UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: 811-23298
WEISS STRATEGIC INTERVAL FUND
(Exact name of registrant as specified in charter)
320 PARK AVENUE, 20TH FLOOR
NEW YORK, NEW YORK 10022
(Address of Principal Executive Offices) (Zip Code)
Jeffrey Dillabough, Esq.
Secretary
Weiss Strategic Interval Fund
320 Park Avenue, 20th Floor
New York, New York 10022
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (212) 415-4500
Date of fiscal year end: December 31st
Date of reporting period: June 30, 2018
Item 1. Reports to Stockholders.
Beginning Account Value (1/1/18) | Ending Account Value (6/30/2018) | Expenses Paid During the Period (1/1/18 to 6/30/2018) | ||||
Weiss Strategic Interval Fund | ||||||
Actual | $1,000.00 | $1,118.00 | $37.60 | |||
Hypothetical(5% return before expenses) | $1,000.00 | $985.04 | $35.24 |
See Notes to Financial Statements.
Schedule of Investments(unaudited)
Weiss Strategic Interval Fund
June 30, 2018
Investments | Shares | Value | ||||||
Long-Term Investments 360.1% | ||||||||
Common Stocks 324.2% | ||||||||
Aerospace & Defense 4.7% | ||||||||
Huntington Ingalls Industries, Inc.(1) | 2,400 | $ | 520,296 | |||||
L3 Technologies, Inc.(1) | 4,347 | 836,015 | ||||||
Lockheed Martin Corp. | 1,826 | 539,455 | ||||||
Maxar Technologies Ltd.(1) | 9,378 | 473,777 | ||||||
Northrop Grumman Corp.(1) | 15,678 | 4,824,121 | ||||||
Raytheon Co. | 2,174 | 419,973 | ||||||
United Technologies Corp.(1) | 9,216 | 1,152,276 | ||||||
|
| |||||||
8,765,913 | ||||||||
|
| |||||||
Air Freight & Logistics 3.2% | ||||||||
CH Robinson Worldwide, Inc.(1) | 21,735 | 1,818,350 | ||||||
United Parcel Service, Inc., Class B(1) | 39,544 | 4,200,759 | ||||||
|
| |||||||
6,019,109 | ||||||||
|
| |||||||
Airlines 12.4% | ||||||||
Alaska Air Group, Inc. | 80,594 | 4,867,072 | ||||||
American Airlines Group, Inc. | 210,494 | 7,990,352 | ||||||
Delta Air Lines, Inc.(1) | 9,080 | 449,823 | ||||||
Southwest Airlines Co. | 189,529 | 9,643,236 | ||||||
|
| |||||||
22,950,483 | ||||||||
|
| |||||||
Automobiles 0.3% | ||||||||
Thor Industries, Inc.(1) | 5,405 | 526,393 | ||||||
Banks 2.2% | ||||||||
BankUnited, Inc.(1) | 50,662 | 2,069,543 | ||||||
Prosperity Bancshares, Inc. | 30,429 | 2,080,126 | ||||||
|
| |||||||
4,149,669 | ||||||||
|
| |||||||
Beverages 5.0% | ||||||||
Coca-Cola European Partners PLC(1),(2) | 143,828 | 5,845,170 | ||||||
Molson Coors Brewing Co., Class B(1) | 50,729 | 3,451,601 | ||||||
|
| |||||||
9,296,771 | ||||||||
|
| |||||||
Biotechnology 0.5% | ||||||||
Shire PLC, ADR(1) | 4,927 | 831,678 | ||||||
Building Products 0.4% | ||||||||
Fortune Brands Home & Security, Inc.(1) | 7,245 | 388,984 | ||||||
Masco Corp. | 5,100 | 190,842 | ||||||
Owens Corning(1) | 3,362 | 213,050 | ||||||
|
| |||||||
792,876 | ||||||||
|
| |||||||
Capital Markets 5.6% | ||||||||
AllianceBernstein Holding L.P.(1) | 86,420 | 2,467,291 | ||||||
Charles Schwab Corp. (The) | 8,694 | 444,263 | ||||||
Northern Trust Corp.(1) | 14,490 | 1,490,876 | ||||||
TD Ameritrade Holding Corp. | 21,735 | 1,190,426 | ||||||
Virtu Financial, Inc., Class A(1) | 181,125 | 4,808,869 | ||||||
|
| |||||||
10,401,725 | ||||||||
|
| |||||||
Chemicals 7.4% | ||||||||
Celanese Corp., Series A(1) | 3,188 | 354,059 | ||||||
FMC Corp. | 5,796 | 517,061 | ||||||
Huntsman Corp.(1) | 14,490 | 423,108 | ||||||
Olin Corp. | 94,560 | 2,715,763 | ||||||
Scotts Miracle-Gro Co. (The) | 16,519 | 1,373,720 | ||||||
Sherwin-Williams Co. (The) | 8,626 | 3,515,699 | ||||||
Tronox Ltd., Class A(1) | 207,314 | 4,079,940 |
Schedule of Investments(unaudited)
Weiss Strategic Interval Fund
June 30, 2018
Investments | Shares | Value | ||||||
Common Stocks | ||||||||
Chemicals | ||||||||
WR Grace & Co.(1) | 9,419 | 690,507 | ||||||
|
| |||||||
13,669,857 | ||||||||
|
| |||||||
Commercial Services & Supplies 2.9% | ||||||||
Waste Management, Inc.(1) | 65,727 | 5,346,234 | ||||||
Communications Equipment 1.9% | ||||||||
Cisco Systems, Inc.(1) | 79,650 | 3,427,340 | ||||||
Finisar Corp.(1),(3) | 3,602 | 64,836 | ||||||
|
| |||||||
3,492,176 | ||||||||
|
| |||||||
Construction & Engineering 0.6% | ||||||||
Dycom Industries, Inc.(1),(3) | 4,343 | 410,457 | ||||||
Jacobs Engineering Group, Inc.(1) | 10,317 | 655,026 | ||||||
|
| |||||||
1,065,483 | ||||||||
|
| |||||||
Construction Materials 1.4% | ||||||||
Eagle Materials, Inc.(1) | 10,114 | 1,061,667 | ||||||
Martin Marietta Materials, Inc. | 725 | 161,914 | ||||||
Vulcan Materials Co.(1) | 10,563 | 1,363,261 | ||||||
|
| |||||||
2,586,842 | ||||||||
|
| |||||||
Containers & Packaging 2.1% | ||||||||
Ball Corp. | 22,170 | 788,143 | ||||||
Bemis Co., Inc. | 9,419 | 397,576 | ||||||
Graphic Packaging Holding Co.(1) | 170,982 | 2,480,949 | ||||||
WestRock Co.(1) | 4,347 | 247,866 | ||||||
|
| |||||||
3,914,534 | ||||||||
|
| |||||||
Diversified Consumer Services 1.6% | ||||||||
Service Corp. International/US(1) | 82,147 | 2,940,041 | ||||||
Diversified Telecommunication Services 2.3% | ||||||||
AT&T, Inc.(1) | 97,083 | 3,117,335 | ||||||
Verizon Communications, Inc.(1) | 21,735 | 1,093,488 | ||||||
|
| |||||||
4,210,823 | ||||||||
|
| |||||||
Electric Utilities 15.1% | ||||||||
American Electric Power Co., Inc.(1) | 91,287 | 6,321,625 | ||||||
Duke Energy Corp.(1) | 52,164 | 4,125,129 | ||||||
Edison International(1) | 30,600 | 1,936,062 | ||||||
Evergy, Inc.(1) | 157,527 | 8,845,141 | ||||||
Exelon Corp.(1) | 78,971 | 3,364,164 | ||||||
PPL Corp. | 118,818 | 3,392,254 | ||||||
|
| |||||||
27,984,375 | ||||||||
|
| |||||||
Electrical Equipment 1.5% | ||||||||
Eaton Corp. PLC(1) | 33,584 | 2,510,068 | ||||||
Emerson Electric Co.(1) | 3,411 | 235,837 | ||||||
|
| |||||||
2,745,905 | ||||||||
|
| |||||||
Energy Equipment & Services 0.6% | ||||||||
Halliburton Co. | 23,909 | 1,077,340 | ||||||
Food & Staples Retailing 2.0% | ||||||||
Casey’s General Stores, Inc. | 2,898 | 304,522 | ||||||
Walmart, Inc. | 40,572 | 3,474,992 | ||||||
|
| |||||||
3,779,514 | ||||||||
|
| |||||||
Food Products 12.2% | ||||||||
Archer-Daniels-Midland Co.(1) | 80,420 | 3,685,649 | ||||||
B&G Foods, Inc. | 86,583 | 2,588,832 | ||||||
Bunge Ltd.(1) | 45,264 | 3,155,353 | ||||||
Kellogg Co. | 101,527 | 7,093,691 |
Schedule of Investments(unaudited)
Weiss Strategic Interval Fund
June 30, 2018
Investments | Shares | Value | ||||||
Common Stocks | ||||||||
Food Products | ||||||||
Lamb Weston Holdings, Inc.(1) | 52,005 | 3,562,863 | ||||||
Pinnacle Foods, Inc. | 18,868 | 1,227,552 | ||||||
Tyson Foods, Inc., Class A(1) | 20,707 | 1,425,677 | ||||||
|
| |||||||
22,739,617 | ||||||||
|
| |||||||
Health Care Equipment & Supplies 0.1% | ||||||||
Abbott Laboratories(1) | 2,636 | 160,770 | ||||||
Health Care Providers & Services 2.0% | ||||||||
Cigna Corp.(1) | 6,650 | 1,130,168 | ||||||
Humana, Inc.(1) | 7,629 | 2,270,619 | ||||||
Owens & Minor, Inc.(1) | 3,182 | 53,171 | ||||||
Patterson Cos., Inc. | 5,712 | 129,491 | ||||||
Universal Health Services, Inc., Class B | 290 | 32,318 | ||||||
|
| |||||||
3,615,767 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure 11.1% | ||||||||
BJ’s Restaurants, Inc.(1) | 41,123 | 2,467,380 | ||||||
Bloomin’ Brands, Inc.(1) | 66,101 | 1,328,630 | ||||||
Caesars Entertainment Corp.(3) | 4,642 | 49,669 | ||||||
Cheesecake Factory, Inc. (The)(1) | 38,732 | 2,132,584 | ||||||
Dunkin’ Brands Group, Inc.(1) | 42,790 | 2,955,505 | ||||||
Eldorado Resorts, Inc.(1),(3) | 11,580 | 452,778 | ||||||
Extended Stay America, Inc., UNIT(1) | 4,634 | 100,141 | ||||||
Hilton Worldwide Holdings, Inc.(1) | 16,432 | 1,300,757 | ||||||
Hyatt Hotels Corp., Class A(1) | 14,214 | 1,096,610 | ||||||
International Game Technology PLC(1) | 29,204 | 678,701 | ||||||
Red Rock Resorts, Inc., Class A(1) | 45,723 | 1,531,721 | ||||||
Restaurant Brands International, Inc.(1),(2) | 57,191 | 3,448,617 | ||||||
Royal Caribbean Cruises Ltd.(1) | 14,200 | 1,471,120 | ||||||
Wendy’s Co. (The) | 15,069 | 258,886 | ||||||
Wynn Resorts Ltd. | 8,491 | 1,420,884 | ||||||
|
| |||||||
20,693,983 | ||||||||
|
| |||||||
Household Durables 1.7% | ||||||||
KB Home(1) | 13,445 | 366,242 | ||||||
Leggett & Platt, Inc.(1) | 29,049 | 1,296,747 | ||||||
Lennar Corp., Class A(1) | 12,813 | 672,683 | ||||||
Newell Brands, Inc. | 28,256 | 728,722 | ||||||
|
| |||||||
3,064,394 | ||||||||
|
| |||||||
Household Products 2.1% | ||||||||
Energizer Holdings, Inc.(1) | 62,742 | 3,950,236 | ||||||
Independent Power and Renewable Electricity Producers 0.8% | ||||||||
NRG Energy, Inc.(1) | 50,896 | 1,562,507 | ||||||
Industrial Conglomerates 1.4% | ||||||||
Honeywell International, Inc.(1) | 18,489 | 2,663,340 | ||||||
Insurance 9.6% | ||||||||
Aspen Insurance Holdings Ltd.(2) | 172,503 | 7,020,872 | ||||||
Hartford Financial Services Group, Inc. (The)(1) | 72,450 | 3,704,369 | ||||||
Lincoln National Corp.(1) | 30,485 | 1,897,691 | ||||||
RenaissanceRe Holdings Ltd.(2) | 43,425 | 5,224,896 | ||||||
|
| |||||||
17,847,828 | ||||||||
|
| |||||||
Internet & Catalog Retail 0.2% | ||||||||
Duluth Holdings, Inc., Class B(1),(3) | 18,500 | 440,115 | ||||||
Internet Software & Services 0.2% | ||||||||
Pandora Media, Inc.(1),(3) | 3,732 | 29,408 |
Schedule of Investments(unaudited)
Weiss Strategic Interval Fund
June 30, 2018
Investments | Shares | Value | ||||||
Common Stocks | ||||||||
Internet Software & Services | ||||||||
Twitter, Inc.(1),(3) | 7,245 | 316,389 | ||||||
|
| |||||||
345,797 | ||||||||
|
| |||||||
IT Services 7.5% | ||||||||
Alliance Data Systems Corp. | 12,316 | 2,872,091 | ||||||
DXC Technology Co.(1) | 65,205 | 5,256,175 | ||||||
Global Payments, Inc.(1) | 9,454 | 1,054,026 | ||||||
Leidos Holdings, Inc.(1) | 15,997 | 943,823 | ||||||
Perspecta, Inc.(1) | 185,472 | 3,811,450 | ||||||
|
| |||||||
13,937,565 | ||||||||
|
| |||||||
Leisure Products 1.3% | ||||||||
Callaway Golf Co.(1) | 126,540 | 2,400,464 | ||||||
Life Sciences Tools & Services 0.2% | ||||||||
Agilent Technologies, Inc.(1) | 7,245 | 448,031 | ||||||
Machinery 4.0% | ||||||||
Caterpillar, Inc. | 7,391 | 1,002,737 | ||||||
Deere & Co.(1) | 19,991 | 2,794,742 | ||||||
Energy Recovery, Inc.(3) | 10,088 | 81,511 | ||||||
Fortive Corp. | 6,955 | 536,300 | ||||||
Illinois Tool Works, Inc. | 433 | 59,988 | ||||||
Ingersoll-Rand PLC(1) | 23,967 | 2,150,559 | ||||||
Timken Co. (The) | 13,331 | 580,565 | ||||||
Wabtec Corp. | 2,608 | 257,096 | ||||||
|
| |||||||
7,463,498 | ||||||||
|
| |||||||
Marine 0.2% | ||||||||
Scorpio Bulkers, Inc.(1) | 42,572 | 302,261 | ||||||
Media 4.2% | ||||||||
CBS Corp., Class B, NVDR | 5,796 | 325,851 | ||||||
Nexstar Media Group, Inc., Class A(1) | 28,980 | 2,127,132 | ||||||
Sinclair Broadcast Group, Inc., Class A(1) | 28,980 | 931,707 | ||||||
Twenty-First Century Fox, Inc., Class A(1) | 20,286 | 1,008,011 | ||||||
Walt Disney Co. (The)(1) | 31,879 | 3,341,238 | ||||||
|
| |||||||
7,733,939 | ||||||||
|
| |||||||
Metals & Mining 0.2% | ||||||||
Teck Resources Ltd., Class B(1),(2) | 14,490 | 368,771 | ||||||
Multi-Utilities 6.7% | ||||||||
CMS Energy Corp.(1) | 117,369 | 5,549,206 | ||||||
Dominion Energy, Inc. | 65,205 | 4,445,677 | ||||||
NiSource, Inc. | 19,713 | 518,058 | ||||||
Vectren Corp.(1) | 27,328 | 1,952,585 | ||||||
|
| |||||||
12,465,526 | ||||||||
|
| |||||||
Multiline Retail 2.7% | ||||||||
Big Lots, Inc.(1) | 27,531 | 1,150,245 | ||||||
Dollar General Corp.(1) | 40,043 | 3,948,240 | ||||||
|
| |||||||
5,098,485 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels 25.2% | ||||||||
Aegean Marine Petroleum Network, Inc.(2) | 44,245 | 29,312 | ||||||
Anadarko Petroleum Corp.(1) | 45,411 | 3,326,356 | ||||||
Arch Coal, Inc., Class A(1) | 4,347 | 340,935 | ||||||
Chevron Corp.(1) | 7,127 | 901,067 | ||||||
Cimarex Energy Co.(1) | 21,271 | 2,164,112 | ||||||
ConocoPhillips | 4,452 | 309,948 | ||||||
Crestwood Equity Partners L.P.(1) | 4,451 | 141,319 | ||||||
CVR Energy, Inc.(1) | 14,840 | 548,932 | ||||||
DCP Midstream L.P.(1) | 17,458 | 690,464 |
Schedule of Investments(unaudited)
Weiss Strategic Interval Fund
June 30, 2018
Investments | Shares | Value | ||||||
Common Stocks | ||||||||
Oil, Gas & Consumable Fuels | ||||||||
Devon Energy Corp.(1) | 151,236 | 6,648,335 | ||||||
DHT Holdings, Inc.(2) | 82,593 | 387,361 | ||||||
Encana Corp.(1),(2) | 29,670 | 387,193 | ||||||
Energy Transfer Partners L.P.(1) | 32,645 | 621,561 | ||||||
Enterprise Products Partners L.P.(1) | 189,948 | 5,255,861 | ||||||
EOG Resources, Inc.(1) | 43,917 | 5,464,592 | ||||||
Exxon Mobil Corp. | 2,968 | 245,543 | ||||||
Golar LNG Ltd.(2) | 60,629 | 1,786,130 | ||||||
Lilis Energy, Inc.(3) | 11,717 | 60,928 | ||||||
Magellan Midstream Partners L.P.(1) | 23,742 | 1,640,097 | ||||||
Marathon Oil Corp.(1) | 188,027 | 3,922,243 | ||||||
Marathon Petroleum Corp.(1) | 38,691 | 2,714,561 | ||||||
NGL Energy Partners L.P.(1) | 1,551 | 19,388 | ||||||
Noble Energy, Inc.(1) | 72,059 | 2,542,242 | ||||||
Occidental Petroleum Corp.(1) | 5,936 | 496,724 | ||||||
Pioneer Natural Resources Co. | 4,741 | 897,187 | ||||||
Plains All American Pipeline L.P.(1) | 46,801 | 1,106,376 | ||||||
Scorpio Tankers, Inc.(2) | 29,317 | 82,381 | ||||||
Targa Resources Corp. | 8,694 | 430,266 | ||||||
Valero Energy Corp. | 1,484 | 164,472 | ||||||
Valero Energy Partners L.P.(1) | 21,578 | 821,474 | ||||||
Williams Cos., Inc. (The)(1) | 39,227 | 1,063,444 | ||||||
World Fuel Services Corp.(1) | 82,274 | 1,679,212 | ||||||
|
| |||||||
46,890,016 | ||||||||
|
| |||||||
Personal Products 0.2% | ||||||||
Coty, Inc., Class A(1) | 29,682 | 418,516 | ||||||
Pharmaceuticals 2.0% | ||||||||
Allergan PLC(1) | 4,773 | 795,755 | ||||||
AstraZeneca PLC, ADR(1),(2) | 47,470 | 1,666,672 | ||||||
Bristol-Myers Squibb Co.(1) | 13,572 | 751,074 | ||||||
Merck & Co., Inc.(1) | 6,375 | 386,962 | ||||||
Novartis AG, ADR(1),(2) | 2,529 | 191,041 | ||||||
|
| |||||||
3,791,504 | ||||||||
|
| |||||||
Real Estate Investment Trusts 124.8% | ||||||||
Acadia Realty Trust(1) | 207,207 | 5,671,256 | ||||||
American Homes 4 Rent, Class A(1) | 869,400 | 19,283,292 | ||||||
Apartment Investment & Management Co., Class A(1) | 195,615 | 8,274,514 | ||||||
AvalonBay Communities, Inc.(1) | 75,928 | 13,051,264 | ||||||
Boston Properties, Inc.(1) | 153,594 | 19,263,759 | ||||||
Corporate Office Properties Trust(1) | 354,521 | 10,277,564 | ||||||
DCT Industrial Trust, Inc.(1) | 191,268 | 12,763,314 | ||||||
Easterly Government Properties, Inc.(1) | 536,130 | 10,593,929 | ||||||
EPR Properties(1) | 83,007 | 5,378,024 | ||||||
Equity LifeStyle Properties, Inc.(1) | 173,880 | 15,979,572 | ||||||
HCP, Inc.(1) | 274,727 | 7,093,451 | ||||||
Healthcare Realty Trust, Inc. | 55,062 | 1,601,203 | ||||||
Healthcare Trust of America, Inc., Class A(1) | 339,066 | 9,141,219 | ||||||
Highwoods Properties, Inc.(1) | 130,813 | 6,636,143 | ||||||
Hudson Pacific Properties, Inc.(1) | 208,656 | 7,392,682 | ||||||
Kilroy Realty Corp.(1) | 55,379 | 4,188,868 | ||||||
Kimco Realty Corp.(1) | 217,350 | 3,692,777 | ||||||
Liberty Property Trust(1) | 391,230 | 17,343,226 | ||||||
Mid-America Apartment Communities, Inc.(1) | 27,531 | 2,771,546 | ||||||
Omega Healthcare Investors, Inc.(1) | 63,758 | 1,976,498 | ||||||
Outfront Media, Inc.(1) | 50,715 | 986,407 | ||||||
Paramount Group, Inc. | 731,601 | 11,266,655 |
Schedule of Investments(unaudited)
Weiss Strategic Interval Fund
June 30, 2018
Investments | Shares | Value | ||||||
Common Stocks | ||||||||
Real Estate Investment Trusts | ||||||||
Regency Centers Corp. | 28,980 | 1,799,078 | ||||||
Ryman Hospitality Properties, Inc.(1) | 18,018 | 1,498,197 | ||||||
STAG Industrial, Inc.(1) | 493,235 | 13,430,789 | ||||||
Taubman Centers, Inc.(1) | 104,257 | 6,126,141 | ||||||
VICI Properties, Inc.(1) | 669,229 | 13,812,887 | ||||||
Weyerhaeuser Co.(1) | 11,592 | 422,644 | ||||||
|
| |||||||
231,716,899 | ||||||||
|
| |||||||
Road & Rail 3.7% | ||||||||
Canadian National Railway Co.(1),(2) | 5,245 | 428,779 | ||||||
Celadon Group, Inc.(3) | 6,410 | 19,166 | ||||||
JB Hunt Transport Services, Inc. | 971 | 118,025 | ||||||
Kansas City Southern(1) | 377 | 39,947 | ||||||
Knight-Swift Transportation Holdings, Inc.(1) | 147,146 | 5,622,448 | ||||||
Ryder System, Inc. | 8,694 | 624,751 | ||||||
|
| |||||||
6,853,116 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment 6.2% | ||||||||
Analog Devices, Inc. | 7,970 | 764,482 | ||||||
KLA-Tencor Corp.(1) | 7,245 | 742,830 | ||||||
Marvell Technology Group Ltd.(1),(2) | 130,410 | 2,795,990 | ||||||
Maxim Integrated Products, Inc.(1) | 14,490 | 849,983 | ||||||
Microchip Technology, Inc.(1) | 28,980 | 2,635,731 | ||||||
NVIDIA Corp.(1) | 2,463 | 583,485 | ||||||
STMicroelectronics N.V.(1),(2) | 72,450 | 1,602,594 | ||||||
Texas Instruments, Inc. | 14,490 | 1,597,523 | ||||||
|
| |||||||
11,572,618 | ||||||||
|
| |||||||
Software 5.0% | ||||||||
Activision Blizzard, Inc.(1) | 49,266 | 3,759,981 | ||||||
Microsoft Corp.(1) | 56,511 | 5,572,550 | ||||||
|
| |||||||
9,332,531 | ||||||||
|
| |||||||
Specialty Retail 7.5% | ||||||||
Advance Auto Parts, Inc. | 30,073 | 4,080,906 | ||||||
Chico’s FAS, Inc.(1) | 81,144 | 660,512 | ||||||
Children’s Place, Inc. (The)(1) | 11,508 | 1,390,167 | ||||||
Dick’s Sporting Goods, Inc.(1) | 13,041 | 459,695 | ||||||
Home Depot, Inc. (The) | 2,029 | 395,858 | ||||||
Lowe’s Cos., Inc.(1) | 13,476 | 1,287,901 | ||||||
Michaels Cos., Inc. (The)(3) | 23,184 | 444,437 | ||||||
Ross Stores, Inc.(1) | 19,272 | 1,633,302 | ||||||
TJX Cos., Inc. (The)(1) | 30,193 | 2,873,770 | ||||||
Williams-Sonoma, Inc. | 11,663 | 715,875 | ||||||
|
| |||||||
13,942,423 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals 1.5% | ||||||||
Apple, Inc. | 4,347 | 804,673 | ||||||
Western Digital Corp.(1) | 18,837 | 1,458,172 | ||||||
Xerox Corp.(1) | 18,837 | 452,088 | ||||||
|
| |||||||
2,714,933 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods 3.7% | ||||||||
Carter’s, Inc.(1) | 30,551 | 3,311,423 | ||||||
Oxford Industries, Inc.(1) | 6,375 | 528,997 | ||||||
PVH Corp.(1) | 12,993 | 1,945,312 | ||||||
Tapestry, Inc. | 19,967 | 932,659 |
Schedule of Investments(unaudited)
Weiss Strategic Interval Fund
June 30, 2018
Investments | Shares | Value | ||||||||||||||
Common Stocks | ||||||||||||||||
Textiles, Apparel & Luxury Goods | ||||||||||||||||
VF Corp. | 869 | 70,841 | ||||||||||||||
|
| |||||||||||||||
6,789,232 | ||||||||||||||||
|
| |||||||||||||||
Trading Companies & Distributors 2.3% | ||||||||||||||||
Air Lease Corp. | 101,430 | 4,257,017 | ||||||||||||||
|
| |||||||||||||||
Total Common Stocks (Cost $589,043,289) | 602,129,440 | |||||||||||||||
|
| |||||||||||||||
Principal | ||||||||||||||||
Amount | ||||||||||||||||
Floating Rate Loans 23.1% | ||||||||||||||||
Somerset Re Ltd. Term Loan 3, 3 Month USD LIBOR + 0.50%, 2.82% | 32,500,000 | 32,500,000 | ||||||||||||||
Somerset Re Ltd. Term Loan 4, 3 Month USD LIBOR + 0.50%, 2.83% | 1,000,000 | 1,000,000 | ||||||||||||||
Somerset Re Ltd. Term Loan 5, 3 Month USD LIBOR + 0.50%, 2.86% | 1,600,000 | 1,600,000 | ||||||||||||||
Weisshorn Re Ltd. Term Loan 1, 3 Month USD LIBOR + 0.50%, 2.83% | 6,700,000 | 6,700,000 | ||||||||||||||
Weisshorn Re Ltd. Term Loan 2, 3 Month USD LIBOR + 0.50%, 2.83% | 1,000,000 | 1,000,000 | ||||||||||||||
|
| |||||||||||||||
Total Floating Rate Loans (Cost $42,800,000) | 42,800,000 | |||||||||||||||
|
| |||||||||||||||
Investments | Shares | Value | ||||||||||||||
Exchange-Traded Funds 12.8% | ||||||||||||||||
Consumer Staples Select Sector SPDR Fund | 38,327 | 1,974,990 | ||||||||||||||
Financial Select Sector SPDR Fund ETF | 52,164 | 1,387,041 | ||||||||||||||
Health Care Select Sector SPDR Fund ETF(1) | 12,745 | 1,063,698 | ||||||||||||||
Industrial Select Sector SPDR Fund(1) | 81,867 | 5,864,133 | ||||||||||||||
Invesco DB US Dollar Index Bullish Fund, Class B(1) | 22,258 | 555,115 | ||||||||||||||
iShares Russell 2000 ETF | 4,452 | 729,104 | ||||||||||||||
iShares Transportation Average ETF | 44,541 | 8,294,870 | ||||||||||||||
iShares U.S. Home Construction ETF(1) | 61,439 | 2,343,898 | ||||||||||||||
SPDR S&P 500 ETF Trust | 5,796 | 1,572,339 | ||||||||||||||
|
| |||||||||||||||
Total Exchange-Traded Funds (Cost $23,899,599) | 23,785,188 | |||||||||||||||
|
| |||||||||||||||
Total Long-Term Investments (Cost $655,742,888) | 668,714,628 | |||||||||||||||
|
| |||||||||||||||
Securities Sold Short (4)(328.6)% | ||||||||||||||||
Short Common Stocks (239.7)% | ||||||||||||||||
Aerospace & Defense (1.2)% | ||||||||||||||||
Boeing Co. (The) | 2,898 | (972,308) | ||||||||||||||
BWX Technologies, Inc. | 7,535 | (469,581) | ||||||||||||||
Rockwell Collins, Inc. | 6,521 | (878,248) | ||||||||||||||
|
| |||||||||||||||
(2,320,137) | ||||||||||||||||
|
| |||||||||||||||
Air Freight & Logistics (3.0)% | ||||||||||||||||
Expeditors International of Washington, Inc. | 68,683 | (5,020,727) | ||||||||||||||
FedEx Corp. | 2,465 | (559,703) | ||||||||||||||
|
| |||||||||||||||
(5,580,430) | ||||||||||||||||
|
| |||||||||||||||
Airlines (0.8)% | ||||||||||||||||
Delta Air Lines, Inc. | 10,143 | (505,121) | ||||||||||||||
Hawaiian Holdings, Inc. | 28,980 | (1,041,831) | ||||||||||||||
|
| |||||||||||||||
(1,546,952) | ||||||||||||||||
|
| |||||||||||||||
Auto Components (1.0)% | ||||||||||||||||
Aptiv PLC(2) | 4,927 | (451,461) | ||||||||||||||
Autoliv, Inc.(2) | 2,029 | (290,593) | ||||||||||||||
Gentex Corp. | 25,792 | (593,732) | ||||||||||||||
Lear Corp. | 2,608 | (484,592) | ||||||||||||||
Magna International, Inc.(2) | 174 | (10,115) | ||||||||||||||
|
| |||||||||||||||
(1,830,493) | ||||||||||||||||
|
| |||||||||||||||
Automobiles (0.8)% | ||||||||||||||||
Ford Motor Co. | 37,674 | (417,051) |
Schedule of Investments(unaudited)
Weiss Strategic Interval Fund
June 30, 2018
Investments | Shares | Value | ||||||
Short Common Stocks | ||||||||
Automobiles | ||||||||
General Motors Co. | 27,214 | (1,072,232) | ||||||
|
| |||||||
(1,489,283) | ||||||||
|
| |||||||
Banks (3.6)% | ||||||||
JPMorgan Chase & Co. | 28,980 | (3,046,497) | ||||||
People’s United Financial, Inc. | 144,900 | (2,621,241) | ||||||
Sterling Bancorp | 43,441 | (1,020,864) | ||||||
|
| |||||||
(6,688,602) | ||||||||
|
| |||||||
Beverages (5.2)% | ||||||||
Brown-Forman Corp., Class B | 16,091 | (788,620) | ||||||
Coca-Cola Co. (The) | 76,449 | (3,353,053) | ||||||
PepsiCo, Inc. | 50,144 | (5,459,177) | ||||||
|
| |||||||
(9,600,850) | ||||||||
|
| |||||||
Biotechnology (1.5)% | ||||||||
AbbVie, Inc. | 8,343 | (772,979) | ||||||
Amgen, Inc. | 11,097 | (2,048,395) | ||||||
|
| |||||||
(2,821,374) | ||||||||
|
| |||||||
Building Products (1.4)% | ||||||||
Allegion PLC(2) | 2,898 | (224,189) | ||||||
AO Smith Corp. | 7,245 | (427,793) | ||||||
Johnson Controls International PLC | 42,137 | (1,409,483) | ||||||
Masco Corp. | 14,866 | (556,286) | ||||||
|
| |||||||
(2,617,751) | ||||||||
|
| |||||||
Capital Markets (5.0)% | ||||||||
KKR & Co. L.P. | 103,871 | (2,581,194) | ||||||
Nasdaq, Inc. | 57,960 | (5,290,009) | ||||||
Northern Trust Corp. | 14,490 | (1,497,528) | ||||||
|
| |||||||
(9,368,731) | ||||||||
|
| |||||||
Chemicals (3.1)% | ||||||||
CF Industries Holdings, Inc. | 17,823 | (791,341) | ||||||
Chemours Co. (The) | 31,954 | (1,417,479) | ||||||
DowDuPont, Inc. | 8,694 | (573,109) | ||||||
Eastman Chemical Co. | 4,927 | (492,503) | ||||||
HB Fuller Co. | 12,807 | (687,480) | ||||||
PPG Industries, Inc. | 14,548 | (1,509,064) | ||||||
RPM International, Inc. | 6,104 | (355,985) | ||||||
|
| |||||||
(5,826,961) | ||||||||
|
| |||||||
Commercial Services & Supplies (0.7)% | ||||||||
Republic Services, Inc. | 19,688 | (1,345,872) | ||||||
|
| |||||||
Communications Equipment (3.3)% | ||||||||
Juniper Networks, Inc. | 137,655 | (3,774,500) | ||||||
Nokia Oyj, ADR(2) | 147,705 | (849,304) | ||||||
Telefonaktiebolaget LM Ericsson, ADR(2) | 206,592 | (1,584,561) | ||||||
|
| |||||||
(6,208,365) | ||||||||
|
| |||||||
Construction Materials (0.2)% | ||||||||
Martin Marietta Materials, Inc. | 1,508 | (336,782) | ||||||
|
| |||||||
Containers & Packaging (0.1)% | ||||||||
Packaging Corp. of America | 2,173 | (242,920) | ||||||
|
| |||||||
Distributors (0.5)% | ||||||||
Genuine Parts Co. | 9,603 | (881,459) | ||||||
|
| |||||||
Diversified Telecommunication Services (0.9)% | ||||||||
CenturyLink, Inc. | 92,447 | (1,723,212) |
Schedule of Investments(unaudited)
Weiss Strategic Interval Fund
June 30, 2018
Investments | Shares | Value | ||||||
Short Common Stocks | ||||||||
Diversified Telecommunication Services | ||||||||
|
| |||||||
Electric Utilities (9.0)% | ||||||||
ALLETE, Inc. | 11,592 | (897,337) | ||||||
Alliant Energy Corp. | 53,107 | (2,247,488) | ||||||
Avangrid, Inc. | 11,592 | (613,565) | ||||||
Hawaiian Electric Industries, Inc. | 17,388 | (596,408) | ||||||
IDACORP, Inc. | 15,880 | (1,464,771) | ||||||
NextEra Energy, Inc. | 2,967 | (495,578) | ||||||
PG&E Corp. | 10,143 | (431,686) | ||||||
Pinnacle West Capital Corp. | 7,383 | (594,775) | ||||||
Portland General Electric Co. | 10,540 | (450,690) | ||||||
Southern Co. (The) | 136,987 | (6,343,868) | ||||||
Xcel Energy, Inc. | 56,175 | (2,566,074) | ||||||
|
| |||||||
(16,702,240) | ||||||||
|
| |||||||
Electrical Equipment (0.9)% | ||||||||
Rockwell Automation, Inc. | 9,699 | (1,612,265) | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.3)% | ||||||||
TE Connectivity Ltd.(2) | 5,796 | (521,988) | ||||||
|
| |||||||
Food & Staples Retailing (0.2)% | ||||||||
Kroger Co. (The) | 14,490 | (412,241) | ||||||
|
| |||||||
Food Products (10.7)% | ||||||||
Campbell Soup Co. | 49,266 | (1,997,244) | ||||||
Flowers Foods, Inc. | 238,470 | (4,967,330) | ||||||
Hershey Co. (The) | 7,264 | (675,988) | ||||||
Hormel Foods Corp. | 27,531 | (1,024,429) | ||||||
Ingredion, Inc. | 31,612 | (3,499,448) | ||||||
JM Smucker Co. (The) | 26,519 | (2,850,262) | ||||||
McCormick & Co., Inc. | 25,391 | (2,947,641) | ||||||
Mondelez International, Inc., Class A | 33,327 | (1,366,407) | ||||||
Sanderson Farms, Inc. | 4,347 | (456,933) | ||||||
|
| |||||||
(19,785,682) | ||||||||
|
| |||||||
Gas Utilities (0.2)% | ||||||||
South Jersey Industries, Inc. | 11,592 | (387,984) | ||||||
|
| |||||||
Health Care Equipment & Supplies (1.5)% | ||||||||
Baxter International, Inc. | 9,502 | (701,628) | ||||||
Becton Dickinson and Co. | 4,615 | (1,105,569) | ||||||
Medtronic PLC(2) | 6,432 | (550,643) | ||||||
Steris PLC(2) | 3,182 | (334,142) | ||||||
|
| |||||||
(2,691,982) | ||||||||
|
| |||||||
Health Care Providers & Services (1.5)% | ||||||||
AmerisourceBergen Corp. | 5,546 | (472,907) | ||||||
Anthem, Inc. | 3,182 | (757,412) | ||||||
Cardinal Health, Inc. | 5,796 | (283,019) | ||||||
HCA Healthcare, Inc. | 2,139 | (219,461) | ||||||
Quest Diagnostics, Inc. | 9,482 | (1,042,451) | ||||||
|
| |||||||
(2,775,250) | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (8.4)% | ||||||||
Boyd Gaming Corp. | 53,990 | (1,871,293) | ||||||
Brinker International, Inc. | 40,116 | (1,909,522) | ||||||
Chipotle Mexican Grill, Inc.(3) | 296 | (127,686) | ||||||
Choice Hotels International, Inc. | 4,057 | (306,709) | ||||||
Cracker Barrel Old Country Store, Inc. | 29 | (4,530) | ||||||
Domino’s Pizza, Inc. | 3,007 | (848,485) | ||||||
Las Vegas Sands Corp. | 16,660 | (1,272,158) | ||||||
Marriott International, Inc., Class A | 9,155 | (1,159,023) |
Schedule of Investments(unaudited)
Weiss Strategic Interval Fund
June 30, 2018
Investments | Shares | Value | ||||||
Short Common Stocks | ||||||||
Hotels, Restaurants & Leisure | ||||||||
Six Flags Entertainment Corp. | 17,098 | (1,197,715) | ||||||
Texas Roadhouse, Inc. | 21,909 | (1,435,259) | ||||||
Wendy’s Co. (The) | 42,745 | (734,359) | ||||||
Wingstop, Inc. | 34,950 | (1,821,594) | ||||||
Yum China Holdings, Inc.(2) | 31,125 | (1,197,067) | ||||||
Yum! Brands, Inc. | 22,284 | (1,743,054) | ||||||
|
| |||||||
(15,628,454) | ||||||||
|
| |||||||
Household Durables (1.5)% | ||||||||
DR Horton, Inc. | 27,010 | (1,107,410) | ||||||
Ethan Allen Interiors, Inc. | 21,213 | (519,718) | ||||||
PulteGroup, Inc. | 4,220 | (121,325) | ||||||
Toll Brothers, Inc. | 29,828 | (1,103,338) | ||||||
|
| |||||||
(2,851,791) | ||||||||
|
| |||||||
Household Products (7.8)% | ||||||||
Clorox Co. (The) | 42,035 | (5,685,234) | ||||||
Colgate-Palmolive Co. | 114,312 | (7,408,561) | ||||||
Procter & Gamble Co. (The) | 18,156 | (1,417,257) | ||||||
|
| |||||||
(14,511,052) | ||||||||
|
| |||||||
Industrial Conglomerates (2.0)% | ||||||||
3M Co. | 10,076 | (1,982,151) | ||||||
General Electric Co. | 124,247 | (1,691,001) | ||||||
|
| |||||||
(3,673,152) | ||||||||
|
| |||||||
Insurance (6.4)% | ||||||||
Allstate Corp. (The) | 28,980 | (2,645,005) | ||||||
Aon PLC(2) | 28,980 | (3,982,702) | ||||||
CNA Financial Corp. | 25,055 | (1,144,513) | ||||||
FNF Group | 72,450 | (2,725,569) | ||||||
Loews Corp. | 28,980 | (1,399,154) | ||||||
|
| |||||||
(11,896,943) | ||||||||
|
| |||||||
IT Services (1.2)% | ||||||||
Science Applications International Corp. | 431 | (34,881) | ||||||
Visa, Inc., Class A | 9,346 | (1,237,878) | ||||||
Western Union Co. (The) | 46,368 | (942,661) | ||||||
|
| |||||||
(2,215,420) | ||||||||
|
| |||||||
Leisure Products (1.0)% | ||||||||
Acushnet Holdings Corp. | 27,169 | (664,554) | ||||||
Polaris Industries, Inc. | 9,940 | (1,214,469) | ||||||
|
| |||||||
(1,879,023) | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.6)% | ||||||||
Thermo Fisher Scientific, Inc. | 5,796 | (1,200,583) | ||||||
|
| |||||||
Machinery (5.5)% | ||||||||
Allison Transmission Holdings, Inc. | 13,592 | (550,340) | ||||||
Caterpillar, Inc. | 10,115 | (1,372,302) | ||||||
Dover Corp. | 16,604 | (1,215,413) | ||||||
Flowserve Corp. | 18,173 | (734,189) | ||||||
Fortive Corp. | 17,967 | (1,385,435) | ||||||
Graco, Inc. | 7,535 | (341,550) | ||||||
Greenbrier Cos., Inc. (The) | 8,694 | (445,451) | ||||||
Illinois Tool Works, Inc. | 1,014 | (140,500) | ||||||
Kennametal, Inc. | 32,094 | (1,152,175) | ||||||
Lincoln Electric Holdings, Inc. | 11,969 | (1,050,399) | ||||||
Parker-Hannifin Corp. | 3,014 | (469,732) | ||||||
Stanley Black & Decker, Inc. | 725 | (96,287) |
Schedule of Investments(unaudited)
Weiss Strategic Interval Fund
June 30, 2018
Investments | Shares | Value | ||||||
Short Common Stocks | ||||||||
Machinery | ||||||||
Terex Corp. | 28,458 | (1,200,643) | ||||||
|
| |||||||
(10,154,416) | ||||||||
|
| |||||||
Media (0.3)% | ||||||||
Viacom, Inc., Class B | 17,411 | (525,116) | ||||||
|
| |||||||
Metals & Mining (0.8)% | ||||||||
BHP Billiton Ltd., ADR(2) | 19,623 | (981,346) | ||||||
Pan American Silver Corp.(2) | 28,980 | (518,742) | ||||||
|
| |||||||
(1,500,088) | ||||||||
|
| |||||||
Multi-Utilities (7.4)% | ||||||||
Ameren Corp. | 14,840 | (903,014) | ||||||
CenterPoint Energy, Inc. | 55,909 | (1,549,238) | ||||||
Consolidated Edison, Inc. | 37,704 | (2,940,158) | ||||||
DTE Energy Co. | 37,674 | (3,904,157) | ||||||
National Grid PLC, ADR(2) | 61,611 | (3,440,974) | ||||||
NorthWestern Corp. | 11,998 | (686,886) | ||||||
Sempra Energy | 2,968 | (345,261) | ||||||
|
| |||||||
(13,769,688) | ||||||||
|
| |||||||
Multiline Retail (0.5)% | ||||||||
Target Corp. | 11,302 | (860,308) | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (7.4)% | ||||||||
Andeavor Logistics L.P. | 7,770 | (330,458) | ||||||
Diamondback Energy, Inc.(3) | 14,840 | (1,952,499) | ||||||
Dominion Energy Midstream Partners L.P. | 21,082 | (286,715) | ||||||
Enbridge, Inc.(2) | 31,878 | (1,137,726) | ||||||
Energy Transfer Equity L.P. | 14,130 | (243,742) | ||||||
EQT Corp. | 42,601 | (2,350,723) | ||||||
Euronav NV(2),(3) | 7,414 | (68,209) | ||||||
Frontline Ltd.(2) | 92,695 | (541,339) | ||||||
Genesis Energy L.P. | 11,871 | (260,094) | ||||||
Hess Corp. | 7,420 | (496,324) | ||||||
HollyFrontier Corp. | 11,868 | (812,127) | ||||||
Kinder Morgan, Inc. | 44,159 | (780,290) | ||||||
ONEOK, Inc. | 22,253 | (1,553,927) | ||||||
PBF Energy, Inc., Class A | 2,968 | (124,448) | ||||||
Peabody Energy Corp. | 19,414 | (882,949) | ||||||
Phillips 66 | 9,494 | (1,066,271) | ||||||
Pioneer Natural Resources Co. | 4,781 | (904,756) | ||||||
|
| |||||||
(13,792,597) | ||||||||
|
| |||||||
Paper & Forest Products (0.5)% | ||||||||
Domtar Corp. | 7,245 | (345,876) | ||||||
Louisiana-Pacific Corp. | 23,184 | (631,069) | ||||||
|
| |||||||
(976,945) | ||||||||
|
| |||||||
Personal Products (1.5)% | ||||||||
Estee Lauder Cos., Inc. (The), Class A | 19,366 | (2,763,335) | ||||||
|
| |||||||
Pharmaceuticals (1.8)% | ||||||||
Eli Lilly & Co. | 12,688 | (1,082,667) | ||||||
Johnson & Johnson | 11,592 | (1,406,573) | ||||||
Pfizer, Inc. | 15,863 | (575,510) | ||||||
Roche Holding AG, ADR(2) | 7,912 | (218,609) | ||||||
|
| |||||||
(3,283,359) | ||||||||
|
| |||||||
Professional Services (0.8)% | ||||||||
Robert Half International, Inc. | 22,314 | (1,452,641) |
Schedule of Investments(unaudited)
Weiss Strategic Interval Fund
June 30, 2018
Investments | Shares | Value | ||||||
Short Common Stocks | ||||||||
Professional Services | ||||||||
|
| |||||||
Real Estate Investment Trusts (95.0)% | ||||||||
Alexandria Real Estate Equities, Inc. | 22,530 | (2,842,610) | ||||||
American Campus Communities, Inc. | 74,723 | (3,204,122) | ||||||
Brandywine Realty Trust | 463,680 | (7,826,918) | ||||||
Columbia Property Trust, Inc. | 173,910 | (3,949,496) | ||||||
Douglas Emmett, Inc. | 211,902 | (8,514,222) | ||||||
Duke Realty Corp. | 339,253 | (9,848,515) | ||||||
EastGroup Properties, Inc. | 50,116 | (4,789,085) | ||||||
Empire State Realty Trust, Inc., Class A | 51,218 | (875,828) | ||||||
Equity Residential | 199,672 | (12,717,110) | ||||||
Essex Property Trust, Inc. | 10,783 | (2,577,892) | ||||||
First Industrial Realty Trust, Inc. | 83,642 | (2,788,624) | ||||||
Host Hotels & Resorts, Inc. | 90,012 | (1,896,553) | ||||||
Invitation Homes, Inc. | 304,290 | (7,016,927) | ||||||
Kite Realty Group Trust | 108,675 | (1,856,169) | ||||||
Lexington Realty Trust | 355,514 | (3,103,637) | ||||||
National Health Investors, Inc. | 55,062 | (4,056,968) | ||||||
National Retail Properties, Inc. | 253,575 | (11,147,157) | ||||||
Public Storage | 21,735 | (4,930,802) | ||||||
Ramco-Gershenson Properties Trust | 348,145 | (4,598,995) | ||||||
Realty Income Corp. | 23,144 | (1,244,916) | ||||||
Rexford Industrial Realty, Inc. | 7,245 | (227,421) | ||||||
Sabra Health Care REIT, Inc. | 95,637 | (2,078,192) | ||||||
Senior Housing Properties Trust | 176,277 | (3,188,851) | ||||||
SL Green Realty Corp. | 198,513 | (19,956,512) | ||||||
STORE Capital Corp. | 169,973 | (4,657,260) | ||||||
Sun Communities, Inc. | 111,218 | (10,886,018) | ||||||
Tanger Factory Outlet Centers, Inc. | 344,464 | (8,091,459) | ||||||
Terreno Realty Corp. | 45,392 | (1,709,917) | ||||||
UDR, Inc. | 185,631 | (6,968,588) | ||||||
Ventas, Inc. | 79,695 | (4,538,630) | ||||||
Vornado Realty Trust | 136,206 | (10,068,348) | ||||||
Welltower, Inc. | 66,980 | (4,198,976) | ||||||
|
| |||||||
(176,356,718) | ||||||||
|
| |||||||
Real Estate Management & Development (0.1)% | ||||||||
Realogy Holdings Corp. | 4,768 | (108,710) | ||||||
|
| |||||||
Road & Rail (16.9)% | ||||||||
ArcBest Corp. | 82,074 | (3,750,782) | ||||||
Canadian Pacific Railway Ltd.(2) | 3,043 | (556,930) | ||||||
CSX Corp. | 111,283 | (7,097,630) | ||||||
Heartland Express, Inc. | 2,346 | (43,518) | ||||||
Landstar System, Inc. | 28,980 | (3,164,616) | ||||||
Norfolk Southern Corp. | 8,708 | (1,313,776) | ||||||
Old Dominion Freight Line, Inc. | 4,347 | (647,529) | ||||||
Schneider National, Inc., Class B | 23,472 | (645,715) | ||||||
Union Pacific Corp. | 64,770 | (9,176,614) | ||||||
Werner Enterprises, Inc. | 130,641 | (4,905,569) | ||||||
|
| |||||||
(31,302,679) | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (2.3)% | ||||||||
Intel Corp. | 38,060 | (1,891,963) | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd., ADR(2) | 67,208 | (2,457,124) | ||||||
|
| |||||||
(4,349,087) | ||||||||
|
| |||||||
Software (1.1)% | ||||||||
SAP SE, ADR(2) | 16,869 | (1,951,069) |
Schedule of Investments(unaudited)
Weiss Strategic Interval Fund
June 30, 2018
Investments | Shares | Value | ||||||
Short Common Stocks | ||||||||
Software | ||||||||
|
| |||||||
Specialty Retail (4.2)% | ||||||||
AutoNation, Inc.(3) | 14,782 | (718,110) | ||||||
Best Buy Co., Inc. | 13,621 | (1,015,854) | ||||||
Foot Locker, Inc. | 17,758 | (934,959) | ||||||
Home Depot, Inc. (The) | 11,285 | (2,201,704) | ||||||
L Brands, Inc. | 14,490 | (534,391) | ||||||
Tile Shop Holdings, Inc. | 21,735 | (167,359) | ||||||
Tractor Supply Co. | 8,366 | (639,915) | ||||||
Williams-Sonoma, Inc. | 26,950 | (1,654,191) | ||||||
|
| |||||||
(7,866,483) | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (2.2)% | ||||||||
Apple, Inc. | 5,291 | (979,417) | ||||||
NetApp, Inc. | 35,413 | (2,780,983) | ||||||
Seagate Technology PLC | 5,796 | (327,300) | ||||||
|
| |||||||
(4,087,700) | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.3)% | ||||||||
NIKE, Inc., Class B | 15,794 | (1,258,466) | ||||||
Ralph Lauren Corp. | 3,768 | (473,713) | ||||||
VF Corp. | 8,114 | (661,453) | ||||||
|
| |||||||
(2,393,632) | ||||||||
|
| |||||||
Trading Companies & Distributors (4.3)% | ||||||||
Fastenal Co. | 12,461 | (599,748) | ||||||
MSC Industrial Direct Co., Inc., Class A | 3,686 | (312,757) | ||||||
WW Grainger, Inc. | 22,894 | (7,060,510) | ||||||
|
| |||||||
(7,973,015) | ||||||||
|
| |||||||
Water Utilities (0.3)% | ||||||||
American States Water Co. | 8,172 | (467,112) | ||||||
|
| |||||||
Total Short Common Stocks (Cost $(435,527,351)) | (445,110,922) | |||||||
Short Exchange-Traded Funds (88.9)% | ||||||||
Alerian MLP ETF | 50,668 | (511,747) | ||||||
Consumer Staples Select Sector SPDR Fund | 41,152 | (2,120,562) | ||||||
Energy Select Sector SPDR Fund ETF | 96,285 | (7,311,883) | ||||||
ETFMG Prime Cyber Security ETF | 72 | (2,664) | ||||||
Financial Select Sector SPDR Fund ETF | 39,135 | (1,040,600) | ||||||
Invesco QQQ Trust Series 1, Series 1 | 64,046 | (10,993,496) | ||||||
iShares 20+ Year Treasury Bond ETF | 26,763 | (3,257,592) | ||||||
iShares Edge MSCI USA Momentum Factor ETF | 13,273 | (1,456,048) | ||||||
iShares iBoxx $ High Yield Corporate Bond ETF | 4,701 | (399,961) | ||||||
iShares MSCI China ETF | 3,622 | (233,981) | ||||||
iShares MSCI Emerging Markets ETF | 145,642 | (6,310,668) | ||||||
iShares MSCI Europe Financials ETF | 26,055 | (527,093) | ||||||
iShares MSCI Eurozone ETF | 14,862 | (609,491) | ||||||
iShares MSCI Turkey ETF | 13,022 | (393,525) | ||||||
iShares Nasdaq Biotechnology ETF | 9,482 | (1,041,313) | ||||||
iShares North American Tech-Software ETF | 2,244 | (409,934) | ||||||
iShares PHLX Semiconductor ETF | 1,159 | (206,580) | ||||||
iShares Russell 2000 ETF | 170,343 | (27,897,073) | ||||||
iShares Russell 2000 Growth ETF | 17,359 | (3,546,964) | ||||||
iShares Russell 2000 Value ETF | 21,735 | (2,867,281) | ||||||
iShares Transportation Average ETF | 6,774 | (1,261,522) | ||||||
iShares U.S. Real Estate ETF | 6,665 | (537,066) | ||||||
iShares US Technology ETF | 2,040 | (363,671) | ||||||
JPMorgan Alerian MLP Index ETN | 14,839 | (386,556) | ||||||
KraneShares CSI China Internet ETF | 5,526 | (329,239) |
Schedule of Investments(unaudited)
Weiss Strategic Interval Fund
June 30, 2018
Investments | Shares | Value | ||||||
Short Exchange-Traded Funds | ||||||||
Materials Select Sector SPDR Fund ETF | 61,214 | (3,554,697) | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 464,937 | (16,495,965) | ||||||
SPDR S&P 500 ETF Trust | 68,397 | (18,554,738) | ||||||
SPDR S&P Biotech ETF | 12,193 | (1,160,652) | ||||||
SPDR S&P Homebuilders ETF | 56,329 | (2,227,812) | ||||||
SPDR S&P Metals & Mining ETF | 5,790 | (205,371) | ||||||
SPDR S&P Oil & Gas Exploration & Production ETF | 58,426 | (2,515,824) | ||||||
SPDR S&P Regional Banking ETF | 57,960 | (3,535,560) | ||||||
SPDR S&P Retail ETF | 12,819 | (622,491) | ||||||
SPDR S&P Semiconductor ETF | 34,124 | (2,465,459) | ||||||
Utilities Select Sector SPDR Fund ETF | 187,516 | (9,743,331) | ||||||
VanEck Vectors Oil Services ETF | 18,490 | (485,732) | ||||||
VanEck Vectors Semiconductor ETF | 27,822 | (2,856,485) | ||||||
Vanguard Real Estate ETF | 320,850 | (26,133,232) | ||||||
WisdomTree India Earnings Fund ETF | 18,227 | (458,774) | ||||||
Xtrackers Harvest CSI 300 China A-Shares ETF | 44 | (1,167) | ||||||
|
| |||||||
Total Short Exchange-Traded Funds (Cost $(165,309,624)) | (165,033,800) | |||||||
|
| |||||||
Total Securities Sold Short (Proceeds $600,836,975) | (610,144,722) | |||||||
|
| |||||||
Total Investments, net of securities sold short (Cost $54,905,913) 31.5% | 58,569,906 | |||||||
Other assets, less liabilities 68.5% | 127,158,042 | |||||||
|
| |||||||
Net Assets 100.0% | $ 185,727,948 | |||||||
|
|
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & PoorFinancial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
(1) | All or a portion of this security has been committed as collateral for open securities sold short. The total value of assets committed as collateral as of June 30, 2018, is $409,623,633. |
(2) | Foreign security. |
(3) | Non-income producing. |
(4) | Securities sold short are not owned by the Fund and cannot produce income. |
ADR | American Depository Receipt | |
ETF | Exchange Traded Fund | |
MLP | Master Limited Partnership | |
REIT | Real Estate Investment Trust |
Schedule of Investments(unaudited)
Weiss Strategic Interval Fund
June 30, 2018
At June 30, 2018 the Fund had the following forward exchange contracts outstanding.
Forward Exchange Contracts
Currency | Counterpartya | Type | Quantity | Contract Amount | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||
Australian Dollar | State Street Bank & Trust Co. | Buy | 837,000 | $ | 620,117 | 7/31/18 | $ | — | $ | (805) | ||||||||||||||
Australian Dollar | State Street Bank & Trust Co. | Buy | 319,000 | 234,746 | 7/31/18 | 1,288 | — | |||||||||||||||||
British Pound | State Street Bank & Trust Co. | Buy | 2,890,000 | 3,837,169 | 7/31/18 | — | (18,388) | |||||||||||||||||
British Pound | State Street Bank & Trust Co. | Sell | 280,000 | 367,007 | 7/31/18 | — | (2,978) | |||||||||||||||||
Euro | State Street Bank & Trust Co. | Buy | 2,509,000 | 2,925,017 | 7/31/18 | 10,673 | — | |||||||||||||||||
Euro | State Street Bank & Trust Co. | Sell | 73,000 | 85,031 | 7/31/18 | — | (384) | |||||||||||||||||
Euro | State Street Bank & Trust Co. | Sell | 222,000 | 257,664 | 7/31/18 | — | (2,090) | |||||||||||||||||
Euro | State Street Bank & Trust Co. | Sell | 565,000 | 658,118 | 7/31/18 | — | (2,968) | |||||||||||||||||
Euro | State Street Bank & Trust Co. | Sell | 633,000 | 742,686 | 7/31/18 | 2,036 | — | |||||||||||||||||
Swedish Krona | State Street Bank & Trust Co. | Buy | 14,091,000 | 1,603,254 | 7/31/18 | — | (25,939) | |||||||||||||||||
Swedish Krona | State Street Bank & Trust Co. | Sell | 255,000 | 28,855 | 7/31/18 | 311 | — | |||||||||||||||||
|
| |||||||||||||||||||||||
Total Forward Exchange Contracts | $ | 14,308 | $ | (53,552) | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net unrealized appreciation (depreciation) | $ | (39,244) | ||||||||||||||||||||||
aMay be comprised of multiple contracts with the same counterparty, currency and settlement date. |
|
Statement of Assets and Liabilities (unaudited)
|
| |||
June 30, 2018
|
| |||
Weiss Strategic Interval Fund | ||||
ASSETS: |
| |||
Investments, at value (Cost $655,742,888) | $ | 668,714,628 | ||
Cash | 74,787,699 | |||
Deposits at broker for shorts | 50,268,053 | |||
Investment securities sold | 205,326,330 | |||
Receivable for forward currency exchange contracts | 14,308 | |||
Dividends and interest receivable | 2,915,713 | |||
Prepaid expenses | 30,651 | |||
Total assets | 1,002,057,382 | |||
LIABILITIES: |
| |||
Securities sold short, at value (proceeds of $600,836,975) | 610,144,722 | |||
Payable for forward currency exchange contracts | 53,552 | |||
Payable for investments purchased | 201,128,445 | |||
Payable for performance fees | 2,540,185 | |||
Payable for advisory fees (Note 4) | 233,629 | |||
Payable for compliance fees | 15,543 | |||
Payable for transfer agent fees and expenses | 10,976 | |||
Payable for legal fees | 21,954 | |||
Payable for fund administration and fund accounting fees | 46,211 | |||
Miscellaneous fees | 574 | |||
Payable for audit fees | 71,632 | |||
Payable for custody fees | 23,358 | |||
Payable for borrowing fees on securities sold short | 360,428 | |||
Dividends and interest on securities sold short payable | 1,678,225 | |||
Total liabilities | 816,329,434 | |||
NET ASSETS | $ | 185,727,948 | ||
NET ASSETS CONSISTS OF: |
| |||
Paid-in capital | $ | 166,061,445 | ||
Accumulated net investment loss | (6,633,104 | ) | ||
Accumulated net realized gain (loss) on investments, securities sold short and foreign currency translation | 22,674,891 | |||
Net unrealized appreciation (depreciation) on: |
| |||
Investments | 12,971,740 | |||
Securities sold short | (9,307,747 | ) | ||
Forward currency exchange contracts | (39,244 | ) | ||
Foreign currency translation | (33 | ) | ||
Net unrealized appreciation | 3,624,716 | |||
Total net assets | $ | 185,727,948 | ||
Shares issued and outstanding | 16,606,145 | |||
Net asset value and offering price per share | $ | 11.1 | 8 |
See Notes to Financial Statements.
Statement of Operations (unaudited)
For the Six Months Ended June 30, 2018(1)
Weiss Strategic Interval Fund | ||||
INVESTMENT INCOME: |
| |||
Dividend income on long positions (net of foreign withholding taxes of $11,524) | $ | 8,737,746 | ||
Interest | 694,338 | |||
Total investment income | 9,432,084 | |||
EXPENSES: |
| |||
Performance fees | 4,916,623 | |||
Investment advisory fees (See note 4) | 1,105,127 | |||
Audit fees | 71,632 | |||
Administration and fund accounting fees | 46,211 | |||
Trustees’ fees | 26,344 | |||
Compliance fees | 24,148 | |||
Custodian fees | 23,358 | |||
Legal fees | 21,954 | |||
Insurance fees | 21,380 | |||
Transfer agent fees | 10,976 | |||
Reports to shareholders | 8,317 | |||
Dividends on securities sold short | 7,880,299 | |||
Borrowing expenses on securities sold short | 1,908,819 | |||
Total expenses | 16,065,188 | |||
NET INVESTMENT LOSS | (6,633,104 | ) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: |
| |||
Net realized gain from: |
| |||
Investment transactions | 5,647,886 | |||
Securities sold short | 17,026,406 | |||
Foreign currency related transactions | 599 | |||
Net realized gain | 22,674,891 | |||
Net increase (decrease) in unrealized appreciation/depreciation: |
| |||
Investment transactions | 12,971,740 | |||
Securities sold short | (9,307,747 | ) | ||
Foreign currency contracts | (39,244 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (33 | ) | ||
Net increase in unrealized appreciation/depreciation | 3,624,716 | |||
Net realized and change in unrealized gain on investments | 26,299,607 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 19,666,503 |
(1) | Inception date of the Fund was February 1, 2018. |
See Notes to Financial Statements.
Statements of Changes in Net Assets
Weiss Strategic Interval Fund |
For the Six Months Ended June 30, 2018 | ||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||
Net investment income | $ | (6,633,104 | ) | |
Net realized gain on investments, securities sold short, and foreign currency translation | 22,674,891 | |||
Net increase (decrease) in unrealized appreciation/depreciation on investments, securities sold short, forward currency exchange contracts and foreign currency translation | 3,624,716 | |||
Net increase in net assets resulting from operations | 19,666,503 | |||
CAPITAL SHARE TRANSACTIONS: |
| |||
Net proceeds from sale of shares | 166,061,445 | |||
Net increase in net assets resulting from capital share transactions | 166,061,445 | |||
Net Increase in Net Assets | 185,727,948 | |||
NET ASSETS: |
| |||
Beginning of period | $ | — | ||
End of period | $ | 185,727,948 | ||
Accumulated net investment loss included in net assets at end of period | $ | (6,633,104 | ) | |
SHARES CREATED AND REDEEMED: |
| |||
Shares outstanding, beginning of period | – | |||
Shares created | 16,606,145 | |||
Shares redeemed | – | |||
Shares outstanding, end of period | 16,606,145 |
(1) | Inception date of the Fund was February 1, 2018. |
See Notes to Financial Statements.
Statement of Cash Flows (unaudited)
For the Six Months Ended June 30, 2018(1) | ||||
CASH FLOWS FROM OPERATING ACTIVITIES: |
| |||
Net increase in net assets resulting from operations | $ | 19,666,503 | ||
Purchases of investments | (3,504,372,689 | ) | ||
Proceeds from sales of investments | 2,854,277,686 | |||
Increase in receivable for investments sold | (205,326,330 | ) | ||
Increase in receivable for forward currency exchange contracts | (14,308 | ) | ||
Increase in dividends and interest receivable | (2,915,713 | ) | ||
Increase in prepaid expenses | (30,651 | ) | ||
Proceeds from securities sold short | 3,858,626,179 | |||
Purchases to cover securities sold short | (3,240,762,797 | ) | ||
Increase in payable for investments purchased | 201,128,445 | |||
Increase in payable for forward currency exchange contracts | 53,552 | |||
Increase in payable for fund administration and fund accounting fees | 46,211 | |||
Increase in payable for advisory fees | 233,629 | |||
Increase in payable for compliance fees | 15,543 | |||
Increase in payable for performance fees | 2,540,185 | |||
Increase in payable for transfer agent fees and expenses | 10,976 | |||
Increase in payable for legal fees | 21,954 | |||
Increase in payable for custody fees | 23,358 | |||
Increase in payable for audit fees | 71,632 | |||
Increase in dividends and interest payable | 1,678,225 | |||
Increase in payable for borrowing fees on securities sold short | 360,428 | |||
Increase in accrued expenses and other liabilities | 574 | |||
Net realized gain on investments | (5,647,886 | ) | ||
Net realized gain on securities sold short | (17,026,406 | ) | ||
Unrealized appreciation on investments | (12,971,740 | ) | ||
Unrealized depreciation on securities sold short | 9,307,747 | |||
Net cash used in operating activities | (41,005,693 | ) | ||
CASH FLOWS FROM FINANCING ACTIVITIES: |
| |||
Proceeds from shares sold | 166,061,445 | |||
Net cash provided by financing activities | 166,061,445 | |||
Net change in cash | $ | 125,055,752 | ||
CASH: |
| |||
Beginning Balance | $ | — | ||
Ending Balance | $ | 125,055,752 |
(1) | Inception date of the Fund was February 1, 2018. |
See Notes to Financial Statements.
Financial Highlights
Weiss Strategic Interval Fund |
| |||
For the Six Months Ended June 30, 2018 (unaudited)(1) | ||||
PER SHARE DATA(2) |
| |||
Net asset value, beginning of period | $10.00 | |||
INVESTMENT OPERATIONS: |
| |||
Net investment income(3) | (0.40 | ) | ||
Net realized and unrealized gain on investments | 1.58 | |||
Total from investment operations | 1.18 | |||
Net asset value, end of period | $11.18 | |||
TOTAL RETURN(4) | 11.80 | % | ||
SUPPLEMENTAL DATA AND RATIOS: |
| |||
Net assets, end of period (in thousands) | $185,728 | |||
Ratio of gross expenses to average net assets (5)(6) | 22.12 | % | ||
Ratio of dividends and borrowing expense on securities sold short to average net assets(5) | 13.48 | % | ||
Ratio of operating expenses to average net assets excluding dividends and borrowing expense on securities sold short(5)(6) | 8.64 | % | ||
Ratio of net investment loss to average net assets(5)(6) | (9.13 | )% | ||
Portfolio turnover rate(4)(7) | 404 | % |
(1) | For the period February 1, 2018 (Commencement of operations) to June 30, 2018. |
(2) | For a share outstanding for the entire period. |
(3) | Calculated based on average shares outstanding during the period. |
(4) | Not annualized for periods less than one year. |
(5) | Annualized for periods less than one year. |
(6) | These ratios exclude the impact of expenses of the underlying exchange-traded funds as represented in the Schedule of Investments. Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying exchange-traded funds in which the Fund invests. |
(7) | The portfolio turnover disclosed is for the Fund as a whole. The numerator for the portfolio turnover rate includes the lesser of purchasesor sales (excluding short positions). The denominator includes the average fair value of long positions throughout the period. |
See Notes to Financial Statements.
NOTES TO THE FINANCIAL STATEMENTS
June 30, 2018
1. Organization
Weiss Strategic Interval Fund (the “Fund”) was organized as a Delaware statutory trust on September 5, 2017 pursuant to an Agreement and Declaration of Trust (“Declaration of Trust”). The Fund is registered with the Securities and Exchange Commission as a closed-end, diversified management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). Weiss Multi-Strategy Advisers LLC (the “Adviser”) serves as the Fund’s investment adviser.
The Fund’s investment objective is to provide returns with moderate volatility and reduced correlation to the overall performance of the equity market. The Fund will pursue its investment objective by establishing long and short positions in a diversified portfolio of equity securities. The equity securities in which the Fund will take long and short positions include primarily domestically traded large and mid-capitalization equity securities, including master limited partnerships or other entities that offer economic exposure to master limited partnerships and shares of real estate investment trusts. The Fund will operate as an interval fund under Rule 23c-3 of the 1940 Act.
2. Significant Accounting Policies
The accompanying financial statement of the Fund are prepared in accordance with accounting principles generally accepted in the United States (“GAAP”). The Fund is an investment company and follows the accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (ASC) Topic 946, Financial Services – Investment Companies. The Fund maintains its financial records in U.S. dollars and follows the accrual basis of accounting.
Use of Estimates
The preparation of financial statement in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statement. Actual results could differ from those estimates.
Organization and Offering Costs
Under an agreement with the Fund’s sole shareholder, the sole shareholder will pay all expenses incurred by the Fund in connection with the organization and offering of shares of the Fund.
Federal Income Taxes
It is the Fund’s policy to comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its taxable income to its Shareholders. Therefore, no provision for federal income taxes is required.
Fair Value – Definition and Hierarchy
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date.
In determining fair value, the Fund uses various valuation approaches. A fair value hierarchy for inputs is used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs are to be used when available. The fair value hierarchy is categorized into three levels based on the inputs as follows:
Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
Level 2 - Valuations based on inputs, other than quoted prices included in Level 1 that are observable either directly or indirectly.
Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement.
Fair value is a market-based measure, based on assumptions of prices and inputs considered from the perspective of a market participant that are current as of the measurement date, rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Fund’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date.
The availability of valuation techniques and observable inputs can vary from investment to investment and is affected by a wide variety of factors, including the type of investment, whether the investment is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the investments existed. Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for investments categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, the level in the fair value hierarchy which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement.
3. Fair Value measurements
The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 2. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. The following is a summary of the fair valuations according to the inputs used as of June 30, 2018, for valuing the Fund’s assets and
liabilities.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
| |||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: | ||||||||||||||||
Common stocks(1) | $ | 602,129,440 | $ | - | $ | - | $ | 602,129,440 | ||||||||
Exchange-traded funds | 23,785,188 | - | - | 23,785,188 | ||||||||||||
Forward Currency Exchange Contracts(2) | - | 14,308 | - | 14,308 | ||||||||||||
Floating rate loans | - | 42,800,000 | - | 42,800,000 | ||||||||||||
|
| |||||||||||||||
Total Investments in Securities | $ | 625,914,628 | $ | 42,814,308 | $ | - | $ | 668,728,936 | ||||||||
|
| |||||||||||||||
Liabilities: | ||||||||||||||||
Investments in Securities Sold Short: | ||||||||||||||||
Common stocks sold short(1) | $ | (445,110,922) | $ | - | $ | - | $ | (445,110,922) | ||||||||
Exchange-traded funds sold short | (165,033,800) | - | - | (165,033,800) | ||||||||||||
Forward Currency Exchange Contracts(2) | - | (53,552) | - | (53,552) | ||||||||||||
|
| |||||||||||||||
Total Investments in Securities Sold Short | $ | (610,144,722) | $ | (53,552) | $ | - | $ | (610,198,274) | ||||||||
|
|
(1) Please refer to the Schedules of Investments to view long and short common stocks segregated by industry type.
(2) Forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument by the counterparty.
Securities Sold Short – The Fund sells securities or currencies short for economic hedging purposes or any other investment purpose. For financial statement purposes, an amount equal to the settlement amount is initially included in the Statement of Assets and Liabilities as an asset and an equivalent liability. The amount of the liability is subsequently priced to reflect the current value of the short position. Subsequent fluctuations in the market prices of securities or currencies sold, but not yet purchased, may require purchasing the securities or currencies at prices which may differ from the fair value reflected on the Statement of Assets and Liabilities. Short sale transactions result in off balance sheet risk because the ultimate obligation may exceed the related amounts shown in the Statement of Assets and Liabilities. The Fund will incur losses if the price of the security increasesbetween the date of the short sale and the date on which the Fund purchases the securities to replace the borrowed securities. The Fund’s losses on short sales are potentially unlimited because there is no upward limit on the price a borrowed security could attain.
The Fund is liable for any dividends payable on securities while those securities are sold short. Until the security is replaced, the Fund is required to pay to the lender any income earned, which is recorded as an expense by the Fund. The Fund’s policy is to segregate liquid assets in an amount equal to the fair value of securities sold short (not including proceeds received), which is reflected in the Schedule of Investments. These assets are required tovbe adjusted daily to reflect changes in the value of the securities or currencies sold short.
Transactions with Brokers – The Fund’s receivables from brokers for proceeds on securities sold short and deposits at brokers for securities sold short are with one securities dealer. The Fund does not require the brokers to maintain collateral in support of the receivables from the brokers for proceeds on securities sold short. The Fund is required by the brokers to maintain collateral at the brokers or in a segregated account at the Fund’s custodian for securities sold short. The receivable from brokers on the Statement of Assets and Liabilities represents the collateral for securities sold short and derivative instruments. The Fund may maintain cash deposits at brokers beyond the receivables for short sales.
The Fund’s forward currency exchange contracts’ cash deposits are monitored daily by the Adviser and counterparty. Cash deposits beyond the short sale proceeds by the Fund would be presented as deposits at brokers on the Statement of Assets and Liabilities. These transactions may involve market risk in excess of the amounts receivable or payable reflected on the Statement of Assets and Liabilities.
Forward Currency Exchange Contracts – The Fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The Fund may enter into forward contracts for foreign currency hedging purposes, volatility management purposes or otherwise to gain, or reduce, long or short exposure to one or more asset classes or issuers. The Fund may enter into forward currency exchange contracts obligating the Fund to deliver and receive a currency at a specified future date. Forward contracts are valued daily, and unrealized appreciation or depreciation is recorded daily as the difference between the contract exchange rate and the closing forward rate applied to the face amount of the contract. A realized gain or loss is recorded at the time the forward contract expires. Credit risk may arise as a result of the failure of the counterparty to comply with the terms of the contract.
The use of forward currency exchange contracts does not eliminate fluctuations in the underlying prices of the Fund’s investment securities. The use of forward currency exchange contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward currency exchange contract would limit the risk of loss due to a decline in the value of a particular currency; however, it would also limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the amounts receivable or payable reflected on the Statement of Assets and Liabilities.
Foreign Securities and Currency Translation – Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not isolate the portion of the results of operations from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference
between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period-end, resulting from changes in exchange rates.
Investments in foreign securities entail certain risks. There may be a possibility of nationalization or expropriation of assets, confiscatory taxation, political or financial instability, and diplomatic developments that could affect the value of the Fund’s investments in certain foreign countries. Since foreign securities normally are denominated and traded in foreign currencies, the value of the Fund’s assets may be affected favorably or unfavorably by currency exchange rates, currency exchange control regulations, foreign withholding taxes, and restrictions or prohibitions on the repatriation of foreign currencies. There may be less information publicly available about a foreign issuer than about a U.S. issuer, and foreign issuers are not generally subject to accounting, auditing, and financial reporting standards and practices comparable to those in the United States. The securities of some foreign issuers are less liquid and at times more volatile than securities of comparable U.S. issuers.
Guarantees and Indemnifications – In the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred.
Security Transactions, Income and Expenses – The Fund follows industry practice and records security transactions on the trade date. Realized gains and losses on sales of securities are calculated on the basis of identified cost. Dividend income is recorded on the ex-dividend date and interest income and expense is recorded on an accrual basis. Withholding taxes on foreign dividends have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and regulations. Discounts and premiums on securities purchased are amortized over the expected life of the respective securities.
Share Valuation – The NAV per share of the Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash or other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding for the Fund, rounded to the nearest cent. The Fund’s shares will not be priced on days which the New York Stock Exchange (“NYSE”) is closed for trading.
Derivatives – The Fund may utilize derivative instruments such as options, swaps, futures, forward contracts and other instruments with similar characteristics to the extent that they are consistent with the Fund’s respective investment objectives and limitations. The use of these instruments may involve additional investment risks, including the possibility of illiquid markets or imperfect correlation between the value of the instruments and the underlying securities. Derivatives also may create leverage which will amplify the effect of their performance on the Fund and may produce significant losses.
The Fund has adopted authoritative standards regarding disclosure about derivatives and hedging activities and how they affect the Fund’s Statement of Assets and Liabilities and Statement of Operations. For the period ended June 30, 2018, the Fund’s average derivative volume is described below:
Monthly Average Quantity | Monthly Average Notional Value | |||||
Forward Currency Exchange Contracts |
11 |
$ |
7,041,697 |
|
Statement of Assets and Liabilities
Fair values of derivative instruments as of June 30, 2018:
Fair Value | ||||||||
Assets | Liabilities | |||||||
Forward Currency Exchange Contracts |
$ |
14,308 |
|
$ |
53,552 |
|
Statement of Operations
The effect of derivative instruments on the Statement of Operations for the period ended June 30, 2018:
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||
Forward Currency Exchange Contracts Liabilities | ||
Foreign Exchange Contracts |
$(39,244) |
4. Fund Fees and Expenses
Under the terms of the Investment Adviser Agreement between the Fund and the Adviser, upon commencement of operations, the Fund will pay the Adviser a monthly management fee at the annual rate of 1.50% . The Management Fee will be applied to the Fund’s NAV (before the deduction of any Incentive Fee and the repurchase of any shares pursuant to a periodic repurchase offer). The Management Fee will be accrued at least weekly and paid monthly.
Under the terms of the Investment Advisory Agreement between the Fund and the Adviser, upon commencement of operations the Fund will pay to the Adviser a performance-based Incentive Fee, quarterly in arrears, generally accrued as of the end of each business day, equal to 20.00% of the Investment Profits attributable to each share for such calendar quarter; PROVIDED, HOWEVER, that an Incentive Fee with respect to a share will be paid only with respect to Investment Profits for the applicable calendar quarter in excess of Unrecouped Investment Losses as of the end of the previous calendar quarter.
In addition to the fees paid to the Adviser, the Fund pays all other costs and expenses of its operations, including compensation of its trustees (other than those affiliated with the Adviser), custodian, leveraging expenses, transfer and dividend disbursing agent expenses, legal fees, rating agency fees, listing fees and expenses, expenses of independent auditors, expenses of repurchasing shares, expenses of preparing, printing and distributing shareholder reports, notices, proxy statements and reports to governmental agencies and taxes, if any.
5. Commitments and Contingencies
In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made again the Fund that have not yet occurred. However, based on experience and knowledge of management, the Fund expects the risk of loss to be remote.
6. Administration Agreement
The Fund has entered into an Administration and Operating Services Agreement with the State Street Bank & Trust Company (“SSB&T”). Under the terms of this agreement, the Fund pays SSB&T a fee, to provide administrative services to the Fund, including custody, accounting, fund administration and transfer agency services for the Fund. No administration and servicing fees will be charged until the Fund commences operations.
7. Related Party Transactions
The managing member and chief executive officer of the Adviser is also an investor and director of the Fund’s sole shareholder.
8. Investment Transactions
The aggregate purchases and sales, excluding short-term investments, by the Fund for the period ended June 30, 2018, were as follows:
Purchases | Sales | |||||||
U.S. Government |
$ |
- |
|
$ |
- |
| ||
Other | 3,496,000,243 | 2,845,905,241 |
9. Tax Footnote
Federal Income Taxes – The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, necessary to qualify as a regulated investment company and distributes substantially all net taxable investment income and net realized gains to shareholders in a manner which results in no tax cost to the Fund. Therefore, no federal income or excise tax provision is required. As of and during the period ended June 30, 2018, the Fund did not have any tax positions that did not meet the “more-likely-than-not” threshold of being sustained by the applicable tax authority and did not have liabilities for any unrecognized tax benefits. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits on uncertain tax positions as income tax expense in the Statement of Operations. The Fund is subject to examination by taxing authorities for the tax periods since the commencement of operations.
At June 30, 2018, the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:
Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||
Securities |
$54,905,913 |
$27,869,032 |
$(24,205,039) |
$3,663,993 | ||||
Forward foreign currency contracts | — | 14,308 | (53,552) | (39,244) |
10. Subsequent Events
The Fund has performed an evaluation of subsequent events through the date the financial statement was issued and has determined that no items received recognition or disclosure.
Item 2. Code of Ethics.
Not applicable to this semi-annual filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this semi-annual filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this semi-annual filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the semi-annual report filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
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 Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are generally effective to provide reasonable assurance, 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 Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Separate certifications for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) 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 Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Weiss Strategic Interval Fund | ||||||
Date: August 24, 2018 | By: | /s/ Jay Tucker | ||||
Jay Tucker | ||||||
Trustee, President |
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.
Date: August 24, 2018 | By: | /s/ Jay Tucker | ||||
Jay Tucker | ||||||
Trustee, President |
Date: August 24, 2018 | By: | /s/ Jay Goldstein | ||||
Jay Goldstein | ||||||
Treasurer | ||||||
(Principal Financial Officer and Principal Accounting Officer) |