 0.44 | 7/20/15 | |||||
Class R6 shares at NAV | 3.64 | 1.69 | 11/3/16 | |||||
U.S. Treasury Federal Funds Rate | 1.58 | — 5 | — | |||||
Fund Expense Ratios6: A Shares: Gross 2.06%, Net 1.74%; C Shares: Gross 2.77%, Net 2.49%; I Shares: Gross 1.79%, Net 1.49%, R6 Shares: Gross 1.75%, Net 1.43%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception benchmark returned 1.12% for Class R6 and 0.85% for Class A, C and I shares of the respective share classes. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective February 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by the contractual expense limitation in effect through February 28, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios reflect fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A: VLPAX | |
Duff & Phelps Select MLP and Energy Fund Fund Summary (Unaudited) | Class C: VLPCX Class I: VLPIX |
■ | The Fund is non-diversified and has an investment objective of total return with a secondary objective of income. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended October 31, 2019, the Fund’s Class A shares at NAV returned -7.22%, Class C shares at NAV returned -7.84%, and Class I shares at NAV returned -6.98%. For the same period, the Alerian MLP Index, which serves as both the Fund’s broad-based and style-specific benchmark appropriate for comparison, returned -6.36%. |
■ | Balance sheets were much healthier for midstream energy and Master Limited Partnerships (MLPs) than in prior years, but the sector could not escape another volatile period similar to the previous fiscal year. As measured by the Alerian MLP Index, the sector was down 9.4%, on a total return basis in December of 2018, and then finished up 1.2% for the fiscal first quarter. After gaining 4.9% for the fiscal year-to-date through July 2019, the index dropped 10.8% in the fiscal fourth quarter, finishing down 6.4% for the fiscal year ended October 31, 2019. |
■ | The sector rallied 12.6% in January 2019 after its December decline, moving largely in line with crude oil prices. Oil dropped 30% over the first two months of the fiscal year, and 10% in December alone, reaching $45 per barrel on December 31, 2018, before rebounding to $55 per barrel on February 1, 2019. President Trump’s decision to grant waivers to countries for the purchase of Iranian oil was the catalyst that started pushing oil |
■ | Although crude oil prices settled into a fairly stable range for most of the second half of the fiscal year, fears about global trade and U.S.-China tariffs weighed on sentiment, particularly across the wider energy sector. Midstream energy stocks, which have become more exposed to export markets in recent years since the lifting of the U.S. crude export ban in 2015, felt the pressure of these concerns. Both natural gas liquids (NGLs) and natural gas prices finished the year well below where they started, which weighed particularly hard on the midstream gathering and processing companies, the worst performers throughout the year. Operators in the Marcellus/Utica basins in the Northeast were hit especially hard. NGL exports and liquefied natural gas (LNG) liquefaction facilities have expanded in the U.S. over the past several years. U.S. production and exports of propane, a natural gas liquid, have reached record levels, with an increasing amount of propane being loaded at U.S. Gulf Coast terminals headed for the Far East. Over half of the propane produced at U.S. gas processing plants is shipped overseas, with half of exported propane shipped to Asian markets. |
■ | A number of midstream companies were penalized during the fiscal year for disappointing earnings guidance. As we saw with many of the exploration & production (E&P) companies, investors have become hyper-focused on free cash flow |
generation, and have been encouraging companies to live within their means. This sentiment carried over to the midstream sector, and companies such as Targa Resources, MPLX LP, and Energy Transfer LP, which put forth aggressive capital plans, saw their stock prices get hit. While sentiment remained poor, midstream companies continued to execute. A number of large midstream pipeline projects came on line in the second half of the fiscal year including Gulf Coast Express, Cactus II, Shin Oak, and Grand Prix. Blackstone made a bid to buy out the rest of Tallgrass Energy, as private equity continued to see attractive valuations in midstream assets and companies. | |
■ | Midstream energy companies benefitted over the fiscal year from rising U.S. production and exports. U.S. oil production surged 11% from 11.6 million barrels per day (M b/d) in October 2018 to 12.9 M b/d in October 2019. Midstream assets were near capacity for much of the year, and as new projects went into service, utilization ramped up quickly. Strong fundamentals translated into robust earnings for MLPs and midstream companies, with the large vertically integrated MLPs – those with interconnected processing, pipeline, fractionation, and storage assets – such as Enterprise Products Partners and Energy Transfer LP, consistently putting up earnings above consensus expectations. Global demand weakness weighed on the sector, as did fears of a pending slowdown in U.S. production. The Permian Basin in west Texas and New Mexico, the main supply region for crude oil, natural gas, and natural gas liquids in the U.S., grew from 3.8 M b/d in October 2018 to 4.5 M b/d in October 2019, an 18% increase. The risk of overbuild of new pipeline capacity given the concerns of a slowdown in drilling activity weighed on the midstream sector in the fiscal fourth quarter. |
■ | The Fund underperformed the Alerian MLP Index for the 12 months ended October 31, 2019. The Fund benefitted on a relative basis from finding value outside of the core MLPs, those long-term holdings that we consider the foundation of the portfolio, especially in refining and marketing. The Fund underperformed in large-cap pipeline MLPs where it was significantly underweight versus the |
benchmark, but outperformed in gathering & processing MLPs, and meaningfully outperformed in C corporations, where it was significantly overweight versus the benchmark. The Fund was largely in line with the benchmark for the first half of the fiscal year, underperformed in the fiscal third quarter, and outperformed in the fiscal fourth quarter. The third quarter underperformance was related to the premium paid in an M&A transaction for a large-cap pipeline MLP held in the benchmark but not held by the Fund. The fourth quarter outperformance was attributable to strength in the refining and marketing segment, combined with the premium paid in an M&A transaction for a midstream C corp security held by the Fund but not included in the benchmark. | |
■ | The top five contributors to Fund performance on an absolute basis were Kinder Morgan, TC Energy, Anadarko Petroleum, ONEOK Inc., and NextEra Energy Partners LP. Kinder Morgan’s reduced capital spending provided additional sources of free cash flow, allowing the company to buy back shares. TC Energy attracted investor attention with its ratable cash flows and visible growth trajectory as investors shifted to more defensive names amid economic uncertainty. Anadarko Petroleum was acquired by Occidental Petroleum at a significant premium in a bidding war with Chevron. ONEOK was targeting 20% earnings growth based on higher volume growth in the Bakken. NextEra Energy Partners continued to benefit from a sustainable growth portfolio of renewable assets, including wind generation. |
■ | The bottom five contributors on an absolute basis were Antero Midstream, Golar LNG, Targa |
Resources, Energy Transfer LP, and Plains GP Holdings. Antero Midstream was pulled down by its parent, Antero Resources, on fears around lower natural gas and NGL prices and the potential for production cuts in the Marcellus Basin. Golar was pressured from the start of the year as natural gas prices declined and concerns swirled around the LNG market’s long-term growth. Targa faced pushback from investors for its high capital spend and a stretched balance sheet. Energy Transfer disappointed the market with the $1.6 billion acquisition of SemGroup when investors were looking for non-core asset sales and de-leveraging. Plains GP Holdings faced initial selling pressure when former GP-owner Occidental Petroleum sold its shares in the aftermath of its acquisition of Anadarko. Concerns about an E&P slowdown in the Permian hit Plains particularly hard in the fiscal fourth quarter. |
Master Limited Partnerships and Related Companies* | 98% | |
Diversified | 33% | |
Downstream/Other | 18 | |
Natural Gas Pipelines | 13 | |
Gathering/Processing | 12 | |
Petroleum Transportation & Storage | 12 | |
Marine/Shipping | 7 | |
Electric, LDC & Power | 3 | |
Exchange-Traded Fund | 2 | |
Total | 100% | |
*See definitions on page 23. |
1 Year | Since inception | Inception date | ||||||
Class A shares at NAV2 | -7.22 % | -2.13 % | 9/9/15 | |||||
Class A shares at POP3,4 | -12.56 | -3.52 | 9/9/15 | |||||
Class C shares at NAV and with CDSC2,4 | -7.84 | -2.89 | 9/9/15 | |||||
Class I shares at NAV | -6.98 | -1.91 | 9/9/15 | |||||
Alerian MLP Index | -6.36 | -3.515 | — | |||||
Fund Expense Ratios6: A Shares: Gross 2.87%, Net 1.43%; C Shares: Gross 3.60%, Net 2.18%; I Shares: Gross 2.55%, Net 1.18%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the Fund’s inception date. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective February 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by the contractual expense limitation in effect through February 28, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios reflect fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A : VLSAX | |
KAR Long/Short Equity Fund Fund Summary (Unaudited) | Class C: VLSCX Class I: VLSIX Class R6: VLSRX |
■ | The Fund is non-diversified and has an investment objective of seeking long-term capital appreciation. There is no guarantee that the Fund will meet its objective. |
■ | Stock market returns were positive during the fiscal period from December 6, 2018, through October 31, 2019, with the S&P 500® Index advancing 14.53%, while small-capitalization stocks, as represented by the Russell 2000® Index, rose 6.92%. The Russell 3000® Index increased 13.94% during the period. International developed markets, as measured by the MSCI EAFE® Index (net), increased 11.95% while the MSCI Emerging Markets Index (net) posted weaker performance, returning 6.65%. |
■ | Global industrial activity slowed over the past 12 to 18 months, primarily due to continued global trade friction with China and the European Union (EU). As these trade disputes dragged on, they clearly affected business confidence and investment plans, particularly for the agricultural, industrial, and automotive industries. |
■ | Global consumer strength helped to defend the major economies from economic recession. The consumer, which represents the majority of gross domestic product (GDP) components, continued to benefit from plentiful jobs, modest wage growth, and rising net worth during the 12-month period. |
■ | The Fund meaningfully outperformed the benchmark Russell 3000® Index on an absolute basis from its inception date of December 6, 2018, through October 31, 2019. The Fund also significantly outperformed the index on a risk-adjusted basis. |
■ | The long portfolio outpaced the return of the Russell 3000® Index, and the short portfolio declined in value despite the upswing in the market. When the short positions decrease in value, that increases the return of the Fund. In the long portfolio, strong stock selection in technology, consumer discretionary, materials & processing, and financial services contributed meaningfully to performance. Poor stock selection in consumer staples and an underweight in utilities detracted from performance in the long portfolio. |
■ | In the short portfolio, strong stock selection in consumer discretionary, financial services, and technology contributed positively to performance. Poor stock selection in consumer staples detracted from performance. |
■ | Avalara has created a proprietary database of tax rules for disparate industries and added geographical distinctions for those rules to create a robust tool that is valuable for online merchants. The company reported an acceleration in revenue growth which pushed shares higher. The pickup in Avalara’s business was due to greater recognition of the benefits of its sales tax software and the impact of the Supreme Court’s 2018 decision in the Wayfair case, which gave the green light for states to collect more excise and sales tax from online sales. |
■ | Auto Trader’s shares increased as the company |
continued to report solid financial results, which more than offset investor concerns of increased competition from a new market entrant and heightened macro uncertainty caused by shifting Brexit negotiations. | |
■ | Other top contributors included DocuSign (long), Scotts Miracle-Gro (long), and Moody’s (long). |
■ | Silk Road Medical is a commercial stage medical device company that develops and manufactures products to treat carotid artery disease, which causes blockages in the major blood vessels of the neck that carry blood to the brain, neck, and face. More surgeons became trained on the company’s TCAR device, and more studies were released validating its superior outcomes, increasing the adoption rate of TCAR. Recent financial results showed revenue growth in excess of 90%, but the company still generated some operating losses from large investments in marketing to new surgeons. |
■ | Margins for Werner and other trucking companies were at or near all-time highs in 2018 due to a tight trucking market. That favorable environment reversed in 2019, and Werner and others reported declines in profit margins. However, Werner’s shares increased later in the period as investors became hopeful that a trade deal with China could be reached. |
■ | Other bottom contributors included Deluxe (short), CoreLogic (long), and Regency Centers (short). |
Common Stocks | 117% | |
Information Technology | 27% | |
Financials | 22 | |
Industrials | 16 | |
Consumer Staples | 13 | |
Consumer Discretionary | 11 | |
Communication Services | 10 | |
Health Care | 10 | |
All other Common Stocks | 8 | |
Short-Term Investment | 11 | |
Securities Sold Short | (28) | |
Industrials | (8) | |
Communication Services | (2) | |
Real Estate | (4) | |
Consumer Discretionary | (7) | |
Information Technology | (1) | |
Consumer Staples | (1) | |
Financials | (5) | |
Total | 100% |
Since inception | Inception date | |||||
Class A shares at NAV2 | 26.90 % | 12/6/18 | ||||
Class A shares at POP3,4 | 19.60 | 12/6/18 | ||||
Class C shares at NAV2 | 26.10 | 12/6/18 | ||||
Class C shares with CDSC4 | 25.10 | 12/6/18 | ||||
Class I shares at NAV | 27.20 | 12/6/18 | ||||
Class R6 shares at NAV | 27.30 | 12/6/18 | ||||
Russell 3000® Index | 13.945 | — | ||||
Fund Expense Ratios6: A Shares: Gross 2.75%, Net 2.29%; C Shares: Gross 3.49%, Net 3.04%; I Shares: Gross 2.48%, Net 2.04%, R6 Shares: Gross 2.41%, Net 1.97%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the Fund’s inception date. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective February 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by the contractual expense limitation in effect through February 28, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios reflect fees and expenses associated with any underlying funds. |
Par Value | Value | ||
U.S. Government Security—3.9% | |||
United States Treasury Inflation Indexed Bonds 1.000%, 2/15/49(1) | $ 1,280 | $1,431 | |
Total U.S. Government Security (Identified Cost $1,458) | 1,431 | ||
Foreign Government Security—2.1% | |||
Indonesia Treasury Bond 8.250%, 7/15/21(2) | 10,226,000IDR | 755 | |
Total Foreign Government Security (Identified Cost $788) | 755 |
Shares | ||
Common Stocks—10.6% | ||
Communication Services—0.2% | ||
Cable One, Inc. | 3 | 4 |
Cargurus, Inc.(3) | 137 | 5 |
Liberty Broadband Corp. Class A(3) | 38 | 4 |
Liberty Broadband Corp. Class C(3) | 38 | 5 |
Madison Square Garden Co. (The) Class A(3) | 16 | 4 |
Telekomunikasi Indonesia Persero Tbk PT | 175,500 | 51 |
World Wrestling Entertainment, Inc. Class A | 65 | 4 |
Yelp, Inc.(3) | 129 | 4 |
Zynga, Inc. Class A(3) | 731 | 5 |
86 | ||
Consumer Discretionary—0.5% | ||
Bright Horizons Family Solutions, Inc.(3) | 30 | 5 |
Chegg, Inc.(3) | 141 | 4 |
Chipotle Mexican Grill, Inc.(3) | 6 | 5 |
Choice Hotels International, Inc. | 51 | 5 |
Columbia Sportswear Co. | 47 | 4 |
Cracker Barrel Old Country Store, Inc. | 28 | 4 |
Darden Restaurants, Inc. | 39 | 4 |
Deckers Outdoor Corp.(3) | 30 | 5 |
Denny’s Corp.(3) | 205 | 4 |
Dollar General Corp. | 28 | 5 |
Dollar Tree, Inc.(3) | 39 | 4 |
Dorman Products, Inc.(3) | 62 | 5 |
Five Below, Inc.(3) | 35 | 4 |
Fox Factory Holding Corp.(3) | 69 | 4 |
Garmin Ltd. | 50 | 5 |
Gentex Corp. | 155 | 4 |
Graham Holdings Co. Class B | 7 | 4 |
Grand Canyon Education, Inc.(3) | 48 | 4 |
Lululemon Athletica, Inc.(3) | 22 | 5 |
Shares | Value | ||
Consumer Discretionary—continued | |||
NVR, Inc.(3) | 1 | $4 | |
OneSpaWorld Holdings Ltd.(3) | 280 | 4 | |
O’Reilly Automotive, Inc.(3) | 10 | 4 | |
Pool Corp. | 22 | 5 | |
Ruth’s Hospitality Group, Inc. | 212 | 4 | |
Sands China Ltd. | 11,163 | 55 | |
Steven Madden Ltd. | 109 | 5 | |
Strategic Education, Inc. | 35 | 4 | |
Texas Roadhouse, Inc. | 74 | 4 | |
Tractor Supply Co. | 46 | 4 | |
Wingstop, Inc. | 53 | 5 | |
Yum China Holdings, Inc. | 100 | 4 | |
186 | |||
Consumer Staples—0.2% | |||
Boston Beer Co., Inc. (The) Class A(3) | 12 | 5 | |
Brown-Forman Corp. Class B | 69 | 5 | |
Calavo Growers, Inc. | 50 | 4 | |
Cal-Maine Foods, Inc. | 109 | 4 | |
Church & Dwight Co., Inc. | 61 | 4 | |
Clorox Co. (The) | 31 | 5 | |
Flowers Foods, Inc. | 203 | 4 | |
Freshpet, Inc.(3) | 87 | 5 | |
Hershey Co. (The) | 31 | 5 | |
Hormel Foods Corp. | 109 | 4 | |
Inter Parfums, Inc. | 59 | 5 | |
J&J Snack Foods Corp. | 23 | 4 | |
Lamb Weston Holdings, Inc. | 58 | 5 | |
Lancaster Colony Corp. | 32 | 4 | |
McCormick & Co., Inc. | 27 | 4 | |
Sanderson Farms, Inc. | 29 | 4 | |
Simply Good Foods Co. (The)(3) | 188 | 5 | |
Tootsie Roll Industries, Inc. | 130 | 4 | |
WD-40 Co. | 25 | 5 | |
85 | |||
Energy—0.2% | |||
Antero Midstream Corp. | 595 | 4 | |
REX American Resources Corp.(3) | 55 | 4 | |
Royal Dutch Shell PLC Class A | 1,797 | 52 | |
60 | |||
Financials—1.8% | |||
Aon PLC | 446 | 86 | |
Arthur J Gallagher & Co. | 947 | 86 | |
AXA SA | 1,987 | 53 | |
Banco Bradesco SA | 6,141 | 54 | |
Barclays PLC | 24,964 | 54 | |
Brown & Brown, Inc. | 817 | 31 | |
Credit Agricole SA | 4,057 | 53 | |
Marsh & McLennan Cos., Inc. | 862 | 89 | |
Standard Chartered PLC | 6,008 | 55 |
Shares | Value | ||
Financials—continued | |||
Willis Towers Watson PLC | 462 | $86 | |
647 | |||
Health Care—0.7% | |||
ABIOMED, Inc.(3) | 24 | 5 | |
Acceleron Pharma, Inc.(3) | 102 | 5 | |
Addus HomeCare Corp.(3) | 52 | 4 | |
Agilent Technologies, Inc. | 58 | 4 | |
Allogene Therapeutics, Inc.(3) | 153 | 4 | |
Amedisys, Inc.(3) | 33 | 4 | |
Anika Therapeutics, Inc.(3) | 66 | 5 | |
Arena Pharmaceuticals, Inc.(3) | 90 | 4 | |
Arrowhead Pharmaceuticals, Inc.(3) | 111 | 5 | |
Atrion Corp. | 5 | 4 | |
BioMarin Pharmaceutical, Inc.(3) | 60 | 4 | |
Bio-Rad Laboratories, Inc. Class A(3) | 13 | 4 | |
BioSpecifics Technologies Corp.(3) | 93 | 5 | |
Bio-Techne Corp. | 21 | 4 | |
Cardiovascular Systems, Inc.(3) | 85 | 4 | |
Cerner Corp. | 66 | 4 | |
Chemed Corp. | 11 | 4 | |
Codexis, Inc.(3) | 330 | 5 | |
Cooper Cos., Inc. (The) | 15 | 4 | |
CorVel Corp.(3) | 56 | 4 | |
Enanta Pharmaceuticals, Inc.(3) | 74 | 5 | |
Exelixis, Inc.(3) | 262 | 4 | |
Genomic Health, Inc.(3) | 65 | 4 | |
Glaukos Corp.(3) | 68 | 4 | |
Global Blood Therapeutics, Inc.(3) | 91 | 4 | |
Globus Medical, Inc. Class A(3) | 88 | 5 | |
Haemonetics Corp.(3) | 36 | 4 | |
HealthEquity, Inc.(3) | 74 | 4 | |
HealthStream, Inc.(3) | 156 | 4 | |
Heska Corp.(3) | 56 | 5 | |
Hologic, Inc.(3) | 92 | 5 | |
IDEXX Laboratories, Inc.(3) | 16 | 5 | |
Incyte Corp.(3) | 53 | 5 | |
Inspire Medical Systems, Inc.(3) | 74 | 5 | |
iRhythm Technologies, Inc.(3) | 63 | 4 | |
LeMaitre Vascular, Inc. | 124 | 4 | |
LHC Group, Inc.(3) | 38 | 4 | |
Luminex Corp. | 211 | 4 | |
Madrigal Pharmaceuticals, Inc.(3) | 46 | 4 | |
Masimo Corp.(3) | 30 | 4 | |
Mettler-Toledo International, Inc.(3) | 6 | 4 | |
MyoKardia, Inc.(3) | 77 | 4 | |
Neogen Corp.(3) | 66 | 4 |
Shares | Value | ||
Health Care—continued | |||
Neurocrine Biosciences, Inc.(3) | 45 | $5 | |
Pacific Biosciences of California, Inc.(3) | 948 | 5 | |
Penumbra, Inc.(3) | 27 | 4 | |
Quest Diagnostics, Inc. | 44 | 5 | |
Repligen Corp.(3) | 57 | 5 | |
ResMed, Inc. | 30 | 5 | |
Sage Therapeutics, Inc.(3) | 32 | 4 | |
Seattle Genetics, Inc.(3) | 42 | 5 | |
Simulations Plus, Inc. | 130 | 5 | |
STERIS PLC | 31 | 4 | |
Tactile Systems Technology, Inc.(3) | 97 | 4 | |
Teleflex, Inc. | 14 | 5 | |
US Physical Therapy, Inc. | 31 | 4 | |
Varian Medical Systems, Inc.(3) | 37 | 5 | |
Veeva Systems, Inc. Class A(3) | 30 | 4 | |
Waters Corp.(3) | 21 | 5 | |
West Pharmaceutical Services, Inc. | 31 | 5 | |
264 | |||
Industrials—4.2% | |||
AAON, Inc. | 89 | 4 | |
Alamo Group, Inc. | 35 | 4 | |
Allegion PLC | 1,410 | 164 | |
AMETEK, Inc. | 48 | 4 | |
AO Smith Corp. | 90 | 5 | |
Assa Abloy AB Class B | 5,930 | 141 | |
Brady Corp. Class A | 76 | 4 | |
Carlisle Cos, Inc. | 29 | 4 | |
CH Robinson Worldwide, Inc. | 49 | 4 | |
Cie de Saint-Gobain | 1,272 | 52 | |
Cintas Corp. | 16 | 4 | |
Copart, Inc.(3) | 52 | 4 | |
CoStar Group, Inc.(3) | 8 | 4 | |
CSW Industrials, Inc. | 64 | 5 | |
Daikin Industries Ltd. | 500 | 71 | |
Donaldson Co., Inc. | 82 | 4 | |
Encore Wire Corp. | 78 | 4 | |
Equifax, Inc. | 922 | 126 | |
ESCO Technologies, Inc. | 53 | 5 | |
Experian PLC | 4,107 | 129 | |
Exponent, Inc. | 69 | 4 | |
Fastenal Co. | 121 | 4 | |
Fortive Corp. | 65 | 5 | |
Forward Air Corp. | 62 | 4 | |
Graco, Inc. | 96 | 4 | |
HD Supply Holdings, Inc.(3) | 110 | 4 | |
Heartland Express, Inc. | 199 | 4 | |
HEICO Corp. | 37 | 5 | |
Hexcel Corp. | 60 | 5 | |
IDEX Corp. | 27 | 4 | |
IHS Markit Ltd.(3) | 64 | 5 | |
Ingersoll-Rand PLC | 703 | 89 | |
International Consolidated Airlines Group SA | 8,086 | 56 |
Shares | Value | ||
Industrials—continued | |||
Johnson Controls International PLC | 1,370 | $59 | |
Kone OYJ Class B | 1,399 | 89 | |
L3Harris Technologies, Inc. | 22 | 5 | |
Landstar System, Inc. | 38 | 4 | |
Lennox International, Inc. | 250 | 62 | |
Lincoln Electric Holdings, Inc. | 47 | 4 | |
Mercury Systems, Inc.(3) | 62 | 5 | |
MSA Safety, Inc. | 37 | 5 | |
MSC Industrial Direct Co., Inc. Class A | 60 | 4 | |
National Presto Industries, Inc. | 53 | 5 | |
Nordson Corp. | 28 | 4 | |
Old Dominion Freight Line, Inc. | 23 | 4 | |
Proto Labs, Inc.(3) | 45 | 4 | |
Raven Industries, Inc. | 129 | 5 | |
RBC Bearings, Inc.(3) | 27 | 4 | |
Republic Services, Inc. | 50 | 4 | |
Robert Half International, Inc. | 76 | 4 | |
Rollins, Inc. | 116 | 5 | |
Safran SA(4)(5) | 246 | 39 | |
Schindler Holding AG | 353 | 86 | |
Simpson Manufacturing Co., Inc. | 54 | 5 | |
Snap-on, Inc. | 27 | 4 | |
Teledyne Technologies, Inc.(3) | 13 | 4 | |
Toro Co. (The) | 58 | 5 | |
TransUnion | 1,481 | 122 | |
Trex Co., Inc.(3) | 53 | 5 | |
UniFirst Corp. | 22 | 5 | |
Verisk Analytics, Inc. | 30 | 4 | |
Watsco, Inc. | 386 | 68 | |
Watts Water Technologies, Inc. Class A | 47 | 4 | |
Xylem, Inc. | 52 | 4 | |
1,566 | |||
Information Technology—2.0% | |||
8x8, Inc.(3) | 229 | 4 | |
Akamai Technologies, Inc.(3) | 50 | 4 | |
Alarm.com Holdings, Inc.(3) | 90 | 4 | |
Ambarella, Inc.(3) | 85 | 5 | |
Amdocs Ltd. | 68 | 4 | |
Amphenol Corp. Class A | 44 | 4 | |
ANSYS, Inc.(3) | 20 | 4 | |
Appfolio, Inc. Class A(3) | 47 | 5 | |
Aspen Technology, Inc.(3) | 38 | 4 | |
Badger Meter, Inc. | 77 | 4 | |
Black Knight, Inc.(3) | 70 | 5 | |
Booz Allen Hamilton Holding Corp. | 63 | 4 | |
Broadridge Financial Solutions, Inc. | 36 | 5 | |
Cabot Microelectronics Corp. | 28 | 4 |
Shares | Value | ||
Information Technology—continued | |||
Cadence Design Systems, Inc.(3) | 67 | $4 | |
Citrix Systems, Inc. | 41 | 5 | |
Cognex Corp. | 85 | 4 | |
CTS Corp. | 163 | 4 | |
Dolby Laboratories, Inc. Class A | 71 | 5 | |
EPAM Systems, Inc.(3) | 25 | 4 | |
ExlService Holdings, Inc.(3) | 64 | 4 | |
F5 Networks, Inc.(3) | 31 | 5 | |
Fair Isaac Corp.(3) | 15 | 5 | |
Fiserv, Inc.(3) | 42 | 5 | |
FLIR Systems, Inc. | 81 | 4 | |
Genpact Ltd. | 114 | 5 | |
Global Payments, Inc. | 27 | 5 | |
Guidewire Software, Inc.(3) | 40 | 5 | |
Jack Henry & Associates, Inc. | 31 | 4 | |
LiveRamp Holdings, Inc.(3) | 111 | 4 | |
Manhattan Associates, Inc.(3) | 57 | 4 | |
ManTech International Corp. Class A | 63 | 5 | |
Maxim Integrated Products, Inc. | 76 | 5 | |
MAXIMUS, Inc. | 59 | 5 | |
Micron Technology, Inc.(3) | 3,427 | 163 | |
Mitek Systems, Inc.(3) | 458 | 4 | |
Monolithic Power Systems, Inc. | 29 | 4 | |
National Instruments Corp. | 108 | 5 | |
Paychex, Inc. | 52 | 4 | |
Pegasystems, Inc. | 59 | 4 | |
Perficient, Inc.(3) | 108 | 4 | |
Power Integrations, Inc. | 48 | 4 | |
Q2 Holdings, Inc.(3) | 62 | 4 | |
RingCentral, Inc. Class A(3) | 28 | �� | 5 |
Samsung Electronics Co. Ltd. | 3,498 | 152 | |
SK Hynix, Inc. | 2,307 | 163 | |
SPS Commerce, Inc.(3) | 85 | 5 | |
Synopsys, Inc.(3) | 32 | 4 | |
Taiwan Semiconductor Manufacturing Co., Ltd. | 6,000 | 59 | |
Tyler Technologies, Inc.(3) | 17 | 5 | |
VeriSign, Inc.(3) | 23 | 4 | |
744 | |||
Materials—0.4% | |||
Anglo American PLC | 2,090 | 54 | |
AptarGroup, Inc. | 37 | 4 | |
Balchem Corp. | 43 | 4 | |
BASF SE | 707 | 54 | |
Chase Corp. | 38 | 5 | |
NewMarket Corp. | 9 | 4 | |
Novagold Resources, Inc.(3) | 645 | 5 | |
Quaker Chemical Corp. | 28 | 4 | |
Royal Gold, Inc. | 37 | 4 | |
Sensient Technologies Corp. | 70 | 4 | |
Sonoco Products Co. | 76 | 5 |
Shares | Value | ||
Materials—continued | |||
Vulcan Materials Co. | 31 | $5 | |
152 | |||
Real Estate—0.2% | |||
Lamar Advertising Co. Class A | 54 | 4 | |
Land Securities Group PLC | 4,337 | 53 | |
Rayonier, Inc. | 153 | 4 | |
RMR Group, Inc. (The) Class A | 92 | 5 | |
SBA Communications, Corp. | 19 | 5 | |
VICI Properties, Inc. | 187 | 4 | |
75 | |||
Utilities—0.2% | |||
ALLETE, Inc. | 52 | 4 | |
American States Water Co. | 47 | 4 | |
American Water Works Co., Inc. | 37 | 5 | |
Aqua America, Inc. | 99 | 5 | |
Atmos Energy Corp. | 40 | 5 | |
Evergy, Inc. | 70 | 4 | |
IDACORP, Inc. | 41 | 4 | |
MGE Energy, Inc. | 58 | 4 | |
OGE Energy Corp. | 104 | 5 | |
ONE Gas, Inc. | 48 | 4 | |
SJW Group | 61 | 4 | |
WEC Energy Group, Inc. | 48 | 5 | |
Xcel Energy, Inc. | 71 | 5 | |
58 | |||
Total Common Stocks (Identified Cost $3,797) | 3,923 | ||
Exchange-Traded Funds—10.1% | |||
Invesco Emerging Markets Sovereign Debt ETF(6) | 63,969 | 1,864 | |
iShares JP Morgan USD Emerging Markets Bond ETF(6) | 16,442 | 1,868 | |
Total Exchange-Traded Funds (Identified Cost $3,534) | 3,732 | ||
Purchased Options—0.1% | |||
(See open purchased options schedule) | |||
Total Purchased Options (Premiums paid $126) | 51 | ||
Total Long-Term Investments—26.8% (Identified Cost $9,703) | 9,892 | ||
Shares | Value | ||
Short-Term Investment—52.3% | |||
Money Market Mutual Fund—52.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.730%)(6) | 19,298,812 | $19,299 | |
Total Short-Term Investment (Identified Cost $19,299) | 19,299 | ||
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—79.1% (Identified Cost $29,002) | $29,191 | ||
Written Options—(0.2)% | |||
(See open written options schedule) | |||
Total Written Options (Premiums received $78) | (89) | ||
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—78.9% (Identified Cost $28,924) | $29,102 | ||
Other assets and liabilities, net—21.1% | 7,794 | ||
NET ASSETS—100.0% | $36,896 |
Abbreviations: | |
ETF | Exchange-Traded Fund |
LIBOR | London Interbank Offered Rate |
PLC | Public Limited Company |
QTR | Quarterly |
TERM | Payment Frequency at Termination |
Footnote Legend: | |
(1) | Principal amount is adjusted daily pursuant to the change in the Consumer Price Index. |
(2) | Par value reported in thousands. |
(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 report of each are publicly available. |
Counterparties: | |
BNP | BNP Paribas |
CITI | Citibank |
GS | Goldman Sachs & Co. |
JPM | JPMorgan Chase Bank N.A. |
ML | Merrill Lynch |
Soc Gen | Societe Generale |
Foreign Currencies: | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CLP | Chilean Peso |
CZK | Czech koruna |
EUR | Euro |
GBP | United Kingdom Pound Sterling |
HKD | Hong Kong Dollar |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
RUB | Russian Ruble |
SEK | Swedish Krona |
SGD | Singapore Dollar |
TRY | Turkish Lira |
TWD | Taiwan Dollar |
USD | United States Dollar |
Country Weightings (Unaudited)† | |
United States | 90% |
Indonesia | 3 |
Ireland | 2 |
United Kingdom | 1 |
South Korea | 1 |
France | 1 |
Sweden | 1 |
Other | 1 |
Total | 100% |
† % of total investments, net of written options, as of October 31, 2019. |
Open purchased option contracts as of October 31, 2019 were as follows: | ||||||
Description of Options | Counterparty | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Option | ||||||
FTSE 100 Index | JPM | 79 | $5,925 | $7,500.00 | 12/20/19 | $30 |
Put Options | ||||||
Put USD 295 versus Call TRY 1,180 | CITI | 295,000 | 1,180 | 4.00 | 05/04/20 | —(2) |
Put USD 590 versus Call TRY 2,360 | CITI | 590,000 | 2,360 | 4.00 | 06/04/20 | —(2) |
Swiss Market Index | JPM | 21 | 2,100 | 10,000.00 | 12/20/19 | 21 |
Total | $51 |
Footnote Legend: | |
(1) | Strike price not reported in thousands. |
(2) | Amount is less than $500. |
Open written option contracts as of October 31, 2019 were as follows: | ||||||
Description of Options | Counterparty | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options | ||||||
Swiss Market Index | JPM | 21 | $(2,100) | $10,000.00 | 12/20/19 | $(65) |
FTSE 100 Index | JPM | 79 | (5,984) | 7,575.00 | 12/20/19 | (17) |
Put Option | ||||||
FTSE 100 Index | JPM | 4 | (291) | 7,275.00 | 12/20/19 | (7) |
Total | $(89) |
Footnote Legend: | |
(1) | Strike price not reported in thousands. |
Futures contracts as of October 31, 2019 were as follows: | ||||
Issue | Expiration | Contracts Purchased/(Sold) | Notional Value | Value/Unrealized Appreciation (Depreciation) |
TOPIX Index Future | December 2019 | 3 | $463 | $43 |
10 Year U.S. Treasury Note Future | December 2019 | (13) | (1,694) | 13 |
CME Ultra Long Term U.S. Treasury Bond Future | December 2019 | 16 | 3,036 | (75) |
U.S. Ultra Bond Future | December 2019 | (4) | (646) | 11 |
CME E-mini Russell 2000® Index Future | December 2019 | (14) | (1,094) | (7) |
E-Mini Health Care Select Sector Future | December 2019 | 20 | 1,900 | 65 |
Euro Stoxx 50® Future | December 2019 | 51 | 2,053 | 49 |
MSCI Emerging Markets Index Future | December 2019 | 8 | 417 | 4 |
MSCI World Index Future | December 2019 | (11) | (718) | (7) |
S&P 500® Index E-Mini Future | December 2019 | 3 | 455 | 5 |
Stoxx® Europe Mid 200 Index Future | December 2019 | 21 | 562 | 17 |
Total | $118 |
Forward foreign currency exchange contracts as of October 31, 2019 were as follows: | ||||||||
Currency Purchased | Value(1) | Currency Sold | Value(1) | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |
AUD(2) | 1,563 | JPY | 112,374 | CITI | 11/21/19 | $36 | $— | |
AUD(2) | 1,243 | USD | 843 | CITI | 02/19/20 | 16 | — | |
BRL(2) | 1,537 | USD | 370 | GS | 11/19/19 | 13 | — | |
EUR(2) | 1,100 | USD | 1,223 | CITI | 01/15/20 | 10 | — | |
EUR(2) | 1,183 | USD | 1,325 | ML | 01/15/20 | 2 | — | |
GBP(2) | 510 | USD | 655 | GS | 01/15/20 | 7 | — | |
GBP(2) | 510 | USD | 655 | JPM | 01/15/20 | 8 | — | |
IDR(2) | 5,298,770 | USD | 370 | GS | 01/17/20 | 5 | — | |
INR(2) | 26,732 | USD | 370 | GS | 01/17/20 | 4 | — | |
JPY(2) | 112,571 | AUD | 1,563 | GS | 11/21/19 | — | (34) | |
JPY(2) | 289,534 | USD | 2,740 | GS | 11/21/19 | — | (56) | |
JPY(2) | 140,313 | USD | 1,325 | GS | 11/21/19 | — | (25) | |
JPY(2) | 140,030 | USD | 1,326 | JPM | 11/21/19 | — | (27) | |
JPY(2) | 146,391 | USD | 1,370 | BNP | 02/19/20 | — | (4) | |
JPY(2) | 146,384 | USD | 1,370 | GS | 02/19/20 | — | (5) | |
KRW(2) | 886,582 | USD | 735 | CITI | 11/21/19 | 28 | — | |
KRW(2) | 488,711 | USD | 403 | GS | 11/21/19 | 17 | — | |
KRW(2) | 941,711 | USD | 784 | GS | 11/21/19 | 26 | — | |
KRW(2) | 495,000 | USD | 415 | JPM | 11/21/19 | 10 | — | |
MXN(2) | 7,169 | USD | 370 | GS | 11/19/19 | 2 | — | |
RUB(2) | 23,956 | USD | 370 | GS | 11/19/19 | 3 | — | |
SGD(2) | 801 | USD | 582 | GS | 01/15/20 | 7 | — | |
TWD(2) | 19,708 | USD | 633 | BNP | 11/21/19 | 15 | — | |
TWD(2) | 3,600 | USD | 115 | CITI | 11/21/19 | 3 | — | |
TWD(2) | 39,416 | USD | 1,262 | JPM | 11/21/19 | 34 | — | |
TWD(2) | 22,200 | USD | 732 | CITI | 02/19/20 | 1 | — | |
USD(2) | 1,370 | JPY | 147,402 | BNP | 11/21/19 | 3 | — | |
USD(2) | 4,021 | JPY | 427,514 | GS | 11/21/19 | 57 | — | |
USD(2) | 1,747 | KRW | 2,112,504 | CITI | 11/21/19 | — | (69) | |
USD(2) | 1,640 | KRW | 1,989,825 | GS | 11/21/19 | — | (71) | |
USD(2) | 61 | KRW | 71,500 | JPM | 11/21/19 | — | (1) | |
USD(2) | 2,013 | TWD | 62,725 | CITI | 11/21/19 | — | (49) | |
USD(2) | 28 | HKD | 217 | CITI | 11/25/19 | — | (—)(3) | |
USD(2) | 27 | HKD | 209 | JPM | 11/25/19 | — | (—)(3) | |
USD(2) | 53 | IDR | 750,619 | JPM | 11/25/19 | —(3) | — | |
USD(2) | 59 | TWD | 1,790 | JPM | 11/25/19 | —(3) | — | |
USD(2) | 56 | BRL | 225 | JPM | 01/15/20 | —(3) | — | |
USD(2) | 2,536 | EUR | 2,283 | GS | 01/15/20 | — | (25) | |
USD(2) | 107 | EUR | 96 | JPM | 01/15/20 | — | (—)(3) | |
USD(2) | 108 | EUR | 97 | ML | 01/15/20 | — | (—)(3) | |
USD(2) | 160 | GBP | 124 | JPM | 01/15/20 | — | (1) | |
USD(2) | 162 | GBP | 126 | ML | 01/15/20 | — | (1) | |
USD(2) | 1,140 | SGD | 1,570 | BNP | 01/15/20 | — | (15) | |
USD(2) | 370 | CLP | 264,476 | ML | 01/17/20 | 13 | — | |
USD(2) | 370 | CZK | 8,666 | JPM | 01/17/20 | — | (9) | |
USD(2) | 370 | HUF | 111,311 | ML | 01/17/20 | — | (10) | |
USD(2) | 370 | KRW | 437,821 | GS | 01/17/20 | — | (7) | |
USD(2) | 370 | SEK | 3,622 | BNP | 01/17/20 | — | (7) | |
USD(2) | 840 | AUD | 1,240 | BNP | 02/19/20 | — | (18) | |
USD(2) | 840 | AUD | 1,240 | JPM | 02/19/20 | — | (18) | |
USD(2) | 124 | GBP | 96 | ML | 02/19/20 | — | (1) | |
USD(2) | 1,296 | TWD | 39,398 | GS | 02/19/20 | — | (5) | |
Total | $320 | $(458) |
Footnote Legend: | |
(1) | Reported in thousands. |
(2) | Non deliverable forward. See Note 3b. |
(3) | Amount is less than $500. |
Centrally Cleared credit default swaps - sell protection(1) outstanding as of October 31, 2019 was as follows: | |||||||||||||
Reference Entity | Payment Frequency | Counterparty | Fixed Rate | Expiration Date | Notional Amount(2) | Value | Premiums Paid | Unrealized Appreciation | Unrealized (Depreciation) | ||||
iTRAXX Europe | QTR | JPM | 5.000% | 12/20/24 | 2,979 | EUR | $429 | $407 | $22 | $— | |||
Total | $429 | $407 | $22 | $— |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
Centrally cleared inflation swaps outstanding as of October 31, 2019 were as follows: | |||||||||||||
Fixed Rate | Floating Rate | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized Depreciation | ||||
3.591%(1) | 1-Month-UKRPI | TERM | JPM | 05/15/29 | 2,520 | GBP | $29 | $— | $29 | $— | |||
Total | $29 | $— | $29 | $— |
Footnote Legend: | |
(1) | Fund pays the floating rate and receives the fixed rate. |
Centrally cleared interest rate swaps outstanding as of October 31, 2019 were as follows: | |||||||||||||
Fixed Rate | Floating Rate | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized Depreciation | ||||
2.303%(1) | 3-Month LIBOR | TERM | JPM | 06/16/41 | 627 | USD | $(55) | $— | $— | $(55) | |||
2.304%(1) | 3-Month LIBOR | TERM | JPM | 06/16/41 | 627 | USD | (55) | — | — | (55) | |||
2.280%(1) | 3-Month LIBOR | TERM | JPM | 06/16/41 | 743 | USD | (63) | — | — | (63) | |||
1.756%(2) | 3-Month LIBOR | TERM | JPM | 06/16/23 | 5,230 | USD | 35 | — | 35 | — | |||
1.754%(2) | 3-Month LIBOR | TERM | JPM | 06/16/23 | 2,935 | USD | 20 | — | 20 | — | |||
1.755%(2) | 3-Month LIBOR | TERM | JPM | 06/16/23 | 10,580 | USD | 71 | — | 71 | — | |||
Total | $(47) | $— | $126 | $(173) |
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 variance swaps outstanding as of October 31, 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) | $27.90 | TERM | ML | 12/17/21 | 44 | USD | $(79) | $— | $— | $(79) | |||
Hang Seng China Enterprises Index(2) | 28.05 | TERM | JPM | 12/30/21 | 493 | HKD | (344) | — | — | (344) | |||
Hang Seng China Enterprises Index(2) | 28.05 | TERM | JPM | 12/30/19 | 180 | HKD | 209 | — | 209 | — | |||
S&P 500® Composite Stock Price Index(1) | 21.00 | TERM | ML | 12/17/21 | 2 | USD | (2) | — | — | (2) | |||
S&P 500® Composite Stock Price Index(1) | 20.50 | TERM | ML | 06/19/20 | 11 | USD | 34 | — | 34 | — | |||
Hang Seng China Enterprises Index(2) | 22.35 | TERM | Soc Gen | 06/29/20 | 70 | HKD | 22 | — | 22 | — | |||
Hang Seng China Enterprises Index(1) | 20.75 | TERM | Soc Gen | 12/30/19 | 21 | HKD | (12) | — | — | (12) | |||
Total | $(172) | $— | $265 | $(437) |
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. |
Over-the-counter total return swaps outstanding as of October 31, 2019 were as follows: | |||||||||||||
Referenced Entity | Floating Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized Depreciation | ||||
MSCI World Industrials Net Total Return USD Index | 1-Month LIBOR | TERM | CITI | 09/08/20 | 714 | USD | $(47) | $— | $— | $(47) | |||
MSCI World Consumer Staples Net Total Return USD Index | 1-Month LIBOR | TERM | Soc Gen | 10/26/20 | 736 | USD | (4) | — | — | (4) | |||
Total | $(51) | $— | $— | $(51) |
(1) The Fund pays the floating rate (+/- a spread) and receives the total return of the reference entity.
Total Value at October 31, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Foreign Government Security | $755 | $— | $755 | ||
U.S. Government Security | 1,431 | — | 1,431 | ||
Equity Securities: | |||||
Common Stocks | 3,923 | 3,884 | 39 | ||
Exchange-Traded Funds | 3,732 | 3,732 | — | ||
Money Market Mutual Fund | 19,299 | 19,299 | — | ||
Other Financial Instruments: | |||||
Purchased Options | 51 | 51 | — | ||
Futures Contracts | 207 | 207 | — | ||
Forward Foreign Currency Exchange Contracts | 320 | — | 320 | ||
Centrally Cleared Inflation Swaps | 29 | — | 29 | ||
Centrally Cleared Interest Rate Swaps | 126 | — | 126 | ||
Over-the-Counter Variance Swaps | 265 | — | 265 | ||
Centrally Cleared Credit Default Swap | 429 | — | 429 | ||
Total Assets | 30,567 | 27,173 | 3,394 | ||
Liabilities: | |||||
Other Financial Instruments: | |||||
Written Options | (89) | (89) | — | ||
Futures Contracts | (89) | (89) | — | ||
Forward Foreign Currency Exchange Contracts | (458) | — | (458) | ||
Centrally Cleared Interest Rate Swaps | (173) | — | (173) | ||
Over-the-Counter Variance Swaps | (437) | — | (437) | ||
Over-the-Counter Total Return Swaps | (51) | — | (51) | ||
Total Liabilities | (1,297) | (178) | (1,119) | ||
Total Investments | $29,270 | $26,995 | $2,275 |
Shares | Value | ||
Exchange-Traded Fund—2.0% | |||
JPMorgan Alerian MLP Index ETN(1) | 4,460 | $97 | |
Total Exchange-Traded Fund (Identified Cost $116) | 97 | ||
Master Limited Partnerships and Related Companies—96.6% | |||
Diversified—32.6% | |||
Energy Transfer LP | 26,215 | 330 | |
Enterprise Products Partners LP | 13,385 | 348 | |
Keyera Corp. | 4,320 | 100 | |
Kinder Morgan, Inc. | 11,640 | 233 | |
MPLX LP | 6,021 | 159 | |
ONEOK, Inc. | 4,035 | 282 | |
Pembina Pipeline Corp. | 3,440 | 121 | |
1,573 | |||
Downstream/Other—18.0% | |||
Chart Industries, Inc.(2) | 1,250 | 73 | |
Cheniere Energy, Inc.(2) | 6,612 | 407 | |
Delek US Holdings, Inc. | 2,230 | 89 | |
Marathon Petroleum Corp. | 2,450 | 157 | |
Phillips 66 | 900 | 105 | |
Tellurian, Inc.(2) | 4,645 | 37 | |
868 | |||
Electric, LDC & Power—2.7% | |||
NextEra Energy Partners LP | 2,510 | 132 | |
Gathering/Processing—12.0% | |||
Antero Midstream Corp. | 13,550 | 87 | |
EnLink Midstream LLC | 9,360 | 59 | |
Hess Midstream Partners LP | 3,290 | 70 |
Shares | Value | ||
Gathering/Processing—continued | |||
Rattler Midstream LP(2) | 3,870 | $58 | |
Targa Resources Corp. | 6,000 | 233 | |
Western Midstream Partners LP | 3,405 | 73 | |
580 | |||
Marine/Shipping—6.3% | |||
GasLog Ltd. | 6,240 | 85 | |
GasLog Partners LP | 5,645 | 112 | |
Golar LNG Ltd. | 7,840 | 108 | |
305 | |||
Natural Gas Pipelines—13.1% | |||
Tallgrass Energy LP Class A | 4,640 | 87 | |
TC Energy Corp. | 4,150 | 209 | |
Williams Cos., Inc. (The) | 14,970 | 334 | |
630 | |||
Petroleum Transportation & Storage—11.9% | |||
Genesis Energy LP | 4,365 | 88 | |
Magellan Midstream Partners LP | 1,770 | 110 | |
Plains GP Holdings LP Class A | 16,234 | 301 | |
SemGroup Corp. Class A | 4,680 | 76 | |
575 | |||
Total Master Limited Partnerships and Related Companies (Identified Cost $5,091) | 4,663 | ||
Total Long-Term Investments—98.6% (Identified Cost $5,207) | 4,760 | ||
Value | ||
TOTAL INVESTMENTS—98.6% (Identified Cost $5,207) | $4,760 | |
Other assets and liabilities, net—1.4% | 68 | |
NET ASSETS—100.0% | $4,828 |
Abbreviations: | |
ETN | Exchange-Traded Note |
LLC | Limited Liability Company |
LP | Limited Partnership |
MLP | Master Limited Partnership |
Footnote Legend: | |
(1) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(2) | Non-income producing. |
Country Weightings (Unaudited)† | |
United States | 85% |
Canada | 9 |
Bermuda | 4 |
Marshall Island | 2 |
Total | 100% |
† % of total investments as of October 31, 2019. |
Ownership Structure (Unaudited)†,†† | |
Major Midstream Companies | 32% |
Midstream MLP | 25 |
Embedded General Partner | 24 |
MLP Affiliate & Other | 15 |
Foreign LP | 2 |
Cash & Other | 2 |
Total | 100% |
† % of total investments as of October 31, 2019. |
Total Value at October 31, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Master Limited Partnerships and Related Companies | $4,663 | $4,663 | |
Exchange-Traded Fund | 97 | 97 | |
Total Investments | $4,760 | $4,760 |
Shares | Value | ||
Common Stocks—90.0% | |||
Communication Services—8.0% | |||
Alphabet, Inc. Class C(1)(2) | 818 | $1,031 | |
Auto Trader Group plc | 95,149 | 693 | |
1,724 | |||
Consumer Discretionary—8.3% | |||
Home Depot, Inc. (The) | 2,592 | 608 | |
Pool Corp. | 3,065 | 636 | |
Thor Industries, Inc. | 8,604 | 544 | |
1,788 | |||
Consumer Staples—9.7% | |||
Grocery Outlet Holding Corp.(2) | 12,060 | 385 | |
Hormel Foods Corp. | 6,986 | 285 | |
Lamb Weston Holdings, Inc. | 11,287 | 881 | |
Monster Beverage Corp.(2) | 9,406 | 528 | |
2,079 | |||
Financials—17.3% | |||
Berkley (W.R.) Corp. | 7,614 | 532 | |
FactSet Research Systems, Inc.(1) | 1,742 | 442 | |
Moelis & Co. Class A | 12,992 | 463 | |
Moody’s Corp. | 2,872 | 634 | |
Primerica, Inc.(1) | 8,116 | 1,024 | |
SEI Investments Co. | 10,531 | 631 | |
3,726 | |||
Health Care—7.7% | |||
Mettler-Toledo International, Inc.(2) | 855 | 603 | |
Silk Road Medical, Inc.(2) | 12,165 | 403 | |
Zoetis, Inc. | 5,019 | 642 | |
1,648 | |||
Industrials—12.4% | |||
Expeditors International of Washington, Inc. | 5,972 | 436 | |
Lennox International, Inc. | 2,114 | 523 | |
Old Dominion Freight Line, Inc. | 2,636 | 480 | |
TransUnion | 7,614 | 629 | |
Verisk Analytics, Inc.(1) | 4,233 | 612 | |
2,680 | |||
Information Technology—20.7% | |||
Avalara, Inc.(2) | 6,371 | 452 | |
CDW Corp.(1) | 5,020 | 642 | |
CoreLogic, Inc.(2) | 15,764 | 638 | |
DocuSign, Inc.(2) | 9,202 | 609 | |
Intuit, Inc.(1) | 1,844 | 475 |
Shares | Value | ||
Information Technology—continued | |||
Jack Henry & Associates, Inc.(1) | 2,954 | $418 | |
Trade Desk, Inc. (The) Class A(2) | 2,497 | 502 | |
Visa, Inc. Class A | 4,074 | 729 | |
4,465 | |||
Materials—3.0% | |||
Scotts Miracle-Gro Co. (The) | 6,450 | 647 | |
Real Estate—2.9% | |||
Lamar Advertising Co. Class A | 7,770 | 622 | |
Total Common Stocks (Identified Cost $17,998) | 19,379 | ||
Total Long-Term Investments—90.0% (Identified Cost $17,998) | 19,379 | ||
Short-Term Investment—8.7% | |||
Money Market Mutual Fund—8.7% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.730%)(3) | 1,871,617 | 1,872 | |
Total Short-Term Investment (Identified Cost $1,872) | 1,872 | ||
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT—98.7% (Identified Cost $19,870) | 21,251 | ||
Securities Sold Short(4)—(21.8)% | |||
Communication Services—(1.2)% | |||
WideOpenWest, Inc.(5) | (40,333) | (256) | |
Consumer Discretionary—(5.4)% | |||
Beazer Homes USA, Inc.(5) | (14,677) | (220) | |
Century Communities, Inc.(5) | (7,502) | (226) | |
Groupon, Inc.(5) | (82,726) | (230) | |
H&R Block, Inc. | (10,229) | (256) | |
Kontoor Brands, Inc. | (5,971) | (227) | |
(1,159) | |||
Consumer Staples—(1.1)% | |||
Flowers Foods, Inc. | (10,987) | (239) | |
Financials—(4.2)% | |||
Focus Financial Partners, Inc. Class A(5) | (10,368) | (227) |
Shares | Value | ||
Financials—continued | |||
LendingClub Corp.(5) | (14,072) | $(178) | |
Third Point Reinsurance, Ltd.(5) | (24,953) | (237) | |
Waddell & Reed Financial, Inc. Class A | (15,887) | (263) | |
(905) | |||
Industrials—(5.8)% | |||
ACCO Brands Corp. | (30,052) | (275) | |
Allison Transmission Holdings, Inc. | (4,061) | (177) | |
ArcBest Corp. | (7,944) | (229) | |
Deluxe Corp. | (6,034) | (313) | |
Werner Enterprises, Inc. | (6,747) | (246) | |
(1,240) | |||
Information Technology—(0.9)% | |||
Endurance International Group Holdings, Inc.(5) | (50,186) | (197) | |
Real Estate—(3.2)% | |||
Paramount Group, Inc. | (18,740) | (252) | |
Regency Centers Corp. | (3,058) | (206) | |
Retail Opportunity Investments Corp. | (12,924) | (241) | |
(699) | |||
Total Securities Sold Short (Proceeds $(4,788)) | (4,695) | ||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT—76.9% (Identified Cost $15,082) | $16,556 | ||
Other assets and liabilities, net—23.1% | 4,966 | ||
NET ASSETS—100.0% | $21,522 |
Footnote Legend: | |
(1) | All or portion segregated as collateral for securities sold short. |
(2) | Non-income producing. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report 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 October 31, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $19,379 | $19,379 | |
Money Market Mutual Fund | 1,872 | 1,872 | |
Total Assets | 21,251 | 21,251 | |
Liabilities: | |||
Equity Securities: | |||
Common Stocks | (4,695) | (4,695) | |
Total Liabilities | (4,695) | (4,695) | |
Total Investments | $16,556 | $16,556 |
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) | $29,191 | $4,760 | $21,251 | ||
Foreign currency at value(2) | 416 | — | —(a) | ||
Cash | 2,602 | 35 | 4,820 | ||
Segregated cash | 130 | — | — | ||
Collateral pledged for futures contracts | 301 | — | — | ||
Deposits with prime broker | 4,616 | — | — | ||
Variation margin receivable on futures contracts | 65 | — | — | ||
Swaps at value(3) | 849 | — | — | ||
Unrealized appreciation on forward foreign currency exchange contracts | 320 | — | — | ||
Receivables | |||||
Investment securities sold | 13 | — | — | ||
Fund shares sold | 2 | — | 135 | ||
Receivable from adviser | — | 3 | 4 | ||
Dividends and interest | 54 | 35 | 10 | ||
Tax reclaims | 8 | — | — | ||
Prepaid Trustees’ retainer | —(a) | —(a) | —(a) | ||
Prepaid expenses | 38 | 30 | 36 | ||
Other assets | 2 | —(a) | 1 | ||
Total assets | 38,607 | 4,863 | 26,257 | ||
Liabilities | |||||
Written options at value(4) | 89 | — | — | ||
Securities sold short(5) | — | — | 4,695 | ||
Margin due to counterparty on cleared swaps | 21 | — | — | ||
Variation margin payable on futures contracts | 25 | — | — | ||
Swaps at value | 661 | — | — | ||
Unrealized depreciation on forward foreign currency exchange contracts | 458 | — | — | ||
Payables | |||||
Fund shares repurchased | 2 | — | — | ||
Investment securities purchased | 358 | — | 1 | ||
Dividend distributions | — | — | 3 | ||
Investment advisory fees | 11 | — | — | ||
Distribution and service fees | 1 | 1 | —(a) | ||
Administration and accounting fees | 4 | 1 | 2 | ||
Transfer agent and sub-transfer agent fees and expenses | 6 | —(a) | 2 | ||
Professional fees | 44 | 30 | 25 | ||
Trustee deferred compensation plan | 2 | —(a) | 1 | ||
Other accrued expenses | 29 | 3 | 6 | ||
Total liabilities | 1,711 | 35 | 4,735 | ||
Net Assets | $36,896 | $4,828 | $21,522 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $39,017 | $5,932 | $19,923 | ||
Distributable earnings (accumulated losses) | (2,121) | (1,104) | 1,599 | ||
Net Assets | $36,896 | $4,828 | $21,522 | ||
Aviva Multi-Strategy Target Return Fund | Duff & Phelps Select MLP and Energy Fund | KAR Long/Short Equity Fund | |||
Net Assets: | |||||
Class A | $1,558 | $447 | $134 | ||
Class C | $966 | $126 | $138 | ||
Class I | $34,268 | $4,255 | $17,813 | ||
Class R6 | $104 | $— | $3,437 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 159,795 | 55,257 | 10,590 | ||
Class C | 100,867 | 15,750 | 10,905 | ||
Class I | 3,498,772 | 532,525 | 1,399,864 | ||
Class R6 | 10,621 | — | 270,000 | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $9.75 | $8.09 | $12.69 | ||
Class C | $9.58 | $8.01 | $12.61 | ||
Class I | $9.79 | $7.99 | $12.72 | ||
Class R6 | $9.80 | $— | $12.73 | ||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $10.34 | $8.58 | $13.46 | ||
Maximum Sales Charge - Class A | 5.75% | 5.75% | 5.75% | ||
(1)Investment in securities at cost | $29,002 | $5,207 | $19,870 | ||
(2) Foreign currency at cost | $411 | $— | $—(a) | ||
(3) Includes premiums paid on centrally cleared credit default swaps | $407 | $— | $— | ||
(4) Written options premiums | $78 | $— | $— | ||
(5) Securities sold short proceeds | $— | $— | $4,788 |
(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 | $882 | $395 | $98 | ||
Interest | 372 | 4 | — | ||
Return of capital distributions | — | (232) | — | ||
Foreign taxes withheld | (53) | (4) | — | ||
Total investment income | 1,201 | 163 | 98 | ||
Expenses | |||||
Investment advisory fees | 622 | 68 | 102 | ||
Distribution and service fees, Class A | 4 | 6 | —(2) | ||
Distribution and service fees, Class C | 12 | 2 | 1 | ||
Administration and accounting fees | 58 | 16 | 15 | ||
Transfer agent fees and expenses | 21 | 3 | 4 | ||
Sub-transfer agent fees and expenses, Class A | 1 | 1 | —(2) | ||
Sub-transfer agent fees and expenses, Class C | 1 | — | —(2) | ||
Sub-transfer agent fees and expenses, Class I | 21 | — | 5 | ||
Custodian fees | 17 | — | —(2) | ||
Printing fees and expenses | 29 | 7 | 38 | ||
Professional fees | 60 | 27 | 50 | ||
Interest expense | —(2) | —(2) | —(2) | ||
Registration fees | 60 | 49 | 65 | ||
Trustees’ fees and expenses | 5 | 1 | —(2) | ||
Miscellaneous expenses | 8 | 4 | 4 | ||
Total expenses | 919 | 184 | 284 | ||
Dividend expense and interest expense on securities sold short | — | — | 44 | ||
Total expenses, including dividend and interest expense on securities sold short | 919 | 184 | 328 | ||
Less expenses reimbursed and/or waived by investment adviser(3) | (213) | (88) | (158) | ||
Net expenses | 706 | 96 | 170 | ||
Net investment income (loss) | 495 | 67 | (72) | ||
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 | $(3,955) | $(425) | $199 | ||
Foreign currency transactions | (113) | — | (2) | ||
Forward foreign currency transactions | 692 | — | — | ||
Written options | 1,038 | — | — | ||
Futures | 1,665 | — | — | ||
Swaps | (808) | — | — | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 3,350 | (328) | 1,381 | ||
Securities sold short | — | — | 93 | ||
Foreign currency transactions | 22 | — | — | ||
Forward foreign currency transactions | (425) | — | — | ||
Written options | (113) | — | — | ||
Futures | (596) | — | — | ||
Swaps | (581) | — | — | ||
Net realized and unrealized gain (loss) on investments | 176 | (753) | 1,671 | ||
Net increase (decrease) in net assets resulting from operations | $671 | $(686) | $1,599 |
(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 | ||||||
Year Ended October 31, 2019 | Year Ended October 31, 2018 | Year Ended October 31, 2019 | Year Ended October 31, 2018 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $495 | $560 | $67 | $24 | |||
Net realized gain (loss) | (1,481) | 757 | (425) | 121 | |||
Net change in unrealized appreciation (depreciation) | 1,657 | (1,846) | (328) | (39) | |||
Increase (decrease) in net assets resulting from operations | 671 | (529) | (686) | 106 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (50) | (3) | (24) | (6) | |||
Class C | (19) | (1) | (3) | (2) | |||
Class I | (1,589) | (162) | (139) | (112) | |||
Class R6 | (3) | —(1) | — | — | |||
Return of Capital: | |||||||
Class A | — | — | (32) | (2) | |||
Class C | — | — | (5) | —(1) | |||
Class I | — | — | (188) | (27) | |||
Total Dividends and Distributions to Shareholders | (1,661) | (166) | (391) | (149) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (1,004) | (265) | 474 | (62) | |||
Class C | (630) | (1,015) | 3 | 2 | |||
Class I | (39,524) | (27,397) | (25) | 22 | |||
Class R6 | —(1) | 2 | — | — | |||
Increase (decrease) in net assets from capital transactions | (41,158) | (28,675) | 452 | (38) | |||
Net increase (decrease) in net assets | (42,148) | (29,370) | (625) | (81) | |||
Net Assets | |||||||
Beginning of period | 79,044 | 108,414 | 5,453 | 5,534 | |||
End of Period | $36,896 | $79,044 | $4,828 | $5,453 |
(1) | Amount is less than $500. |
KAR Long/Short Equity Fund | |
From Inception December 06, 2018 to October 31, 2019 | |
Increase (Decrease) in Net Assets Resulting from Operations | |
Net investment income (loss) | $(72) |
Net realized gain (loss) | 197 |
Net change in unrealized appreciation (depreciation) | 1,474 |
Increase (decrease) in net assets resulting from operations | 1,599 |
Change in Net Assets from Capital Transactions (See Note 6): | |
Class A | 107 |
Class C | 109 |
Class I | 17,007 |
Class R6 | 2,700 |
Increase (decrease) in net assets from capital transactions | 19,923 |
Net increase (decrease) in net assets | 21,522 |
Net Assets | |
Beginning of period | — |
End of Period | $21,522 |
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 | Distributions from 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 10/31/19 | $9.65 | 0.08 | 0.23 | 0.31 | (0.13) | — | (0.08) | (0.21) | 0.10 | $9.75 | 3.38 % | $1,558 | 1.69 % | 2.15 % | 0.81 % | 185 % | |
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 (5)(6) | 2.31 | (0.65) | 129 | |
7/20/15(7) 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 10/31/19 | $9.46 | 0.01 | 0.23 | 0.24 | (0.04) | — | (0.08) | (0.12) | 0.12 | $9.58 | 2.63 % | $966 | 2.44 % | 2.88 % | 0.08 % | 185 % | |
11/1/17 to 10/31/18 | 9.61 | (0.03) | (0.12) | (0.15) | — (8) | — | — | — (8) | (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 (5)(6) | 3.09 | (1.40) | 129 | |
7/20/15(7) 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 10/31/19 | $9.70 | 0.10 | 0.23 | 0.33 | (0.16) | — | (0.08) | (0.24) | 0.09 | $9.79 | 3.59 % | $34,268 | 1.44 % | 1.89 % | 1.07 % | 185 % | |
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 (5)(6) | 2.08 | (0.41) | 129 | |
7/20/15(7) 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 10/31/19 | $9.71 | 0.11 | 0.22 | 0.33 | (0.16) | — | (0.08) | (0.24) | 0.09 | $9.80 | 3.64 % | $104 | 1.38 % | 1.84 % | 1.15 % | 185 % | |
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(7) 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 10/31/19 | $9.26 | 0.14 | (0.82) | (0.68) | (0.12) | (0.37) | — | (0.49) | (1.17) | $8.09 | (7.22)% | $447 | 1.40 % (9) | 2.59 % | 1.56 % | 82 % | |
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 (5) | 2.87 | 0.21 | 29 | |
11/1/16 to 10/31/17 | 9.57 | — (8) | 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 (6) | 6.20 | 0.69 | 33 | |
9/9/15(7) 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 10/31/19 | $9.20 | (0.03) | (0.70) | (0.73) | (0.09) | (0.37) | — | (0.46) | (1.19) | $8.01 | (7.84)% | $126 | 2.16 % (9) | 3.36 % | (0.32) % | 82 % | |
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 (5) | 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 (6) | 6.93 | (0.06) | 33 | |
9/9/15(7) to 10/31/15 | 10.00 | — (8) | (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 | Distributions from 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 10/31/19 | $9.25 | 0.05 | (0.70) | (0.65) | (0.24) | (0.37) | — | (0.61) | (1.26) | $7.99 | (6.98)% | $4,255 | 1.16 % (9) | 2.31 % | 0.62 % | 82 % | |
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 (5) | 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 (6) | 5.95 | 0.94 | 33 | |
9/9/15(7) 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(7) to 10/31/19 | $10.00 | (0.11) | 2.80 | 2.69 | — | — | — | — | 2.69 | $12.69 | 26.90% | $134 | 2.40 % (10) | 4.26 % | (1.03) % | 56 % | |
Class C | |||||||||||||||||
12/6/18(7) to 10/31/19 | $10.00 | (0.18) | 2.79 | 2.61 | — | — | — | — | 2.61 | $12.61 | 26.10% | $138 | 3.15 % (10) | 5.02 % | (1.78) % | 56 % | |
Class I | |||||||||||||||||
12/6/18(7) to 10/31/19 | $10.00 | (0.10) | 2.82 | 2.72 | — | — | — | — | 2.72 | $12.72 | 27.20% | $17,813 | 2.04 % (10) | 3.99 % | (0.94) % | 56 % | |
Class R6 | |||||||||||||||||
12/6/18(7) to 10/31/19 | $10.00 | (0.07) | 2.80 | 2.73 | — | — | — | — | 2.73 | $12.73 | 27.30% | $3,437 | 2.08 % (10) | 4.00 % | (0.71) % | 56 % |
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) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(6) | Net expense ratio includes extraordinary proxy expenses. |
(7) | Inception date. |
(8) | Amount is less than $0.005 per share. |
(9) | The ratio of net expenses to average net assets excluding interest expense for the Duff & Phelps Select MLP and Energy Fund for Class A is 1.40%, Class C is 2.15% and for Class I is 1.15% for the year ended October 31, 2019. |
(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 October 31, 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. The Funds’ 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 and Investment Income |
C. | Income Taxes |
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. | 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 addition, 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. 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. The dividends on short sales and rebate income/fees are recorded under “Dividend expense and interest expense on securities sold short” on the Statement of Operations. |
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 a 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 Statement of Operations as net realized gain (loss) from future 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 “Deposits with prime broker”. |
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 October 31, 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 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 October 31, 2019: |
Fair Values of Derivative Financial Instruments as of October 31, 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 value(1); Unrealized appreciation on futures contracts(2); Swaps at value | $179 |
Foreign currency exchange contracts | Investment in securities at value(1); Unrealized appreciation on forward foreign currency exchange contracts | 320 |
Equity contracts | Unrealized appreciation on futures contracts(1); Investment in securities at value(2); Swaps at value | 499 |
Credit contracts | Swaps at value | 429 |
Total | $1,427 |
(1) | Includes purchased options at value as reported in the Schedules of Investments. |
(2) | Includes cumulative appreciation (depreciation) on futures contracts 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 October 31, 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 value(1); Unrealized depreciation on futures contracts(2); Swaps at value | $248 |
Foreign currency exchange contracts | Unrealized depreciation on forward foreign currency exchange contracts | 458 |
Equity contracts | Written options at value; Unrealized depreciation on futures contracts(2);Swaps at value | 591 |
Total | $1,297 |
(1) | Includes purchased options at value as reported in the Schedules of Investments. |
(2) | Includes cumulative appreciation (depreciation) on futures contracts 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 Statements of Operations for the Period Ended October 31, 2019 | |||
Net Realized Gain (Loss) From | |||
Aviva Multi-Strategy Target Return Fund | |||
Interest rate contracts: | |||
Futures contracts(1) | $1,247 | ||
Purchased swaptions(2) | (1,121) | ||
Written options(3) | (200) | ||
Swaps(4) | (746) | ||
Foreign currency exchange contracts: | |||
Forward foreign currency transactions(5) | 692 | ||
Purchased options(2) | (605) | ||
Equity contracts: | |||
Futures(1) | 418 | ||
Purchased options(2) | (1,944) | ||
Written options(3) | 1,238 | ||
Swaps(4) | (137) | ||
Credit contracts: | |||
Swaps(4) | 75 | ||
Total | $(1,083) |
(1) Included in net realized gain (loss) from futures within the Statements of Operations. |
(2) Included in net realized gain (loss) from investments within the Statement of Operations. |
(3) Included in net realized gain (loss) from written options within the Statement of Operations. |
(4) Included in net realized gain (loss) from swaps within the Statements of Operations. |
(5) Included in net realized gain (loss) from forward foreign currency transactions within the Statements of Operations. |
The Effect of Derivative Financial Instruments in the Statements of Operations for the Period Ended October 31, 2019 | |||
Net Change in Unrealized Appreciation/(Depreciation) on | |||
Aviva Multi-Strategy Target Return Fund | |||
Interest rate contracts: | |||
Futures contracts(1) | $(352) | ||
Purchased swaptions(2) | (65) | ||
Swaps(3) | (413) | ||
Foreign currency exchange contracts: | |||
Forward foreign currency transactions(4) | (425) | ||
Purchased options(2) | 526 | ||
Written options(5) | 28 | ||
Equity contracts: | |||
Futures contracts(1) | (244) | ||
Purchased options(2) | 225 | ||
Written options(5) | (141) | ||
Swaps(3) | (100) | ||
Credit contracts: | |||
Swaps(3) | (68) | ||
Total | $(1,029) |
(1) Included in net change in unrealized appreciation (depreciation) from futures within the Statements 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 Statements 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) | $703 |
Purchased Swaptions(1) | 464 |
Written Options(2) | (279) |
Futures Contracts - Long Positions(3) | 148 |
Futures Contracts - Short Positions(3) | 112 |
Forward Foreign Currency Exchange Purchase Contracts(4) | 20,839 |
Forward Foreign Currency Exchange Sale Contracts(5) | (32,673) |
Interest Rate Swap Agreements(6) | 19,985,280 |
Credit Default Swap Agreements - Buy Protection(6) | 6,364 |
Credit Default Swap Agreements - Sell Protection(6) | 1,186 |
Total Return Swap Agreements(6) | 290 |
Inflation Swap Agreements(6) | 13,865 |
Variance Swap Agreements(6) | 1,456 |
(1) Average premiums paid for the period. |
(2) Average premiums received for the period. |
(3) Average unrealized for the period. |
(4) Average value at trade date payable. |
(5) Average value at settlement date receivable. |
(6) Notional amount. |
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. | |
Cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Typically, the Funds and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. |
At October 31, 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 | $25 | |||
Forward foreign currency exchange contracts | 320 | 458 | |||
Swaps | 849 | 661 | |||
Purchased options | 51 | — | |||
Purchased swaptions | — | — | |||
Written options | — | 89 | |||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | $1,285 | $1,233 | |||
Derivatives not subject to a MNA or similar agreement | (700) | (287) | |||
Total assets and liabilities subject to a MNA | $585 | $946 |
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 | |||||
BNP Paribas | $18 | $(18) | $— | $— | $— | |||||
Citibank | 94 | (94) | — | — | — | |||||
Goldman Sachs & Co. | 141 | (141) | — | — | — | |||||
JPMorgan Chase Bank N.A. | 261 | (261) | — | — | — | |||||
Merrill Lynch | 49 | (49) | — | — | — | |||||
Societe Generale | 22 | (16) | — | — | 6 | |||||
Total | $585 | $(579) | $— | $— | $6 |
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 | $44 | $(18) | $— | $— | $26 | |||||
Citibank | 165 | (94) | — | — | 71 | |||||
Goldman Sachs & Co. | 228 | (141) | — | — | 87 | |||||
JPMorgan Chase Bank N.A. | 400 | (261) | — | (130) | 9 | |||||
Merrill Lynch | 93 | (49) | — | — | 44 | |||||
Societe Generale | 16 | (16) | — | — | — | |||||
Total | $946 | $(579) | $— | $(130) | $237 |
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, subject to the exceptions listed below, so that such expenses do not exceed, on an annualized basis, the following respective percentages of average daily net assets through February 28, 2020. Following the contractual period, the Adviser may discontinue these expense reimbursement arrangements at any time. 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 | 2020 | 2021 | 2022 | Total | ||||
Aviva Multi-Strategy Target Return Fund | ||||||||
Class A | $ 16 | $ 7 | $7 | $30 | ||||
Class C | 14 | 5 | 5 | 24 | ||||
Class I | 435 | 208 | 177 | 820 | ||||
Class R6 | —(1) | —(1) | —(1) | —(1) | ||||
Duff & Phelps Select MLP and Energy Fund | ||||||||
Class A | 10 | 6 | 28 | 44 | ||||
Class C | 5 | 2 | 2 | 9 | ||||
Class I | 164 | 77 | 58 | 299 | ||||
KAR Long/Short Equity Fund | ||||||||
Class A | — | — | 2 | 2 | ||||
Class C | — | — | 2 | 2 | ||||
Class I | — | — | 100 | 100 | ||||
Class R6 | — | — | 54 | 54 |
(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 fiscal year ended October 31, 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 October 31, 2019, the Funds incurred administration fees totaling $58 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 October 31, 2019, the Funds incurred transfer agent fees totaling $27 which are included in the Statements of Operations within the line item “Transfer agent fees and expenses.” The fees are calculated daily and paid monthly. | |
G. | Affiliated Shareholders |
At October 31, 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 | $99 | |
Class C | 10,058 | 96 | |
Class I | 1,902,815 | 18,629 | |
Class R6 | 10,470 | 103 | |
Duff & Phelps Select MLP and Energy Fund | |||
Class A | 10,601 | 86 | |
Class C | 10,431 | 84 | |
Class I | 511,612 | 4,088 |
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” in the Statements of Assets and Liabilities at October 31, 2019. |
Purchases | Sales | ||
Aviva Multi-Strategy Target Return Fund | $16,217 | $38,686 | |
Duff & Phelps Select MLP and Energy Fund | 6,225 | 5,827 | |
KAR Long/Short Equity Fund | 18,820 | 5,806 |
Purchases | Sales | ||
Aviva Multi-Strategy Target Return Fund | $15,866 | $17,811 |
Aviva Multi-Strategy Target Return Fund | |||||||
Year Ended October 31, 2019 | Year Ended October 31, 2018 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Shares sold and cross class conversions | 14 | $132 | 130 | $1,269 | |||
Reinvestment of distributions | 5 | 48 | —(1) | 3 | |||
Shares repurchased and cross class conversions | (127) | (1,184) | (158) | (1,537) | |||
Net Increase / (Decrease) | (108) | $(1,004) | (28) | $(265) | |||
Class C | |||||||
Shares sold and cross class conversions | 9 | $83 | 5 | $47 | |||
Reinvestment of distributions | 2 | 17 | —(1) | —(1) | |||
Shares repurchased and cross class conversions | (79) | (730) | (111) | (1,062) | |||
Net Increase / (Decrease) | (68) | $(630) | (106) | $(1,015) | |||
Class I | |||||||
Shares sold and cross class conversions | 487 | $4,626 | 1,562 | $15,286 | |||
Reinvestment of distributions | 85 | 757 | 15 | 152 | |||
Shares repurchased and cross class conversions | (4,783) | (44,907) | (4,391) | (42,835) | |||
Net Increase / (Decrease) | (4,211) | $(39,524) | (2,814) | $(27,397) | |||
Class R6 | |||||||
Shares sold and cross class conversions | 1 | $6 | —(1) | $3 | |||
Reinvestment of distributions | —(1) | —(1) | —(1) | —(1) | |||
Shares repurchased and cross class conversions | (1) | (6) | — (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 | |||||||
Year Ended October 31, 2019 | Year Ended October 31, 2018 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Shares sold and cross class conversions | 402 | $3,627 | 64 | $567 | |||
Reinvestment of distributions | 6 | 50 | 1 | 7 | |||
Shares repurchased and cross class conversions | (387) | (3,203) | (65) | (636) | |||
Net Increase / (Decrease) | 21 | $474 | —(1) | $(62) | |||
Class C | |||||||
Shares sold and cross class conversions | 6 | $51 | 2 | $18 | |||
Reinvestment of distributions | —(1) | 3 | —(1) | 2 | |||
Shares repurchased and cross class conversions | (6) | (51) | (1) | (18) | |||
Net Increase / (Decrease) | —(1) | $3 | 1 | $2 | |||
Class I | |||||||
Shares sold and cross class conversions | 72 | $631 | 4 | $40 | |||
Reinvestment of distributions | 2 | 18 | 11 | 106 | |||
Shares repurchased and cross class conversions | (81) | (674) | (13) | (124) | |||
Net Increase / (Decrease) | (7) | $(25) | 2 | $22 |
(1) | Amount is less than $500 or 500 shares. |
KAR Long/Short Equity Fund | |||
From Inception December 06, 2018 to October 31, 2019 | |||
SHARES | AMOUNT | ||
Class A | |||
Shares sold and cross class conversions | 11 | $107 | |
Net Increase / (Decrease) | 11 | $107 | |
Class C | |||
Shares sold and cross class conversions | 11 | $109 | |
Net Increase / (Decrease) | 11 | $109 | |
Class I | |||
Shares sold and cross class conversions | 1,431 | $17,401 | |
Shares repurchased and cross class conversions | (31) | (394) | |
Net Increase / (Decrease) | 1,400 | $17,007 | |
Class R6 | |||
Shares sold and cross class conversions | 270 | $2,700 | |
Net Increase / (Decrease) | 270 | $2,700 |
% of Shares Outstanding | Number of Accounts | ||
Aviva Multi-Strategy Target Return Fund | 51% | 1* | |
Duff & Phelps Select MLP and Energy Fund | 85 | 1* | |
KAR Long/Short Equity Fund | 94 | 2* |
* | Includes affiliated shareholder account(s). |
Fund | Investment | Date of Acquisition | Cost | Value | Percentage of Net Assets | |||||
Aviva Multi-Strategy Target Return Fund | Safran SA | 2/16/2018 | $27 | $39 | 0.1% |
Fund | Interest Incurred on Borrowing | Average Dollar Amount of Borrowing | Weighted Average Interest Rate on Borrowing | Days Loan was Open | ||||
Duff & Phelps Select MLP and Energy Fund | $—(1) | $1,000 | 3.10% | 4 |
(1) | Amount is less than $500. |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Aviva Multi-Strategy Target Return Fund - securities and derivatives | $28,887 | $891 | $(826) | $65 | ||||
Aviva Multi-Strategy Target Return Fund - Written Options | (90) | - | - | - | ||||
Duff & Phelps Select MLP and Energy Fund - Investments | 5,340 | 5 | (585) | (580) | ||||
KAR Long/Short Equity Fund - Investments | 19,870 | 1,541 | (160) | 1,381 | ||||
KAR Long/Short Equity Fund - Short Sales | (4,788) | 224 | (131) | 93 |
No Expiration | Total | ||||||
Short-Term | Long-Term | Short-Term | Long-Term | ||||
Aviva Multi-Strategy Target Return Fund | $1,851 | $335 | $1,851 | $335 | |||
Duff & Phelps Select MLP and Energy Fund | 63 | 287 | 63 | 287 |
Late Year Ordinary Losses Deferred | Late Year Ordinary Losses Recognized | ||
Duff & Phelps Select MLP and Energy Fund | $119 | $(57) |
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | ||
KAR Long/Short Equity Fund | $126 | $— |
Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | ||||
Aviva Multi-Strategy Target Return Fund | |||||||
10/31/19 | $1,661 | $— | $— | $1,661 | |||
10/31/18 | 166 | — | — | 166 | |||
Duff & Phelps Select MLP and Energy Fund | |||||||
10/31/19 | 166 | — | 225 | 391 | |||
10/31/18 | 58 | 63 | 29 | 150 | |||
KAR Long/Short Equity Fund | |||||||
10/31/19 | — | — | — | — | |||
10/31/18 | — | — | — | — |
Capital Paid in on Shares of Beneficial Interest | Accumulated Earnings (Loss) | ||
Aviva Multi-Strategy Target Return Fund | $ (74) | $74 | |
Duff & Phelps Select MLP and Energy Fund | 12 | (12) |
Virtus KAR Long/Short Equity Fund | Statement of operations and statement of changes in net assets for the period December 6, 2018 (inception) through October 31, 2019 |
Virtus Aviva Multi-Strategy Target Return Fund Virtus Duff & Phelps Select MLP and Energy Fund | Statements of operations for the year ended October 31, 2019 and statements of changes in net assets for each of the two years in the period ended October 31, 2019 |
Philadelphia, Pennsylvania
December 20, 2019
QDI | DRD | LTCG | |||
Aviva Multi-Strategy Target Return Fund | 100% | 24% | $ — | ||
Duff & Phelps Select MLP and Energy Fund | 87 | 57 | — | ||
KAR Long/Short Equity Fund | 63 | 60 | — |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Complex Overseen | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee |
Brown, Thomas J. YOB: 1945 Served Since: 2016 67 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (56 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Variable Insurance Trust (8 portfolios); Director (since 2010), D’Youville Senior Care Center; and Director (since 2005), VALIC Company Funds (49 portfolios). |
Burke, Donald C. YOB: 1960 Served Since: 2016 71 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (56 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2014) closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). |
Harris, Sidney E. YOB: 1949 Served Since: 2017 67 Portfolios | Professor and Dean Emeritus (since April 2015), Professor (1997 to 2014), Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University; Trustee (since 2019), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (56 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), KIPP Metro Atlanta; Trustee (since 1999) Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Trustee ( since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Mallin, John R. YOB: 1950 Served Since: 2016 67 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm), Real Property Practice Group; and Member (since 2014), Counselors of Real Estate. Trustee (since 2016), Virtus Mutual Fund Family (56 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). |
McClellan, Hassell H. YOB: 1945 Served Since: 2016 67 Portfolios | Retired (since 2013); and Professor (1984 to 2013), Wallace E. Carroll School of Management, Boston College. Chairperson of the Board (since 2017) and Trustee (since 2000), John Hancock Fund Complex (collectively, 227 portfolios); Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Mutual Fund Family (56 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); and Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 67 Portfolios | Retired (since 2013); and Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013); Vice President Global Finance Transformation (2007 to 2009); Vice President and Controller (1999 to 2007), The Coca-Cola Company; Trustee (since 2017), Virtus Mutual Fund Family (56 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2014), Total System Services, Inc.; and Trustee (2005 to 2017), RidgeWorth Funds. |
McLoughlin, Philip YOB: 1946 Served Since: 2013 74 Portfolios | Retired. Director and Chairman (since 2016), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Director and Chairman (since 2014) Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director (since 1991) and Chairman (since 2010), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (56 portfolios). |
McNamara, Geraldine M. YOB: 1951 Served Since: 2016 71 Portfolios | Retired. Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); and Trustee (since 2001), Virtus Mutual Fund Family (56 portfolios). |
Oates, James M. YOB: 1946 Served Since: 2013 70 Portfolios | Managing Director (since 1994), Wydown Group (consulting firm). Director (since 2016), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Trustee (since 2016), Virtus Variable Insurance Trust (8 portfolios); Director (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Global Multi-Sector Income Fund; Trustee (since 2005) and Chairman (2005 to 2017), John Hancock Fund Complex (227 portfolios); Director (2002 to 2014), New Hampshire Trust Company; Chairman (2000 to 2016), Emerson Investment Management, Inc.; Non-Executive Chairman (2000 to 2014), Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services); Chairman and Director (1999 to 2014), Connecticut River Bank; Director (since 1996), Stifel Financial; and Trustee (since 1987), Virtus Mutual Fund Family (56 portfolios). |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Complex Overseen | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee |
Segerson, Richard E. YOB: 1946 Served Since: 2016 67 Portfolios | Retired; and Managing Director (1998 to 2013), Northway Management Company. Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios) and Virtus Variable Insurance Trust (8 portfolios); and Trustee (since 1983), Virtus Mutual Fund Family (56 portfolios). |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Complex Overseen | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee |
Aylward, George R.* Trustee and President YOB: 1964 Served Since: 2013 72 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various senior officer positions with Virtus affiliates (since 2005). Chairman and Trustee (since 2015), Virtus ETF Trust II (2 portfolios); Director, President and Chief Executive Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013),Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (4 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (56 portfolios); and Director, President and Chief Executive Officer (since 2006), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter YOB: 1970 | Senior Vice President (since 2017) and Vice President (2013 to 2016). | Senior Vice President, Product Development (since 2017), and Vice President, Product Development (2008 to 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2008) with Virtus affiliates; Senior Vice President (since 2017), and Vice President (2008 to 2016), Virtus Mutual Fund Family; Senior Vice President (since 2017), and Vice President (2010 to 2016), Virtus Variable Insurance Trust; Senior Vice President (since 2017), and Vice President (2013 to 2016), Virtus Alternative Solutions Trust; and Senior Vice President (since 2017) and Vice President (2016 to 2017), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund. |
Bradley, W. Patrick YOB: 1972 | Executive Vice President (since 2016); Senior Vice President (2013 to 2016); Chief Financial Officer and Treasurer (since 2013). | Executive Vice President, Fund Services (since 2016), and Senior Vice President, Fund Services (2010 to 2016), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2006) with Virtus affiliates; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2004), Virtus Variable Insurance Trust; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2006), Virtus Mutual Fund Family; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2012 to 2013), Treasurer and Chief Financial Officer (since 2010), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2016), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (since 2014), Duff & Phelps Select Energy MLP and Midstream Energy Fund Inc.; Vice President and Assistant Treasurer (since 2011), Duff & Phelps Utility and Infrastructure Fund Inc.; Director (since 2013), Virtus Global Funds, PLC; and Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2013), Virtus Alternative Solutions Trust. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Carr, Kevin J. YOB: 1954 | Senior Vice President and Assistant Secretary (since 2017). | Vice President and Senior Counsel (2017 to Present), Senior Vice President (2009 to 2017), Vice President, Counsel and Secretary (2008 to 2009), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions (since 2005) with Virtus affiliates; Senior Vice President (since 2013), Vice President (2005 to 2013), Chief Legal Officer, Counsel and Secretary (since 2005), Virtus Mutual Fund Family; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013), and Assistant Secretary (2013 to 2014 and since 2017), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013), Virtus Variable Insurance Trust; Senior Vice President (2013 to 2014), Vice President (2011 to 2013), and Assistant Secretary (since 2011), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Senior Vice President (since 2017) and Assistant Secretary (since 2013), Virtus Alternative Solutions Trust; Secretary (since 2015), ETFis Series Trust I; and Secretary (since 2015), Virtus ETF Trust II. |
Engberg, Nancy J. YOB: 1956 | Senior Vice President (since 2017); Vice President (2013 to 2017), and Chief Compliance Officer (since 2013). | Senior Vice President (since 2017), Vice President (2008 to 2017) and Chief Compliance Officer (2008 to 2011 and since 2016), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2003) with Virtus affiliates; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2016) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2016) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (since 2017), Vice President (2014 to 2017) and Chief Compliance Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. |
Fromm, Jennifer YOB: 1973 | Vice President; Chief Legal Officer and Secretary (since 2013). | Vice President (since 2016) and Senior Counsel, Legal (since 2007), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Vice President (since 2017) and Assistant Secretary (since 2008), Virtus Mutual Fund Family; Vice President, Chief Legal Officer, and Secretary (since 2013), Virtus Variable Insurance Trust; and Vice President, Chief Legal Officer, and Secretary (since 2013), Virtus Alternative Solutions Trust. |
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President (since 2018), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Virtus Mutual Fund Family; President and Chief Executive Officer, RidgeWorth Funds (2007 to 2017); and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). |
Waltman, Francis G. YOB: 1962 | Executive Vice President (since 2013). | Executive Vice President, Product Development (since 2009), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions (since 2006) with Virtus affiliates; Executive Vice President (since 2013), Senior Vice President (2008 to 2013), Virtus Mutual Fund Family; Executive Vice President (since 2013), Senior Vice President (2010 to 2013), Virtus Variable Insurance Trust; Executive Vice President (since 2013), Senior Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2014), Duff & Phelps Select Energy MLP and Midstream Energy Fund Inc.; Director (since 2013), Virtus Global Funds PLC; Executive Vice President (since 2013), Virtus Alternative Solutions Trust; and Executive Vice President (since 2017), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
Accounting Firm
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.
8555 | 12-19 |
Item 2. | Code of Ethics. |
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics described in Item 2(b) of the instructions for completion of FormN-CSR. |
(d) | The registrant has not granted any waivers during the period covered by this report, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
Item 3. | Audit Committee Financial Expert. |
(a)(1) | The Registrant’s Board of Trustees has determined that the Registrant has an “audit committee financial expert” serving on its Audit Committee. |
(a)(2) | The Registrant’s Board of Trustees has determined that Donald C. Burke, Thomas J. Brown and Richard E. Segerson each possess the technical attributes identified in Instruction 2(b) of Item 3 to FormN-CSR to qualify as an “audit committee financial expert.” Each of Mr. Burke, Mr. Brown and Mr. Segerson is an “independent” trustee as defined in paragraph (a)(2) of Item 3 to FormN-CSR. |
(a)(3) | Not applicable. |
Item 4. | Principal Accountant Fees and Services. |
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $74,700 for 2019 and $62,505 for 2018. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $12,837 for 2019 and $8,096 for 2018. Such audit-related fees include out of pocket expenses and fees related to a new fund launch. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $22,747 for 2019 and $22,200 for 2018. |
“Tax Fees” are primarily associated with review of the Trust’s tax provision and qualification as a regulated investment company (RIC) in connection with audits of the Trust’s financial statement, review ofyear-end distributions by the Fund to avoid excise tax for the Trust, periodic discussion with management on tax issues affecting the Trust, and reviewing and signing the Fund’s federal income tax returns.
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2019 and $0 for 2018. |
(e)(1) | Disclose the audit committee’spre-approval policies and procedures described in paragraph (c)(7) of Rule2-01 of RegulationS-X. |
The Board of Trustees of Virtus Alternative Solutions Trust (the “Fund”) has adopted policies and procedures with regard to thepre-approval of services provided by its independent auditors. Audit, audit-related and tax compliance services provided to the Fund on an annual basis require specificpre-approval by the Audit Committee. The Audit Committee also must approve othernon-audit services provided to the Fund and thosenon-audit services provided to the Fund’s Affiliated Service Providers that relate directly to the operations and financial reporting of the Fund. Certain of thesenon-audit services that the Audit Committee believes are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services that will not impair the independence of the independent auditors may be approved by the Audit Committee without consideration on a specificcase-by-case basis (“generalpre-approval”).
The Audit Committee has determined that Thomas J. Brown, Chair of the Audit Committee, may providepre-approval for such services that meet the above requirements in the event such
approval is sought between regularly scheduled meetings. In any event, the Audit Committee is informed of each service approved subject to generalpre-approval at the next regularly scheduledin-person Audit Committee meeting.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule2-01 of RegulationS-X are as follows: |
(b) | 0% |
(c) | 0% |
(d) | N/A |
(f) | The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent. |
(g) | The aggregatenon-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $35,584 for 2019 and $30,296 for 2018. |
(h) | The registrant’s audit committee of the board of directors has considered whether the provision ofnon-audit services that were rendered to the registrant’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X is compatible with maintaining the principal accountant’s independence. |
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 and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule30a-3(b) under the 1940 Act (17 CFR270.30a-3(b)) and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR240.13a-15(b) or240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act (17 CFR270.30a-3(d))) that occurred during the registrant’s most recent fiscal period 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) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to 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 | 1/09/2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ George R. Aylward | |||
George R. Aylward, President (principal executive officer) |
Date | 1/09/2020 |
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 | 1/09/2020 |
* | Print the name and title of each signing officer under his or her signature. |