UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act File Number811-23410
FROST FAMILY OF FUNDS
(Exact name of registrant as specified in charter)
One Freedom Valley Drive
Oaks, PA 19456
(Address of Principal Executive Offices, Zip code)
Michael Beattie
c/o SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code:1-877-713-7678
Date of fiscal year end: July 31, 2019
Date of reporting period: July 31, 2019
Item 1. Reports to Stockholders.
A copy of the report transmitted to stockholders pursuant to Rule30e-1 under the Investment Company Act of 1940, as amended (the “Act”) (17 CFR §270.30e-1), is attached hereto.
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
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The Funds file their complete schedule of investments of portfolio holdings with the Securities and Exchange Commission (“Commission”) for the first and third quarters of each fiscal year on Form N-PORT within sixty days after period end. The Funds’ Forms N-PORT are available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling1-800-SEC-0330.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities, as well as information relating to how the Funds voted proxies relating to portfolio securities during the most recent12-month period ended June 30, is available (i) without charge, upon request, by calling1-877-71-FROST; and (ii) on the Commission’s website at http://www.sec.gov.
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
LETTER TO SHAREHOLDERS (Unaudited) |
Over the past fiscal year we’ve seen some market highs and lows, and I suspect the balance of 2019 will prove equally vexing. Recall that investors began 2019 on the heels of a merry-less December drop in the markets. January through April saw this quickly reversed, but investors were surprised again by a broad-based selloff in May. And then the markets rebounded in June and July, pushing the S&P 500 Index up to another index high while also posting a bestsix-month performance for the first half of a year since 1997. The rally wasn’t isolated to the U.S. markets either, as investors saw continued momentum with positive returns across most major global indexes through July.
Looking back over the months of recent headlines and it’s hardly surprising that investors have become sensitive to the increasingly strident news. To date investors have continued to exit actively managed equity funds, a move likely sparked by the numerous market and economic potholes alluded to above. Unfortunately, investors who opted out of the market early in the year also missed the equity revival that followed the interest rate reversal by the Federal Reserve (“Fed”), and the on again/off again possibility of trade truces. By June’s close the S&P 500 had posted its best return for that month since 1955. Through July, market breadth remained strong, as large caps outperformed small caps and, from a style perspective, growth stocks continued to outperform their value counterparts.
The overseas markets also posted positive returns through July, although still trailing behind the U.S. equity indexes. And, while market strength was broad based, the larger more-developed foreign company stocks have outpaced their emerging market counterparts. There are likely any number of reasons for the disparities, but they include foreign trade issues, dollar strength levels, interest rate dynamics and monetary policies.
On the fixed-income front, there was good news for bond holders as well. The bond markets rallied in the U.S. on the premise that the Fed would follow through on its nuanced monetary easing comments, which indeed proved to be the case. Bloomberg Barclays U.S. Aggregate Bond Index ended in solidly positive territory at the end of July, anticipating further Fed easing coupled with fears of faltering overseas growth. These concerns and rising investor interest has driven returns higher in longer maturity government bonds and corporate bonds (both investment grade and high yield).
For the balance of this year and into next we expect volatility and economic uncertainty will continue to be part of the market landscape. There are positive aspects to our outlook, including the potential for continued Fed policy easing and anon-again trade truce with China. Small business optimism and consumer confidence surveys continue to hold steady, while inflation worries are still on the back burner. The most recent jobs report for June serves as a reminder of how far the employment picture has improved since the recession a decade ago. The most recent economic data also provided some reassurance on the state of the consumer, with rising aggregate incomes, and confidence levels and consumption continuing to track higher.
There have also been disappointing headlines relating to manufacturing, both here and overseas. Reports from all five regional Federal Reserve Banks were negative this past month, with a consistent message of new order declines, most likely attributed to trade issues. We’ve also seen these concerns reflected in recent Gross Domestic Product (“GDP”) estimates, with the New York Fed forecasting economic growth of 1.5 percent for this past quarter and 1.7 percent for the third quarter. Corporate earnings also appear to be trending into negative territory for the first time in many years, at least partially a reaction to ongoing trade issues (rising costs, impacted supply channels and falling overseas sales). Add a few geopolitical concerns (North Korea, Brexit, China and Iran), political campaigning, coupled with renewed budget discussions, and the markets may indeed provide a few more volatile moments before the year’s close.
At Frost Investment Advisors we continue to manage through these anxious periods with a focus on finding investment opportunities and meeting our shareholders’ expectations. Our focus is on investing with the longer term economic and corporate fundamentals in mind, avoiding the emotional decisions that are driven by the headlines. We look forward to continuing to serve our shareholders well through future market cycles. We appreciate your confidence in our team.
Sincerely,
Tom Stringfellow
President, Frost Investment Advisors
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
Past performance does not guarantee future results. The investment performance 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, and current performance may be lower or higher than the performance quoted. Investment performance reflects voluntary fee waivers in effect. Absent these waivers, total return and yield would be reduced. There can be no assurance that Frost Investment Advisors, LLC will continue to waive fees. For performance data current to the most recent month end, please call 877.713.7678.
The information provided in this report should not be considered a recommendation to purchase or sell any particular security. These views are subject to change and are not intended to predict or guarantee the future performance of any individual security or the markets in general. There is no assurance that any securities discussed herein will remain in an account’s portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent an account’s entire portfolio and in the aggregate may represent only a small percentage of an account’s portfolio holdings.
Mutual fund investing involves risk including possible loss of principal. International investments may involve risk of capital loss from unfavorable fluctuation in currency values, from differences in generally accepted accounting principles or from social, economic or political instability in other nations. Bond and bond funds are subject to interest rate risk and will decline in value as interest rates rise. REIT investments are subject to changes in economic conditions, credit risk and interest rate fluctuations. Emerging markets involve heightened risks related to the same factors as well as increased volatility and lower trading volume. Derivatives are often more volatile than other investments and may magnify the Fund’s gains or losses. The primary risk of derivative instruments is that changes in the market value of securities held by the fund and of the derivative instruments relating to those securities may not be proportionate. Derivatives are also subject to illiquidity and counter party risk. Diversification does not protect against market loss.
TheBloomberg Barclays U.S. Aggregate Bond Index represents securities that are SEC-registered, taxable and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities and asset-backed securities.
TheS&P 500 Indexis a market-value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the Index proportionate to its market value.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FROST GROWTH EQUITY FUND |
Market Review
Equity markets completed a volatile twelve month period with solid overall gains, underpinned by accommodative monetary policy globally, and aggressive corporate stock buybacks in the U.S. The worst December since 1931 was followed by the best first half in more than 20 years, with the rally occurring against a fairly improbable backdrop. For example, the global Purchasing Managers Index (“PMI”), which is a proxy for global growth, has fallen for a record 14 months in a row, and the outcome of the trade standoff with China still remains uncertain. But the Federal Reserve made a dramatic pivot in January, from a tightening bias to an easing bias, and now seems on the cusp of a new monetary easing cycle, which could breathe new life into an already record economic expansion.
Turning to the Fiscal Year 2019 period, the Frost Growth Equity Fund (the “Fund”) returned 10.34% for the Institutional Class Shares, and 10.05% for the Investor Class Shares, modestly underperforming its benchmark, the Russell 1000 Growth Index, which returned 10.82% over the same time period.
Relative underperformance during the fiscal year was driven by some unfavorable allocation decisions in terms of sector over and underweights, as well as a small drag from cash, most of which was offset by strong overall stock selection. Stock selection was particularly strong in two of our largest sectors, Information Technology and Health Care, as well as in two of our smaller sectors, Consumer Staples and Real Estate Investment Trusts (“REITs”). In the Information Technology sector, the Fund outperformed by 900 basis points, led by our holdings in several software and payments related companies. For example, in software, we had strong outperformance from holdings Workday (+61.2%), ServiceNow (+57.6%), and Microsoft (+30.6%), while in payments we saw good returns from long-time holdings MasterCard (+38.3%), PayPal (+34.4%), and Visa (+31.0%). In the Health Care sector, the Fund outperformed by 750 basis points. Notable performers in the Health Care sector include Edwards Lifesciences (+49.4%), Danaher (+37.7%), and Zoetis (+33.7%).
In terms of factors that detracted from relative results, it was primarily underperformance in the Industrial and Financials sectors on a stock selection basis, as well as an unfavorable allocation to the Energy and Information Technology sectors. In particular, the Fund was overweight Energy, a sector that underperformed the overall market meaningfully, and underweight Information Technology, a sector that meaningfully outperformed the overall market. These two sector allocation decisions represented a more than 100 basis points headwind for the relative performance of the Fund. The Fund’s allocation to cash represented about 50 basis points of impact.
In terms of our outlook, we are focused on the Federal Reserve, trade policy and the macroeconomic backdrop. Since the Federal Reserve has begun cutting interest rates, the focus now shifts to whether the economy avoids falling into recession. Accommodative monetary policy with an economy that shows signs of stabilization and/or is able to potentially re-accelerate tends to be a positive backdrop for equity prices. We think some sort of trade resolution with China is key to driving that stabilization in global growth trends.
Our investment process remains focused on identifying structurally attractive businesses with sustainable growth advantages that are competitively differentiated and led by strong management teams. We believe this is how we can add the most value over the course of an investment cycle, regardless of what happens with interest rates, trade policy, or the broader economy.
The information provided in this report should not be considered a recommendation to purchase or sell any particular security. These views are subject to change and are not intended to predict or guarantee the future performance of any individual security or the markets in general. There is no assurance that any securities discussed herein will remain in the Fund’s portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent the Fund’s entire portfolio and in the aggregate may represent only a small percentage of the Fund’s portfolio holdings.
Performance data quoted represents past performance and does not guarantee similar future results. The investment performance 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, and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 877.713.7678.
Mutual fund investing involves risk including possible loss of principal. There can be no assurance that the Fund will achieve its stated objective.
REIT investments are subject to changes in economic conditions, credit risk and interest rate fluctuations.
Index performance returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index.
The Russell 1000 Growth Index measures the performance of those Russell 1000 companies with higher price-book ratios and higher forecasted growth values.
The S&P 500 Index is a market-value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the Index proportionate to its market value. The S&P 500 Growth Index contains those securities of the S&P 500 Index with growth characteristics.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FROST GROWTH EQUITY FUND |
Growth of a $1,000,000 Investment
(1) | The graph is based on only Institutional Class Shares; performance for Investor Class Shares would be lower due to differences in fee structures. |
(2) | Institutional Class Shares commenced operations on April 25, 2008. |
(3) | Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy. |
(4) | Investor Class Shares commenced operations on June 30, 2008. |
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.
The performance of the Fund would have been lower had the Adviser not waived a portion of its fees.
Please note that one cannot invest directly in an unmanaged index.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FROST VALUE EQUITY FUND |
Market Overview
The first half of the fiscal year was analogous to a tale of two cities, with the third quarter of 2018 ending with a bullish surge, which vaulted the Russell 1000 Value Index to an all-time high, followed soon thereafter with a punishing, near bear market swoon of 19% caused by heightened trade war concerns, fading benefits from tax reform and slowing economic and corporate earnings growth. With December 24, 2018 marking the bottom, the market bounced back 24% through the end of July 2019. Most laggards in 2018 posted strong gains during the first quarter of 2019. As the year progressed, defensive sectors such as Utilities and REITs, as well as select companies in the Technology and Consumer Discretionary industries, posted the best returns. Financials companies with interest rate risk, like banks and life insurance companies, have lagged as the 10-year Treasury yield drifted lower over the second half of the fiscal year.
Sector performance over the past twelve months was impacted by factor-based investment strategies as investors avoided sectors with interest rate, trade and regulatory risks. Value stocks continued to underperform growth stocks, partially due to the lack of price discovery attributable to the ongoing rise of passive investments. ETF fund flows propelled the largest of the large cap stocks higher as well. Finally, the scarcity of earnings growth drove investors into an ever-shrinking pool of growth stocks resulting in a crowding effect. While the underperformance of Value in times such as these may feel eternal, we believe that valuation will matter to investors again at some point in the future.
Performance and Highlights:
For the one-year period ended July 31, 2019, the Frost Value Equity Fund (the “Fund”) Institutional Class Shares and Investor Class Shares returned -1.12% and -1.46%, respectively, net of fees and expenses vs the Russell 1000 Value Index benchmark return of 5.20%. Financials and Industrials were positive contributors to the Fund’s total return. However, this was more than offset by weak performance within the remaining sectors. While the Fund continues to broaden sector exposure, stock selection has proved challenging, as the past year has seen several portfolio holdings unduly punished.
To reduce portfolio concentration, the Fund expanded to 51 holdings. This past year we added fourteen new companies and removed five. The new additions included Johnson & Johnson, JP Morgan, Comcast, Merck, Astra Zeneca, Aon, Chubb, PPL, Fox, Anthem, CBOE, KeyCorp, Fidelity National Information, and PVH. Nielsen, Newell, Shire, Skyworks, and Novartis were sold from the portfolio over the past year, in all cases due to company specific issues.
Over the past year the contribution from the new portfolio holdings have been additive to the Fund’s total relative return. We are encouraged by these results. As usual, we remain vigilant to any thesis degradation, and will adjust our positions when prudent.
The Fund begins fiscal 2020 with a portfolio of securities that offer what we think is an excellent potential for the future. We understand that market volatility could result in periods of relative underperformance, but we are optimistic about the long-term potential of our current holdings. Our process systematically selects companies with improving earnings and cash flow. We invest in these companies, expecting they will increase in value as the market place recognizes their enhanced earnings power.
The information provided in this report should not be considered a recommendation to purchase or sell any particular security. These views are subject to change and are not intended to predict or guarantee the future performance of any individual security or the markets in general. There is no assurance that any securities discussed herein will remain in the Fund’s portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent the Fund’s entire portfolio and in the aggregate may represent only a small percentage of the Fund’s portfolio holdings.
Performance data quoted represents past performance and does not guarantee similar future results. The investment performance 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, and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 877.713.7678.
It should not be assumed that any of the securities transactions or holdings discussed were or will prove to be profitable, or that the investment recommendations or decisions we make in the future will be profitable or will equal the investment performance of the securities discussed herein.
The views expressed by the portfolio managers reflect their professional opinions and should not be considered buy or sell recommendations. These views are subject to change and are not intended to predict or guarantee the future performance of any individual security or the markets.
Mutual fund investing involves risk including possible loss of principal. There can be no assurance that the Fund will achieve its stated objectives.
Index performance returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index.
The Russell 1000 Value Index measures the performance of those Russell 1000 companies with lower price-book ratios and lower forecasted growth values.
The S&P 500 Index is a market-value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the Index proportionate to its market value. The S&P 500 Value Index contains those securities of the S&P 500 Index with value characteristics.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FROST VALUE EQUITY FUND |
Growth of a $1,000,000 Investment
(1) | The graph is based on only Institutional Class Shares; performance for Investor Class Shares would be lower due to differences in fee structures. |
(2) | Institutional Class Shares commenced operations on April 25, 2008. |
(3) | Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy. |
(4) | Investor Class Shares commenced operations on June 30, 2008. |
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.
The performance of the Fund would have been lower had the Adviser not waived a portion of its fees.
Please note that one cannot invest directly in an unmanaged index.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FROST MID CAP EQUITY FUND |
Investment Thesis:
The risk and return investment thesis formid-capitalization equities as an attractive, lower risk, alternative to small-capitalization stocks is compelling. Strategicallymid-cap companies generally have more mature stable business models while having, over time, attractive growth potential.
This past fiscal year, the Russell Midcap Index had a total return of 6.71% compared with the Russell 2000 Small Cap Index delivering a return of-4.42%. Risk/Volatility, as measured by standard deviation of return, was 21.26 for the Russell Midcap Index while higher at 24.85 for the Russell 2000 Small Cap Index.
Investment Process:
Frost Investment Advisor’s management team combines both quantitative rigor with a bottom up approach to fundamental company level research. Our proprietary quantitative analysis screens for attractive relative attributes from the approximately 800 companies that make up the Russell Midcap Index. Quality of balance sheet, valuation measures, and momentum of company fundamentals are all inputs that are quantitatively measured. Our fundamental, company level, research efforts focus on identifying an investment thesis for a potential investment, evaluating the competitive landscape as well as the company’s strategic advantage, the viability of its business model, the strength of the company’s financial condition and the integrity and stewardship of management.
Investment Approach:
A “core” methodology which is diversified across economic sectors while incorporating growth and value style attributes is deployed.
Fiscal 2019 Results:
In keeping with our core methodology and managed risk orientation the Fund’s management team tightened its sector exposure relative to the Russell Midcap Index. Sector variation was constrained to reduce Fund performance volatility. As an example, Information Technology began the year significantly underweighted at 8.66%. The allocation to Tech was purposely increased during the year to 17.66%, which put it more in line with its benchmark, which has the sector at a weight of 17.82%. Conversely Consumer Staples began the year with an overweight of 9.23% and was strategically reduced to 3.91%, more in line with the Midcap index weight of 2.8%.
Stock selection remains a key source of return over time. The Fund’s top five performers included Dollar Tree, Church and Dwight, Hormel Foods, Cincinnati Financial and Analog Devices. The bottom fiver performers included Nordstrom’s,Patterson-UTI Energy, Synovus Financial, Laboratory Corporation, Valvoline and Fluor Corporation.
The Fund slightly underperformed its benchmark, returning 5.67% (Institutional Class Shares) and 5.60% (Investor Class Shares) compared to 6.71% for the Russell Midcap Index. From a risk perspective the Fund had substantially lower volatility as measured by standard deviation of return, with the Fund’s standard deviation ending the period at 17.05, compared to 21.26 for the Russell Midcap Index.
Going Forward:
We continue to believe thatMid-Cap companies are a compelling consideration for use as part of a diversified approach to asset allocation. Our approach toMid-Cap investing will continue to emphasize our effort to capture the majority of benchmark returns with substantially less volatility and risk.
The information provided in this report should not be considered a recommendation to purchase or sell any particular security. These views are subject to change and are not intended to predict or guarantee the future performance of any individual security or the markets in general. There is no assurance that any securities discussed herein will remain in the Fund’s portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent the Fund’s entire portfolio and in the aggregate may represent only a small percentage of the Fund’s portfolio holdings.
Performance data quoted represents past performance and does not guarantee similar future results. The investment performance 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, and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 877.713.7678.
Mutual fund investing involves risk including possible loss of principal. In addition to the normal risks associated with investing, investing in smaller companies typically exhibit higher volatility. There can be no assurance that the Fund will achieve its stated objective.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FROST MID CAP EQUITY FUND |
Index performance returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index.
The Russell Midcap Index measures the performance of the mid-cap segment of the U.S. equity universe. The Russell Midcap Index is a subset of the Russell 1000® Index. It includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership.
The Russell Midcap Index represents approximately 27% of the total market capitalization of the Russell 1000 companies.
The Russell 2500 Index measures the performance of the small to mid-cap segment of the U.S. equity universe. The Russell 2500 Index is a subset of the Russell 3000 Index. It includes approximately 2500 of the smallest securities based on a combination of their market cap and current index membership.
The Russell 2000 Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000 Index is a subset of the Russell 3000® Index representing approximately 8% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FROST MID CAP EQUITY FUND |
Growth of a $1,000,000 Investment
(1) | The graph is based on only Institutional Class Shares; performance for Investor Class Shares would be lower due to differences in fee structures. |
(2) | Institutional Class Shares commenced operations on April 25, 2008. |
(3) | Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy. |
(4) | Investor Class Shares commenced operations on February 13, 2012. |
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.
The performance of the Fund would have been lower had the Adviser not waived a portion of its fees.
Please note that one cannot invest directly in an unmanaged index.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FIXED INCOME FUNDS |
Market Review
U.S. Treasury Securities
The Treasury market produced one of its best twelve-month return periods in many years; yields across the curve reached some of their highest levels in years during the fall of 2018, but as the year came to a close they began a steady and material decline throughout the remainder of the fiscal year, for all maturities except the short-end. The Bloomberg Barclays U.S. Treasury Index returned 7.57% for the one-year period ended July 31, 2019, with returns increasing progressively as maturity profile increased. The very long end of the Treasury curve, representing maturities of twenty-five to thirty years, produced returns just under 15%. The inflation-protected market trailed the nominal Treasury market, as the primary catalysts for this nearly year-long rally in rates was weaker economic growth and concerns around global trade, leading to lower inflation expectations. However, even the Treasury Inflation-Protected Securities (“TIPs”) sector delivered returns of close to 6%. Overall, the U.S. Treasury sector was one of the best performing sectors over the fiscal year.
U.S. Agency Unsecured Securities
For the twelve-month period of the fiscal year, the U.S. Agency sector broadly underperformed both the Bloomberg Barclays U.S. Treasury Index and the Bloomberg Barclays U.S. Aggregate Bond Index, with a return of approximately 7%. However, on a duration adjusted basis the sector outperformed U.S. Treasuries, and continued to benefit from steady but manageable new issuance supply levels.
Residential Mortgage-Backed Securities (“RMBS”)
The RMBS underperformed the Bloomberg Barclays U.S. Aggregate Bond Index over the fiscal, and was one of the worst performing sectors, though returns were solidly in positive territory. The Bloomberg Barclays RMBS Index produced a return of 6.76% for the period, a level that is quite respectable considering the overall interest rate environment, but nonetheless a level below that of the other large U.S. bond market sectors. Within the U.S. Agency RMBS space, the higher coupon 30-year collateral generally outperformed relative to lower coupons and 15-year collateral pools. In the Non-Agency RMBS space returns were diverse across sectors and credit tiers, but generally finished the year with lower returns than the U.S. Agency sector. RMBS underperformed for the most part because of the poor convexity profile of the sector, due to loan prepayments increasing as mortgage rates declined materially in correlation with the drop in Treasury yields.
Asset-Backed Securities (“ABS”)
The Bloomberg Barclays U.S. ABS Index returned 4.86%, and generally outperformed on a duration adjusted basis against U.S. government securities for the twelve-month period ended July 31, 2019. The sector continued to benefit from a steady, manageable, new issuance supply and solid credit fundamentals. The sector continues to display meaningfully lower volatility when compared to the larger Investment Grade (IG) Corporate sector. The primary reason for the sector’s relatively low total return over the past year results from the much lower maturity and interest rate risk profile of the sector.
Commercial Mortgage-Backed Securities (“CMBS”)
CMBS turned in one of the best relative performances over the fiscal year ended July 31, 2019, on the heels of the meaningfully decline in Treasury yields and solid credit fundamentals across the CRE industry. The sector saw spreads over U.S. government securities rally (i.e., decline) across the entire credit-rating segments throughout the year. The Bloomberg Barclays U.S. CMBS Index produced returns of 9.15% over the year, with the non-agency conduit segment outperforming the U.S. agency segment by approximately half of one percent, and the “BBB” rating sector bettering the “AAA” rated segment by over three percent; (i.e., total returns of 12.04% and 8.89%, respectively).
Collateralized Loan Obligation (“CLO”)
The CLO sector delivered positive total returns for the fiscal year ended July 31, 2019, but nonetheless generally underperformed every other major sector of the U.S. bond market. The sector saw poor returns relative to the Bloomberg Barclays U.S. Aggregate Bond Index, primarily because there was weaker investor demand for floating rate coupon securities as macroeconomic concerns increased over the period, and expectations that the Federal Reserve would modify its monetary policy stance from a raising rates bias to a decreasing rates scenario. Broadly speaking, spreads over LIBOR increased over the period
10
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FIXED INCOME FUNDS |
across the entire credit sector, with the lower rated areas of “BBB” and “BB” widening the most. The CLO sector did outperform the highly correlated syndicated loan market as the loan sector was negatively affected by the same factors as CLOs, and then on top of that saw significant outflows from ETF investors, which can often be a very volatile investor type.
Investment Grade Corporate Securities (“IG”)
The Bloomberg Barclays U.S. IG Index returned an astonishing 10.42% total return, including a 14.65% return for the longer maturity portion of the index, over the fiscal year ended July 31, 2019. IG was the best performing asset sector across the entire U.S. bond market over the period, as it benefited from both a rally in the U.S. Treasury market and steady credit spreads. New issuance supply also was sizable, but manageable, over the year. Back to spreads, while there were some changes across the various industries over the year, overall IG spreads finished the year largely where they began the year – approximately 110 basis points over government securities. Overall, IG benefitted from a goldilocks scenario over the year, with the macro outlook steadily worsening globally, leading to a significant rally in the Treasury market and falling yields, but the outlook was never poor enough to create any material risk-off momentum in the credit outlook.
High Yield Corporate Securities (“HY”)
The Bloomberg Barclays U.S. HY index returned 6.92% over the fiscal year ended July 31, 2019. Unlike the IG sector, the HY market did see a noticeable performance differential based on the degree of credit risk taken, with the higher risk areas underperforming. The higher quality end of HY, such as the “BB” rated bonds, delivered sizable outperformance, with returns of close to 10%. The “CCC” rated bonds however delivered returns of approximately zero percent, with some of the deep cyclical industries, such as energy, producing negative returns over the year.
Foreign Government Securities
Both the developed market and emerging market government bond markets quietly produced solid returns and generally outperformed. The emerging market sectors certainly saw sizable levels of volatility during the year, with the turmoil mostly focused around specific parts of the globe, such as Turkey and Argentina. However, for the fiscal year ended July 31, 2019, the emerging market government sector returned 11.75% within the Bloomberg Barclays Sovereign Index. The developed market sector in the index returned over 12% for the same period.
Money Market Securities
Money markets had a rather, at least at times, entertaining, year. The Federal Reserve lifted the federal funds rate target on two occasions early in the Funds’ fiscal year, resulting in the rate reaching its highest level in over a decade, only for the Federal Reserve to reverse course in the second half of the fiscal year, and reduce the funds rate due to weakening global economic data and significant concerns over global trade. Overall the average yield on the one month U.S. T-Bill was approximately 2.20%, which represents the highest return on cash in well over a decade.
TheBloomberg Barclays U.S. Treasury Index measures U.S. dollar-denominated, fixed-rate, nominal debt issued by the U.S. Treasury.
TheBloomberg Barclays U.S. Aggregate Bond Index represents securities that are SEC-registered, taxable and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities and asset-backed securities.
The Bloomberg Barclays Residential Mortgage-Backed Securities (“RMBS”) Index, the Bloomberg Barclays U.S. Asset-Backed Securities (“ABS”) Index, the Bloomberg Barclays U.S. Commercial Mortgage-Backed Securities (“CMBS”) Index, the Bloomberg Barclays U.S. Investment Grade Corporate Securities (“IG”) Index, the Bloomberg Barclays U.S. High Yield Corporate Securities (“HY”) Index, and the Bloomberg Barclays Sovereign Index are components of the Bloomberg Barclays U.S. Aggregate Index.
11
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FROST TOTAL RETURN BOND FUND |
Fund Results
During the fiscal year ended July 31, 2019, the Frost Total Return Bond Fund (the “Fund”) produced a return of 5.19% (Institutional Class Shares), 4.83% (Investor Class Shares) and 4.69% (A Class Shares), which was higher than our expected returns based on our pre-year market outlook, due largely to meaningfully better than expected performance in the broader U.S. bond market. The Fund underperformed its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index which produced a return of 8.08%, due to a number of reasons which relate to a defensive interest rate risk strategy the Fund was in throughout the year. The Fund’s overall duration position was less than the benchmark, maintaining its effective duration in a range of 3.0% to 3.75% over the fiscal year, which was lower than the index, which spent the year at a duration closer to 6.0%. This allocation decision detracted from performance relative to the benchmark, as interest rates declined materially over the year. As an example, the yield on the seven-year maturity U.S. Treasury Note moved over the year from a yield of approximately 3% to 1.75%. The Fund also lost relative performance due to a large underweight to the long maturity IG Corporate sector. The excess ten-year maturity portion of IG corporate bonds produced returns of close to 15%. Lastly, as related to interest rate profile, the Fund underperformed because its key rate duration positions were underweight the twenty year maturity bucket and overweight the two to three year maturity bucket. This position underperformed as the U.S. yield curve flattened during the year. The Fund’s best two sectors for the year were the CMBS and U.S. Treasury sectors, both with total returns over 9% for the year. CLO’s and IG and HY Corporates were the worst performing sectors within the Fund for the year, with returns of approximately 3.50% and 2.75%, respectively. The Fund’s poor IG performance was primarily because of the duration profile of the Fund’s holdings, and not credit-related issues. The Fund, as of its fiscal year end on July 31, 2019, had allocations of approximately 19% to Corporates, 16% to U.S. Treasury instruments, 15% to RMBS, 12% to ABS, 15% to CLOs and about 10% to CMBS.
The information provided in this report should not be considered a recommendation to purchase or sell any particular security. These views are subject to change and are not intended to predict or guarantee the future performance of any individual security or the markets in general. There is no assurance that any securities discussed herein will remain in the Fund’s portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent the Fund’s entire portfolio and in the aggregate may represent only a small percentage of the Fund’s portfolio holdings.
Performance data quoted represents past performance and does not guarantee similar future results. The investment performance 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, and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 877.713.7678.
The Bloomberg Barclays U.S. Aggregate Bond Index represents securities that are SEC-registered, taxable and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities and asset-backed securities.
Mutual fund investing involves risk including possible loss of principal. Bond and bond funds are subject to interest rate risk and will decline in value as interest rates rise. Mortgage-backed securities are subject to prepayment and extension risk and therefore react differently to changes in interest rates than other bonds. Small movements in interest rates may quickly and significantly reduce the value of certain mortgage-backed securities. There can be no assurance that the Fund will achieve its stated objectives.
12
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FROST TOTAL RETURN BOND FUND |
Growth of a $1,000,000 Investment
(1) | The graph is based on only Institutional Class Shares; performance for Investor Class Shares and A Class Shares would be lower due to differences in fee structures. |
(2) | Institutional Class Shares commenced operations on April 25, 2008. |
(3) | Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy. |
(4) | Investor Class Shares commenced operations on June 30, 2008. |
(5) | A Class Shares commenced operations on June 1, 2018. |
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.
The performance of the Fund would have been lower had the Adviser not waived a portion of its fees.
Please note that one cannot invest directly in an unmanaged index.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.
13
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FROST TOTAL RETURN BOND FUND |
Bond Credit Quality as of July 31, 2019
Credit Rating(1) | Percentage of Total Investments | |||
AAA | % | |||
AA | % | |||
A | % | |||
BBB | % | |||
BB | % | |||
B | % | |||
CCC | % | |||
Government | % | |||
Treasuries | % | |||
Cash | % | |||
Not Rated | % |
(1) | The credit quality breakdown depicts the credit quality ratings of the Fund’s portfolio securities that are rated by one or more of the four major nationally recognized statistical rating organizations (“NRSRO”). These four NRSRO’s currently are Standard & Poor’s, Moody’s, Fitch, and DBRS. When a security is rated by more than one NRSRO, the highest rating is used. These credit quality ratings are shown without regard to gradations within a given rating category. |
14
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FROST CREDIT FUND |
Fund Results
For the fiscal year ended July 31, 2019, the Frost Credit Fund (the “Fund”) returned 4.88% (Institutional Class Shares), 4.62% (Investor Class Shares) and 4.60% (A Class Shares), which underperformed its benchmark, a 50/50 weighting of the Bloomberg Barclays U.S. Credit and the Bloomberg Barclays U.S. Corporate High Yield Bond Indices with a return of 8.55%, because of a defensive interest rate position and asset sector allocations. As respects the interest rate allocation, the Fund maintained its effective duration throughout the fiscal year in a range of between 1.90% to 2.25%, a level which was meaningfully lower than its benchmark. In terms of asset sector allocations, the Fund was overweight the CLO sector, which delivered positive returns of approximately 3.50%, which were good, but materially below other sectors; most notably IG and HY Corporates, which produced returns of over 8%. On average the Fund held a 33% allocation to CLO’s over the fiscal year. The Fund’s best performing sector for the year was the CMBS sector, which returned approximately 11.10%. The Fund also had one individual security holding which materially underperformed as there was a negative credit event.
Diversification does not ensure a profit or guarantee against a loss.
The information provided in this report should not be considered a recommendation to purchase or sell any particular security. These views are subject to change and are not intended to predict or guarantee the future performance of any individual security or the markets in general. There is no assurance that any securities discussed herein will remain in the Fund’s portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent the Fund’s entire portfolio and in the aggregate may represent only a small percentage of the Fund’s portfolio holdings.
Performance data quoted represents past performance and does not guarantee similar future results. The investment performance 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, and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 877.713.7678.
Mutual fund investing involves risk including possible loss of principal. Bond and bond funds are subject to interest rate risk and will decline in value as interest rates rise. Mortgage-backed securities are subject to prepayment risk and extension risk and therefore react differently to changes in interest rates than other bonds. Small movements in interest rates quickly and significantly reduce the value of certain mortgage-backed securities. There can be no assurance that the Fund will achieve its stated objective. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest).
Index performance returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index.
CLO – Collateralized Loan Obligations are a type of asset-backed securities whereby payments from multiple middle market sized business loans pooled together and passed on to bond holders as security collateral. The actual loans used as collateral in a CLO are generally multi-million dollar loans called syndicated loans and are typically originally lent by a bank or other financial institution.
The Bloomberg Barclays U.S. Credit Index is designed to track the performance of a hypothetical buy write strategy on the S&P 500 Index.
The Bloomberg Barclays U.S. Corporate High Yield Bond Index is a market value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the Index proportionate to its market value.
15
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FROST CREDIT FUND |
Growth of a $1,000,000 Investment
(1) | The graph is based on only Institutional Class Shares; performance for Investor Class Shares and A Class Shares would be lower due to differences in fee structures. |
(2) | Both Institutional Class Shares and Investor Class Shares commenced operations on December 3, 2012. |
(3) | Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy. |
(4) | A Class Shares commenced operations on June 1, 2018. |
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.
The performance of the Fund would have been lower had the Adviser not waived a portion of its fees.
Please note that one cannot invest directly in an unmanaged index.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.
16
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FROST CREDIT FUND |
Bond Credit Quality as of July 31, 2019
Credit Rating(1) | Percentage of Total Investments | |||
AAA | % | |||
AA | % | |||
A | % | |||
BBB | % | |||
BB | % | |||
B | % | |||
Government | % | |||
Cash | % |
(1) | The credit quality breakdown depicts the credit quality ratings of the Fund’s portfolio securities that are rated by one or more of the four major nationally recognized statistical rating organizations (“NRSRO”). These four NRSRO’s currently are Standard & Poor’s, Moody’s, Fitch, and DBRS. When a security is rated by more than one NRSRO, the highest rating is used. These credit quality ratings are shown without regard to gradations within a given rating category. |
17
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FROST LOW DURATION BOND FUND |
Fund Results
During the fiscal year ended July 31, 2019, the Frost Low Duration Bond Fund (the “Fund”) returned 3.52% (Institutional Class Shares) and 3.26% (Investor Class Shares) which underperformed its benchmark – the Bloomberg Barclays U.S. 1-5 Year Government/Credit Index with a return of 5.22%, due primarily to duration positioning and the Fund’s relatively defensive allocation to interest rate risk throughout the year. The Fund maintained its effective duration in a range of 1.0% to 1.50% for the fiscal year, which was lower than the index which spent the year closer to 2.75%. This portfolio allocation decision detracted from performance relative to the benchmark as interest rates declined materially over the fiscal year. As an example, the yield on the three-year maturity U.S. Treasury Note declined from a yield of approximately 2.75% to 1.55% over the year.
The information provided in this report should not be considered a recommendation to purchase or sell any particular security. These views are subject to change and are not intended to predict or guarantee the future performance of any individual security or the markets in general. There is no assurance that any securities discussed herein will remain in the Fund’s portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent the Fund’s entire portfolio and in the aggregate may represent only a small percentage of the Fund’s portfolio holdings.
Performance data quoted represents past performance and does not guarantee similar future results. The investment performance 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, and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 877.713.7678.
Mutual fund investing involves risk including possible loss of principal. Bond and bond funds are subject to interest rate risk and will decline in value as interest rates rise. Mortgage-backed securities are subject to prepayment risk and extension risk and therefore react differently to changes in interest rates than other bonds. Small movements in interest rates quickly and significantly reduce the value of certain mortgage-backed securities. There can be no assurance that the Fund will achieve its stated objective.
Index performance returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index.
The Bloomberg Barclays U.S. 1-5 Year Government/Credit Index is comprised of Treasuries, Government related issues, U.S. dollar corporate securities, and specified foreign debentures and secured notes that have remaining maturities of more than one year but less than five years.
18
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FROST LOW DURATION BOND FUND |
Growth of a $1,000,000 Investment
(1) | The graph is based on only Institutional Class Shares; performance for Investor Class Shares would be lower due to differences in fee structures. |
(2) | Institutional Class Shares commenced operations on April 25, 2008. |
(3) | Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy. |
(4) | Investor Class Shares commenced operations on June 30, 2008. |
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.
The performance of the Fund would have been lower had the Adviser not waived a portion of its fees.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Please note that one cannot invest directly in an unmanaged index.
There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.
19
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FROST LOW DURATION BOND FUND |
Bond Credit Quality as of July 31, 2019
Credit Rating(1) | Percentage of Total Investments | |||
AAA | 36 | % | ||
AA | 7 | % | ||
A | 10 | % | ||
BBB | 9 | % | ||
Government | 10 | % | ||
Treasuries | 25 | % | ||
Cash | 3 | % |
(1) | The credit quality breakdown depicts the credit quality ratings of the Fund’s portfolio securities that are rated by one or more of the four major nationally recognized statistical rating organizations (“NRSRO”). These four NRSRO’s currently are Standard & Poor’s, Moody’s, Fitch, and DBRS. When a security is rated by more than one NRSRO, the highest rating is used. These credit quality ratings are shown without regard to gradations within a given rating category. |
20
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FROST MUNICIPAL BOND FUND |
Fund Results
During the fiscal year ended July 31, 2019, the Frost Municipal Bond Fund (the “Fund”) returned 5.49% (Institutional Class Shares) and 5.21% (Investor Class Shares) which underperformed its benchmark – the Bloomberg Barclays Municipal Bond Index with a return of 7.31%, due primarily to duration position and the Fund’s relatively defensive allocation to interest rate risk throughout the year. The Fund maintained its effective duration in a range of 3.20% to 3.50% for the fiscal year, which was lower than the benchmark, which spent the year closer to 2.75%. This portfolio allocation decision detracted from performance relative to the benchmark, as interest rates generally declined over the year materially. As an example, the yield on the ten-year maturity tax-exempt “AAA” rated national municipal yield curve declined over the year, from a yield of approximately 2.50% to 1.50%.
The information provided in this report should not be considered a recommendation to purchase or sell any particular security. These views are subject to change and are not intended to predict or guarantee the future performance of any individual security or the markets in general. There is no assurance that any securities discussed herein will remain in the Fund’s portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent the Fund’s entire portfolio and in the aggregate may represent only a small percentage of the Fund’s portfolio holdings.
Performance data quoted represents past performance and does not guarantee similar future results. The investment performance 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, and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 877.713.7678.
Investment performance reflects voluntary fee waivers in effect. Absent these waivers, total return and yield would be reduced. There can be no assurance that the Adviser will continue to waive fees.
Mutual fund investing involves risk including possible loss of principal. Bond and bond funds are subject to interest rate risk and will decline in value as interest rates rise. Mortgage-backed securities are subject to prepayment risk and extension risk and therefore react differently to changes in interest rates than other bonds. Small movements in interest rates quickly and significantly reduce the value of certain mortgage-backed securities. There can be no assurance that the Fund will achieve its stated objective.
Index performance returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index.
The Bloomberg Barclays Municipal Bond Index is a rules-based, market value weighted index engineered for the long-term tax-exempt bond market. To be included, bonds must have minimum credit rating of Baa and must have an outstanding par value of at least $5 million. Bonds must be at least one year from their maturity date.
21
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FROST MUNICIPAL BOND FUND |
Growth of a $1,000,000 Investment
(1) | The graph is based on only Institutional Class Shares; performance for Investor Class Shares would be lower due to differences in fee structures. |
(2) | Institutional Class Shares commenced operations on April 25, 2008. |
(3) | Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy. |
(4) | Investor Class Shares commenced operations on August 28, 2008. |
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.
The performance of the Fund would have been lower had the Adviser not waived a portion of its fees.
Please note that one cannot invest directly in an unmanaged index.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.
22
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
MANAGEMENT DISCUSSION AND FUND PERFORMANCE (Unaudited) | FROST MUNICIPAL BOND FUND |
Bond Credit Quality as of July 31, 2019
Credit Rating(1) | Percentage of Total Investments | |||
AAA | 25 | % | ||
AA | 34 | % | ||
A | 15 | % | ||
BBB | 9 | % | ||
BB | 5 | % | ||
B | 1 | % | ||
CC | 1 | % | ||
Cash | 9 | % | ||
Not Rated | 1 | % |
(1) | The credit quality breakdown depicts the credit quality ratings of the Fund’s portfolio securities that are rated by one or more of the four major nationally recognized statistical rating organizations (“NRSRO”). These four NRSRO’s currently are Standard & Poor’s, Moody’s, Fitch, and DBRS. When a security is rated by more than one NRSRO, the highest rating is used. These credit quality ratings are shown without regard to gradations within a given rating category. |
23
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST GROWTH EQUITY FUND |
SECTOR WEIGHTINGS (Unaudited)† |
† | Percentages are based on total investments. |
SCHEDULE OF INVESTMENTS |
Description | Shares | Value | ||||||
COMMON STOCK§ — 94.0% |
| |||||||
Communication Services — 13.9% |
| |||||||
Alphabet, Cl A* | 8,254 | $ | 10,055,023 | |||||
Alphabet, Cl C* | 7,720 | 9,392,769 | ||||||
Comcast, Cl A | 136,000 | 5,871,120 | ||||||
Electronic Arts* | 51,500 | 4,763,750 | ||||||
Facebook, Cl A* | 61,690 | 11,982,049 | ||||||
Netflix* | 15,000 | 4,844,850 | ||||||
|
| |||||||
46,909,561 | ||||||||
|
| |||||||
Consumer Discretionary — 20.0% |
| |||||||
Alibaba Group Holding ADR* | 34,500 | 5,972,295 | ||||||
Amazon.com* | 13,921 | 25,987,444 | ||||||
Booking Holdings* | 2,170 | 4,093,944 | ||||||
Home Depot | 53,090 | 11,344,802 | ||||||
Las Vegas Sands | 49,000 | 2,961,560 | ||||||
O’Reilly Automotive* | 8,000 | 3,046,080 | ||||||
Starbucks | 57,550 | 5,449,410 | ||||||
TJX | 83,000 | 4,528,480 | ||||||
Ulta Salon Cosmetics & Fragrance* | 12,000 | 4,191,000 | ||||||
|
| |||||||
67,575,015 | ||||||||
|
| |||||||
Consumer Staples — 1.6% |
| |||||||
Costco Wholesale | 20,132 | 5,548,983 | ||||||
|
| |||||||
Energy — 1.2% |
| |||||||
EOG Resources | 46,500 | 3,992,025 | ||||||
|
| |||||||
Financials — 3.5% |
| |||||||
Charles Schwab | 66,500 | 2,874,130 | ||||||
JPMorgan Chase | 45,500 | 5,278,000 | ||||||
Moody’s | 17,405 | 3,730,588 | ||||||
|
| |||||||
11,882,718 | ||||||||
|
|
Description | Shares | Value | ||||||
Health Care — 14.0% |
| |||||||
AbbVie | 30,000 | $ | 1,998,600 | |||||
Agilent Technologies | 46,700 | 3,241,447 | ||||||
Becton Dickinson | 23,250 | 5,877,600 | ||||||
Boston Scientific* | 165,000 | 7,005,900 | ||||||
Danaher | 45,750 | 6,427,875 | ||||||
Edwards Lifesciences* | 9,500 | 2,022,075 | ||||||
Humana | 17,000 | 5,044,750 | ||||||
UnitedHealth Group | 22,800 | 5,677,428 | ||||||
Vertex Pharmaceuticals* | 24,000 | 3,998,880 | ||||||
Zoetis, Cl A | 51,735 | 5,943,834 | ||||||
|
| |||||||
47,238,389 | ||||||||
|
| |||||||
Industrials — 5.2% |
| |||||||
Boeing | 15,875 | 5,416,232 | ||||||
Canadian Pacific Railway | 23,540 | 5,616,409 | ||||||
Fortive | 37,000 | 2,813,850 | ||||||
Union Pacific | 20,000 | 3,599,000 | ||||||
|
| |||||||
17,445,491 | ||||||||
|
| |||||||
Information Technology — 30.3% |
| |||||||
Adobe* | 17,000 | 5,080,620 | ||||||
Apple | 48,396 | 10,310,284 | ||||||
Autodesk* | 23,000 | 3,591,910 | ||||||
Mastercard, Cl A | 58,410 | 15,903,291 | ||||||
Microsoft | 175,500 | 23,915,385 | ||||||
PayPal Holdings* | 52,520 | 5,798,208 | ||||||
salesforce.com* | 55,635 | 8,595,607 | ||||||
ServiceNow* | 23,000 | 6,379,970 | ||||||
Visa, Cl A | 92,600 | 16,482,800 | ||||||
Workday, Cl A* | 32,000 | 6,399,360 | ||||||
|
| |||||||
102,457,435 | ||||||||
|
| |||||||
Materials — 2.7% |
| |||||||
Sherwin-Williams | 10,000 | 5,130,400 | ||||||
Vulcan Materials | 30,000 | 4,150,500 | ||||||
|
| |||||||
9,280,900 | ||||||||
|
| |||||||
Real Estate — 1.6% |
| |||||||
American Tower‡ | 25,500 | 5,396,310 | ||||||
|
| |||||||
Total Common Stock | 317,726,827 | |||||||
|
| |||||||
CASH EQUIVALENT — 5.9% |
| |||||||
Federated Government Obligations Fund, Cl I, 2.230%** | 19,826,661 | 19,826,661 | ||||||
|
| |||||||
Total Investments — 99.9% (Cost $188,205,929) | $ | 337,553,488 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
24
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST GROWTH EQUITY FUND |
Percentages are based on Net Assets of $337,884,251.
* | Non-income producing security. |
** | Rate shown is the7-day effective yield as of July 31, 2019. |
§ | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
‡ | Real Estate Investment Trust |
ADR — American Depositary Receipt
Cl — Class
As of July 31, 2019, all of the Fund’s investments in securities were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the year ended July 31, 2019, there have been no transfers between Level 1 and Level 2, or Level 2 and Level 3 assets and liabilities.
For the year ended July 31, 2019, there have been no Level 3 investments.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
25
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST VALUE EQUITY FUND |
SECTOR WEIGHTINGS (Unaudited)† |
† | Percentages are based on total investments. |
SCHEDULE OF INVESTMENTS |
Description | Shares | Value | ||||||
COMMON STOCK§ — 98.1% |
| |||||||
Communication Services — 7.0% |
| |||||||
Comcast, Cl A | 16,155 | $ | 697,411 | |||||
Fox | 12,600 | 470,232 | ||||||
Verizon Communications | 12,592 | 695,960 | ||||||
Walt Disney | 1,505 | 215,230 | ||||||
|
| |||||||
2,078,833 | ||||||||
|
| |||||||
Consumer Discretionary — 9.6% |
| |||||||
Carnival | 13,421 | 633,874 | ||||||
eBay | 14,311 | 589,470 | ||||||
Las Vegas Sands | 6,082 | 367,596 | ||||||
Lowe’s | 5,787 | 586,802 | ||||||
PVH | 4,000 | 355,680 | ||||||
Sony ADR | 5,000 | 284,300 | ||||||
|
| |||||||
2,817,722 | ||||||||
|
| |||||||
Consumer Staples — 2.9% |
| |||||||
Ingredion | 3,493 | 269,974 | ||||||
Tyson Foods, Cl A | 7,271 | 578,044 | ||||||
|
| |||||||
848,018 | ||||||||
|
| |||||||
Energy — 7.1% |
| |||||||
Chevron | 5,948 | 732,259 | ||||||
Occidental Petroleum | 9,836 | 505,177 | ||||||
Royal Dutch Shell ADR, Cl B | 7,296 | 463,077 | ||||||
Valero Energy | 4,385 | 373,821 | ||||||
|
| |||||||
2,074,334 | ||||||||
|
| |||||||
Financials — 28.5% |
| |||||||
American Express | 7,178 | 892,728 | ||||||
American International Group | 11,422 | 639,518 |
Description | Shares | Value | ||||||
Aon | 1,518 | $ | 287,281 | |||||
Bank of America | 23,621 | 724,692 | ||||||
Bank of New York Mellon | 5,336 | 250,365 | ||||||
Capital One Financial | 6,301 | 582,338 | ||||||
Cboe Global Markets | 4,956 | 541,740 | ||||||
Chubb | 4,726 | 722,322 | ||||||
Citigroup | 5,087 | 361,991 | ||||||
Fidelity National Financial | 17,929 | 768,796 | ||||||
JPMorgan Chase | 8,235 | 955,260 | ||||||
KeyCorp | 31,323 | 575,404 | ||||||
Nasdaq | 6,425 | 619,177 | ||||||
Wells Fargo | 9,232 | 446,921 | ||||||
|
| |||||||
8,368,533 | ||||||||
|
| |||||||
Health Care — 16.7% |
| |||||||
AbbVie | 3,746 | 249,558 | ||||||
Anthem | 2,495 | 735,052 | ||||||
AstraZeneca ADR | 20,500 | 889,905 | ||||||
Johnson & Johnson | 4,564 | 594,324 | ||||||
Medtronic | 8,913 | 908,591 | ||||||
Merck | 9,135 | 758,114 | ||||||
Perrigo | 3,575 | 193,086 | ||||||
Roche Holding ADR | 17,020 | 571,021 | ||||||
|
| |||||||
4,899,651 | ||||||||
|
| |||||||
Industrials — 10.1% |
| |||||||
Delta Air Lines | 13,294 | 811,466 | ||||||
Eaton | 8,440 | 693,684 | ||||||
Johnson Controls International | 11,375 | 482,755 | ||||||
Kansas City Southern | 2,466 | 305,143 | ||||||
Raytheon | 2,181 | 397,574 | ||||||
Union Pacific | 1,600 | 287,920 | ||||||
|
| |||||||
2,978,542 | ||||||||
|
| |||||||
Information Technology — 9.6% |
| |||||||
Cisco Systems | 11,689 | 647,571 | ||||||
Corning | 20,100 | 618,075 | ||||||
DXC Technology | 5,486 | 305,954 | ||||||
Fidelity National Information Services | 4,800 | 639,600 | ||||||
Microsoft | 4,524 | 616,485 | ||||||
|
| |||||||
2,827,685 | ||||||||
|
| |||||||
Materials — 1.4% |
| |||||||
DuPont de Nemours | 5,734 | 413,765 | ||||||
|
| |||||||
Real Estate — 1.7% |
| |||||||
Weyerhaeuser‡ | 19,170 | 487,110 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
26
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST VALUE EQUITY FUND |
Description | Shares | Value | ||||||
Utilities — 3.5% |
| |||||||
FirstEnergy | 12,747 | $ | 560,486 | |||||
PPL | 15,238 | 451,502 | ||||||
|
| |||||||
1,011,988 | ||||||||
|
| |||||||
Total Common Stock | 28,806,181 | |||||||
|
| |||||||
CASH EQUIVALENT — 2.3% |
| |||||||
Federated Government Obligations Fund, Cl I, 2.230%** | 688,345 | 688,345 | ||||||
|
| |||||||
Total Investments — 100.4% | $ | 29,494,526 | ||||||
|
|
Percentages are based on Net Assets of $29,372,114.
** | Rate shown is the7-day effective yield as of July 31, 2019. |
§ | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
‡ | Real Estate Investment Trust |
ADR — American Depositary Receipt
Cl — Class
As of July 31, 2019, all of the Fund’s investments in securities were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the year ended July 31, 2019, there have been no transfers between Level 1 and Level 2, or Level 2 and Level 3 assets and liabilities.
For the year ended July 31, 2019, there have been no Level 3 investments.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
27
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST MID CAP EQUITY FUND |
SECTOR WEIGHTINGS (Unaudited)† |
† | Percentages are based on total investments. |
SCHEDULE OF INVESTMENTS |
Description | Shares | Value | ||||||
COMMON STOCK — 95.0% |
| |||||||
Communication Services — 3.2% |
| |||||||
Omnicom Group | 850 | $ | 68,187 | |||||
Take-Two Interactive Software* | 400 | 49,008 | ||||||
TripAdvisor* | 580 | 25,607 | ||||||
|
| |||||||
142,802 | ||||||||
|
| |||||||
Consumer Discretionary — 12.2% |
| |||||||
Advance Auto Parts | 300 | 45,192 | ||||||
Best Buy | 634 | 48,520 | ||||||
Columbia Sportswear | 230 | 24,375 | ||||||
Darden Restaurants | 380 | 46,193 | ||||||
Dollar Tree* | 400 | 40,700 | ||||||
DR Horton | 550 | 25,261 | ||||||
Expedia Group | 180 | 23,893 | ||||||
Garmin | 300 | 23,577 | ||||||
H&R Block | 800 | 22,152 | ||||||
Hilton Worldwide Holdings | 230 | 22,207 | ||||||
Leggett & Platt | 600 | 23,982 | ||||||
MGM Resorts International | 800 | 24,016 | ||||||
Ross Stores | 460 | 48,774 | ||||||
Service International | 500 | 23,070 | ||||||
Thor Industries | 410 | 24,436 | ||||||
Vail Resorts | 200 | 49,304 | ||||||
VF | 280 | 24,469 | ||||||
|
| |||||||
540,121 | ||||||||
|
| |||||||
Consumer Staples — 3.9% |
| |||||||
Archer-Daniels-Midland | 1,100 | 45,188 | ||||||
Church & Dwight | 450 | 33,948 |
Description | Shares | Value | ||||||
Clorox | 175 | $ | 28,455 | |||||
Hormel Foods | 780 | 31,972 | ||||||
JM Smucker | 300 | 33,357 | ||||||
|
| |||||||
172,920 | ||||||||
|
| |||||||
Energy — 3.7% |
| |||||||
Cabot Oil & Gas | 950 | 18,202 | ||||||
Diamondback Energy | 460 | 47,578 | ||||||
Noble Energy | 1,600 | 35,328 | ||||||
Patterson-UTI Energy | 2,100 | 24,423 | ||||||
Williams | 1,450 | 35,728 | ||||||
|
| |||||||
161,259 | ||||||||
|
| |||||||
Financials — 11.8% |
| |||||||
Cboe Global Markets | 600 | 65,586 | ||||||
Cincinnati Financial | 1,000 | 107,330 | ||||||
Commerce Bancshares | 800 | 48,664 | ||||||
Discover Financial Services | 300 | 26,922 | ||||||
M&T Bank | 600 | 98,550 | ||||||
Progressive | 1,500 | 121,470 | ||||||
Webster Financial | 1,000 | 51,000 | ||||||
|
| |||||||
519,522 | ||||||||
|
| |||||||
Health Care — 8.7% |
| |||||||
BioMarin Pharmaceutical* | 300 | 23,796 | ||||||
Centene* | 900 | 46,881 | ||||||
Cerner | 1,060 | 75,949 | ||||||
DENTSPLY SIRONA | 450 | 24,503 | ||||||
Immunomedics* | 1,800 | 26,550 | ||||||
Quest Diagnostics | 630 | 64,310 | ||||||
Sage Therapeutics* | 400 | 64,136 | ||||||
Wright Medical Group* | 2,000 | 57,720 | ||||||
|
| |||||||
383,845 | ||||||||
|
| |||||||
Industrials — 14.4% |
| |||||||
Hexcel | 700 | 57,232 | ||||||
Ingersoll-Rand | 400 | 49,464 | ||||||
JB Hunt Transport Services | 500 | 51,185 | ||||||
L3Harris Technologies* | 320 | 66,432 | ||||||
Macquarie Infrastructure | 1,200 | 49,728 | ||||||
Masco | 1,300 | 53,001 | ||||||
Parker-Hannifin | 370 | 64,780 | ||||||
Republic Services, Cl A | 600 | 53,190 | ||||||
Robert Half International | 1,300 | 78,533 | ||||||
Roper Technologies | 120 | 43,638 | ||||||
Snap-on | 450 | 68,674 | ||||||
|
| |||||||
635,857 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
28
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST MID CAP EQUITY FUND |
Description | Shares | Value | ||||||
Information Technology — 17.7% |
| |||||||
Akamai Technologies* | 680 | $ | 59,928 | |||||
Amdocs | 850 | 54,392 | ||||||
Analog Devices | 600 | 70,476 | ||||||
ANSYS* | 280 | 56,874 | ||||||
Autodesk* | 230 | 35,919 | ||||||
Ciena* | 1,070 | 48,385 | ||||||
EPAM Systems* | 310 | 60,075 | ||||||
Fidelity National Information Services | 350 | 46,638 | ||||||
Fiserv* | 600 | 63,258 | ||||||
FLIR Systems | 900 | 44,694 | ||||||
KLA | 450 | 61,344 | ||||||
NetApp | 360 | 21,056 | ||||||
Palo Alto Networks* | 160 | 36,246 | ||||||
Paychex | 600 | 49,830 | ||||||
ServiceNow* | 95 | 26,352 | ||||||
SS&C Technologies Holdings | 440 | 21,098 | ||||||
Workday, Cl A* | 125 | 24,998 | ||||||
|
| |||||||
781,563 | ||||||||
|
| |||||||
Materials — 4.5% |
| |||||||
Celanese, Cl A | 500 | 56,085 | ||||||
Newmont Goldcorp | 1,000 | 36,520 | ||||||
Packaging Corp of America | 500 | 50,485 | ||||||
Vulcan Materials | 400 | 55,340 | ||||||
|
| |||||||
198,430 | ||||||||
|
| |||||||
Real Estate — 9.4% |
| |||||||
Apartment Investment & Management, Cl A‡ | 1,000 | 49,540 | ||||||
AvalonBay Communities‡ | 200 | 41,758 | ||||||
Boston Properties‡ | 400 | 53,180 | ||||||
CubeSmart‡ | 1,400 | 47,530 | ||||||
Digital Realty Trust‡ | 400 | 45,744 | ||||||
Regency Centers‡ | 700 | 46,690 | ||||||
SBA Communications, Cl A*‡ | 120 | 29,449 | ||||||
Welltower‡ | 600 | 49,872 | ||||||
WP Carey‡ | 600 | 51,924 | ||||||
|
| |||||||
415,687 | ||||||||
|
| |||||||
Utilities — 5.5% |
| |||||||
CenterPoint Energy | 1,600 | 46,416 | ||||||
Evergy | 700 | 42,343 | ||||||
FirstEnergy | 1,200 | 52,764 | ||||||
WEC Energy Group | 600 | 51,276 | ||||||
Xcel Energy | 800 | 47,688 | ||||||
|
| |||||||
240,487 | ||||||||
|
| |||||||
Total Common Stock | 4,192,493 | |||||||
|
|
Description | Shares | Value | ||||||
CASH EQUIVALENT — 4.7% |
| |||||||
Federated Government Obligations Fund, Cl I, 2.230%** | 207,266 | $ | 207,266 | |||||
|
| |||||||
Total Investments — 99.7% | $ | 4,399,759 | ||||||
|
|
Percentages are based on Net Assets of $4,413,235.
* | Non-income producing security. |
** | Rate shown is the7-day effective yield as of July 31, 2019. |
‡ | Real Estate Investment Trust |
Cl — Class
As of July 31, 2019, all of the Fund’s investments in securities were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the year ended July 31, 2019, there have been no transfers between Level 1 and Level 2, or Level 2 and Level 3 assets and liabilities.
For the year ended July 31, 2019, there have been no Level 3 investments.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
29
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST TOTAL RETURN BOND FUND |
SECTOR WEIGHTINGS (Unaudited)† |
† | Percentages are based on total investments. |
SCHEDULE OF INVESTMENTS |
Description | Face Amount | Value | ||||||
MORTGAGE-BACKED SECURITIES — 25.3% |
| |||||||
Agency Mortgage-Backed Obligation — 10.5% |
| |||||||
FHLMC | $ | 24,544,485 | $ | 25,322,630 | ||||
3.093%, VAR ICE LIBOR USD 12 Month+1.620%, 01/01/45 | 7,963,852 | 8,084,857 | ||||||
2.358%, VAR ICE LIBOR USD | 8,789,277 | 8,803,910 | ||||||
FHLMC REMIC, | 14,773,000 | 15,797,655 | ||||||
FHLMC REMIC, | 2,191,964 | 2,204,417 | ||||||
FHLMC, | 1,711,082 | 270,123 | ||||||
FHLMC, | 9,034,408 | 9,880,431 | ||||||
FHLMC, | 6,996,156 | 447,059 |
Description | Face Amount | Value | ||||||
FHLMC, | $ | 4,302,668 | $ | 180,898 | ||||
FHLMC, | 10,874,545 | 637,026 | ||||||
FHLMC, | 4,072,678 | 275,361 | ||||||
FHLMC, | 12,265,524 | 805,158 | ||||||
FHLMC, | 21,169,630 | 2,501,535 | ||||||
FHLMC, | 7,174,570 | 481,168 | ||||||
FHLMC, | 19,622,990 | 2,919,828 | ||||||
FHLMC, | 12,742,638 | 1,087,264 | ||||||
FHLMC, | 2,267,058 | 246,013 | ||||||
FHLMC, | 3,561,967 | 3,700,070 | ||||||
FHLMC, | 3,228,451 | 3,242,665 | ||||||
FHLMC, | 12,651,037 | 13,020,070 | ||||||
FHLMC, | 5,000,000 | 5,172,550 | ||||||
FHLMC, | 12,726,000 | 12,802,771 | ||||||
FHLMC, | 4,707,000 | 4,992,830 | ||||||
FHLMC, | 6,258,466 | 6,409,771 | ||||||
FHLMC, | 2,631,486 | 2,714,843 | ||||||
FHLMC, | 5,000,000 | 5,227,789 |
The accompanying notes are an integral part of the financial statements.
30
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
FNMA | $ | 8,155,738 | $ | 9,112,837 | ||||
4.714%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.260%, 01/01/38 | 2,239,577 | 2,366,135 | ||||||
4.500%, 08/01/41 | 6,020,560 | 6,498,508 | ||||||
4.000%, 03/01/47 | 1,934,001 | 2,040,722 | ||||||
3.500%, 08/01/46 | 14,271,451 | 14,695,267 | ||||||
3.299%, VAR ICE LIBOR USD | 4,192,911 | 4,304,935 | ||||||
3.000%, 10/01/32 to 10/01/47 | 60,440,337 | 61,058,612 | ||||||
2.817%, VAR ICE LIBOR USD | 4,508,106 | 4,564,077 | ||||||
2.710%, 08/01/23 | 268,540 | 272,920 | ||||||
2.500%, 11/01/31 | 17,274,065 | 17,395,550 | ||||||
FNMA REMIC, | 3,362,881 | 253,315 | ||||||
FNMA REMIC, | 17,358,877 | 2,807,474 | ||||||
FNMA STRIPS, | 1,514,762 | 272,225 | ||||||
FNMA STRIPS, | 2,380,631 | 375,140 | ||||||
FNMA STRIPS, | 3,911,440 | 672,365 | ||||||
FNMA STRIPS, | 3,225,833 | 533,101 | ||||||
FNMA STRIPS, | 4,897,586 | 799,133 | ||||||
FNMA STRIPS, | 7,943,428 | 720,949 | ||||||
FNMA, | 26,943,442 | 27,934,101 | ||||||
FNMA, | 5,000,000 | 5,117,313 | ||||||
FNMA, | 5,451,448 | 365,453 | ||||||
FNMA, | 12,008,692 | 852,828 | ||||||
FNMA, | 16,474,330 | 2,140,309 |
Description | Face Amount | Value | ||||||
FNMA, | $ | 5,000,000 | $ | 5,118,502 | ||||
FNMA, | 9,387,434 | 556,541 | ||||||
FNMA, | 9,108,698 | 9,104,489 | ||||||
FNMA, | 11,159,920 | 1,284,481 | ||||||
FNMA, | 3,510,257 | 330,492 | ||||||
FNMA, | 10,000,000 | 10,531,583 | ||||||
FNMA, | 6,707,773 | 6,879,648 | ||||||
GNMA | 36,469,521 | 36,457,117 | ||||||
GNMA REMIC, | 4,950,731 | 213,117 | ||||||
GNMA, | 17,769,779 | 3,949,296 | ||||||
GNMA, | 2,000,000 | 2,089,343 | ||||||
GNMA, | 3,685,294 | 290,926 | ||||||
GNMA, | 8,637,639 | 867,462 | ||||||
GNMA, | 6,918,410 | 240,869 | ||||||
GNMA, | 4,949,467 | 575,010 | ||||||
GNMA, | 12,516,258 | 1,010,654 | ||||||
GNMA, | 11,779,892 | 855,301 | ||||||
GNMA, | 2,725,670 | 2,744,022 |
The accompanying notes are an integral part of the financial statements.
31
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
GNMA, | $ | 13,948,850 | $ | 932,396 | ||||
GNMA, | 4,728,934 | 4,659,195 | ||||||
|
| |||||||
391,072,405 | ||||||||
|
| |||||||
Commercial Mortgage-Backed Obligation — 11.2% |
| |||||||
Banc of America Commercial Mortgage Trust, | 240,943 | 240,943 | ||||||
Banc of America Commercial Mortgage Trust, | 4,925,000 | 3,377,630 | ||||||
BANK, | 9,000,000 | 9,477,515 | ||||||
BANK, | 10,000,000 | 10,724,028 | ||||||
BANK, | 3,000,000 | 3,347,297 | ||||||
BANK, | 10,000,000 | 10,977,789 | ||||||
BANK, | 4,500,000 | 4,972,325 | ||||||
BBCMS Trust, | 5,000,000 | 5,016,880 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, | 14,150,000 | 12,540,438 | ||||||
CD Commercial Mortgage Trust, | 10,000,000 | 10,397,029 | ||||||
Citigroup Commercial Mortgage Trust, | 5,000,000 | 5,004,340 | ||||||
Citigroup Commercial Mortgage Trust, | 5,000,000 | 5,300,409 | ||||||
Commercial Mortgage Trust, | 1,000,000 | 1,031,934 | ||||||
Commercial Mortgage Trust, | 224,200 | 228,117 |
Description | Face Amount | Value | ||||||
Commercial Mortgage Trust, | $ | 9,500,000 | $ | 9,594,673 | ||||
Commercial Mortgage Trust, | 4,000,000 | 4,083,288 | ||||||
Commercial Mortgage Trust, | 9,000,000 | 8,100,000 | ||||||
Credit Suisse Commercial Mortgage Trust, | 4,107,435 | 254,661 | ||||||
Credit Suisse First Boston Mortgage Securities, | 132,099 | 123,655 | ||||||
Credit Suisse First Boston Mortgage Securities,Ser 2005-C2, Cl AMFX | 11,806 | 11,536 | ||||||
Credit Suisse First Boston Mortgage Securities, | 322,220 | 324,923 | ||||||
CSAIL Commercial Mortgage Trust, | 10,000,000 | 11,007,956 | ||||||
DBUBS Mortgage Trust, | 1,450,000 | 1,501,534 | ||||||
Deutsche Bank Commercial Mortgage Trust, | 5,000,000 | 5,235,019 | ||||||
FHLMC Military Housing Bonds Resecuritization Trust Certificates, | 34,968,546 | 33,664,901 | ||||||
FREMF Mortgage Trust, | 4,000,000 | 4,174,028 | ||||||
FREMF Mortgage Trust, | 5,000,000 | 5,153,197 | ||||||
FREMF Mortgage Trust, | 4,500,000 | 4,597,255 | ||||||
FREMF Mortgage Trust, | 5,000,000 | 5,091,119 |
The accompanying notes are an integral part of the financial statements.
32
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
FREMF Mortgage Trust, | $ | 5,000,000 | $ | 5,073,355 | ||||
FREMF Mortgage Trust, | 8,000,000 | 8,013,032 | ||||||
FREMF Mortgage Trust, | 14,000,000 | 14,180,775 | ||||||
FREMF Mortgage Trust, | 5,000,000 | 5,101,238 | ||||||
FREMF Mortgage Trust, | 7,840,000 | 7,864,607 | ||||||
FREMF Mortgage Trust, | 2,000,000 | 2,086,831 | ||||||
FREMF Mortgage Trust, | 3,403,000 | 3,514,325 | ||||||
Galton Funding Mortgage Trust, | 2,351,136 | 2,391,947 | ||||||
Galton Funding Mortgage Trust, | 20,000,000 | 20,339,402 | ||||||
GS Mortgage Securities Trust, | 3,500,000 | 3,728,504 | ||||||
GS Mortgage Securities Trust, | 10,000,000 | 10,538,169 | ||||||
GS Mortgage Securities Trust, | 5,000,000 | 5,264,887 | ||||||
GS Mortgage Securities Trust, | 10,000,000 | 10,937,268 | ||||||
GS Mortgage Securities Trust, | 4,000,000 | 4,269,302 | ||||||
GS Mortgage Securities Trust, | 4,000,000 | 4,132,146 | ||||||
GS Mortgage-Backed Securities Trust, | 10,000,000 | 10,155,850 | ||||||
Homeward Opportunities Fund I Trust, | 4,509,630 | 4,543,138 |
Description | Face Amount | Value | ||||||
Hudson Yards Mortgage Trust, | $ | 2,500,000 | $ | 2,582,264 | ||||
Impact Funding, | 178,863 | 178,272 | ||||||
Impact Funding, | 87,994 | 87,642 | ||||||
JPMDB Commercial Mortgage Securities Trust, | 3,328,000 | 3,329,047 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | 2,431,861 | 2,238,845 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | 2,404,145 | 2,298,002 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | 111,787 | — | ||||||
JPMorgan Chase Commercial Mortgage Securities, | 617,224 | 615,113 | ||||||
LB-UBS Commercial Mortgage Trust, | 1,000,000 | 1,002,840 | ||||||
LStar Commercial Mortgage Trust, | 850,442 | 849,392 | ||||||
LStar Commercial Mortgage Trust, | 3,000,000 | 3,008,277 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | 2,413,000 | 2,545,860 | ||||||
Morgan Stanley Capital I, | 132,088 | 133,592 | ||||||
Morgan Stanley Capital I, | 7,048,785 | 7,446,894 | ||||||
Morgan Stanley Capital I, | 500,000 | 530,296 |
The accompanying notes are an integral part of the financial statements.
33
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
Morgan Stanley Capital I, | $ | 2,000,000 | $ | 2,072,040 | ||||
UBS Commercial Mortgage Trust, | 9,160,000 | 9,639,623 | ||||||
UBS-Barclays Commercial Mortgage Trust, | 7,095,000 | 6,916,762 | ||||||
UBS-Barclays Commercial Mortgage Trust, | 15,339,806 | 12,392,209 | ||||||
UBS-Barclays Commercial Mortgage Trust, | 3,000,000 | 3,131,172 | ||||||
UBS-Barclays Commercial Mortgage Trust, | 13,384,000 | 13,130,012 | ||||||
Wells Fargo Commercial Mortgage Trust, | 5,000,000 | 5,234,189 | ||||||
Wells Fargo Commercial Mortgage Trust, | 2,000,000 | 1,852,981 | ||||||
Wells Fargo Commercial Mortgage Trust, | 5,000,000 | 5,169,549 | ||||||
Wells Fargo Commercial Mortgage Trust, | 3,500,000 | 3,673,779 | ||||||
Wells Fargo Commercial Mortgage Trust, | 3,788,000 | 4,029,717 | ||||||
Wells Fargo Commercial Mortgage Trust, | 5,000,000 | 5,473,436 | ||||||
Wells Fargo Commercial Mortgage Trust, | 6,000,000 | 6,579,671 | ||||||
WFRBS Commercial Mortgage Trust, | 3,000,000 | 3,162,080 |
Description | Face Amount | Value | ||||||
WFRBS Commercial Mortgage Trust, | $ | 7,310,000 | $ | 6,731,114 | ||||
|
| |||||||
413,723,865 | ||||||||
|
| |||||||
Non-Agency Residential Mortgage-Backed Obligation — 3.6% |
| |||||||
Arroyo Mortgage Trust, | 4,573,145 | 4,668,733 | ||||||
Arroyo Mortgage Trust, | 10,728,163 | 10,838,660 | ||||||
Carrington Mortgage Loan Trust, | 1,000,000 | — | ||||||
CSAIL Mortgage Trust, | 10,000,000 | 10,927,572 | ||||||
Deephaven Residential Mortgage Trust, | 3,035,443 | 3,060,173 | ||||||
FirstKey Mortgage Trust, | 4,910,722 | 4,966,367 | ||||||
Flagstar Mortgage Trust, | 6,663,873 | 6,717,561 | ||||||
JPMorgan Mortgage Trust, | 1,765,054 | 1,791,142 | ||||||
JPMorgan Mortgage Trust, | 1,884,902 | 1,910,725 | ||||||
JPMorgan Mortgage Trust, | 8,211,374 | 8,408,548 | ||||||
Sequoia Mortgage Trust, | 189,772,998 | 7,257,470 | ||||||
Sequoia Mortgage Trust, | 2,994,127 | 3,046,524 | ||||||
Sequoia Mortgage Trust, | 6,000,536 | 6,094,144 | ||||||
Sequoia Mortgage Trust, | 2,002,655 | 2,026,380 | ||||||
Sequoia Mortgage Trust, | 3,732,062 | 3,788,043 |
The accompanying notes are an integral part of the financial statements.
34
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
Sequoia Mortgage Trust, | $ | 4,284,795 | $ | 4,417,643 | ||||
Sequoia Mortgage Trust, | 4,222,693 | 4,340,711 | ||||||
Wells Fargo Mortgage Backed Securities, | 6,228,070 | 6,275,525 | ||||||
Wells Fargo Mortgage Backed Securities Trust, | 13,197,763 | 13,509,151 | ||||||
Wells Fargo Mortgage Backed Securities Trust, | 13,178,388 | 13,464,609 | ||||||
WinWater Mortgage Loan Trust, | 3,024,607 | 3,099,750 | ||||||
WinWater Mortgage Loan Trust, | 2,104,180 | 2,151,688 | ||||||
WinWater Mortgage Loan Trust, | 2,657,210 | 2,703,172 | ||||||
WinWater Mortgage Loan Trust, | 3,717,659 | 3,780,104 | ||||||
WinWater Mortgage Loan Trust, | 4,226,716 | 4,280,201 | ||||||
|
| |||||||
133,524,596 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 938,320,866 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 19.5% |
| |||||||
Communication Services — 2.1% |
| |||||||
AT&T | ||||||||
4.350%, 03/01/29 | 5,000,000 | 5,399,720 | ||||||
4.300%, 02/15/30 | 12,905,000 | 13,861,603 | ||||||
Frontier Communications | 54,892,000 | 41,443,460 | ||||||
Intelsat Jackson Holdings | ||||||||
8.500%, 10/15/24 (B) | 17,575,000 | 17,532,820 | ||||||
8.000%, 02/15/24 (B) | 1,000,000 | 1,038,850 | ||||||
|
| |||||||
79,276,453 | ||||||||
|
| |||||||
Consumer Discretionary — 1.9% |
| |||||||
Block Financial | 5,000,000 | 5,076,777 | ||||||
Capitol Investment Merger Sub 2 | 3,000,000 | 3,090,000 |
Description | Face Amount | Value | ||||||
Choice Hotels International | $ | 6,348,000 | $ | 6,812,293 | ||||
Ford Motor Credit | 2,000,000 | 2,056,070 | ||||||
General Motors Financial | 15,126,000 | 15,396,291 | ||||||
Jaguar Land Rover Automotive | 6,000,000 | 4,774,080 | ||||||
L Brands | 5,800,000 | 4,785,000 | ||||||
Lear | 1,500,000 | 1,554,899 | ||||||
McDonald’s MTN | 3,000,000 | 3,025,996 | ||||||
Panther BF Aggregator 2 | 8,000,000 | 8,130,000 | ||||||
Staples | 2,000,000 | 2,070,000 | ||||||
VistaJet Malta Finance | 15,000,000 | 14,850,000 | ||||||
|
| |||||||
71,621,406 | ||||||||
|
| |||||||
Consumer Staples — 0.0% |
| |||||||
Pyxus International | 1,000,000 | 840,000 | ||||||
|
| |||||||
Energy — 3.1% |
| |||||||
Antero Midstream Partners | 15,000,000 | 14,006,250 | ||||||
Apache | 4,138,000 | 5,241,797 | ||||||
Lukoil International Finance BV | 3,000,000 | 3,143,580 | ||||||
Midcontinent Express Pipeline | 7,678,000 | 7,713,689 | ||||||
Noble Holding International | ||||||||
6.050%, 03/01/41 | 13,462,000 | 7,067,550 | ||||||
4.625%, 03/01/21 | 20,266,000 | 18,644,720 | ||||||
NuStar Logistics | 1,000,000 | 1,055,000 | ||||||
Petrobras Global Finance BV | 2,000,000 | 2,512,000 | ||||||
Petroleos Mexicanos | 7,000,000 | 6,433,000 | ||||||
Seadrill New Finance | 14,174,386 | 13,536,539 | ||||||
Talen Energy Supply | 2,000,000 | 1,974,240 | ||||||
Teekay | 3,000,000 | 3,090,000 | ||||||
Transocean | ||||||||
7.250%, 11/01/25 (B) | 5,000,000 | 4,700,000 | ||||||
6.500%, 11/15/20 | 19,277,000 | 19,758,925 |
The accompanying notes are an integral part of the financial statements.
35
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
Weatherford International 4.500%, 04/15/22 (D) | $ | 8,835,000 | $ | 3,909,487 | ||||
|
| |||||||
112,786,777 | ||||||||
|
| |||||||
Financials — 7.0% |
| |||||||
Assured Guaranty US Holdings | 7,272,000 | 7,917,995 | ||||||
Bank of Nova Scotia | 6,300,000 | 6,384,797 | ||||||
Barclays MTN | 2,000,000 | 2,124,605 | ||||||
Capital One Financial | 10,000,000 | 10,361,981 | ||||||
Commonwealth Bank of Australia NY | 10,390,000 | 10,442,675 | ||||||
Deutsche Bank | 2,000,000 | 1,847,000 | ||||||
Deutsche Bank NY | 85,847,000 | 85,394,628 | ||||||
Enova International | 15,000,000 | 14,437,500 | ||||||
Farmers Exchange Capital | 6,075,000 | 7,395,630 | ||||||
First American Financial | 1,000,000 | 1,031,461 | ||||||
FS KKR Capital | 7,000,000 | 6,980,676 | ||||||
Genworth Holdings | 9,650,000 | 9,987,750 | ||||||
Navient MTN | ||||||||
5.500%, 01/25/23 | 14,000,000 | 14,485,800 | ||||||
4.146%, VAR CPI YOY+2.150%, 12/15/20 | 3,525,000 | 3,516,187 | ||||||
PNC Bank | 5,000,000 | 5,200,908 | ||||||
Royal Bank of Canada MTN | ||||||||
9.000%, 06/10/20 | 5,000,000 | 4,800,000 | ||||||
7.375%, 05/29/20 | 10,000,000 | 10,291,049 | ||||||
6.400%, 07/29/20 | 5,000,000 | 4,900,000 | ||||||
Royal Bank of Scotland Group 7.500%, VAR USD Swap Semi 30/360 5 Yr Curr+5.800%, 09/30/67 | 4,000,000 | 4,065,000 | ||||||
Societe Generale | 4,025,000 | 4,294,133 | ||||||
Synchrony Financial | ||||||||
4.500%, 07/23/25 | 9,905,000 | 10,478,908 | ||||||
4.375%, 03/19/24 | 1,000,000 | 1,053,014 | ||||||
2.700%, 02/03/20 | 14,155,000 | 14,152,163 | ||||||
TMX Finance | 12,250,000 | 11,178,125 |
Description | Face Amount | Value | ||||||
Wachovia | $ | 5,650,000 | $ | 6,766,494 | ||||
|
| |||||||
259,488,479 | ||||||||
|
| |||||||
Health Care — 0.2% |
| |||||||
CHS | 8,500,000 | 8,393,750 | ||||||
|
| |||||||
Industrials — 2.7% |
| |||||||
Burlington Northern Santa Fe | 5,000,000 | 7,170,356 | ||||||
FedEx | 12,000,000 | 11,875,284 | ||||||
Flowserve | 1,000,000 | 1,017,191 | ||||||
General Electric MTN | ||||||||
5.875%, 01/14/38 | 4,377,000 | 5,126,420 | ||||||
5.300%, 02/11/21 | 8,000,000 | 8,294,310 | ||||||
2.200%, 01/09/20 | 42,981,000 | 42,947,935 | ||||||
Great Lakes Dredge & Dock | 1,410,000 | 1,504,752 | ||||||
Hertz | ||||||||
5.875%, 10/15/20 | 19,728,000 | 19,733,918 | ||||||
5.500%, 10/15/24 (B) | 1,000,000 | 982,500 | ||||||
|
| |||||||
98,652,666 | ||||||||
|
| |||||||
Information Technology — 1.6% |
| |||||||
Apple | 17,712,000 | 18,517,130 | ||||||
DynCorp International | 6,999,043 | 7,016,541 | ||||||
Keysight Technologies | 1,000,000 | 1,065,938 | ||||||
Micron Technology | 10,000,000 | 10,124,239 | ||||||
Motorola Solutions | 21,435,000 | 22,759,391 | ||||||
|
| |||||||
59,483,239 | ||||||||
|
| |||||||
Materials — 0.3% |
| |||||||
Carpenter Technology | 250,000 | 255,715 | ||||||
First Quantum Minerals | ||||||||
7.250%, 05/15/22 (B) | 9,920,000 | 9,984,976 | ||||||
7.000%, 02/15/21 (B) | 1,077,000 | 1,087,770 | ||||||
|
| |||||||
11,328,461 | ||||||||
|
| |||||||
Real Estate — 0.2% |
| |||||||
Brookfield Property | 2,000,000 | 2,075,820 | ||||||
CBL & Associates | ||||||||
5.250%, 12/01/23 | 4,581,000 | 3,344,130 | ||||||
4.600%, 10/15/24 | 2,000,000 | 1,360,000 | ||||||
|
| |||||||
6,779,950 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
36
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
Sovereign — 0.4% |
| |||||||
Andina de Fomento | $ | 5,000,000 | $ | 5,018,900 | ||||
Kreditanstalt fuer Wiederaufbau | 10,000,000 | 10,083,746 | ||||||
|
| |||||||
15,102,646 | ||||||||
|
| |||||||
Total Corporate Obligations | 723,753,827 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 16.7% |
| |||||||
U.S. Treasury Inflationary Protection Securities | ||||||||
1.125%, 01/15/21 | 5,853,450 | 5,874,314 | ||||||
1.000%, 02/15/46 to 02/15/48 | 16,869,960 | 17,956,162 | ||||||
0.875%, 01/15/29 | 30,426,600 | 32,072,599 | ||||||
U.S. Treasury Notes | ||||||||
2.875%, 05/15/28 | 200,000,000 | 214,109,376 | ||||||
2.375%, 08/15/24 to 05/15/29 | 170,000,000 | 174,970,703 | ||||||
2.250%, 11/15/24 | 75,000,000 | 76,417,969 | ||||||
1.625%, 05/15/26 | 25,000,000 | 24,511,719 | ||||||
1.500%, 08/15/26 | 25,000,000 | 24,279,297 | ||||||
1.375%, 02/15/20 | 50,000,000 | 49,779,297 | ||||||
U.S. Treasury STRIPS | 2,000,000 | 986,274 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 620,957,710 | |||||||
|
| |||||||
COLLATERALIZED LOAN OBLIGATIONS — 14.4% |
| |||||||
Apidos Funding RR Subsidiary, | 3,000,000 | 3,006,120 | ||||||
Apidos XXVIII, | 15,000,000 | 14,634,570 | ||||||
Avery Point IV, | 7,500,000 | 7,495,050 | ||||||
BCC Middle Market, | 12,000,000 | 11,888,244 | ||||||
Benefit Street Partners IV, | 10,000,000 | 9,994,920 | ||||||
Benefit Street Partners III, | 15,000,000 | 15,017,295 | ||||||
Benefit Street Partners III, | 2,000,000 | 1,994,952 |
Description | Face Amount | Value | ||||||
Benefit Street Partners III, | $ | 5,000,000 | $ | 4,839,710 | ||||
Benefit Street Partners IV, | 1,000,000 | 996,329 | ||||||
Benefit Street Partners VIII, | 5,450,000 | 5,422,548 | ||||||
Benefit Street Partners X, | 4,000,000 | 4,000,000 | ||||||
Carlyle Global Market Strategies, | 4,500,000 | 4,302,977 | ||||||
Carlyle Global Market Strategies, | 25,000,000 | 24,439,950 | ||||||
Carlyle Global Market Strategies, | 7,000,000 | 6,992,881 | ||||||
Carlyle Global Market Strategies, | 15,000,000 | 14,874,270 | ||||||
Carlyle Global Market Strategies, | 5,750,000 | 5,660,513 | ||||||
Carlyle Global Market Strategies, | 15,845,000 | 15,782,444 | ||||||
Carlyle Global Market Strategies, | 10,000,000 | 10,000,000 | ||||||
CIFC Funding, | 10,000,000 | 9,885,250 | ||||||
CIFC Funding, | 2,000,000 | 1,909,728 | ||||||
Dryden 68, | 11,750,000 | 11,750,000 |
The accompanying notes are an integral part of the financial statements.
37
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
Emerson Park, | $ | 4,500,000 | $ | 4,488,602 | ||||
Fortress Credit Opportunities IX, | 21,000,000 | 20,898,738 | ||||||
Galaxy XXI, | 5,000,000 | 4,942,600 | ||||||
GoldenTree Credit Opportunities Financing, | 15,000,000 | 14,992,095 | ||||||
GoldentTree Loan Management US, | 17,000,000 | 17,029,002 | ||||||
Golub Capital Partners 34M, | 7,000,000 | 6,993,000 | ||||||
Golub Capital Partners, | 9,000,000 | 8,997,534 | ||||||
Golub Capital Partners, | 20,000,000 | 19,969,560 | ||||||
Golub Capital Partners, | 11,000,000 | 10,885,369 | ||||||
Golub Capital Partners, | 2,000,000 | 1,877,152 | ||||||
Golub Capital Partners, | 9,000,000 | 8,917,830 | ||||||
Golub Capital Partners, | 20,000,000 | 19,853,560 | ||||||
Golub Capital Partners, | 4,000,000 | 3,892,316 |
Description | Face Amount | Value | ||||||
Golub Capital Partners, | $ | 9,500,000 | $ | 9,495,221 | ||||
Golub Capital Partners, | 3,000,000 | 2,868,339 | ||||||
Golub Capital Partners, | 4,000,000 | 3,889,584 | ||||||
Golub Capital Partners, | 11,000,000 | 10,857,000 | ||||||
LCM Loan Income Fund I Income Note Issuer, | 13,000,000 | 12,887,368 | ||||||
LCM XXII, | 6,200,000 | 6,210,081 | ||||||
MCF IV, | 10,000,000 | 9,995,420 | ||||||
MCF IV, | 3,000,000 | 2,942,994 | ||||||
NewStar Berkeley Fund, | 5,000,000 | 4,997,460 | ||||||
NXT Capital, | 9,000,000 | 9,003,321 | ||||||
Oak Hill Credit PartnersX-R, | 8,000,000 | 7,958,544 | ||||||
Oak Hill Credit PartnersX-R, | 5,100,000 | 5,013,310 | ||||||
Oaktree EIF II, | 7,250,000 | 7,262,912 | ||||||
Oaktree Ltd, | 13,500,000 | 13,500,000 |
The accompanying notes are an integral part of the financial statements.
38
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
Octagon Investment Partners XX, | $ | 9,500,000 | $ | 9,490,367 | ||||
OHA Credit Partners VII, | 6,500,000 | 6,487,559 | ||||||
OZLM Funding IV, | 5,000,000 | 4,980,845 | ||||||
OZLM XVI, | 10,000,000 | 10,019,270 | ||||||
Parallel, | 4,000,000 | 3,986,520 | ||||||
Parallel, | 8,500,000 | 8,496,804 | ||||||
Race Point IX, | 1,000,000 | 964,950 | ||||||
Sudbury Mill, | 1,500,000 | 1,437,799 | ||||||
Thayer Park, | 9,500,000 | 9,507,372 | ||||||
Venture 37, | 10,000,000 | 9,955,090 | ||||||
Venture XIX, | 19,250,000 | 19,148,726 | ||||||
Zais, | 10,000,000 | 9,997,710 | ||||||
Zais, | 5,000,000 | 4,919,785 | ||||||
|
| |||||||
Total Collateralized Loan Obligations | 534,899,460 | |||||||
|
|
Description | Face Amount | Value | ||||||
ASSET-BACKED SECURITIES — 11.8% |
| |||||||
Automotive — 8.1% |
| |||||||
Ally Auto Receivables Trust, | $ | 2,450,000 | $ | 2,450,045 | ||||
American Credit Acceptance Receivables Trust, | 3,250,000 | 3,291,945 | ||||||
American Credit Acceptance Receivables Trust, | 2,971,831 | 2,992,541 | ||||||
American Credit Acceptance Receivables Trust, | 1,000,000 | 1,025,739 | ||||||
American Credit Acceptance Receivables Trust, | 1,914,803 | 1,916,334 | ||||||
American Credit Acceptance Receivables Trust, | 2,180,000 | 2,220,633 | ||||||
American Credit Acceptance Receivables Trust, | 2,248,550 | 2,250,199 | ||||||
American Credit Acceptance Receivables Trust, | 4,200,000 | 4,259,090 | ||||||
American Credit Acceptance Receivables Trust, | 17,605,000 | 18,132,965 | ||||||
American Credit Acceptance Receivables Trust, | 4,600,000 | 4,664,918 | ||||||
AmeriCredit Automobile Receivables Trust, | 8,570,000 | 8,677,224 | ||||||
Canadian Pacer Auto Receivables Trust, | 5,000,000 | 5,082,991 | ||||||
CarFinance Capital Auto Trust, | 3,370,000 | 3,376,381 | ||||||
CarMax Auto Owner Trust, | 3,500,000 | 3,504,581 |
The accompanying notes are an integral part of the financial statements.
39
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
CarMax Auto Owner Trust, | $ | 5,250,000 | $ | 5,309,003 | ||||
Carnow Auto Receivables Trust, | 2,000,000 | 2,028,285 | ||||||
Carvana Auto Receivables Trust, | 5,000,000 | 5,145,968 | ||||||
Carvana Auto Receivables Trust, | 7,000,000 | 7,007,344 | ||||||
CPS Auto Receivables Trust, | 1,000,000 | 1,002,595 | ||||||
CPS Auto Receivables Trust, | 4,000,000 | 4,017,986 | ||||||
CPS Auto Receivables Trust, | 1,750,000 | 1,797,463 | ||||||
CPS Auto Receivables Trust, | 6,000,000 | 6,334,650 | ||||||
CPS Auto Receivables Trust, | 10,540,000 | 10,830,439 | ||||||
CPS Auto Receivables Trust, | 2,648,063 | 2,663,238 | ||||||
CPS Auto Receivables Trust, | 6,500,000 | 6,933,280 | ||||||
CPS Auto Receivables Trust, | 8,000,000 | 8,368,564 | ||||||
CPS Auto Receivables Trust, | 3,500,000 | 3,537,443 | ||||||
CPS Auto Receivables Trust, | 6,055,000 | 6,133,660 | ||||||
Drive Auto Receivables Trust, | 1,877,878 | 1,903,595 | ||||||
Drive Auto Receivables Trust, | 7,835,000 | 7,949,015 | ||||||
DT Auto Owner Trust, | 3,520,000 | 3,645,191 | ||||||
DT Auto Owner Trust, | 2,750,000 | 2,859,120 |
Description | Face Amount | Value | ||||||
Exeter Automobile Receivables Trust, | $ | 12,000,000 | $ | 12,036,994 | ||||
Exeter Automobile Receivables Trust, | 5,000,000 | 5,129,287 | ||||||
Exeter Automobile Receivables Trust, | 2,073,427 | 2,088,605 | ||||||
Exeter Automobile Receivables Trust, | 2,696,358 | 2,698,478 | ||||||
Exeter Automobile Receivables Trust, | 5,500,000 | 5,577,688 | ||||||
Exeter Automobile Receivables Trust, | 7,000,000 | 6,993,009 | ||||||
First Investors Auto Owner Trust,Ser 2019-1A, Cl D | 1,700,000 | 1,725,402 | ||||||
Flagship Credit Auto Trust, | 5,190,000 | 5,235,072 | ||||||
Flagship Credit Auto Trust, | 3,000,000 | 3,022,525 | ||||||
Flagship Credit Auto Trust, | 5,000,000 | 5,200,498 | ||||||
Flagship Credit Auto Trust, | 15,380,000 | 16,260,302 | ||||||
Flagship Credit Auto Trust, | 5,000,000 | 5,062,499 | ||||||
Flagship Credit Auto Trust, | 11,286,000 | 11,611,208 | ||||||
Ford Credit Auto Owner Trust, | 7,000,000 | 7,063,739 | ||||||
Ford Credit Auto Owner Trust, | 15,000,000 | 15,278,772 | ||||||
Foursight Capital Automobile Receivables Trust, | 2,200,000 | 2,214,720 |
The accompanying notes are an integral part of the financial statements.
40
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
Foursight Capital Automobile Receivables Trust, | $ | 4,650,000 | $ | 4,800,159 | ||||
GLS Auto Receivables Trust, | 7,075,000 | 7,525,605 | ||||||
GM Financial Consumer Automobile Receivables Trust, | 2,250,000 | 2,249,770 | ||||||
MelTel Land Funding, | 1,300,000 | 1,328,926 | ||||||
OSCAR US Funding Trust V, | 14,591,000 | 14,662,148 | ||||||
Prestige Auto Receivables Trust, | 4,000,000 | 4,001,994 | ||||||
United Auto Credit Securitization Trust, | 5,000,000 | 5,096,497 | ||||||
Westlake Automobile Receivables Trust, | 3,043,000 | 3,055,610 | ||||||
|
| |||||||
301,231,932 | ||||||||
|
| |||||||
Credit Cards — 0.6% |
| |||||||
Fortiva Retail Credit Master Note Business Trust, | 13,000,000 | 13,265,519 | ||||||
Synchrony Card Funding, | 2,000,000 | 1,999,855 | ||||||
World Financial Network Credit Card Master Trust, | 6,000,000 | 5,964,045 | ||||||
|
| |||||||
21,229,419 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 2.3% |
| |||||||
321 Henderson Receivables I, | 2,516,886 | 2,756,719 | ||||||
321 Henderson Receivables I, | 760,959 | 921,930 | ||||||
321 Henderson Receivables I, | 1,979,467 | 2,151,289 | ||||||
Business Jet Securities, | 5,786,901 | 5,834,591 |
Description | Face Amount | Value | ||||||
Business Jet Securities, | $ | 2,279,627 | $ | 2,310,866 | ||||
CFG Investments, | 7,800,000 | 7,777,409 | ||||||
Credibly Asset Securitization, | 6,000,000 | 6,168,399 | ||||||
Credibly Asset Securitization, | 5,201,000 | 5,313,230 | ||||||
Harley Marine Financing, | 10,937,989 | 9,093,100 | ||||||
Harley Marine Financing, | 6,000,000 | 1,957,800 | ||||||
Harvest SBA Loan Trust, | 6,808,751 | 6,825,861 | ||||||
Kabbage Funding, | 9,600,000 | 9,682,881 | ||||||
Orange Lake Timeshare Trust, | 4,751,255 | 4,800,271 | ||||||
Sapphire Aviation Finance I, | 2,633,335 | 2,755,559 | ||||||
SFS Asset Securitization, | 5,500,000 | 5,539,077 | ||||||
Stack Infrastructure Issuer Series, | 3,585,000 | 3,724,063 | ||||||
TAL Advantage V, | 3,920,000 | 3,824,947 | ||||||
Trip Rail Master Funding, | 2,995,483 | 3,151,590 | ||||||
Triton Container Finance V, | 2,600,000 | 2,635,734 | ||||||
|
| |||||||
87,225,316 | ||||||||
|
| |||||||
Student Loan — 0.8% |
| |||||||
Brazos Student Finance, | 5,000,000 | 4,649,385 | ||||||
College Ave Student Loans, | 3,639,151 | 3,637,437 |
The accompanying notes are an integral part of the financial statements.
41
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
Commonbond Student Loan Trust, | $ | 5,942,662 | $ | 5,932,481 | ||||
Nelnet Student Loan Trust, | 10,000,000 | 9,861,540 | ||||||
SLM Student Loan Trust, | 5,000,000 | 4,949,930 | ||||||
|
| |||||||
29,030,773 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 438,717,440 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.0% |
| |||||||
FFCB | ||||||||
3.460%, 10/24/23 | 10,000,000 | 10,025,520 | ||||||
3.270%, 06/26/34 | 20,000,000 | 20,001,451 | ||||||
3.000%, 07/29/32 | 5,500,000 | 5,500,079 | ||||||
2.920%, 04/29/26 | 5,635,000 | 5,708,295 | ||||||
2.770%, 07/24/28 | 10,000,000 | 10,001,714 | ||||||
FHLB | ||||||||
3.500%, 10/30/30 | 11,840,000 | 11,851,524 | ||||||
2.625%, 04/15/24 | 5,000,000 | 5,009,007 | ||||||
2.200%, 06/28/24 | 15,000,000 | 14,960,983 | ||||||
2.050%, 12/06/21 | 1,350,000 | 1,347,538 | ||||||
FHLMC | ||||||||
2.220%, 05/16/22 | 6,000,000 | 6,000,090 | ||||||
1.125%, 08/12/21 | 1,000,000 | 983,927 | ||||||
FNMA, | 16,332,821 | 2,985,844 | ||||||
FNMA | ||||||||
2.875%, 10/30/20 | 5,000,000 | 5,051,869 | ||||||
2.250%, 10/30/24 | 10,000,000 | 10,146,618 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations | 109,574,459 | |||||||
|
| |||||||
MUNICIPAL BONDS — 1.5% |
| |||||||
Allentown, Neighborhood Improvement Zone Development Authority, | 2,425,000 | 2,428,589 | ||||||
California State, Build America Bonds, GO | 3,000,000 | 3,097,680 | ||||||
Dallas County, Schools Taxable Public Property Finance, GO (D) | ||||||||
3.450%, 06/01/22 | 1,214,550 | 1,198,457 | ||||||
3.200%, 06/01/21 | 1,218,588 | 1,202,442 |
Description | Face Amount | Value | ||||||
Dallas County, Schools Tax, GO (D) | ||||||||
4.000%, 06/01/49 | $ | 1,168,142 | $ | 1,152,665 | ||||
3.000%, 06/01/49 | 723,226 | 713,643 | ||||||
GDB Debt Recovery Authority of Puerto Rico, RB | 8,335,059 | 6,220,038 | ||||||
Hidalgo County, Build America Bonds, GO, AGC | 500,000 | 500,705 | ||||||
Illinois State, Build America Bonds, GO | 3,000,000 | 3,586,620 | ||||||
Mission, Economic Development, RB | ||||||||
10.875%, 12/01/28 (D) (F) | 3,315,000 | 33,150 | ||||||
9.750%, 12/01/25 (D) (F) | 3,045,000 | 30,450 | ||||||
8.550%, 12/01/21 (D) (F) | 2,125,000 | 1,626,602 | ||||||
North Texas, Tollway Authority, Build America Bonds, RB,Pre-Refunded @ 100 | 16,540,000 | 17,087,970 | ||||||
Rhode Island State, Health & Educational System, Providence Public Schools, | 5,000,000 | 5,141,450 | ||||||
San Juan, Higher Education Finance Authority, RB | 4,400,000 | 4,588,452 | ||||||
Texas State, Public Finance Authority Charter School, Charter Education New Frontiers, | 1,185,000 | 1,214,649 | ||||||
Texas State, Public Finance Authority Charter School, | 1,900,000 | 2,344,315 | ||||||
University of Texas, Build America Bonds, | 3,000,000 | 3,781,500 | ||||||
|
| |||||||
Total Municipal Bonds | 55,949,377 | |||||||
|
| |||||||
SOVEREIGN DEBT — 0.7% |
| |||||||
Argentine Republic Government International Bond | 9,202,000 | 6,956,712 |
The accompanying notes are an integral part of the financial statements.
42
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount/ Shares | Value | ||||||
Brazilian Government International Bond | $ | 2,000,000 | $ | 2,118,020 | ||||
Kenya Government International Bond | ||||||||
7.250%, 02/28/28 (B) | 3,000,000 | 3,120,456 | ||||||
7.250%, 02/28/28 | 1,000,000 | 1,040,152 | ||||||
Mexico Government International Bond | ||||||||
4.500%, 04/22/29 | 500,000 | 532,500 | ||||||
3.625%, 03/15/22 | 1,000,000 | 1,028,010 | ||||||
Oman Government International Bond | 2,000,000 | 1,846,556 | ||||||
Turkey Government International Bond | ||||||||
6.125%, 10/24/28 | 1,000,000 | 965,000 | ||||||
4.250%, 04/14/26 | 1,000,000 | 890,960 | ||||||
Ukraine Government International Bond | ||||||||
7.750%, 09/01/20 | 2,000,000 | 2,062,360 | ||||||
7.750%, 09/01/19 | 6,000,000 | 6,010,080 | ||||||
|
| |||||||
Total Sovereign Debt | 26,570,806 | |||||||
|
| |||||||
COMMON STOCK — 0.0% |
| |||||||
Energy — 0.0% |
| |||||||
Seadrill Ltd.* | 206,695 | 825,679 | ||||||
Seadrill Ltd. | 39,323 | 161,224 | ||||||
|
| |||||||
Total Common Stock (Cost $536,742) | 986,903 | |||||||
|
| |||||||
COMMERCIAL PAPER — 0.5% |
| |||||||
Ford Motor Credit | $ | 20,000,000 | 19,914,500 | |||||
|
| |||||||
Total Commercial Paper (Cost $19,919,028) | 19,914,500 | |||||||
|
| |||||||
CASH EQUIVALENT — 0.1% |
| |||||||
Federated Government Obligations Fund, Cl I, 2.230%** | 3,311,587 | 3,311,587 | ||||||
|
| |||||||
REPURCHASE AGREEMENTS (G) — 7.3% |
| |||||||
KGS-Alpha Capital Markets*** | $ | 130,000,000 | 130,000,000 |
Description | Face Amount | Value | ||||||
KGS-Alpha Capital Markets*** | $ | 120,000,000 | $ | 120,000,000 | ||||
KGS-Alpha Capital Markets*** | 10,000,000 | 10,000,000 | ||||||
KGS-Alpha Capital Markets*** | 10,000,000 | 10,000,000 | ||||||
|
| |||||||
Total Repurchase Agreements | 270,000,000 | |||||||
|
| |||||||
Total Investments — 100.8% |
| $ | 3,742,956,935 | |||||
|
|
Percentages are based on Net Assets of $3,712,681,378.
* | Non-income producing security. |
** | Rate shown is the7-day effective yield as of July 31, 2019. |
*** | Repurchase date stated is the termination date of the repurchase agreement. This repurchase agreement is terminable daily upon demand, which is reflective of the repurchase price stated. |
(A) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of such securities at July 31, 2019 was $1,428,965,761 and represents 38.5% of Net Assets. |
(C) | Distributions arepaid-in-kind. |
(D) | Security in default on interest payments. |
(E) | Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at the time of purchase. |
(F) | Level 3 security in accordance with fair value hierarchy. |
The accompanying notes are an integral part of the financial statements.
43
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST TOTAL RETURN BOND FUND |
(G) | Tri-Party Repurchase Agreement. |
AGC | — Assured Guaranty Corporation |
Cl — Class
CPI YOY — Consumer Price Index Year Over Year
FFCB — Federal Farm Credit Bank
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FMAC — Freddie Mac
FNMA — Federal National Mortgage Association
FREMF — Freddie Mac Multi-Family
GNMA — Government National Mortgage Association
GO — General Obligation
ICE — Intercontinental Exchange
IO — Interest Only — face amount represents notional amount
LIBOR — London Interbank Offered Rate
Ltd. — Limited
MTN — Medium Term Note
PIK —Payment-in-Kind
RB — Revenue Bond
REMIC — Real Estate Mortgage Investment Conduit
SBA — Small Business Administration
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
USD — U.S. Dollar
VAR — Variable
The following is a list of the level of inputs used as of July 31, 2019 in valuing the Fund’s investments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 938,320,866 | $ | — | $ | 938,320,866 | ||||||||
Corporate Obligations | — | 723,753,827 | — | 723,753,827 | ||||||||||||
U.S. Treasury Obligations | 620,957,710 | — | — | 620,957,710 | ||||||||||||
Collateralized Loan Obligations | — | 534,899,460 | — | 534,899,460 | ||||||||||||
Asset-Backed Securities | — | 436,759,640 | 1,957,800 | 438,717,440 | ||||||||||||
U.S. Government Agency Obligations | — | 109,574,459 | — | 109,574,459 | ||||||||||||
Municipal Bonds | — | 54,259,175 | 1,690,202 | 55,949,377 | ||||||||||||
Sovereign Debt | — | 26,570,806 | — | 26,570,806 | ||||||||||||
Common Stock | 986,903 | — | — | 986,903 | ||||||||||||
Commercial Paper | — | 19,914,500 | — | 19,914,500 | ||||||||||||
Cash Equivalent | 3,311,587 | — | — | 3,311,587 | ||||||||||||
Repurchase Agreements | — | 270,000,000 | — | 270,000,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 625,256,200 | $ | 3,114,052,733 | $ | 3,648,002 | $ | 3,742,956,935 | ||||||||
|
|
|
|
|
|
|
|
(1) | A reconciliation of Level 3 investments, including certain disclosures related to significant inputs used in valuing Level 3 investments is only presented when the Fund has over 1% of Level 3 investments at the beginning and/or end of the period in relation to net assets. |
For the year ended July 31, 2019, there have been no transfers between Level 1 and Level 2, or Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
44
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST CREDIT FUND |
SECTOR WEIGHTINGS (Unaudited)† |
† | Percentages are based on total investments. |
SCHEDULE OF INVESTMENTS |
Description | Face Amount | Value | ||||||
CORPORATE OBLIGATIONS — 28.5% |
| |||||||
Communication Services — 2.6% |
| |||||||
AT&T | $ | 2,639,000 | $ | 2,834,620 | ||||
Frontier Communications | 1,000,000 | 755,000 | ||||||
Gogo Intermediate Holdings | 375,000 | 387,199 | ||||||
Sprint | 1,500,000 | 1,672,500 | ||||||
|
| |||||||
5,649,319 | ||||||||
|
| |||||||
Consumer Discretionary — 8.8% |
| |||||||
Beazer Homes USA | 1,500,000 | 1,553,730 | ||||||
Dillard’s | 500,000 | 545,675 | ||||||
Expedia | 2,000,000 | 2,054,078 | ||||||
Fresenius Medical Care US Finance II | 400,000 | 426,741 | ||||||
Guanay Finance | 166,364 | 168,860 | ||||||
INVISTA Finance | 3,260,000 | 3,264,890 | ||||||
Jaguar Land Rover Automotive | 2,000,000 | 1,591,360 | ||||||
L Brands | 1,867,000 | 1,540,275 |
Description | Face Amount | Value | ||||||
Neiman Marcus Group | $ | 373,000 | $ | 158,525 | ||||
Panther BF Aggregator 2 | 3,000,000 | 3,048,750 | ||||||
Staples | 1,500,000 | 1,552,500 | ||||||
Twin River Worldwide Holdings | 1,000,000 | 1,042,500 | ||||||
Under Armour | 2,000,000 | 1,933,797 | ||||||
|
| |||||||
18,881,681 | ||||||||
|
| |||||||
Energy — 2.9% |
| |||||||
Cimarex Energy | 1,000,000 | 1,053,878 | ||||||
Murphy Oil | 2,000,000 | 2,095,440 | ||||||
5.750%, 08/15/25 | 1,000,000 | 1,025,000 | ||||||
ONEOK | 1,704,000 | 1,989,242 | ||||||
|
| |||||||
6,163,560 | ||||||||
|
| |||||||
Financials — 5.5% |
| |||||||
Barclays | 1,500,000 | 1,539,271 | ||||||
Credit Acceptance | 1,100,000 | 1,102,750 | ||||||
Credit Suisse Group | 500,000 | 528,944 | ||||||
Credit Suisse Group Funding Guernsey | 1,000,000 | 1,041,173 | ||||||
Deutsche Bank MTN | 500,000 | 463,947 | ||||||
Deutsche Bank NY | 1,000,000 | 1,008,589 | ||||||
HSBC Holdings | 1,500,000 | 1,976,744 | ||||||
Lloyds Banking Group | 500,000 | 519,660 | ||||||
UBS | 1,500,000 | 1,591,875 | ||||||
VistaJet Malta Finance | 2,000,000 | 1,980,000 | ||||||
|
| |||||||
11,752,953 | ||||||||
|
| |||||||
Health Care — 0.7% |
| |||||||
Express Scripts Holding | 1,500,000 | 1,528,701 | ||||||
|
| |||||||
Industrials — 2.2% |
| |||||||
Clean Harbors | 100,000 | 102,875 |
The accompanying notes are an integral part of the financial statements.
45
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST CREDIT FUND |
Description | Face Amount | Value | ||||||
General Electric MTN | $ | 1,500,000 | $ | 1,513,464 | ||||
Great Lakes Dredge & Dock | 2,010,000 | 2,145,072 | ||||||
Masco | 770,000 | 976,735 | ||||||
|
| |||||||
4,738,146 | ||||||||
|
| |||||||
Information Technology — 2.8% |
| |||||||
Avnet | 1,000,000 | 1,060,239 | ||||||
DynCorp International | 1,432,816 | 1,436,398 | ||||||
Keysight Technologies | 1,000,000 | 1,072,508 | ||||||
Motorola Solutions | 1,175,000 | 1,247,599 | ||||||
VeriSign | 1,000,000 | 1,051,930 | ||||||
|
| |||||||
5,868,674 | ||||||||
|
| |||||||
Materials — 3.0% |
| |||||||
Georgia-Pacific | 2,221,000 | 3,145,972 | ||||||
NOVA Chemicals | 1,000,000 | 1,030,200 | ||||||
Vale Overseas | 1,000,000 | 1,126,000 | ||||||
WRKCo | 1,000,000 | 998,823 | ||||||
|
| |||||||
6,300,995 | ||||||||
|
| |||||||
Total Corporate Obligations | 60,884,029 | |||||||
|
| |||||||
COLLATERALIZED LOAN OBLIGATIONS — 27.4% |
| |||||||
BCC Funding XIII, | 1,500,000 | 1,522,255 | ||||||
BCC Middle Market, | 1,000,000 | 974,640 | ||||||
Benefit Street Partners III, | 2,500,000 | 2,419,855 | ||||||
Benefit Street Partners IV, | 2,000,000 | 1,992,658 | ||||||
Carlyle Global Market Strategies, | 2,000,000 | 1,921,404 |
Description | Face Amount | Value | ||||||
Carlyle Global Market Strategies, | $ | 1,250,000 | $ | 1,195,271 | ||||
Chenango Park, | 1,000,000 | 963,101 | ||||||
CIFC Funding, | 500,000 | 477,432 | ||||||
Fortress Credit Opportunities IX, | 1,400,000 | 1,341,581 | ||||||
Galaxy XXIX, | 500,000 | 498,740 | ||||||
Golub Capital Partners, | 1,500,000 | 1,485,851 | ||||||
Golub Capital Partners, | 2,000,000 | 1,980,456 | ||||||
Golub Capital Partners, | 3,000,000 | 2,815,728 | ||||||
Golub Capital Partners, | 1,500,000 | 1,411,312 | ||||||
Golub Capital Partners, | 1,000,000 | 973,079 | ||||||
Golub Capital Partners, | 2,000,000 | 1,875,478 | ||||||
Golub Capital Partners, | 2,000,000 | 1,912,226 | ||||||
Golub Capital Partners, | 1,000,000 | 972,396 | ||||||
Golub Capital Partners, | 2,000,000 | 1,927,868 |
The accompanying notes are an integral part of the financial statements.
46
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST CREDIT FUND |
Description | Face Amount | Value | ||||||
Golub Capital Partners, | $ | 1,500,000 | $ | 1,370,930 | ||||
Jay Park, | 1,000,000 | 982,242 | ||||||
JFIN, | 1,000,000 | 969,088 | ||||||
LCM XXII, | 1,500,000 | 1,476,600 | ||||||
Madison Park Funding XII, | 3,000,000 | 2,992,434 | ||||||
MCF IV, | 1,000,000 | 980,998 | ||||||
MCF VIII, | 3,000,000 | 2,897,271 | ||||||
Northwoods Capital XV, | 1,000,000 | 995,322 | ||||||
OZLM Funding IV, | 2,000,000 | 1,935,268 | ||||||
OZLM XVI, | 1,000,000 | 997,978 | ||||||
Parallel, | 1,000,000 | 991,584 | ||||||
Race Point IX, | 3,000,000 | 2,894,850 | ||||||
Race Point IX, | 2,000,000 | 1,902,574 | ||||||
Sudbury Mill, | 4,700,000 | 4,505,105 |
Description | Face Amount | Value | ||||||
TCI-Symphony, | $ | 2,000,000 | $ | 1,988,716 | ||||
Thayer Park, | 1,000,000 | 963,821 | ||||||
Zais, | 1,000,000 | 997,974 | ||||||
|
| |||||||
Total Collateralized Loan Obligations | 58,504,086 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 26.5% |
| |||||||
Automotive — 15.4% |
| |||||||
American Credit Acceptance Receivables Trust, | 1,500,000 | 1,519,359 | ||||||
American Credit Acceptance Receivables Trust, | 2,000,000 | 2,051,479 | ||||||
American Credit Acceptance Receivables Trust, | 535,609 | 536,037 | ||||||
American Credit Acceptance Receivables Trust, | 2,500,000 | 2,546,598 | ||||||
CarFinance Capital Auto Trust,Ser 2015-1A, Cl E | 2,250,000 | 2,256,646 | ||||||
Carnow Auto Receivables Trust, | 2,000,000 | 2,028,285 | ||||||
Carvana Auto Receivables Trust, | 500,000 | 514,597 | ||||||
CPS Auto Receivables Trust,Ser 2014-C, Cl E | 1,500,000 | 1,502,377 | ||||||
CPS Auto Receivables Trust,Ser 2015-A, Cl E | 1,100,000 | 1,113,172 | ||||||
CPS Auto Receivables Trust,Ser 2015-C, Cl F | 1,500,000 | 1,512,761 | ||||||
CPS Auto Receivables Trust,Ser 2016-B, Cl E | 1,500,000 | 1,599,988 |
The accompanying notes are an integral part of the financial statements.
47
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST CREDIT FUND |
Description | Face Amount | Value | ||||||
CPS Auto Receivables Trust,Ser 2016-D, Cl E | $ | 1,155,000 | $ | 1,208,211 | ||||
CPS Auto Receivables Trust,Ser 2019-B, Cl F | 500,000 | 506,496 | ||||||
Drive Auto Receivables Trust,Ser 2018-1, Cl D | 2,000,000 | 2,029,104 | ||||||
DT Auto Owner Trust, | 1,138,077 | 1,147,767 | ||||||
DT Auto Owner Trust, | 1,500,000 | 1,559,520 | ||||||
Exeter Automobile Receivables Trust, | 1,930,000 | �� | 1,935,950 | |||||
Exeter Automobile Receivables Trust, | 1,500,000 | 1,518,844 | ||||||
Exeter Automobile Receivables Trust, | 1,500,000 | 1,538,786 | ||||||
First Investors Auto Owner Trust, | 1,250,000 | 1,282,907 | ||||||
Flagship Credit Auto Trust, | 900,000 | 962,603 | ||||||
Ford Credit Auto Owner Trust, | 2,000,000 | 2,018,211 | ||||||
|
| |||||||
32,889,698 | ||||||||
|
| |||||||
Credit Card — 4.9% |
| |||||||
American Express Credit Account Master Trust, | 8,500,000 | 8,494,986 | ||||||
Fortiva Retail Credit Master Note Business Trust, | 2,000,000 | 2,040,849 | ||||||
|
| |||||||
10,535,835 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 6.2% |
| |||||||
Business Jet Securities, | 598,645 | 603,578 |
Description | Face Amount | Value | ||||||
Business Jet Securities, | $ | 526,068 | $ | 533,277 | ||||
CFG Investments, | 1,200,000 | 1,196,524 | ||||||
CLI Funding, | 869,964 | 894,275 | ||||||
Credibly Asset Securitization, | 1,500,000 | 1,542,100 | ||||||
Harley Marine Financing, | 1,918,945 | 1,595,281 | ||||||
Kabbage Funding, | 1,000,000 | 1,008,633 | ||||||
Kabbage Funding, | 789,000 | 796,454 | ||||||
MelTel Land Funding, | 500,000 | 513,157 | ||||||
Mosaic Solar Loans, | 446,533 | 455,936 | ||||||
Sapphire Aviation Finance I, | 438,889 | 459,260 | ||||||
SFS Asset Securitization, | 1,500,000 | 1,510,657 | ||||||
Stack Infrastructure Issuer Series, | 995,833 | 1,034,462 | ||||||
Vantage Data Centers Issuer, | 985,833 | 1,007,473 | ||||||
|
| |||||||
13,151,067 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 56,576,600 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 5.6% |
| |||||||
Commercial Mortgage-Backed Obligation — 5.6% |
| |||||||
A10 Securitization, | 1,500,000 | 1,491,283 | ||||||
Commercial Mortgage Trust, | 1,000,000 | 1,020,822 | ||||||
Commercial Mortgage Trust, | 1,517,000 | 1,365,300 |
The accompanying notes are an integral part of the financial statements.
48
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST CREDIT FUND |
Description | Face Amount/ Shares | Value | ||||||
Credit Suisse Commercial Mortgage Trust, | $ | 574,219 | $ | 35,602 | ||||
FREMF Mortgage Trust, | 1,000,000 | 1,020,247 | ||||||
FREMF Mortgage Trust, | 1,500,000 | 1,547,609 | ||||||
FREMF Mortgage Trust, | 2,000,000 | 2,065,428 | ||||||
FREMF Mortgage Trust, | 1,250,000 | 1,281,664 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | 108,922 | 108,549 | ||||||
UBS Commercial Mortgage Trust, | 1,000,000 | 1,052,361 | ||||||
WFRBS Commercial Mortgage Trust, | 1,000,000 | 920,809 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 11,909,674 | |||||||
|
| |||||||
COMMON STOCK — 0.1% |
| |||||||
Industrials — 0.1% |
| |||||||
Erickson* (D) | 3,761 | 157,962 | ||||||
|
| |||||||
Total Common Stock | 157,962 | |||||||
|
| |||||||
PREFERRED STOCK — 0.0% |
| |||||||
Communication Services — 0.0% |
| |||||||
MYT Holding | 76,092 | 71,907 | ||||||
|
| |||||||
Total Preferred Stock | 71,907 | |||||||
|
| |||||||
CASH EQUIVALENT — 0.1% |
| |||||||
Federated Government Obligations Fund, Cl I, 2.230%** | 138,039 | 138,039 | ||||||
|
| |||||||
REPURCHASE AGREEMENT (E) — 11.7% |
| |||||||
KGS-Alpha Capital Markets*** | $ | 25,000,000 | 25,000,000 | |||||
|
|
Description | Value | |||||
Total Repurchase Agreement | $ | 25,000,000 | ||||
|
| |||||
Total Investments — 99.9% | $ | 213,242,297 | ||||
|
|
Percentages are based on Net Assets of $213,555,764.
* | Non-income producing security. |
** | Rate shown is the7-day effective yield as of July 31, 2019. |
*** | Repurchase date stated is the termination date of the repurchase agreement. This repurchase agreement is terminable daily upon demand, which is reflective of the repurchase price stated. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of such securities at July 31, 2019 was $127,236,732 and represents 59.6% of Net Assets. |
(B) | Distributions arepaid-in-kind. |
(C) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
(D) | Level 3 security in accordance with fair value hierarchy. |
(E) | Tri-Party Repurchase Agreement. |
Cl — Class
FMAC — Freddie Mac
FNMA — Federal National Mortgage Association
FREMF — Freddie Mac Multi-Family
GNMA — Government National Mortgage Association
ICE — Intercontinental Exchange
LIBOR — London Interbank Offered Rate
MTN — Medium Term Note
PIK —Payment-in-Kind
Ser — Series
USD — U.S. Dollar
VAR — Variable Rate Security
The following is a list of the level of inputs used as of July 31, 2019 in valuing the Fund’s investments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 60,884,029 | $ | — | $ | 60,884,029 | ||||||||
Collateralized Loan Obligations | — | 58,504,086 | — | 58,504,086 | ||||||||||||
Asset-Backed Securities | — | 56,576,600 | — | 56,576,600 | ||||||||||||
Mortgage-Backed Securities | — | 11,909,674 | — | 11,909,674 | ||||||||||||
Common Stock | — | — | 157,962 | 157,962 | ||||||||||||
Preferred Stock | — | 71,907 | — | 71,907 | ||||||||||||
Cash Equivalent | 138,039 | — | — | 138,039 | ||||||||||||
Repurchase Agreement | — | 25,000,000 | — | 25,000,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 138,039 | $ | 212,946,296 | $ | 157,962 | $ | 213,242,297 | ||||||||
|
|
|
|
|
|
|
|
(1) | A reconciliation of Level 3 investments, including certain disclosures related to significant inputs used in valuing Level 3 investments is only presented when the Fund has over 1% of Level 3 investments at the beginning and/or end of the period in relation to net assets. |
For the year ended July 31, 2019, there have been no transfers between Level 1 and Level 2, or Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
49
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST LOW DURATION BOND FUND |
SECTOR WEIGHTINGS (Unaudited)† |
† | Percentages are based on total investments. |
SCHEDULE OF INVESTMENTS |
Description | Face Amount | Value | ||||||
ASSET-BACKED SECURITIES — 48.7% |
| |||||||
Automotive — 23.1% |
| |||||||
Ally Auto Receivables Trust, | $ | 1,500,000 | $ | 1,500,610 | ||||
Ally Auto Receivables Trust, | 2,000,000 | 2,000,037 | ||||||
American Credit Acceptance Receivables Trust, | 2,002,249 | 2,002,920 | ||||||
American Credit Acceptance Receivables Trust, | 506,877 | 506,851 | ||||||
American Credit Acceptance Receivables Trust, | 1,090,760 | 1,091,560 | ||||||
California Republic Auto Receivables Trust, | 1,000,000 | 1,006,234 | ||||||
Canadian Pacer Auto Receivables Trust, | 2,550,000 | 2,597,342 | ||||||
CarMax Auto Owner Trust, | 1,000,000 | 1,000,110 | ||||||
CPS Auto Receivables Trust, | 4,000,000 | 4,038,273 |
Description | Face Amount | Value | ||||||
CPS Auto Receivables Trust, | $ | 1,500,000 | $ | 1,550,927 | ||||
Credit Acceptance Auto Loan Trust,Ser 2019-1A, Cl B | 2,700,000 | 2,763,934 | ||||||
Drive Auto Receivables Trust,Ser 2015-DA, Cl D | 1,213,516 | 1,219,867 | ||||||
DT Auto Owner Trust, | 1,299,124 | 1,307,163 | ||||||
DT Auto Owner Trust, | 758,718 | 765,178 | ||||||
Exeter Automobile Receivables Trust, | 3,000,000 | 3,042,375 | ||||||
Exeter Automobile Receivables Trust, | 3,200,000 | 3,220,410 | ||||||
First Investors Auto Owner Trust,Ser 2017-1A, Cl D | 5,000,000 | 5,053,853 | ||||||
Flagship Credit Auto Trust, | 99,000 | 99,084 | ||||||
Flagship Credit Auto Trust, | 4,935,000 | 5,111,379 | ||||||
Ford Credit Auto Lease Trust,Ser 2018-B, Cl A4 | 1,500,000 | 1,522,786 | ||||||
Ford Credit Auto Owner Trust,Ser 2019-B, Cl B | 1,365,000 | 1,363,616 | ||||||
GM Financial Automobile Leasing Trust, | 2,000,000 | 2,004,901 | ||||||
GM Financial Consumer Automobile Receivables Trust, | 905,066 | 902,459 | ||||||
GM Financial Consumer Automobile Receivables Trust, | 1,240,000 | 1,247,135 | ||||||
Hertz Fleet Lease Funding, | 2,000,000 | 2,008,688 |
The accompanying notes are an integral part of the financial statements.
50
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST LOW DURATION BOND FUND |
Description | Face Amount | Value | ||||||
Hertz Vehicle Financing, | $ | 3,000,000 | $ | 3,049,689 | ||||
NextGear Floorplan Master Owner Trust, | 1,500,000 | 1,515,951 | ||||||
Nissan Auto Receivables Owner Trust, | 1,000,000 | 993,786 | ||||||
Nissan Auto Receivables Owner Trust, | 3,500,000 | 3,495,643 | ||||||
OneMain Direct Auto Receivables Trust, | 3,750,000 | 3,839,658 | ||||||
OSCAR US Funding Trust IX, | 1,250,000 | 1,265,434 | ||||||
OSCAR US Funding Trust VI, | 488,985 | 489,490 | ||||||
OSCAR US Funding Trust VII, | 1,250,000 | 1,249,557 | ||||||
Santander Drive Auto Receivables Trust, | 2,250,000 | 2,261,262 | ||||||
Toyota Auto Receivables Owner Trust, | 1,000,000 | 998,606 | ||||||
United Auto Credit Securitization Trust, | 2,150,000 | 2,155,481 | ||||||
Westlake Automobile Receivables Trust, | 795,650 | 797,948 | ||||||
Westlake Automobile Receivables Trust, | 2,000,000 | 2,008,288 | ||||||
World Omni Auto Receivables Trust, | 1,520,000 | 1,549,526 | ||||||
World Omni Auto Receivables Trust, | 3,000,000 | 3,045,638 |
Description | Face Amount | Value | ||||||
World Omni Automobile Lease Securitization Trust, | $ | 1,750,000 | $ | 1,775,672 | ||||
|
| |||||||
79,419,321 | ||||||||
|
| |||||||
Credit Cards — 16.5% |
| |||||||
Capital One Multi-Asset Execution Trust, | 2,500,000 | 2,509,590 | ||||||
Capital One Multi-Asset Execution Trust, | 5,000,000 | 5,005,130 | ||||||
Capital One Multi-Asset Execution Trust, | 9,500,000 | 9,531,340 | ||||||
Chase Issuance Trust, | 150,000 | 149,645 | ||||||
Chase Issuance Trust, | 4,000,000 | 4,003,705 | ||||||
Citibank Credit Card Issuance Trust, | 400,000 | 398,811 | ||||||
Citibank Credit Card Issuance Trust, | 7,000,000 | 7,055,849 | ||||||
Discover Card Execution Note Trust, | 5,000,000 | 4,993,749 | ||||||
Golden Credit Card Trust, | 5,000,000 | 5,010,127 | ||||||
Master Credit Card Trust II, | 5,000,000 | 4,995,033 | ||||||
Master Credit Card Trust, | 3,000,000 | 3,004,383 | ||||||
Synchrony Card Issuance Trust, | 3,100,000 | 3,174,110 |
The accompanying notes are an integral part of the financial statements.
51
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST LOW DURATION BOND FUND |
Description | Face Amount | Value | ||||||
Synchrony Credit Card Master Note Trust, | $ | 1,785,000 | $ | 1,784,109 | ||||
Trillium Credit Card Trust II, | 5,000,000 | 5,008,767 | ||||||
|
| |||||||
56,624,348 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 5.0% |
| |||||||
AccessLex Institute, | 500,000 | 491,598 | ||||||
Mosaic Solar Loans, | 501,967 | 519,887 | ||||||
SCF Equipment Leasing, | 697,251 | 703,802 | ||||||
SoFi Consumer Loan Program, | 2,000,000 | 1,999,414 | ||||||
SoFi Consumer Loan Program, | 2,400,000 | 2,449,078 | ||||||
TAL Advantage V, | 1,433,333 | 1,433,496 | ||||||
Triton Container Finance V, | 433,333 | 439,289 | ||||||
Vantage Data Centers Issuer,Ser 2018-2A, Cl A2 4.196%, 11/16/43 (A) | 3,973,333 | 4,066,750 | ||||||
Volvo Financial Equipment, | 4,500,000 | 4,546,076 | ||||||
Westgate Resorts, | 731,131 | 734,942 | ||||||
|
| |||||||
17,384,332 | ||||||||
|
| |||||||
Student Loan — 4.1% |
| |||||||
Commonbond Student Loan Trust, | 2,298,396 | 2,294,458 | ||||||
Nelnet Student Loan Trust, | 3,000,000 | 2,882,156 | ||||||
Nelnet Student Loan Trust, | 4,000,000 | 3,944,616 |
Description | Face Amount | Value | ||||||
Nelnet Student Loan Trust, | $ | 3,000,000 | $ | 2,942,692 | ||||
SLM Student Loan Trust, | 2,000,000 | 1,955,162 | ||||||
|
| |||||||
14,019,084 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 167,447,085 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 25.1% |
| |||||||
U.S. Treasury Notes | 940,000 | 940,367 | ||||||
1.625%, 08/31/19 to 07/31/20 | 13,000,000 | 12,954,883 | ||||||
1.500%, 11/30/19 to 05/31/20 | 28,000,000 | 27,920,195 | ||||||
1.375%, 02/15/20 | 20,000,000 | 19,911,719 | ||||||
1.125%, 06/30/21 to 07/31/21 | 25,000,000 | 24,628,907 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 86,356,071 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 12.2% |
| |||||||
Communication Services — 1.5% |
| |||||||
BellSouth | 5,000,000 | 5,057,900 | ||||||
|
| |||||||
Consumer Discretionary — 0.9% |
| |||||||
BMW US Capital | 3,000,000 | 3,036,513 | ||||||
|
| |||||||
Energy — 2.9% |
| |||||||
Barclays | 3,000,000 | 3,017,040 | ||||||
Danske Bank MTN | 3,000,000 | 3,003,562 | ||||||
Standard Chartered MTN | 2,300,000 | 2,293,005 | ||||||
Swedbank | 1,600,000 | 1,591,036 | ||||||
|
| |||||||
9,904,643 | ||||||||
|
| |||||||
Financials — 2.8% |
| |||||||
Bank of America MTN | 1,000,000 | 1,000,000 | ||||||
Deutsche Bank | 4,400,000 | 4,389,805 | ||||||
JPMorgan Chase MTN | 1,250,000 | 1,237,500 | ||||||
Morgan Stanley MTN | 1,000,000 | 995,000 |
The accompanying notes are an integral part of the financial statements.
52
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST LOW DURATION BOND FUND |
Description | Face Amount | Value | ||||||
Royal Bank of Canada MTN | $ | 2,000,000 | $ | 2,023,946 | ||||
|
| |||||||
9,646,251 | ||||||||
|
| |||||||
Industrials — 2.2% |
| |||||||
Aircastle | 3,807,000 | 3,938,294 | ||||||
Masco | 3,574,000 | 3,856,953 | ||||||
|
| |||||||
7,795,247 | ||||||||
|
| |||||||
Information Technology — 1.0% |
| |||||||
Jabil | 1,365,000 | 1,421,236 | ||||||
Microsoft | 2,000,000 | 1,995,981 | ||||||
|
| |||||||
3,417,217 | ||||||||
|
| |||||||
Sovereign — 0.9% |
| |||||||
Kreditanstalt fuer Wiederaufbau | 3,000,000 | 3,048,133 | ||||||
|
| |||||||
Total Corporate Obligations | 41,905,904 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.9% |
| |||||||
FFCB | 3,000,000 | 3,000,001 | ||||||
1.875%, 08/16/21 | 5,000,000 | 4,990,067 | ||||||
FHLB | 2,000,000 | 1,996,353 | ||||||
FHLMC | 10,000,000 | 9,959,925 | ||||||
2.125%, 01/26/22 | 500,000 | 500,146 | ||||||
2.020%, 09/29/22 | 5,000,000 | 4,995,870 | ||||||
Tennessee Valley Authority | 5,000,000 | 5,140,541 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations | 30,582,903 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 1.3% |
| |||||||
Agency Mortgage-Backed Obligation — 1.3% |
| |||||||
FHLMC | 526,352 | 541,267 | ||||||
FHLMC REMIC, | 2,363,678 | 2,371,177 | ||||||
FNMA REMIC, | 1,152,854 | 1,155,734 |
Description | Face Amount/ Shares | Value | ||||||
GNMA, | $ | 219,465 | $ | 220,168 | ||||
|
| |||||||
Total Mortgage-Backed Securities | 4,288,346 | |||||||
|
| |||||||
CASH EQUIVALENT — 0.3% |
| |||||||
Federated Government Obligations Fund, Cl I, 2.230%** | 920,660 | 920,660 | ||||||
|
| |||||||
REPURCHASE AGREEMENT (C) — 2.9% |
| |||||||
KGS-Alpha Capital Markets*** 2.500%, dated 07/31/19, to be repurchased on 08/01/19, repurchase price $10,000,694 (collateralized by various FMAC/FNMA/GNMA obligations, par value $12,825 - $53,294,222, 0.200% - 13.356%, 08/25/28 - 08/25/49, with total market value of $11,530,256) | $ | 10,000,000 | 10,000,000 | |||||
|
| |||||||
Total Repurchase Agreement | 10,000,000 | |||||||
|
| |||||||
Total Investments — 99.4% |
| $ | 341,500,969 | |||||
|
|
Percentages are based on Net Assets of $343,682,060.
** | Rate shown is the7-day effective yield as of July 31, 2019. |
*** | Repurchase date stated is the termination date of the repurchase agreement. This repurchase agreement is terminable daily upon demand, which is reflective of the repurchase price stated. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of such securities at July 31, 2019 was $115,610,741 and represents 33.6% of Net Assets. |
(B) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
(C) | Tri-Party Repurchase Agreement. |
Cl — Class
CPI YOY — Consumer Price Index Year Over Year
FFCB — Federal Farm Credit Bank
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FMAC — Freddie Mac
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
ICE — Intercontinental Exchange
LIBOR — London Interbank Offered Rate
MTN — Medium Term Note
REMIC — Real Estate Mortgage Investment Conduit
Ser — Series
USD — U.S. Dollar
VAR — Variable Rate Security
The accompanying notes are an integral part of the financial statements.
53
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST LOW DURATION BOND FUND |
The following is a list of the level of inputs used as of July 31, 2019 in valuing the Fund’s investments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset-Backed Securities | $ | — | $ | 167,447,085 | $ | — | $ | 167,447,085 | ||||||||
U.S. Treasury Obligations | 86,356,071 | — | — | 86,356,071 | ||||||||||||
Corporate Obligations | — | 41,905,904 | — | 41,905,904 | ||||||||||||
U.S. Government Agency Obligations | — | 30,582,903 | — | 30,582,903 | ||||||||||||
Mortgage-Backed Securities | — | 4,288,346 | — | 4,288,346 | ||||||||||||
Cash Equivalent | 920,660 | — | — | 920,660 | ||||||||||||
Repurchase Agreement | — | 10,000,000 | — | 10,000,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 87,276,731 | $ | 254,224,238 | $ | — | $ | 341,500,969 | ||||||||
|
|
|
|
|
|
|
|
For the year ended July 31, 2019, there have been no transfers between Level 1 and Level 2, or Level 2 and Level 3 assets and liabilities.
For the year ended July 31, 2019, there have been no Level 3 investments.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
54
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST MUNICIPAL BOND FUND |
SECTOR WEIGHTINGS (Unaudited)† |
† | Percentages are based on total investments. |
SCHEDULE OF INVESTMENTS |
Description | Face Amount | Value | ||||||
MUNICIPAL BONDS — 90.9% |
| |||||||
Alabama — 1.3% |
| |||||||
Alabama State, | $ | 2,000,000 | $ | 2,084,460 | ||||
|
| |||||||
Arizona — 0.7% |
| |||||||
University of Arizona, | 1,000,000 | 1,152,380 | ||||||
|
| |||||||
California — 2.0% |
| |||||||
California State, Municipal Finance Authority, | 1,610,000 | 1,654,758 | ||||||
California State, School Finance Authority, RB | 525,000 | 556,043 | ||||||
Golden State, Tobacco Securitization, | 1,000,000 | 1,053,020 | ||||||
|
| |||||||
3,263,821 | ||||||||
|
| |||||||
Colorado — 1.5% |
| |||||||
El Paso County, Falcon School District No. 49, | ||||||||
5.000%, 12/15/24 | 525,000 | 623,133 | ||||||
5.000%, 12/15/25 | 460,000 | 558,633 |
Description | Face Amount | Value | ||||||
El Paso County, Falcon School District No. 49, | ||||||||
5.000%, 12/15/23 | $ | 250,000 | $ | 288,690 | ||||
5.000%, 12/15/24 | 300,000 | 356,076 | ||||||
5.000%, 12/15/26 | 500,000 | 616,930 | ||||||
|
| |||||||
2,443,462 | ||||||||
|
| |||||||
Connecticut — 1.4% |
| |||||||
Connecticut State, | 2,000,000 | 2,347,600 | ||||||
|
| |||||||
District of Columbia — 0.8% |
| |||||||
District of Columbia, RB | ||||||||
4.000%, 10/01/20 | 305,000 | 307,788 | ||||||
4.000%, 10/01/22 | 895,000 | 916,274 | ||||||
|
| |||||||
1,224,062 | ||||||||
|
| |||||||
Florida — 1.3% |
| |||||||
Florida State, Department of Education, | 2,000,000 | 2,075,520 | ||||||
|
| |||||||
Idaho — 0.3% |
| |||||||
Idaho State, Housing & Finance Association, RB | 500,000 | 530,360 | ||||||
|
| |||||||
Illinois — 5.5% |
| |||||||
Chicago, O’Hare International Airport, | 1,030,000 | 1,093,850 | ||||||
Illinois State, | 3,400,000 | 3,433,422 | ||||||
Lee & Ogle Counties, Dixon School District No. 170, GO, BAM | 760,000 | 845,196 | ||||||
Railsplitter, Tobacco Settlement Authority, RB | 2,410,000 | 2,485,481 | ||||||
Southern Illinois University, | 1,000,000 | 1,052,900 | ||||||
|
| |||||||
8,910,849 | ||||||||
|
| |||||||
Kansas — 1.9% |
| |||||||
Geary County, GO | ||||||||
5.000%, 09/01/24 | 1,240,000 | 1,449,845 | ||||||
5.000%, 09/01/25 | 1,300,000 | 1,555,281 | ||||||
|
| |||||||
3,005,126 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
55
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST MUNICIPAL BOND FUND |
Description | Face Amount | Value | ||||||
Louisiana — 1.5% |
| |||||||
Louisiana State, | $ | 2,000,000 | $ | 2,441,760 | ||||
|
| |||||||
Maryland — 3.6% |
| |||||||
Maryland State, GO | 2,000,000 | 2,620,780 | ||||||
Maryland State, | 2,500,000 | 3,150,550 | ||||||
|
| |||||||
5,771,330 | ||||||||
|
| |||||||
Massachusetts — 0.6% |
| |||||||
Fall River City, GO | 1,015,000 | 1,047,044 | ||||||
|
| |||||||
Michigan — 0.8% |
| |||||||
Taylor, Brownfield Redevelopment Authority, RB, NATL | 1,175,000 | 1,247,192 | ||||||
|
| |||||||
Minnesota — 0.4% |
| |||||||
Minnesota State, Housing Finance Agency, | 609,998 | 609,168 | ||||||
|
| |||||||
Missouri — 1.1% |
| |||||||
Saint Louis, Municipal Finance, RB, AGM | 1,575,000 | 1,740,721 | ||||||
|
| |||||||
New Hampshire — 0.7% |
| |||||||
Grafton County, GO | 1,140,000 | 1,196,840 | ||||||
|
| |||||||
New Mexico — 1.4% |
| |||||||
New Mexico State, Severance Tax Permanent Fund, | 2,000,000 | 2,219,240 | ||||||
|
| |||||||
New York — 3.0% |
| |||||||
Dunkirk City, School District, GO, AGM | ||||||||
4.000%, 06/15/21 | 550,000 | 580,586 | ||||||
4.000%, 06/15/22 | 835,000 | 907,378 | ||||||
New York City, | 2,400,000 | 2,706,000 | ||||||
Niagara County, Tobacco Asset Securitization, RB | ||||||||
5.000%, 05/15/20 | 350,000 | 357,805 |
Description | Face Amount | Value | ||||||
5.000%, 05/15/21 | $ | 300,000 | $ | 314,301 | ||||
|
| |||||||
4,866,070 | ||||||||
|
| |||||||
Ohio — 0.7% |
| |||||||
Ohio State, | 1,000,000 | 1,073,580 | ||||||
|
| |||||||
Oklahoma — 1.8% |
| |||||||
Oklahoma State, Housing Finance Agency, RB, GNMA | 539,942 | 569,180 | ||||||
University of Oklahoma, | 2,000,000 | 2,331,320 | ||||||
|
| |||||||
2,900,500 | ||||||||
|
| |||||||
Puerto Rico — 1.7% |
| |||||||
Commonwealth of Puerto Rico, Electric Power Authority, | 2,000,000 | 1,342,500 | ||||||
Commonwealth of Puerto Rico, | 1,825,000 | 1,345,938 | ||||||
|
| |||||||
2,688,438 | ||||||||
|
| |||||||
Rhode Island — 1.3% |
| |||||||
Rhode Island State, | 2,000,000 | 2,085,500 | ||||||
|
| |||||||
South Carolina — 2.5% |
| |||||||
Hilton Head Island, | ||||||||
2.250%, 03/01/33 | 530,000 | 523,576 | ||||||
2.125%, 03/01/32 | 520,000 | 512,996 | ||||||
2.000%, 03/01/30 | 495,000 | 496,683 | ||||||
2.000%, 03/01/31 | 5,000 | 4,947 | ||||||
South Carolina State, | 2,380,000 | 2,457,993 | ||||||
|
| |||||||
3,996,195 | ||||||||
|
| |||||||
Tennessee — 1.1% |
| |||||||
Memphis-Shelby County, Sports Authority, | 1,800,000 | 1,816,830 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
56
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST MUNICIPAL BOND FUND |
Description | Face Amount | Value | ||||||
Texas — 48.8% |
| |||||||
Alamo, Community College District, | $ | 2,000,000 | $ | 2,009,520 | ||||
Andrews County, Hospital District, GO | 1,250,000 | 1,260,975 | ||||||
Austin, Independent School District, GO,PSF-GTD | ||||||||
5.000%, 08/01/30 | 1,000,000 | 1,265,350 | ||||||
5.000%, 08/01/31 | 1,400,000 | 1,760,164 | ||||||
Bexar County, GO | 2,000,000 | 2,017,840 | ||||||
Capital Area, Cultural Education Facilities Finance, Roman Catholic Diocese, RB | 685,000 | 700,406 | ||||||
Central Texas, Turnpike System, | 750,000 | 874,792 | ||||||
Clifton, Higher Education Finance, Idea Public Schools Project, RB | 315,000 | 324,393 | ||||||
Clifton, Higher Education Finance, RB,PSF-GTD | 1,185,000 | 1,393,477 | ||||||
Clifton, Higher Education Finance, RB,PSF-GTD | 700,000 | 820,841 | ||||||
Clifton, Higher Education Finance, | 1,490,000 | 1,509,728 | ||||||
Clifton, Higher Education Finance, | ||||||||
5.000%, 08/15/25 | 460,000 | 538,821 | ||||||
4.000%, 08/15/22 | 525,000 | 560,033 | ||||||
4.000%, 08/15/23 | 500,000 | 541,390 | ||||||
Dallas Area, Rapid Transit, | 1,000,000 | 1,125,470 | ||||||
Dallas/Fort Worth, International Airport, | 1,000,000 | 1,009,660 | ||||||
Dallas/Fort Worth, International Airport, | 2,000,000 | 2,314,820 | ||||||
Denton City, GO | ||||||||
3.000%, 02/15/29 | 1,845,000 | 1,977,065 | ||||||
3.000%, 02/15/30 | 1,855,000 | 1,968,007 |
Description | Face Amount | Value | ||||||
Denton County, GO | $ | 1,000,000 | $ | 1,156,780 | ||||
Downtown Redevelopment Authority, TA, BAM | 1,000,000 | 1,178,590 | ||||||
Downtown Redevelopment Authority, TA, BAM | 1,000,000 | 1,193,810 | ||||||
El Paso City, GO | 1,000,000 | 1,001,580 | ||||||
El Paso County, Hospital District, GO | 3,070,000 | 3,571,392 | ||||||
Georgetown, Utility System Revenue, RB | 1,000,000 | 1,139,510 | ||||||
Grand Prairie, Independent School District, | 2,000,000 | 2,132,980 | ||||||
Harris County, Cultural Education Facilities Finance, Texas Children’s Hospital Project, RB | 1,000,000 | 1,007,180 | ||||||
Houston, Higher Education Finance, | 1,005,000 | 1,071,270 | ||||||
Houston, Independent School District, GO,PSF-GTD | 1,000,000 | 1,242,570 | ||||||
Kaufman County, GO, AGM | 1,000,000 | 1,036,010 | ||||||
La Vernia, Higher Education Finance, | 675,000 | 695,493 | ||||||
La Vernia, Higher Education Finance, | 3,435,000 | 3,667,790 | ||||||
Love Field, Airport Modernization, Southwest Airlines Project, RB | 2,500,000 | 2,595,075 | ||||||
Love Field, Airport Modernization, AMT, RB | 1,000,000 | 1,115,650 | ||||||
New Hope, Cultural Education Facilities, RB | ||||||||
5.000%, 04/01/21 | 355,000 | 366,541 | ||||||
4.000%, 04/01/20 | 210,000 | 211,501 |
The accompanying notes are an integral part of the financial statements.
57
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST MUNICIPAL BOND FUND |
Description | Face Amount | Value | ||||||
North Harris County, Regional Water Authority, RB | $ | 1,000,000 | $ | 1,024,510 | ||||
Northside, Independent School District, | 2,000,000 | 2,327,480 | ||||||
Polk County, GO, AGM | 1,000,000 | 1,000,700 | ||||||
San Antonio, Education Facilities, RB | 1,200,000 | 1,368,876 | ||||||
San Antonio, GO | 1,000,000 | 1,095,140 | ||||||
San Antonio, Public Facilities, RB | 2,000,000 | 2,224,480 | ||||||
Seminole, Hospital District, GO | 545,000 | 582,807 | ||||||
Texas A&M University, Permanent University Fund, | 1,000,000 | 1,176,040 | ||||||
Texas State, College Student Loan, GO | ||||||||
5.000%, 08/01/21 | 1,000,000 | 1,038,780 | ||||||
4.625%, 08/01/30 | 1,200,000 | 1,200,000 | ||||||
Texas State, Highway Improvement, GO | 2,500,000 | 2,756,750 | ||||||
Texas State, Public Finance Authority, Financing System, Texas Southern University, RB | ||||||||
5.625%, 05/01/21 | 1,440,000 | 1,527,192 | ||||||
5.375%, 05/01/20 | 1,365,000 | 1,398,129 | ||||||
Texas State, Public Finance Authority, New Frontiers School, | 1,100,000 | 1,128,226 | ||||||
Texas State, Public Finance Authority, RB, BAM | 1,400,000 | 1,503,278 | ||||||
Texas State, RB | 8,000,000 | 8,016,160 | ||||||
Texas State, University System, | 1,000,000 | 1,062,750 | ||||||
|
| |||||||
78,787,772 | ||||||||
|
|
Description | Face Amount/ Shares | Value | ||||||
Virginia — 1.9% |
| |||||||
Virginia Commonwealth, Housing Development Authority, | $ | 3,000,000 | $ | 3,040,560 | ||||
|
| |||||||
Wisconsin — 1.3% |
| |||||||
Green Bay City, | 500,000 | 517,140 | ||||||
Oshkosh City, | 585,000 | 593,616 | ||||||
Wisconsin State, | 1,000,000 | 1,058,300 | ||||||
|
| |||||||
�� | 2,169,056 | |||||||
|
| |||||||
Total Municipal Bonds | 146,735,436 | |||||||
|
| |||||||
CASH EQUIVALENT — 9.4% |
| |||||||
Federated Government Obligations Fund, Cl I, 2.230%* | 15,238,177 | 15,238,177 | ||||||
|
| |||||||
Total Investments — 100.3% |
| $ | 161,973,613 | |||||
|
|
Percentages are based on Net Assets of $161,516,160.
* | Rate shown is the7-day effective yield as of July 31, 2019. |
(A) | Pre-Refunded Securities — The maturity date shown is thepre-refunded date. |
(B) | Variable or floating rate security, the interest rate of which adjusts periodically based prevailing interest rates. |
(C) | Security in default on interest payments. |
(D) | Security is escrowed to maturity. |
AGM — Assured Guaranty Municipal
AMT — Alternative Minimum Tax (subject to)
BAM — Build America Mutual
Cl — Class
COP — Certificate of Participation
GNMA — Government National Mortgage Association
GO — General Obligation
NATL — National Public Finance Guaranty Corporation
PSF-GTD — Texas Public School Fund Guarantee
RB — Revenue Bond
Ser — Series
TA — Tax Allocation
The following is a list of the level of inputs used as of July 31, 2019 in valuing the Fund’s investments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Municipal Bonds | $ | — | $ | 146,735,436 | $ | — | $ | 146,735,436 | ||||||||
Cash Equivalent | 15,238,177 | — | — | 15,238,177 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 15,238,177 | $ | 146,735,436 | $ | — | $ | 161,973,613 | ||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
58
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
FROST MUNICIPAL BOND FUND |
For the year ended July 31, 2019, there have been no transfers between Level 1 and Level 2, or Level 2 and Level 3 assets and liabilities.
For the year ended July 31, 2019, there have been no Level 3 investments.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the notes to Financial Statements.
Amounts designated at “—“ are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
59
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
STATEMENTS OF ASSETS AND LIABILITIES |
Growth Equity Fund | Value Equity Fund | Mid Cap Equity Fund | ||||||||||
Assets: | ||||||||||||
Investments at Value | $ | 337,553,488 | $ | 29,494,526 | $ | 4,399,759 | ||||||
Receivable for Investment Securities Sold | — | 154,193 | 55,117 | |||||||||
Receivable for Capital Shares Sold | 594,437 | 535 | — | |||||||||
Receivable Due from Investment Adviser | — | — | 12,646 | |||||||||
Dividends and Interest Receivable | 91,038 | 32,892 | 1,404 | |||||||||
Foreign Tax Reclaim Receivable | — | 8,049 | — | |||||||||
Prepaid Expenses | 19,253 | 13,605 | 12,796 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 338,258,216 | 29,703,800 | 4,481,722 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Payable for Investment Securities Purchased | — | 286,127 | 28,850 | |||||||||
Payable for Capital Shares Redeemed | 154,476 | 775 | — | |||||||||
Payable Due to Investment Adviser | 142,787 | 12,987 | — | |||||||||
Professional Fees Payable | 24,309 | 23,005 | 33,574 | |||||||||
Payable Due to Administrator | 20,739 | 1,886 | 288 | |||||||||
Payable Due to Distributor — Investor Class Shares | 9,978 | 968 | 159 | |||||||||
Transfer Agent Fees Payable | 5,607 | 4,303 | 4,043 | |||||||||
Payable Due to Trustees | 1,877 | 177 | 27 | |||||||||
Chief Compliance Officer Fees Payable | 434 | 41 | 6 | |||||||||
Pricing Fees Payable | 835 | 454 | 188 | |||||||||
Other Accrued Expenses | 12,923 | 963 | 1,352 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 373,965 | 331,686 | 68,487 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 337,884,251 | $ | 29,372,114 | $ | 4,413,235 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS: | ||||||||||||
Paid-in Capital | $ | 164,455,314 | $ | 25,801,466 | $ | 3,348,911 | ||||||
Total Distributable Earnings | 173,428,937 | 3,570,648 | 1,064,324 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 337,884,251 | $ | 29,372,114 | $ | 4,413,235 | ||||||
|
|
|
|
|
| |||||||
Institutional Class Shares: | ||||||||||||
Net Assets | $ | 290,773,053 | $ | 23,921,989 | $ | 3,767,534 | ||||||
Outstanding Shares of Beneficial Interest | 21,041,926 | 3,088,222 | 505,575 | |||||||||
Net Asset Value, Offering and Redemption Price Per Share | $ | 13.82 | $ | 7.75 | $ | 7.45 | ||||||
|
|
|
|
|
| |||||||
Investor Class Shares: | ||||||||||||
Net Assets | $ | 47,111,198 | $ | 5,450,125 | $ | 645,701 | ||||||
Outstanding Shares of Beneficial Interest | 3,461,154 | 705,383 | 88,434 | |||||||||
Net Asset Value, Offering and Redemption Price Per Share | $ | 13.61 | $ | 7.73 | $ | 7.30 | ||||||
|
|
|
|
|
| |||||||
Cost of Investments | $ | 188,205,929 | $ | 26,931,447 | $ | 3,969,607 |
Amounts designated as “—” are $0.
The accompanying notes are an integral part of the financial statements.
60
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
STATEMENTS OF ASSETS AND LIABILITIES |
Total Return Bond Fund | Credit Fund | Low Duration Bond Fund | Municipal Bond Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments at Value | $ | 3,472,956,935 | $ | 188,242,297 | $ | 331,500,969 | $ | 161,973,613 | ||||||||
Repurchase Agreements at Value | 270,000,000 | 25,000,000 | 10,000,000 | — | ||||||||||||
Receivable for Investment Securities Sold | 13,030,854 | — | 46,638 | — | ||||||||||||
Receivable for Capital Shares Sold | 8,302,208 | 400,438 | 1,686,064 | 10,520 | ||||||||||||
Dividends and Interest Receivable | 21,408,997 | 1,454,335 | 1,144,275 | 1,947,765 | ||||||||||||
Prepaid Expenses | 105,446 | 14,136 | 19,818 | 13,899 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 3,785,804,440 | 215,111,206 | 344,397,764 | 163,945,797 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Payable for Investment Securities Purchased | 68,739,078 | 1,365,300 | — | 2,327,480 | ||||||||||||
Payable for Capital Shares Redeemed | 2,428,818 | 13,195 | 548,723 | 14,500 | ||||||||||||
Payable Due to Investment Adviser | 1,096,016 | 89,555 | 86,633 | 34,179 | ||||||||||||
Shareholder Servicing Fees Payable — A Class Shares | 1,010 | 299 | — | — | ||||||||||||
Professional Fee Payable | 65,895 | 38,413 | 26,590 | 25,809 | ||||||||||||
Payable Due to Administrator | 227,399 | 13,006 | 20,970 | 9,928 | ||||||||||||
Payable Due to Distributor — Investor Class Shares | 101,024 | 2,675 | 5,424 | 1,250 | ||||||||||||
Payable Due to Distributor — A Class Shares | 260 | 80 | — | — | ||||||||||||
Payable Due to Trustees | 20,734 | 1,191 | 1,931 | 912 | ||||||||||||
Chief Compliance Officer Fees Payable | 4,790 | 275 | 446 | 211 | ||||||||||||
Transfer Agent Fees Payable | 185,149 | 7,910 | 7,139 | 5,607 | ||||||||||||
Pricing Fees Payable | 41,089 | 17,022 | 4,258 | 4,795 | ||||||||||||
Other Accrued Expenses | 211,800 | 6,521 | 13,590 | 4,966 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 73,123,062 | 1,555,442 | 715,704 | 2,429,637 | ||||||||||||
|
|
|
| �� |
|
|
|
| ||||||||
Net Assets | $ | 3,712,681,378 | $ | 213,555,764 | $ | 343,682,060 | $ | 161,516,160 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Paid-in Capital | $ | 3,742,740,453 | $ | 216,690,479 | $ | 343,093,394 | $ | 157,909,615 | ||||||||
Distributable Earnings (Loss) | (30,059,075 | ) | (3,134,715 | ) | 588,666 | 3,606,545 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 3,712,681,378 | $ | 213,555,764 | $ | 343,682,060 | $ | 161,516,160 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class Shares: | ||||||||||||||||
Net Assets | $ | 3,191,392,411 | $ | 199,799,841 | $ | 318,215,268 | $ | 155,224,241 | ||||||||
Outstanding Shares of Beneficial Interest | 306,302,559 | 20,549,464 | 30,965,219 | 14,772,192 | ||||||||||||
Net Asset Value, Offering and Redemption Price Per Share | $ | 10.42 | $ | 9.72 | $ | 10.28 | $ | 10.51 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investor Class Shares: | ||||||||||||||||
Net Assets | $ | 520,290,514 | $ | 13,365,820 | $ | 25,466,792 | $ | 6,291,919 | ||||||||
Outstanding Shares of Beneficial Interest | 49,960,580 | 1,376,585 | 2,477,448 | 598,685 | ||||||||||||
Net Asset Value, Offering and Redemption Price Per Share | $ | 10.41 | $ | 9.71 | $ | 10.28 | $ | 10.51 | ||||||||
|
|
|
|
|
|
|
| |||||||||
A Class Shares: | ||||||||||||||||
Net Assets | $ | 998,453 | $ | 390,103 | n/a | n/a | ||||||||||
Outstanding Shares of Beneficial Interest | 95,886 | 40,186 | n/a | n/a | ||||||||||||
Net Asset Value, Offering and Redemption Price Per Share | $ | 10.41 | $ | 9.71 | n/a | n/a | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of Investments | $ | 3,475,808,118 | $ | 188,320,939 | $ | 329,484,963 | $ | 158,571,076 | ||||||||
Cost of Repurchase Agreements | 270,000,000 | 25,000,000 | 10,000,000 | — |
“n/a” designates that the Fund does not offer this class.
Amounts designated as “—” are $0.
The accompanying notes are an integral part of the financial statements.
61
FROST FAMILY OF FUNDS | F R O S T F U N D S | F O R T H E Y E A R E N D E D J U L Y 3 1, 2 0 1 9 |
STATEMENTS OF OPERATIONS |
Growth Equity Fund | Value Equity Fund | Mid Cap Equity Fund | ||||||||||
Investment Income: | ||||||||||||
Dividend Income | $ | 3,002,384 | $ | 1,699,323 | $ | 133,968 | ||||||
Foreign Taxes Withheld | (7,293 | ) | — | (22 | ) | |||||||
|
|
|
|
|
| |||||||
Total Investment Income | 2,995,091 | 1,699,323 | 133,946 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 1,552,451 | 330,394 | 37,159 | |||||||||
Administration Fees | 229,013 | 49,024 | 5,507 | |||||||||
Distribution Fees — Investor Class Shares | 111,988 | 37,630 | 1,750 | |||||||||
Trustees’ Fees | 7,416 | 1,647 | 170 | |||||||||
Chief Compliance Officer Fees | 1,363 | 587 | 445 | |||||||||
Transfer Agent Fees | 46,321 | 32,858 | 26,286 | |||||||||
Professional Fees | 28,765 | 22,949 | 32,193 | |||||||||
Registration Fees | 46,689 | 29,964 | 31,073 | |||||||||
Printing Fees | 17,307 | 3,441 | 583 | |||||||||
Custodian Fees | 12,556 | 4,301 | 5,011 | |||||||||
Interest Expense on Borrowings | — | 4,230 | 1,115 | |||||||||
Insurance and Other Expenses | 12,352 | 4,751 | 2,503 | |||||||||
|
|
|
|
|
| |||||||
Total Expenses | 2,066,221 | 521,776 | 143,795 | |||||||||
Less: Investment Advisory Fees Waived | — | — | (26,438 | ) | ||||||||
Less: Fees Paid Indirectly | (2,032 | ) | (467 | ) | (60 | ) | ||||||
|
|
|
|
|
| |||||||
Net Expenses | 2,064,189 | 521,309 | 117,297 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 930,902 | 1,178,014 | 16,649 | |||||||||
|
|
|
|
|
| |||||||
Net Realized Gain from Investments | 29,612,815 | 6,592,172 | 1,603,969 | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | (1,306,421 | ) | (14,708,765 | ) | (1,494,426 | ) | ||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | 28,306,394 | (8,116,593 | ) | 109,543 | ||||||||
|
|
|
|
|
| |||||||
Increase (Decrease) in Net Assets Resulting from Operations | $ | 29,237,296 | $ | (6,938,579 | ) | $ | 126,192 | |||||
|
|
|
|
|
|
Amounts designated as “—” are $0.
The accompanying notes are an integral part of the financial statements.
62
FROST FAMILY OF FUNDS | F R O S T F U N D S | F O R T H E Y E A R E N D E D J U L Y 3 1, 2 0 1 9 |
STATEMENTS OF OPERATIONS |
Total Return Bond Fund | Credit Fund | Low Duration Bond Fund | Municipal Bond Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Interest Income | $ | 134,792,784 | $ | 10,311,401 | $ | 8,344,339 | $ | 4,249,406 | ||||||||
Dividend Income | 481,852 | 14,665 | 24,831 | 190,304 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Income | 135,274,636 | 10,326,066 | 8,369,170 | 4,439,710 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Investment Advisory Fees | 11,162,045 | 1,058,504 | 968,319 | 569,845 | ||||||||||||
Administration Fees | 2,348,839 | 156,137 | 237,985 | 120,125 | ||||||||||||
Shareholder Servicing fees — A Class Shares | 1,074 | 293 | n/a | n/a | ||||||||||||
Distribution Fees — Investor Class Shares | 1,070,814 | 33,922 | 69,736 | 11,631 | ||||||||||||
Distribution Fees — A Class Shares | 2,684 | 732 | n/a | n/a | ||||||||||||
Trustees’ Fees | 75,930 | 5,014 | 7,710 | 3,871 | ||||||||||||
Chief Compliance Officer Fees | 10,581 | 1,056 | 1,419 | 904 | ||||||||||||
Transfer Agent Fees | 614,359 | 52,097 | 49,051 | 37,458 | ||||||||||||
Registration Fees | 240,555 | 56,955 | 44,747 | 30,085 | ||||||||||||
Professional Fees | 152,356 | 56,631 | 33,349 | 29,694 | ||||||||||||
Printing Fees | 210,891 | 13,791 | 17,375 | 5,968 | ||||||||||||
Custodian Fees | 129,077 | 8,285 | 12,959 | 13,401 | ||||||||||||
Insurance and Other Expenses | 242,821 | 79,684 | 24,070 | 25,709 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Expenses | 16,262,026 | 1,523,101 | 1,466,720 | 848,691 | ||||||||||||
Less: Investment Advisory Fees Waived | — | — | — | (162,812 | ) | |||||||||||
Less: Fees Paid Indirectly | (63,918 | ) | (2,323 | ) | (2,028 | ) | (215 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | 16,198,108 | 1,520,778 | 1,464,692 | 685,664 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income | 119,076,528 | 8,805,288 | 6,904,478 | 3,754,046 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) from Investments | (19,700,120 | ) | (1,012,683 | ) | (47,515 | ) | 27,584 | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 65,485,924 | 2,373,819 | 4,287,164 | 4,748,549 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain on Investments | 45,785,804 | 1,361,136 | 4,239,649 | 4,776,133 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | $ | 164,862,332 | $ | 10,166,424 | $ | 11,144,127 | $ | 8,530,179 | ||||||||
|
|
|
|
|
|
|
|
“n/a” designates that the Fund does not offer this class.
Amounts designated as “—” are $0.
The accompanying notes are an integral part of the financial statements.
63
FROST FAMILY OF FUNDS |
STATEMENTS OF CHANGES IN NET ASSETS |
Growth Equity Fund | ||||||||||
Year Ended July 31, 2019 | Year Ended July 31, 2018 | |||||||||
Operations: | ||||||||||
Net Investment Income | $ | 930,902 | $ | 664,368 | ||||||
Net Realized Gain on Investments | 29,612,815 | 33,368,761 | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | (1,306,421 | ) | 32,239,079 | |||||||
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 29,237,296 | 66,272,208 | ||||||||
|
|
|
| |||||||
Distributions:(1) | ||||||||||
Institutional Class Shares | (34,131,973 | ) | (58,987,587 | ) | ||||||
Investor Class Shares | (5,586,562 | ) | (9,643,250 | ) | ||||||
|
|
|
| |||||||
Total Distributions | (39,718,535 | ) | (68,630,837 | ) | ||||||
|
|
|
| |||||||
Capital Share Transactions: | ||||||||||
Institutional Class Shares: | ||||||||||
Issued | 49,641,365 | 41,210,427 | ||||||||
Reinvestment of Dividends | 15,323,192 | 20,367,190 | ||||||||
Redeemed | (37,485,376 | ) | (38,492,242 | ) | ||||||
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from | 27,479,181 | 23,085,375 | ||||||||
|
|
|
| |||||||
Investor Class Shares: | ||||||||||
Issued | 2,582,372 | 3,402,574 | ||||||||
Reinvestment of Dividends | 5,463,581 | 6,947,111 | ||||||||
Redeemed | (5,934,245 | ) | (4,264,191 | ) | ||||||
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from | 2,111,708 | 6,085,494 | ||||||||
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from | 29,590,889 | 29,170,869 | ||||||||
|
|
|
| |||||||
Total Increase (Decrease) in Net Assets | 19,109,650 | 26,812,240 | ||||||||
|
|
|
| |||||||
Net assets: | ||||||||||
Beginning of Year | 318,774,601 | 291,962,361 | ||||||||
|
|
|
| |||||||
End of Year(2) | $ | 337,884,251 | $ | 318,774,601 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Institutional Class Shares: | ||||||||||
Issued | 3,741,882 | 2,952,620 | ||||||||
Reinvestment of Dividends | 1,321,795 | 1,596,207 | ||||||||
Redeemed | (2,831,757 | ) | (2,715,465 | ) | ||||||
|
|
|
| |||||||
Total Increase (Decrease) in Institutional Class Shares | 2,231,920 | 1,833,362 | ||||||||
|
|
|
| |||||||
Investor Class Shares: | ||||||||||
Issued | 196,563 | 243,116 | ||||||||
Reinvestment of Dividends | 478,924 | 550,939 | ||||||||
Redeemed | (450,708 | ) | (298,178 | ) | ||||||
|
|
|
| |||||||
Total Increase (Decrease) in Investor Class Shares | 224,779 | 495,877 | ||||||||
|
|
|
| |||||||
Net Increase (Decrease) in Shares Outstanding | 2,456,699 | 2,329,239 | ||||||||
|
|
|
|
(1) | Current year presentation of distributions conforms with S-X Disclosure Simplification. Prior year distributions have been consolidated to conform with S-X Disclosure Simplification (See Note 10). |
(2) | Includes undistributed net investment income of $416,952, $125,583 and $10,912, as of the year ended July 31, 2018. The SEC eliminated the requirement to disclose undistributed net investment income on November 5, 2018. |
Amounts designated as “—” are $0.
The accompanying notes are an integral part of the financial statements.
64
F R O S T F U N D S |
Value Equity Fund | Mid Cap Equity Fund | |||||||||||||||
Year Ended July 31, 2019 | Year Ended July 31, 2018 | Year Ended July 31, 2019 | Year Ended July 31, 2018 | |||||||||||||
$ | 1,178,014 | $ | 1,535,035 | $ | 16,649 | $ | 9,293 | |||||||||
6,592,172 | 9,237,700 | 1,603,969 | 3,020,386 | |||||||||||||
(14,708,765 | ) | (1,081,765 | ) | (1,494,426 | ) | (1,312,160 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(6,938,579 | ) | 9,690,970 | 126,192 | 1,717,519 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
(7,698,849 | ) | (6,588,589 | ) | (2,233,008 | ) | (2,273,805 | ) | |||||||||
(2,390,282 | ) | (2,380,913 | ) | (210,593 | ) | (120,280 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(10,089,131 | ) | (8,969,502 | ) | (2,443,601 | ) | (2,394,085 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
2,725,486 | 8,983,753 | 217,618 | 3,541,307 | |||||||||||||
3,824,810 | 3,431,639 | 304,641 | 119,530 | |||||||||||||
(44,219,339 | ) | (28,751,664 | ) | (7,320,407 | ) | (864,128 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(37,669,043 | ) | (16,336,272 | ) | (6,798,148 | ) | 2,796,709 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
191,873 | 2,265,428 | 91,953 | 2,046,273 | |||||||||||||
2,073,351 | 2,126,847 | 207,521 | 103,455 | |||||||||||||
(20,361,275 | ) | (3,831,632 | ) | (317,117 | ) | (7,860,527 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(18,096,051 | ) | 560,643 | (17,643 | ) | (5,710,799 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
(55,765,094 | ) | (15,775,629 | ) | (6,815,791 | ) | (2,914,090 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(72,792,804 | ) | (15,054,161 | ) | (9,133,200 | ) | (3,590,656 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
102,164,918 | 117,219,079 | 13,546,435 | 17,137,091 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 29,372,114 | $ | 102,164,918 | $ | 4,413,235 | $ | 13,546,435 | |||||||||
|
|
|
|
|
|
|
| |||||||||
317,617 | 976,635 | 26,188 | 353,152 | |||||||||||||
503,138 | 377,430 | 46,745 | 12,425 | |||||||||||||
(5,651,432 | ) | (3,150,603 | ) | (841,693 | ) | (87,261 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(4,830,677 | ) | (1,796,538 | ) | (768,760 | ) | 278,316 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
21,988 | 251,206 | 14,604 | 199,222 | |||||||||||||
270,930 | 234,404 | 32,633 | 10,901 | |||||||||||||
(2,810,677 | ) | (413,577 | ) | (44,857 | ) | (744,833 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(2,517,759 | ) | 72,033 | 2,380 | (534,710 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
(7,348,436 | ) | (1,724,505 | ) | (766,380 | ) | (256,394 | ) | |||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
65
FROST FAMILY OF FUNDS |
STATEMENTS OF CHANGES IN NET ASSETS |
Total Return Bond Fund* | ||||||||||
Year Ended July 31, 2019 | Year Ended July 31, 2018 | |||||||||
Operations: | ||||||||||
Net Investment Income | $ | 119,076,528 | $ | 88,963,137 | ||||||
Net Realized Gain (Loss) on Investments | (19,700,120 | ) | (8,007,969 | ) | ||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 65,485,924 | (41,651,057 | ) | |||||||
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 164,862,332 | 39,304,111 | ||||||||
|
|
|
| |||||||
Distributions:(1) | ||||||||||
Institutional Class Shares | (103,743,506 | ) | (80,205,493 | ) | ||||||
Investor Class Shares | (14,981,109 | ) | (12,147,489 | ) | ||||||
A Class Shares | (39,688 | ) | (470 | ) | ||||||
Return of Capital: | ||||||||||
Institutional Class Shares | — | — | ||||||||
Investor Class Shares | — | — | ||||||||
|
|
|
| |||||||
Total Distributions | (118,764,303 | ) | (92,353,452 | ) | ||||||
|
|
|
| |||||||
Capital Share Transactions: | ||||||||||
Institutional Class Shares: | ||||||||||
Issued | 1,275,659,383 | 783,733,743 | ||||||||
Reinvestment of Dividends | 52,809,404 | 32,030,991 | ||||||||
Redeemed | (526,537,951 | ) | (338,896,091 | ) | ||||||
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from | 801,930,836 | 476,868,643 | ||||||||
|
|
|
| |||||||
Investor Class Shares: | ||||||||||
Issued | 234,367,919 | 167,263,691 | ||||||||
Reinvestment of Dividends | 13,491,205 | 9,568,814 | ||||||||
Redeemed | (107,868,376 | ) | (119,864,338 | ) | ||||||
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from | 139,990,748 | 56,968,167 | ||||||||
|
|
|
| |||||||
A Class Shares: | ||||||||||
Issued | 2,591,910 | 193,177 | ||||||||
Reinvestment of Dividends | 22,168 | 470 | ||||||||
Redeemed | (1,831,189 | ) | (55 | ) | ||||||
|
|
|
| |||||||
Net Increase in Net Assets from | 782,889 | 193,592 | ||||||||
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from | 942,704,473 | 534,030,402 | ||||||||
|
|
|
| |||||||
Total Increase (Decrease) in Net Assets | 988,802,502 | 480,981,061 | ||||||||
|
|
|
| |||||||
Net assets: | ||||||||||
Beginning of Year | 2,723,878,876 | 2,242,897,815 | ||||||||
|
|
|
| |||||||
End of Year(2) | $ | 3,712,681,378 | $ | 2,723,878,876 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Institutional Class Shares: | ||||||||||
Issued | 123,734,964 | 75,396,793 | ||||||||
Reinvestment of Dividends | 5,119,434 | 3,087,124 | ||||||||
Redeemed | (51,060,500 | ) | (32,652,517 | ) | ||||||
|
|
|
| |||||||
Total Increase (Decrease) in Institutional Class Shares | 77,793,898 | 45,831,400 | ||||||||
|
|
|
| |||||||
Investor Class Shares: | ||||||||||
Issued | 22,702,677 | 16,093,674 | ||||||||
Reinvestment of Dividends | 1,309,140 | 922,827 | ||||||||
Redeemed | (10,473,089 | ) | (11,537,392 | ) | ||||||
|
|
|
| |||||||
Total Increase (Decrease) in Investor Class Shares | 13,538,728 | 5,479,109 | ||||||||
|
|
|
| |||||||
A Class Shares: | ||||||||||
Issued | 251,341 | 18,787 | ||||||||
Reinvestment of Dividends | 2,154 | 46 | ||||||||
Redeemed | (176,437 | ) | (5 | ) | ||||||
|
|
|
| |||||||
Total Increase in A Class Shares | 77,058 | 18,828 | ||||||||
|
|
|
| |||||||
Net Increase (Decrease) in Shares Outstanding | 91,409,684 | 51,329,337 | ||||||||
|
|
|
|
(1) | Current year presentation of distributions conforms withS-X Disclosure Simplification. Prior year distributions have been consolidated to conform withS-X Disclosure Simplification (See Note 10). |
(2) | Includes undistributed (distributions in excess of) net investment income of $126,934, $(4), $7, and $176,543, as of the year ended July 31, 2018. The SEC eliminated the requirement to disclose undistributed net investment income on November 5, 2018. |
* | A Class Shares commenced operations on June 1, 2018. |
“n/a” designates that the Fund does not offer this class.
Amounts designated as “—” are $0.
The accompanying notes are an integral part of the financial statements.
66
F R O S T F U N D S |
Credit Fund* | Low Duration Bond Fund | Municipal Bond Fund | ||||||||||||||||||||||||||||
Year Ended July 31, 2019 | Year Ended July 31, 2018 | Year Ended July 31, 2019 | Year Ended July 31, 2018 | Year Ended July 31, 2019 | Year Ended July 31, 2018 | |||||||||||||||||||||||||
$ | 8,805,288 | $ | 11,025,014 | $ | 6,904,478 | $ | 5,284,166 | $ | 3,754,046 | $ | 4,761,418 | |||||||||||||||||||
(1,012,683 | ) | 143,433 | (47,515 | ) | (153,257 | ) | 27,584 | 8,195 | ||||||||||||||||||||||
2,373,819 | (3,859,447 | ) | 4,287,164 | (2,975,578 | ) | 4,748,549 | (4,819,396 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
10,166,424 | 7,309,000 | 11,144,127 | 2,155,331 | 8,530,179 | (49,783 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(10,632,463 | ) | (10,844,779 | ) | (6,209,133 | ) | (4,888,861 | ) | (3,702,767 | ) | (5,523,527 | ) | |||||||||||||||||||
(695,665 | ) | (801,951 | ) | (508,809 | ) | (443,581 | ) | (97,625 | ) | (106,412 | ) | |||||||||||||||||||
(15,260 | ) | (643 | ) | n/a | n/a | n/a | n/a | |||||||||||||||||||||||
— | — | — | (111,690 | ) | — | — | ||||||||||||||||||||||||
— | — | — | (11,840 | ) | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(11,343,388 | ) | (11,647,373 | ) | (6,717,942 | ) | (5,455,972 | ) | (3,800,392 | ) | (5,629,939 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
32,336,884 | 58,184,554 | 92,727,991 | 76,400,966 | 18,945,654 | 39,493,154 | |||||||||||||||||||||||||
1,746,933 | 1,419,839 | 1,740,731 | 1,030,885 | 713,820 | 595,215 | |||||||||||||||||||||||||
(30,213,513 | ) | (21,772,368 | ) | (60,805,994 | ) | (38,495,761 | ) | (36,122,733 | ) | (127,013,223 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
3,870,304 | 37,832,025 | 33,662,728 | 38,936,090 | (16,463,259 | ) | (86,924,854 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
2,631,594 | 4,662,889 | 3,583,916 | 2,671,237 | 2,117,279 | 765,142 | |||||||||||||||||||||||||
623,737 | 559,033 | 475,937 | 295,500 | 89,852 | 93,608 | |||||||||||||||||||||||||
(3,577,126 | ) | (4,448,860 | ) | (7,221,447 | ) | (2,739,594 | ) | (133,770 | ) | (2,123,789 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(321,795 | ) | 773,062 | (3,161,594 | ) | 227,143 | 2,073,361 | (1,265,039 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
215,918 | 159,100 | n/a | n/a | n/a | n/a | |||||||||||||||||||||||||
15,260 | 643 | n/a | n/a | n/a | n/a | |||||||||||||||||||||||||
— | — | n/a | n/a | n/a | n/a | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
231,178 | 159,743 | n/a | n/a | n/a | n/a | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
3,779,687 | 38,764,830 | 30,501,134 | 39,163,233 | (14,389,898 | ) | (88,189,893 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
2,602,723 | 34,426,457 | 34,927,319 | 35,862,592 | (9,660,111 | ) | (93,869,615 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
210,953,041 | 176,526,584 | 308,754,741 | 272,892,149 | 171,176,271 | 265,045,886 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 213,555,764 | $ | 210,953,041 | $ | 343,682,060 | $ | 308,754,741 | $ | 161,516,160 | $ | 171,176,271 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
3,341,399 | 5,869,022 | 9,066,205 | 7,489,171 | 1,841,451 | 3,847,524 | |||||||||||||||||||||||||
181,262 | 143,349 | 170,373 | 101,247 | 69,464 | 57,841 | |||||||||||||||||||||||||
(3,120,283 | ) | (2,197,771 | ) | (5,947,520 | ) | (3,777,209 | ) | (3,525,533 | ) | (12,326,165 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
402,378 | 3,814,600 | 3,289,058 | 3,813,209 | (1,614,618 | ) | (8,420,800 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
271,984 | 468,887 | 350,504 | 262,191 | 203,466 | 74,791 | |||||||||||||||||||||||||
64,781 | 56,533 | 46,595 | 29,010 | 8,736 | 9,118 | |||||||||||||||||||||||||
(371,231 | ) | (448,778 | ) | (704,905 | ) | (268,399 | ) | (12,797 | ) | (204,633 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(34,466 | ) | 76,642 | (307,806 | ) | 22,802 | 199,405 | (120,724 | ) | ||||||||||||||||||||||
|
|
|
|
|
| �� |
|
|
|
|
|
| ||||||||||||||||||
22,266 | 16,268 | n/a | n/a | n/a | n/a | |||||||||||||||||||||||||
1,586 | 66 | n/a | n/a | n/a | n/a | |||||||||||||||||||||||||
— | — | n/a | n/a | n/a | n/a | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
23,852 | 16,334 | n/a | n/a | n/a | n/a | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
391,764 | 3,907,576 | 2,981,252 | 3,836,011 | (1,415,213 | ) | (8,541,524 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
67
FROST FAMILY OF FUNDS | F R O S T F U N D S |
FINANCIAL HIGHLIGHTS |
For a Share Outstanding Throughout Each Year
For the Years Ended July 31,
Net Asset Value, Beginning of Year | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Investments | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Gains | Total Dividends & Distributions | Net Asset Value, End of Year | Total Return† | Net Assets End of Year (000) | Ratio of Expenses to Average Net Assets | Expenses to Average Net Assets (Excluding Waivers and Fees Paid Indirectly) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||||||||
Growth Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019 | $ | 14.49 | $ | 0.05 | $ | 1.09 | $ | 1.14 | $ | (0.04 | ) | $ | (1.77 | ) | $ | (1.81 | ) | $ | 13.82 | 10.34 | % | $ | 290,773 | 0.63 | % | 0.63 | % | 0.34 | % | 25 | % | |||||||||||||||||||||||||
2018 | 14.82 | 0.04 | 3.18 | 3.22 | (0.03 | ) | (3.52 | ) | (3.55 | ) | 14.49 | 25.05 | 272,509 | 0.65 | 0.65 | 0.26 | 15 | |||||||||||||||||||||||||||||||||||||||
2017 | 13.61 | 0.04 | 2.51 | 2.55 | (0.02 | ) | (1.32 | ) | (1.34 | ) | 14.82 | 20.54 | 251,675 | 0.79 | 0.79 | 0.27 | 16 | |||||||||||||||||||||||||||||||||||||||
2016 | 15.61 | 0.02 | (0.32 | ) | (0.30 | ) | (0.02 | ) | (1.68 | ) | (1.70 | ) | 13.61 | (1.72 | ) | 348,935 | 0.80 | 0.80 | 0.11 | 23 | ||||||||||||||||||||||||||||||||||||
2015 | 14.49 | 0.03 | 2.00 | 2.03 | (0.03 | ) | (0.88 | ) | (0.91 | ) | 15.61 | 14.45 | 388,998 | 0.80 | 0.80 | 0.21 | 19 | |||||||||||||||||||||||||||||||||||||||
Investor Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019 | $ | 14.30 | $ | 0.01 | $ | 1.08 | $ | 1.09 | $ | (0.01 | ) | $ | (1.77 | ) | $ | (1.78 | ) | $ | 13.61 | 10.05 | % | $ | 47,111 | 0.88 | % | 0.88 | % | 0.09 | % | 25 | % | |||||||||||||||||||||||||
2018 | 14.70 | — | 3.15 | 3.15 | (0.03 | ) | (3.52 | ) | (3.55 | ) | 14.30 | 24.72 | 46,266 | 0.90 | 0.90 | 0.01 | 15 | |||||||||||||||||||||||||||||||||||||||
2017 | 13.51 | 0.01 | 2.50 | 2.51 | — | (1.32 | ) | (1.32 | ) | 14.70 | 20.33 | 40,287 | 1.04 | 1.04 | 0.04 | 16 | ||||||||||||||||||||||||||||||||||||||||
2016 | 15.53 | (0.02 | ) | (0.32 | ) | (0.34 | ) | — | (1.68 | ) | (1.68 | ) | 13.51 | (2.01 | ) | 64,238 | 1.05 | 1.05 | (0.14 | ) | 23 | |||||||||||||||||||||||||||||||||||
2015 | 14.43 | (0.01 | ) | 1.99 | 1.98 | — | (0.88 | ) | (0.88 | ) | 15.53 | 14.17 | 64,522 | 1.05 | 1.05 | (0.03 | ) | 19 | ||||||||||||||||||||||||||||||||||||||
Value Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019 | $ | 9.17 | $ | 0.15 | $ | (0.34 | ) | $ | (0.19 | ) | $ | (0.15 | ) | $ | (1.08 | ) | $ | (1.23 | ) | $ | 7.75 | (1.12 | )% | $ | 23,922 | 0.74 | % | 0.74 | % | 1.79 | % | 41 | % | |||||||||||||||||||||||
2018 | 9.11 | 0.14 | �� | 0.70 | 0.84 | (0.14 | ) | (0.64 | ) | (0.78 | ) | 9.17 | 9.37 | 72,653 | 0.70 | 0.70 | 1.50 | 26 | ||||||||||||||||||||||||||||||||||||||
2017 | 10.02 | 0.19 | 1.19 | 1.38 | (0.19 | ) | (2.10 | ) | (2.29 | ) | 9.11 | 14.48 | 88,541 | 0.80 | 0.80 | 1.90 | 35 | |||||||||||||||||||||||||||||||||||||||
2016 | 11.20 | 0.15 | (0.16 | )‡ | (0.01 | ) | (0.15 | ) | (1.02 | ) | (1.17 | ) | 10.02 | 0.55 | 315,388 | 0.80 | 0.80 | 1.54 | 52 | |||||||||||||||||||||||||||||||||||||
2015 | 11.18 | 0.15 | 1.04 | 1.19 | (0.16 | ) | (1.01 | ) | (1.17 | ) | 11.20 | 11.14 | 273,297 | 0.80 | 0.80 | 1.37 | 53 | |||||||||||||||||||||||||||||||||||||||
Investor Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019 | $ | 9.16 | $ | 0.15 | $ | (0.37 | ) | $ | (0.22 | ) | $ | (0.13 | ) | $ | (1.08 | ) | $ | (1.21 | ) | $ | 7.73 | (1.46 | )% | $ | 5,450 | 0.99 | % | 0.99 | % | 1.77 | % | 41 | % | |||||||||||||||||||||||
2018 | 9.10 | 0.11 | 0.71 | 0.82 | (0.12 | ) | (0.64 | ) | (0.76 | ) | 9.16 | 9.16 | 29,512 | 0.95 | 0.95 | 1.23 | 26 | |||||||||||||||||||||||||||||||||||||||
2017 | 10.01 | 0.17 | 1.18 | 1.35 | (0.16 | ) | (2.10 | ) | (2.26 | ) | 9.10 | 14.20 | 28,678 | 1.05 | 1.05 | 1.69 | 35 | |||||||||||||||||||||||||||||||||||||||
2016 | 11.19 | 0.13 | (0.17 | )‡ | (0.04 | ) | (0.12 | ) | (1.02 | ) | (1.14 | ) | 10.01 | 0.30 | 60,576 | 1.05 | 1.05 | 1.29 | 52 | |||||||||||||||||||||||||||||||||||||
2015 | 11.17 | 0.13 | 1.03 | 1.16 | (0.13 | ) | (1.01 | ) | (1.14 | ) | 11.19 | 10.90 | 57,837 | 1.05 | 1.05 | 1.13 | 53 | |||||||||||||||||||||||||||||||||||||||
Mid Cap Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019 | $ | 9.97 | $ | 0.02 | $ | 0.14 | $ | 0.16 | $ | (0.02 | ) | $ | (2.66 | ) | $ | (2.68 | ) | $ | 7.45 | 5.67 | % | $ | 3,767 | 1.55 | % | 1.90 | % | 0.25 | % | 57 | % | |||||||||||||||||||||||||
2018 | 10.65 | 0.01 | 1.41 | 1.42 | — | (2.10 | ) | (2.10 | ) | 9.97 | 14.09 | 12,701 | 1.34 | 1.34 | 0.08 | 55 | ||||||||||||||||||||||||||||||||||||||||
2017 | 9.85 | (0.01 | ) | 1.48 | 1.47 | — | (0.67 | ) | (0.67 | ) | 10.65 | 15.47 | 10,606 | 1.36 | 1.36 | (0.15 | ) | 38 | ||||||||||||||||||||||||||||||||||||||
2016 | 13.73 | (0.06 | ) | (1.30 | ) | (1.36 | ) | — | (2.52 | ) | (2.52 | ) | 9.85 | (9.08 | ) | 10,576 | 1.45 | 1.45 | (0.57 | ) | 102 | |||||||||||||||||||||||||||||||||||
2015 | 14.57 | (0.15 | ) | 1.91 | 1.76 | — | (2.60 | ) | (2.60 | ) | 13.73 | 14.26 | 15,971 | 1.47 | (2) | 1.42 | (1.08 | ) | 80 | |||||||||||||||||||||||||||||||||||||
Investor Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019 | $ | 9.82 | $ | — | $ | 0.15 | $ | 0.15 | $ | (0.01 | ) | $ | (2.66 | ) | $ | (2.67 | ) | $ | 7.30 | 5.60 | % | $ | 646 | 1.80 | % | 2.25 | % | (0.01 | )% | 57 | % | |||||||||||||||||||||||||
2018 | 10.52 | — | 1.40 | 1.40 | — | (2.10 | ) | (2.10 | ) | 9.82 | 14.04 | 845 | 1.52 | 1.52 | 0.01 | 55 | ||||||||||||||||||||||||||||||||||||||||
2017 | 9.74 | (0.04 | ) | 1.49 | 1.45 | — | (0.67 | ) | (0.67 | ) | 10.52 | 15.43 | 6,531 | 1.62 | 1.62 | (0.41 | ) | 38 | ||||||||||||||||||||||||||||||||||||||
2016 | 13.65 | (0.04 | ) | (1.35 | ) | (1.39 | ) | — | (2.52 | ) | (2.52 | ) | 9.74 | (9.38 | ) | 3,421 | 1.73 | 1.73 | (0.43 | ) | 102 | |||||||||||||||||||||||||||||||||||
2015 | 14.53 | (0.19 | ) | 1.91 | 1.72 | — | (2.60 | ) | (2.60 | ) | 13.65 | 14.01 | 583 | 1.74 | (2) | 1.70 | (1.39 | ) | 80 |
† | Total return is for the period indicated and has not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
‡ | The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains on investments for that period because of the sales and repurchases of Fund shares in relation to fluctuating market value of the investments of the Fund. |
(1) | Per share data calculated using the average shares method. |
(2) | Ratio includes previously waived investment advisory fees recovered. |
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
68
FROST FAMILY OF FUNDS | F R O S T F U N D S |
FINANCIAL HIGHLIGHTS |
For a Share Outstanding Throughout Each Period
For the Years or Periods Ended July 31,
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gains (Losses) on Investments | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Gains | Total Dividends & Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period (000) | Ratio of Expenses to Average Net Assets | Expenses to Average Net Assets (Excluding Waivers and Fees Paid Indirectly) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||||||||
Total Return Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019 | $ | 10.28 | $ | 0.39 | $ | 0.13 | $ | 0.52 | $ | (0.38 | ) | $ | — | $ | (0.38 | ) | $ | 10.42 | 5.19 | % | $ | 3,191,392 | 0.47 | % | 0.48 | % | 3.77 | % | 40 | % | ||||||||||||||||||||||||||
2018 | 10.50 | 0.37 | (0.20 | ) | 0.17 | (0.37 | ) | (0.02 | ) | (0.39 | ) | 10.28 | 1.60 | 2,349,388 | 0.48 | 0.48 | 3.60 | 15 | ||||||||||||||||||||||||||||||||||||||
2017 | 10.52 | 0.39 | (0.02 | ) | 0.37 | (0.38 | ) | (0.01 | ) | (0.39 | ) | 10.50 | 3.63 | 1,918,126 | 0.51 | 0.51 | 3.68 | 24 | ||||||||||||||||||||||||||||||||||||||
2016 | 10.56 | 0.41 | — | 0.41 | (0.40 | ) | (0.05 | ) | (0.45 | ) | 10.52 | 4.02 | 1,606,097 | 0.52 | 0.52 | 3.90 | 32 | |||||||||||||||||||||||||||||||||||||||
2015 | 10.90 | 0.38 | (0.21 | ) | 0.17 | (0.38 | ) | (0.13 | ) | (0.51 | ) | 10.56 | 1.58 | 1,565,895 | 0.51 | 0.51 | 3.51 | 49 | ||||||||||||||||||||||||||||||||||||||
Investor Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019 | $ | 10.28 | $ | 0.36 | $ | 0.13 | $ | 0.49 | $ | (0.36 | ) | $ | — | $ | (0.36 | ) | $ | 10.41 | 4.83 | % | $ | 520,291 | 0.72 | % | 0.73 | % | 3.51 | % | 40 | % | ||||||||||||||||||||||||||
2018 | 10.50 | 0.35 | (0.21 | ) | 0.14 | (0.34 | ) | (0.02 | ) | (0.36 | ) | 10.28 | 1.35 | 374,298 | 0.73 | 0.73 | 3.35 | 15 | ||||||||||||||||||||||||||||||||||||||
2017 | 10.52 | 0.36 | (0.02 | ) | 0.34 | (0.35 | ) | (0.01 | ) | (0.36 | ) | 10.50 | 3.37 | 324,772 | 0.76 | 0.76 | 3.43 | 24 | ||||||||||||||||||||||||||||||||||||||
2016 | 10.56 | 0.38 | — | 0.38 | (0.37 | ) | (0.05 | ) | (0.42 | ) | 10.52 | 3.76 | 260,702 | 0.77 | 0.77 | 3.65 | 32 | |||||||||||||||||||||||||||||||||||||||
2015 | 10.90 | 0.35 | (0.20 | ) | 0.15 | (0.36 | ) | (0.13 | ) | (0.49 | ) | 10.56 | 1.33 | 253,157 | 0.75 | 0.75 | 3.26 | 49 | ||||||||||||||||||||||||||||||||||||||
A Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019 | $ | 10.28 | $ | 0.36 | $ | 0.11 | $ | 0.47 | $ | (0.34 | ) | $ | — | $ | (0.34 | ) | $ | 10.41 | 4.69 | % | $ | 998 | 0.82 | % | 0.83 | % | 3.49 | % | 40 | % | ||||||||||||||||||||||||||
2018(a) | 10.29 | 0.05 | (0.01 | ) | 0.04 | (0.05 | ) | — | (0.05 | ) | 10.28 | 0.44 | 193 | 0.88 | * | 0.88 | * | 3.05 | * | 15 | ** | |||||||||||||||||||||||||||||||||||
Credit Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019 | $ | 9.78 | $ | 0.40 | $ | 0.06 | $ | 0.46 | $ | (0.49 | ) | $ | (0.03 | ) | $ | (0.52 | ) | $ | 9.72 | 4.88 | % | $ | 199,800 | 0.70 | % | 0.70 | % | 4.18 | % | 19 | % | |||||||||||||||||||||||||
2018 | 9.99 | 0.56 | (0.17 | ) | 0.39 | (0.47 | ) | (0.13 | ) | (0.60 | ) | 9.78 | 3.96 | 197,014 | 0.71 | 0.71 | 5.67 | 33 | ||||||||||||||||||||||||||||||||||||||
2017 | 9.63 | 0.55 | 0.30 | 0.85 | (0.49 | ) | — | (0.49 | ) | 9.99 | 9.08 | 163,210 | 0.81 | 0.81 | 5.57 | 27 | ||||||||||||||||||||||||||||||||||||||||
2016 | 9.86 | 0.49 | (0.24 | ) | 0.25 | (0.48 | )^ | — | (0.48 | ) | 9.63 | 2.79 | 129,395 | 0.83 | 0.83 | 5.27 | 36 | |||||||||||||||||||||||||||||||||||||||
2015 | 10.27 | 0.49 | (0.34 | ) | 0.15 | (0.49 | ) | (0.07 | ) | (0.56 | ) | 9.86 | 1.45 | 88,349 | 0.84 | 0.84 | 4.83 | 47 | ||||||||||||||||||||||||||||||||||||||
Investor Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019 | $ | 9.77 | $ | 0.38 | $ | 0.05 | $ | 0.43 | $ | (0.46 | ) | $ | (0.03 | ) | $ | (0.49 | ) | $ | 9.71 | 4.62 | % | $ | 13,366 | 0.95 | % | 0.95 | % | 3.93 | % | 19 | % | |||||||||||||||||||||||||
2018 | 9.98 | 0.54 | (0.18 | ) | 0.36 | (0.44 | ) | (0.13 | ) | (0.57 | ) | 9.77 | 3.71 | 13,779 | 0.96 | 0.96 | 5.41 | 33 | ||||||||||||||||||||||||||||||||||||||
2017 | 9.62 | 0.52 | 0.31 | 0.83 | (0.47 | ) | — | (0.47 | ) | 9.98 | 8.82 | 13,317 | 1.06 | 1.06 | 5.28 | 27 | ||||||||||||||||||||||||||||||||||||||||
2016 | 9.85 | 0.47 | (0.25 | ) | 0.22 | (0.45 | )^ | — | (0.45 | ) | 9.62 | 2.54 | 10,565 | 1.08 | 1.08 | 5.02 | 36 | |||||||||||||||||||||||||||||||||||||||
2015 | 10.26 | 0.46 | (0.34 | ) | 0.12 | (0.46 | ) | (0.07 | ) | (0.53 | ) | 9.85 | 1.19 | 9,671 | 1.08 | 1.08 | 4.58 | 47 | ||||||||||||||||||||||||||||||||||||||
A Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019 | $ | 9.76 | $ | 0.37 | $ | 0.06 | $ | 0.43 | $ | (0.45 | ) | $ | (0.03 | ) | $ | (0.48 | ) | $ | 9.71 | 4.60 | % | $ | 390 | 1.05 | % | 1.05 | % | 3.83 | % | 19 | % | |||||||||||||||||||||||||
2018(a) | 9.80 | 0.08 | (0.04 | ) | 0.04 | (0.08 | ) | — | (0.08 | ) | 9.76 | 0.36 | 160 | 1.11 | * | 1.11 | * | 4.68 | * | 33 | ** | |||||||||||||||||||||||||||||||||||
Low Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019 | $ | 10.14 | $ | 0.22 | $ | 0.13 | $ | 0.35 | $ | (0.21 | ) | $ | — | $ | (0.21 | ) | $ | 10.28 | 3.52 | % | $ | 318,215 | 0.43 | % | 0.43 | % | 2.16 | % | 23 | % | ||||||||||||||||||||||||||
2018 | 10.25 | 0.19 | (0.11 | ) | 0.08 | (0.19 | )^ | — | (0.19 | ) | 10.14 | 0.80 | 280,519 | 0.45 | 0.45 | 1.83 | 20 | |||||||||||||||||||||||||||||||||||||||
2017 | 10.28 | 0.18 | (0.03 | ) | 0.15 | (0.18 | ) | — | (0.18 | ) | 10.25 | 1.48 | 244,575 | 0.46 | 0.46 | 1.80 | 26 | |||||||||||||||||||||||||||||||||||||||
2016 | 10.30 | 0.16 | (0.01 | ) | 0.15 | (0.17 | ) | — | (0.17 | ) | 10.28 | 1.43 | 214,708 | 0.51 | 0.51 | 1.58 | 36 | |||||||||||||||||||||||||||||||||||||||
2015 | 10.30 | 0.13 | — | 0.13 | (0.13 | ) | — | (0.13 | ) | 10.30 | 1.30 | 214,904 | 0.52 | 0.52 | 1.29 | 52 | ||||||||||||||||||||||||||||||||||||||||
Investor Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019 | $ | 10.14 | $ | 0.19 | $ | 0.14 | $ | 0.33 | $ | (0.19 | ) | $ | — | $ | (0.19 | ) | $ | 10.28 | 3.26 | % | $ | 25,467 | 0.68 | % | 0.68 | % | 1.90 | % | 23 | % | ||||||||||||||||||||||||||
2018 | 10.25 | 0.16 | (0.10 | ) | 0.06 | (0.17 | )^ | — | (0.17 | ) | 10.14 | 0.54 | 28,236 | 0.70 | 0.70 | 1.58 | 20 | |||||||||||||||||||||||||||||||||||||||
2017 | 10.28 | 0.16 | (0.03 | ) | 0.13 | (0.16 | ) | — | (0.16 | ) | 10.25 | 1.24 | 28,317 | 0.71 | 0.71 | 1.55 | 26 | |||||||||||||||||||||||||||||||||||||||
2016 | 10.30 | 0.14 | (0.02 | ) | 0.12 | (0.14 | ) | — | (0.14 | ) | 10.28 | 1.18 | 19,678 | 0.76 | 0.76 | 1.33 | 36 | |||||||||||||||||||||||||||||||||||||||
2015 | 10.30 | 0.11 | — | 0.11 | (0.11 | ) | — | (0.11 | ) | 10.30 | 1.05 | 19,026 | 0.77 | 0.77 | 1.04 | 52 |
* | Annualized. |
** | Not annualized. |
† | Total return is for the period indicated and has not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
^ | Includes a return of capital of less than $0.01 per share. |
(a) | Commenced operations on June 1, 2018. |
(1) | Per share data calculated using the average shares method. |
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
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FROST FAMILY OF FUNDS | F R O S T F U N D S |
FINANCIAL HIGHLIGHTS |
For a Share Outstanding Throughout Each Year
For the Years Ended July 31,
Net Asset Value, Beginning of Year | Net Investment Income(1) | Net Realized and Unrealized Gains (Losses) on Investments | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Gains | Total Dividends & Distributions | Net Asset Value, End of Year | Total Return† | Net Assets End of Year (000) | Ratio of Expenses to Average Net Assets | Expenses to Average Net Assets (Excluding Waivers and Fees Paid Indirectly) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||||||||
Municipal Bond Fund |
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Institutional Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019 | $ | 10.20 | $ | 0.24 | $ | 0.31 | $ | 0.55 | $ | (0.24 | ) | $ | — | ^^ | $ | (0.24 | ) | $ | 10.51 | 5.49 | %†† | $ | 155,224 | 0.41 | % | 0.51 | % | 2.31 | % | 9 | % | |||||||||||||||||||||||||
2018 | 10.46 | 0.24 | (0.21 | ) | 0.03 | (0.25 | ) | (0.04 | ) | (0.29 | ) | 10.20 | 0.26 | †† | 167,105 | 0.43 | 0.53 | 2.35 | 3 | |||||||||||||||||||||||||||||||||||||
2017 | 10.70 | 0.24 | (0.24 | ) | — | (0.24 | ) | — | (0.24 | ) | 10.46 | 0.00 | †† | 259,606 | 0.42 | 0.52 | 2.28 | 21 | ||||||||||||||||||||||||||||||||||||||
2016 | 10.51 | 0.26 | 0.18 | 0.44 | (0.25 | ) | — | (0.25 | ) | 10.70 | 4.22 | †† | 265,697 | 0.42 | 0.52 | 2.45 | 5 | |||||||||||||||||||||||||||||||||||||||
2015 | 10.52 | 0.26 | 0.01 | 0.27 | (0.27 | ) | (0.01 | ) | (0.28 | ) | 10.51 | 2.52 | †† | 234,565 | 0.42 | 0.52 | 2.49 | 9 | ||||||||||||||||||||||||||||||||||||||
Investor Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019 | $ | 10.20 | $ | 0.21 | $ | 0.31 | $ | 0.52 | $ | (0.21 | ) | $ | — | ^^ | $ | (0.21 | ) | $ | 10.51 | 5.21 | %†† | $ | 6,292 | 0.66 | % | 0.76 | % | 2.07 | % | 9 | % | |||||||||||||||||||||||||
2018 | 10.46 | 0.22 | (0.22 | ) | — | (0.22 | ) | (0.04 | ) | (0.26 | ) | 10.20 | 0.00 | †† | 4,071 | 0.68 | 0.78 | 2.12 | 3 | |||||||||||||||||||||||||||||||||||||
2017 | 10.70 | 0.21 | (0.24 | ) | (0.03 | ) | (0.21 | ) | — | (0.21 | ) | 10.46 | (0.25 | )†† | 5,440 | 0.67 | 0.77 | 2.03 | 21 | |||||||||||||||||||||||||||||||||||||
2016 | 10.50 | 0.23 | 0.19 | 0.42 | (0.22 | ) | — | (0.22 | ) | 10.70 | 4.06 | †† | 5,432 | 0.67 | 0.77 | 2.18 | 5 | |||||||||||||||||||||||||||||||||||||||
2015 | 10.52 | 0.24 | (0.01 | ) | 0.23 | (0.24 | ) | (0.01 | ) | (0.25 | ) | 10.50 | 2.16 | †† | 3,906 | 0.67 | 0.77 | 2.25 | 9 |
† | Total return is for the period indicated and has not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
†† | Total return would have been lower had certain expenses not been waived and assumed by the Adviser during the period. |
^^ | Amount is less than $0.01 per share. |
(1) | Per share data calculated using the average shares method. |
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
NOTES TO FINANCIAL STATEMENTS |
1. Organization:
The Frost Family of Funds (the “Trust”) is anopen-end investment management company established under Delaware law as a Delaware statutory trust under a Declaration of Trust dated December 11, 2018. The Frost Funds include the Frost Growth Equity Fund (the “Growth Equity Fund”), Frost Value Equity Fund (the “Value Equity Fund”), Frost Mid Cap Equity Fund (the “Mid Cap Equity Fund”), Frost Total Return Bond Fund (the “Total Return Bond Fund”), Frost Credit Fund (the “Credit Fund”), Frost Low Duration Bond Fund (the “Low Duration Bond Fund”), and Frost Municipal Bond Fund (the “Municipal Bond Fund”) (each a “Fund” and collectively the “Funds”). Each Fund is classified as a “diversified” investment company under the 1940 Act. The Growth Equity Fund seeks to achieve long-term capital appreciation. The Value Equity Fund seeks to achieve long-term capital appreciation and current income. The Mid Cap Equity Fund seeks to maximize long-term capital appreciation. The Total Return Bond Fund, Credit Fund and Low Duration Bond Fund seek to maximize total return, consisting of income and capital appreciation, consistent with the preservation of principal. The Municipal Bond Fund seeks to provide a consistent level of current income exempt from federal income tax with a secondary emphasis on maximizing total return through capital appreciation. The Funds may change their investment objective without shareholder approval. The assets of each Fund of the Trust are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. Certain of the Funds currently offer Institutional Class Shares, Investor Class Shares and A Class Shares.
Each Fund is a successor to a corresponding predecessor mutual fund of the same name that was a series of The Advisors’ Inner Circle Fund II (each, a “Predecessor Fund” and collectively, the “Predecessor Funds”). Each Predecessor Fund was managed by Frost Investment Advisors, LLC (the “Adviser” or “Frost”) using substantially the same investment objectives, strategies, policies and restrictions as those used by its corresponding Fund. Each Predecessor Fund was reorganized into its corresponding Fund on June 24, 2019 in connection with each Fund’s commencement of operations (each, a “Reorganization”). Each Predecessor Fund is treated as the survivor of the relevant Reorganization for accounting and performance reporting purposes. Accordingly, all performance and other information shown for the Funds for periods prior to June 24, 2019 is that of the Predecessor Funds.
2. Significant Accounting Policies:
The following are significant accounting policies, which are consistently followed in preparation of the financial statements of the Funds. The Funds are investment companies that apply the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board (“FASB”).
Use of Estimates — The preparation of financial statements, in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.
Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ), including securities traded over the counter, are valued at the last quoted sale price on an exchange or market (foreign or domestic) on which they are traded on the valuation date (or at approximately 4:00 p.m. Eastern Time if such exchange is normally open at that time), or, if there is no such reported sale on the valuation date, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. Debt securities are priced based upon valuations provided by independent, third-party pricing agents, if available. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Such methodologies generally consider such factors as security prices, yields, maturities, call features, ratings and developments relating to specific securities in arriving at valuations. On the first day a new debt security purchase is recorded, if a price is not available on the automated pricing feeds from the primary and secondary pricing vendors nor is it available from an independent broker, the security may be valued at its purchase price. Each day thereafter, the debt security will be valued according to the Trust’s fair value procedures until an independent source can be secured. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value provided that it is determined the amortized cost continues to approximate fair value. Should existing credit, liquidity or interest rate conditions in the relevant markets and issuer specific circumstances suggest that amortized cost does not approximate fair value, then the amortized cost method may not be used. The prices for foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates.
Exchange-traded registered investment companies are valued at the closing price from the primary exchange.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
Open-end investment companies held in the Funds’ portfolios are valued at the published net asset value.
Securities for which market prices are not “readily available” are valued in accordance with fair value procedures established by the Funds’ Board of Trustees (the “Board”). The Funds’ fair value procedures are implemented through a fair value pricing committee (the “Committee”) designated by the Board. Some of the more common reasons that may necessitate that a security be valued using fair value procedures include: the security’s trading has been halted or suspended; the security has beende-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; the security has not been traded for an extended period of time; the security’s primary pricing source is not able or willing to provide a price; or trading of the security is subject to local government-imposed restrictions. When a security is valued in accordance with the fair value procedures, the Committee will determine its value after taking into consideration relevant information reasonably available to the Committee.
For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time a Fund calculates net asset value if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that a Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If Frost Investment Advisors, LLC (the “Adviser”) becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which a Fund calculates net asset value, it may request that a Committee meeting be called. In addition, SEI Investments Global Funds Services (the “Administrator”), a wholly owned subsidiary of SEI Investments Company, monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time a Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the Administrator, the Administrator notifies the Adviser if a Fund is holding a relevant security that such limits have been exceeded. In such event, the Adviser makes the determination whether a Committee meeting should be called based on the information provided.
In accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP, the Funds disclose fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).
The three levels of the fair value hierarchy are described below:
• | Level 1 — Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Funds have the ability to access at the measurement date; |
• | Level 2 — Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and |
• | Level 3 — Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity). |
Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.
For the year ended July 31, 2019, there have been no changes to the Funds’ fair value methodologies.
Federal Income Taxes — It is each Fund’s intention to continue to qualify as a regulated investment company underSub- chapter M of the Internal Revenue Code and to distribute substantially all of its taxable income. Accordingly, no provision for Federal income taxes has been made in the financial statements.
The Funds evaluate tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether it is“more-likely-than-not” (i.e., greater than50-percent) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. Tax positions not deemed to meet themore-likely-than-not threshold are recorded as a tax benefit or expense in the current year. The Funds did not record any tax provision in the current period. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, examination by tax authorities (i.e., the last 3 tax year ends, as applicable),on-going analysis of and changes to tax laws, regulations and interpretations thereof.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
As of and during the year ended July 31, 2019, the Funds did not have liabilities for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statement of Operations. During the year ended July 31, 2019, the Funds did not incur any interest or penalties.
Security Transactions and Investment Income — Security transactions are accounted for on trade date for financial reporting purposes. Costs used in determining realized gains and losses on the sales of investment securities are based on the specific identification method. Dividend income is recognized on theex-dividend date, interest income is recognized on an accrual basis and includes the amortization of premiums and the accretion of discount. Realized gains (losses) on paydowns of mortgage-backed and asset-backed securities are recorded as an adjustment to interest income.
Repurchase Agreements — In connection with transactions involving repurchase agreements, a third party custodian bank takes possession of the underlying securities (“collateral”), the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. Such collateral will be cash, debt securities issued or guaranteed by the U.S. Government, securities that at the time the repurchase agreement is entered into are rated in the highest category by a nationally recognized statistical rating organization (“NRSRO”) or unrated category by an NRSRO, as determined by the Adviser. In the event of default on the obligation to repurchase, the Funds have the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event of default or bankruptcy by the counterparty to the agreement, realization and/or retention of the collateral or proceeds may be subject to legal proceedings.
Expenses — Expenses of the Trust that can be directly attributed to a particular fund are borne by that fund. Expenses which cannot be directly attributed to a fund are apportioned among the funds of the Trust based on the number of funds and/or relative net assets.
Classes — Class specific expenses are borne by the specific class of shares. Income, realized and unrealized gain (loss), andnon-class specific expenses are allocated to the respective class on the basis of relative daily net assets.
Dividends and Distributions to Shareholders — The Growth Equity Fund and Mid Cap Equity Fund each distribute their net investment income and make distributions of their net realized capital gains, if any, at least annually. The Value Equity Fund, Total Return Bond Fund, Credit Fund, Low Duration Bond Fund, and Municipal Bond Fund each distribute their net investment income monthly, as available, and make distributions of their net realized capital gains, if any, at least annually.
Line of Credit — The Funds entered into an agreement which enables them to participate in a $100 million unsecured committed revolving line of credit on a first come, first serve basis, with MUFG Union Bank, N.A. (the “Custodian”) which expires June 30, 2020. The proceeds from the borrowings shall be used to finance the Funds’ short-term general working capital requirements, including the funding of shareholder redemptions. Interest is charged to the Funds based on their borrowings during the year at the Custodian’s current reference rate. As of July 31, 2019, there were no borrowings outstanding. Listed below are Funds which had borrowings during the year ended July 31, 2019:
Maximum Amount Borrowed | Number of Days Outstanding | Average Outstanding Balance | Daily Weighted Average Interest Rate | Interest Paid | ||||||||||||||||
Value Equity Fund | $ | 3,615,133 | 29 | $ | 940,803 | 5.50 | % | $ | 4,230 | |||||||||||
Mid Cap Equity Fund | 1,346,042 | 51 | 145,575 | 5.47 | 1,115 |
3. Transactions with Affiliates:
Certain officers and a trustee of the Trust are also employees of the Administrator, and/or SEI Investments Distribution Co. (the “Distributor”). Such officers and the trustee are paid no fees by the Trust for serving as officers and trustee of the Trust. A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are the employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust’s advisers and service providers as required by SEC regulations. The CCO’s services have been approved by and are reviewed by the Board.
4. Administration, Distribution, Shareholder Servicing, Transfer Agent and Custodian Agreements:
The Funds and the Administrator are parties to an Administration Agreement under which the Administrator provides administrative services to the Fund. For these services, the Administrator is paid an asset-based fee, which will vary depending on the number of share classes and the average daily net assets of the Funds. For the year ended July 31, 2019, the Funds were charged as follows for these services: $229,013 in the Growth Equity Fund, $49,024 in the Value Equity Fund, $5,507 in the Mid Cap Equity Fund, $2,348,839 in the Total Return Bond Fund, $156,137 in the Credit Fund, $237,985 in the Low Duration Bond Fund, and $120,125 in the Municipal Bond Fund.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
The Funds have adopted a Distribution Plan (the “Plan”) for the Investor Class Shares and A Class Shares. Under the Plan, the Distributor, or third parties that enter into agreements with the Distributor, may receive up to 0.25% of each Fund’s average net assets attributable to the Investor Class Shares and A Class Shares as compensation for distribution services.
The Funds have adopted a shareholder servicing plan that provides that the Funds may pay financial intermediaries for shareholder services in an annual amount not to exceed 0.15% based on the average daily net assets of the Funds’ A Class Shares. The services for which financial intermediaries are compensated may include record-keeping, transaction processing for shareholders’ accounts and other shareholder services.
DST Systems, Inc. serves as the transfer agent and dividend disbursing agent for the Funds under a transfer agency agreement with the Trust. The Funds may earn cash management credits which can be used to offset transfer agent expenses. These credit amounts are listed as “Fees Paid Indirectly” on the Statements of Operations.
MUFG Union Bank, N.A. serves as Custodian for the Funds. The Custodian plays no role in determining the investment policies of the Funds or which securities are to be purchased or sold by the Funds.
5. Investment Advisory Agreement:
The Adviser serves as the investment adviser to the Funds. The Adviser is a wholly ownednon-banking subsidiary of Cullen/Frost Bankers, Inc. (“Frost Bank”). For its services, the Adviser is entitled to a fee, which is calculated daily and paid monthly, at the following annual rates based on the average daily net assets of each Fund. The Adviser has contractually agreed to reduce its fees and/or reimburse expenses for certain Funds to the extent necessary to keep total annual Fund operating expenses from exceeding certain levels as set forth below until June 24, 2021 (the “Contractual Expense Limitation”) for the Growth Equity Fund, Value Equity Fund, Mid Cap Equity Fund, Total Return Bond Fund, Credit Fund and Low Duration Bond Fund. The Adviser is entitled to the same fee for its services to each Predecessor Fund as it is for each Predecessor Fund’s corresponding Fund. In addition, the Adviser agreed to the same Contractual Expense Limitation and Voluntary Expense Limitation, as applicable, for each Predecessor Fund as with its corresponding Fund.
The table below shows the rate of each Fund’s investment advisory fee and the Adviser’s Contractual Expense Limitation for each Fund:
Fund | Advisory Fee Before Contractual Fee Reduction | Institutional Class Shares Contractual Expense Limitation | Investor Class Shares Contractual Expense Limitation | A Class Shares Contractual Expense Limitation | ||||
Growth Equity Fund† | 0.50% | 1.25% | 1.50% | N/A | ||||
Value Equity Fund† | 0.50% | 1.25% | 1.50% | N/A | ||||
Mid Cap Equity Fund† | 0.50% | 1.55% | 1.80% | N/A | ||||
Total Return Bond Fund | 0.35% | 0.95% | 1.20% | 1.35% | ||||
Credit Fund†† | 0.50% | 1.00% | 1.25% | 1.40% | ||||
Low Duration Bond Fund | 0.30% | 0.95% | 1.20% | N/A |
† | Prior to September 1, 2017, the investment advisory fee was 0.65%. |
†† | Prior to September 1, 2017, the investment advisory fee was 0.60%. |
The Adviser has voluntarily agreed to reduce its investment advisory fees for the Municipal Bond Fund as set forth below (“Voluntary Fee Reduction”). In addition, the Adviser has voluntarily agreed to further reduce its fees and/or reimburse expenses to the extent necessary to keep from exceeding certain levels as set forth below (“Voluntary Expense Limitation”). The Adviser may discontinue all or part of these fee reductions or reimbursements at any time.
The table below shows the rate of the Municipal Bond Fund’s investment advisory fee and the Adviser’s Voluntary Fee Reduction and Voluntary Expense Limitation.
Fund | Advisory Fee Before Voluntary Fee Reduction | Adviser’s Voluntary Fee Reduction | Institutional Class Shares Voluntary Expense Limitation | Investor Class Shares Voluntary Expense Limitation | ||||
Municipal Bond Fund | 0.35% | 0.10% | 1.05% | 1.30% |
If at any point it becomes unnecessary for the Adviser to make Expense Limitation reimbursements, the Adviser may retain the difference between the “Total Annual Fund Operating Expenses” and the aforementioned Expense Limitations to recapture all or a portion of its prior Expense Limitation reimbursements made during the preceding three year period up to the expense cap
74
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
in place at the time the expenses were waived. The Adviser, however, will not be permitted to recapture any amount that is attributable to its Voluntary Fee Reduction. During the year ended July 31, 2019, the Adviser did not recapture previously waived/reimbursed fees for the Funds. As of July 31, 2019, the Mid Cap Equity Fund had $26,438 of advisory fees waived which may be recouped by the Advisor through their expiration in 2022. A liability was not recorded as of July 31, 2019 due to the Advisor’s assessment this recoupment is unlikely.
6. Investment Transactions:
The cost of security purchases and the proceeds from the sales and maturities of securities, other than short-term investments, for the year ended July 31, 2019 were as follows:
U.S. Government | Other | Total | ||||||||||
Growth Equity Fund | ||||||||||||
Purchases | $ | — | $ | 74,620,593 | $ | 74,620,593 | ||||||
Sales | — | 90,955,247 | 90,955,247 | |||||||||
Value Equity Fund | ||||||||||||
Purchases | — | 25,541,916 | 25,541,916 | |||||||||
Sales | — | 84,866,938 | 84,866,938 | |||||||||
Mid Cap Equity Fund | ||||||||||||
Purchases | — | 4,136,463 | 4,136,463 | |||||||||
Sales | — | 12,677,701 | 12,677,701 | |||||||||
Total Return | ||||||||||||
Purchases | 546,608,962 | 1,149,781,727 | 1,696,390,689 | |||||||||
Sales | 569,719,296 | 557,046,695 | 1,126,765,991 |
U.S. Government | Other | Total | ||||||||||
Credit Fund | ||||||||||||
Purchases | $ | — | $ | 35,598,640 | $ | 35,598,640 | ||||||
Sales | — | 46,718,949 | 46,718,949 | |||||||||
Low Duration Bond Fund | ||||||||||||
Purchases | 10,000,000 | 76,083,126 | 86,083,126 | |||||||||
Sales | 34,051,674 | 32,439,741 | 66,491,415 | |||||||||
Municipal Bond Fund | ||||||||||||
Purchases | — | 13,601,432 | 13,601,432 | |||||||||
Sales | — | 30,898,683 | 30,898,683 |
The Funds may purchase or sell investment securities in transactions with affiliated entities under procedures adopted by the Board, pursuant to Rule17a-7 of the 1940 Act. These transactions are effected at market rates without incurring broker commissions. During the year ended July 31, 2019, there were no17a-7 transactions.
7. Federal Tax Information:
The timing and characterization of certain income and capital gains distributions are determined annually in accordance with federal tax regulations which may differ from U.S. generally accepted accounting principles. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. These book/tax differences may be temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to distributable earnings or paid-in capital, as appropriate, in the period that the differences arise. During the year ended July 31, 2019, there were no such permanent reclassifications.
The tax character of dividends and distributions declared during the years ended July 31, 2019 and July 31, 2018 was as follows:
Tax Exempt | Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | ||||||||||||||||
Growth Equity Fund | ||||||||||||||||||||
2019 | $ | — | $ | 792,945 | $ | 38,925,590 | $ | — | $ | 39,718,535 | ||||||||||
2018 | — | 2,140,905 | 66,489,932 | — | 68,630,837 | |||||||||||||||
Value Equity Fund | ||||||||||||||||||||
2019 | — | 1,288,977 | 8,800,154 | — | 10,089,131 | |||||||||||||||
2018 | — | 1,879,241 | 7,090,261 | — | 8,969,502 | |||||||||||||||
Mid Cap Equity Fund | ||||||||||||||||||||
2019 | — | 170,406 | 2,273,195 | — | 2,443,601 | |||||||||||||||
2018 | — | 106,520 | 2,287,565 | — | 2,394,085 | |||||||||||||||
Total Return Bond Fund | ||||||||||||||||||||
2019 | — | 118,764,303 | — | — | 118,764,303 | |||||||||||||||
2018 | — | 89,599,810 | 2,753,642 | — | 92,353,452 | |||||||||||||||
Credit Fund | ||||||||||||||||||||
2019 | — | 10,589,414 | 753,974 | — | 11,343,388 | |||||||||||||||
2018 | — | 9,436,328 | 2,211,045 | — | 11,647,373 | |||||||||||||||
Low Duration Bond Fund | ||||||||||||||||||||
2019 | — | 6,717,942 | — | — | 6,717,942 | |||||||||||||||
2018 | — | 5,332,442 | — | 123,530 | 5,455,972 | |||||||||||||||
Municipal Bond Fund | ||||||||||||||||||||
2019 | 3,585,302 | 215,090 | — | — | 3,800,392 | |||||||||||||||
2018 | 4,691,519 | 71,882 | 866,538 | — | 5,629,939 |
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
As of July 31, 2019, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
Undistributed Ordinary | Undistributed Tax-Exempt Income | Undistributed | Capital Loss Carryforwards | Post-October Losses | Late-Year Loss Deferral | Unrealized Appreciation (Depreciation) | Other Temporary Differences | Total Distributable Earnings (Accumulated Losses) | ||||||||||||||||||||||||||||
Growth Equity Fund | $ | 560,769 | $ | — | $ | 23,520,604 | $ | — | $ | — | $ | — | $ | 149,347,559 | $ | 5 | $ | 173,428,937 | ||||||||||||||||||
Value Equity Fund | 16,695 | — | 1,297,572 | — | — | — | 2,256,378 | 3 | 3,570,648 | |||||||||||||||||||||||||||
Mid Cap Equity Fund | — | — | 652,227 | — | — | — | 412,095 | 2 | 1,064,324 | |||||||||||||||||||||||||||
Total Return Bond Fund | 197,689 | — | — | (9,979,178 | ) | (17,434,191 | ) | — | (2,843,414 | ) | 19 | (30,059,075 | ) | |||||||||||||||||||||||
Credit Fund | 19,447 | — | — | — | (3,075,517 | ) | — | (78,642 | ) | (3 | ) | (3,134,715 | ) | |||||||||||||||||||||||
Low Duration Bond Fund | 171,263 | — | — | (1,560,644 | ) | (37,965 | ) | — | 2,016,006 | 6 | 588,666 | |||||||||||||||||||||||||
Municipal Bond Fund | — | 81,144 | 27,584 | — | — | — | 3,497,820 | (3 | ) | 3,606,545 |
Post-October capital losses represent capital losses realized on investment transactions from November 1, 2018 through July 31, 2019, that, in accordance with Federal income tax regulations, the Funds may elect to defer and treat as having arisen in the following fiscal year.
Deferred late-year losses represent ordinary losses realized on investment transactions from January 1, 2019 through July 31, 2019 and specified losses realized on investment transactions from November 1, 2018 through July 31, 2019, that, in accordance with Federal income tax regulations, the Funds may elect to defer and treat as having arisen in the following fiscal year.
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. Losses carried forward under these new provisions are as follows:
Short-Term Loss | Long-Term Loss | Total | ||||||||||
Total Return Bond Fund | $ | — | $ | 9,979,178 | $ | 9,979,178 | ||||||
Low Duration Bond Fund | 1,293,712 | 266,932 | 1,560,644 |
The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at July 31, 2019 were as follows:
Federal Tax Cost | Appreciated Securities | Depreciated Securities | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Growth Equity Fund | $ | 188,205,929 | $ | 151,922,009 | $ | (2,574,450 | ) | $ | 149,347,559 | |||||||
Value Equity Fund | 27,238,148 | 3,733,561 | (1,477,183 | ) | 2,256,378 | |||||||||||
Mid Cap Equity Fund | 3,987,664 | 505,638 | (93,543 | ) | 412,095 | |||||||||||
Total Return Bond Fund | 3,745,800,349 | 78,615,005 | (81,458,419 | ) | (2,843,414 | ) | ||||||||||
Credit Fund | 213,320,939 | 4,687,123 | (4,765,765 | ) | (78,642 | ) | ||||||||||
Low Duration Bond Fund | 339,484,963 | 2,715,841 | (699,835 | ) | 2,016,006 | |||||||||||
Municipal Bond Fund | 158,475,793 | 4,306,070 | (808,250 | ) | 3,497,820 |
8. Risks:
Asset-Backed and Mortgage-Backed Securities Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund): Payment of principal and interest on asset-backed securities is dependent largely on the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets, which raises the possibility that recoveries on repossessed collateral may not be available to support payments on these securities. Asset-backed securities are also subject to the risk that underlying borrowers will be unable to meet their obligations. To lessen the effect of failures by obligors on underlying assets to make payments, the entity administering the pool of assets may agree to ensure the receipt of payments on the underlying pool occurs in a timely fashion (“liquidity protection”). In addition, asset- backed securities may obtain insurance, such as guarantees, policies or letters of credit obtained by the issuer or sponsor from third parties, for some or all of the assets in the pool (“credit support”). Delinquency or loss more than that anticipated or failure of the credit support could adversely affect the return on an investment in such a security.
Mortgage-backed securities are affected by, among other things, interest rate changes and the possibility of prepayment of the underlying mortgage loans. Mortgage-backed securities are also subject to the risk that underlying borrowers will be unable to meet their obligations. In addition, a variety of economic, geographic, social and other factors, such as the sale of the underlying property, refinancing or foreclosure, can cause investors to repay the loans underlying a mortgage-backed security sooner
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
than expected. If the prepayment rates increase, the Fund may have to reinvest its principal at a rate of interest that is lower than the rate on existing mortgage-backed securities.
Convertible Securities Risk (Mid Cap Equity Fund): The value of a convertible security is influenced by changes in interest rates (with investment value declining as interest rates increase and increasing as interest rates decline) and the credit standing of the issuer. The price of a convertible security will also normally vary in some proportion to changes in the price of the underlying common stock because of the conversion or exercise feature.
Credit Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund, Municipal Bond Fund): The credit rating or financial condition of an issuer may affect the value of a debt security. Generally, the lower the quality rating of a security, the greater the risk that the issuer will fail to pay interest fully and return principal in a timely manner. If an issuer defaults or becomes unable to honor its financial obligations, the security may lose some or all of its value. The issuer of an investment-grade secu- rity is more likely to pay interest and repay principal than an issuer of a lower rated bond. Adverse economic conditions or changing circumstances, however, may weaken the capacity of the issuer to pay interest and repay principal.
U.S. government securities are not guaranteed against price movements due to changing interest rates. Obligations issued by some U.S. government agencies are backed by the U.S. Treasury, while others are backed solely by the ability of the agency to borrow from the U.S. Treasury or by the government sponsored agency’s own resources. As a result, investments in securities issued by government sponsored agencies that are not backed by the U.S. Treasury are subject to higher credit risk than those that are.
High yield, or “junk,” bonds are highly speculative securities that are usually issued by smaller less credit worthy and/or highly leveraged (indebted) companies. Compared with investment-grade bonds, high yield bonds carry a greater degree of risk and are less likely to make payments of interest and principal. Market developments and the financial and business conditions of the corporation issuing these securities influences their price and liquidity more than changes in interest rates, when compared to investment-grade debt securities. Insufficient liquidity in the junk bond market may make it more difficult to dispose of junk bonds and may cause the Fund to experience sudden and substantial price declines. A lack of reliable, objective data or market quotations may make it more difficult to value junk bonds accurately.
Equity Risk (Growth Equity Fund, Value Equity Fund, Mid Cap Equity Fund): Since they purchase equity securities, the Funds are subject to the risk that stock prices will fall over short or extended periods of time. Historically, the equity markets have moved in cycles, and the value of each Fund’s equity securities may fluctuate drastically from day to day. Individual companies may report poor results or be negatively affected by industry and/or economic trends and developments. The prices of securities issued by such companies may suffer a decline in response. These factors contribute to price volatility, which is the principal risk of investing in each Fund.
Foreign Company Risk (Growth Equity Fund, Value Equity Fund, Credit Fund): Investing in foreign companies, whether through investments made in foreign markets or made through the purchase of ADRs, which are traded on U.S. exchanges and represent an ownership in a foreign security, poses additional risks since political and economic events unique to a country or region will affect those markets and their issuers. These risks will not necessarily affect the U.S. economy or similar issuers located in the United States. In addition, investments in foreign companies are generally denominated in a foreign currency. As a result, changes in the value of those currencies compared to the U.S. dollar may affect (positively or negatively) the value of a Fund’s investments. These currency movements may occur separately from, and in response to, events that do not otherwise affect the value of the security in the issuer’s home country. Securities of foreign companies may not be registered with the U.S. Securities and Exchange Commission (“SEC”) and foreign companies are generally not subject to the regulatory controls imposed on U.S. issuers and, as a consequence, there is generally less publically available information about foreign securities than is available about domestic securities. Income from foreign securities owned by a Fund may be reduced by a withholding tax at the source, which tax would reduce income received from the securities comprising the Fund’s portfolio. Foreign securities may also be more difficult to value than securities of U.S. issuers. While ADRs provide an alternative to directly purchasing the underlying foreign securities in their respective national markets and currencies, investments in ADRs continue to be subject to many of the risks associated with investing directly in foreign securities.
Growth Style Risk (Growth Equity Fund): The price of equity securities rises and falls in response to many factors, including the historical and prospective earnings of the issuer of the stock, the value of its assets, general economic conditions, interest rates, investor perceptions, and market liquidity. The Fund may invest in securities of companies that the Adviser believes have superior prospects for robust and sustainable growth of revenues and earnings. These may be companies with new, limited or cyclical product lines, markets or financial resources, and the management of such companies may be dependent upon one or a few key people. The stocks of such companies can therefore be subject to more abrupt or erratic market movements than stocks of larger, more established companies or the stock market in general.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
Interest Rate Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund, Municipal Bond Fund): As with most funds that invest in debt securities, changes in interest rates are one of the most important factors that could affect the value of your investment. Rising interest rates tend to cause the prices of debt securities (especially those with longer maturities) and the Fund’s share price to fall. Risks associated with rising interest rates are heightened given that interest rates in the U.S. are at, or near, historic lows.
The concept of duration is useful in assessing the sensitivity of a fixed income fund to interest rate movements, which are usually the main source of risk for most fixed income funds. Duration measures price volatility by estimating the change in price of a debt security for a 1% change in its yield. For example, a duration of five years means the price of a debt security will change about 5% for every 1% change in its yield. Thus, the higher the duration, the more volatile the security.
Debt securities have a stated maturity date when the issuer must repay the principal amount of the bond. Some debt securities, known as callable bonds, may repay the principal earlier than the stated maturity date. Debt securities are most likely to be called when interest rates are falling because the issuer can refinance at a lower rate.
Rising interest rates may also cause investors to pay off mortgage-backed and asset-backed securities later than anticipated, forcing the Fund to keep its money invested at lower rates. Falling interest rates, however, generally cause investors to pay off mortgage-backed and asset-backed securities earlier than expected, forcing the Fund to reinvest the money at a lower interest rate.
Mutual funds that invest in debt securities have no real maturity. Instead, they calculate their weighted average maturity. This number is an average of the effective or anticipated maturity of each debt security held by the mutual fund, with the maturity of each security weighted by the percentage of its assets of the mutual fund it represents.
Issuer Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund): The risk that the value of a security may decline for a reason directly related to the issuer, such as management performance, financial leverage and reduced demand for the issuer’s goods or services.
Leverage Risk (Credit Fund): The use of leverage can amplify the effects of market volatility on the Fund’s share price and may also cause the Fund to liquidate portfolio positions when it would not be advantageous to do so in order to satisfy its obligations.
Liquidity Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund): The risk that certain securities may be difficult or impossible to sell at the time and the price that the Fund would like. The Fund may have to accept a lower price to sell a security, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative effect on Fund management or performance.
Management Risk (Each Fund): The risk that the investment techniques and risk analyses applied by the Adviser will not produce the desired results and that legislative, regulatory, or tax developments may affect the investment techniques available to the Adviser and the individual portfolio manager in connection with managing each Fund. There is no guarantee that the investment objective of a Fund will be achieved.
Market Risk (Credit Fund): The risk that the value of securities owned by the Fund may go up or down, sometimes rapidly or unpredictably, due to factors affecting securities markets generally or particular industries.
Mid-Capitalization Company Risk (Mid Cap Equity Fund): Themid-capitalization companies in which the Fund invests may be more vulnerable to adverse business or economic events than larger, more established companies. In particular, investments in thesemid-sized companies may pose additional risks, including liquidity risk, because these companies tend to have limited product lines, markets and financial resources, and may depend upon a relatively small management group. Therefore,mid-capitalization stocks may be more volatile than those of larger companies. These securities may be tradedover-the-counter or listed on an exchange.
Municipal Issuers Risk (Low Duration Bond Fund, Municipal Bond Fund): There may be economic or political changes that impact the ability of municipal issuers to repay principal and to make interest payments on municipal securities. Changes in the financial condition or credit rating of municipal issuers also may adversely affect the value of each Fund’s municipal securities. Constitutional or legislative limits on borrowing by municipal issuers may result in reduced supplies of municipal securities. Moreover, certain municipal securities are backed only by a municipal issuer’s ability to levy and collect taxes.
Preferred Stock Risk (Mid Cap Equity Fund): Preferred stocks are sensitive to interest rate changes, and are also subject to equity risk, which is the risk that stock prices will fall over short or extended periods of time. The rights of preferred stocks on the distribution of a company’s assets in the event of a liquidation are generally subordinate to the rights associated with a company’s debt securities.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
Prepayment and Extension Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund): Prepayment and extension risk is the risk that a loan, bond or other security might be called or otherwise converted, prepaid or redeemed before maturity. This risk is primarily associated with corporate-backed, mortgage-backed and asset-backed securities. If a security is converted, prepaid or redeemed before maturity, particularly during a time of declining interest rates or spreads, the Fund may not be able to invest the proceeds in securities providing as high a level of income, resulting in a reduced yield to the Fund. Conversely, as interest rates rise or spreads widen, the likelihood of prepayment decreases. The Fund may be unable to capitalize on securities with higher interest rates or wider spreads because the Fund’s investments are locked in at a lower rate for a longer period of time.
Rights and Warrants Risk (Mid Cap Equity Fund): The purchase of rights or warrants involves the risk that the Fund could lose the purchase value of a right or warrant if the right to subscribe to additional shares is not executed prior to the right’s or warrant’s expiration. Also, the purchase of rights and/or warrants involves the risk that the effective price paid for the right and/or warrant added to the subscription price of the related security may exceed the value of the subscribed security’s market price such as when there is no movement in the level of the underlying security.
Small- andMid-Capitalization Company Risk (Growth Equity Fund, Value Equity Fund): The small- andmid-capitalization companies in which these Funds may invest may be more vulnerable to adverse business or economic events than larger, more established companies. In particular, investments in these small- andmid-sized companies may pose additional risks, including liquidity risk, because these companies tend to have limited product lines, markets and financial resources, and may depend upon a relatively small management group. Therefore, small- andmid- capitalization stocks may be more volatile than those of larger companies. These securities may be tradedover-the-counter or listed on an exchange.
State-Specific Risk (Municipal Bond Fund): The Fund is subject to the risk that the economy of the states in which it invests, and the revenues underlying state municipal bonds, may decline. Investing primarily in a single state means that the Fund is more exposed to negative political or economic factors in that state than a fund that invests more widely.
Structured Note Risk (Credit Fund): The Fund may invest in fixed income linked structured notes. Structured notes are typically privately negotiated transactions between two or more parties. The fees associated with a structured note may lead to increased tracking error. The Fund also bears the risk that the issuer of the structured note will default. The Fund bears the risk of loss of its principal investment and periodic payments expected to be received for the duration of its investment. In addition, a liquid market may not exist for the structured notes. The lack of a liquid market may make it difficult to sell the structured notes at an acceptable price or to accurately value them.
Value Style Risk (Value Equity Fund): The Fund pursues a “value style” of investing. Value investing focuses on companies with stocks that appear undervalued in light of factors such as the company’s earnings, book value, revenues or cash flow. If the Adviser’s assessment of market conditions or a company’s value or prospects for exceeding earnings expectations is inaccurate, the Fund could suffer losses or produce poor performance relative to other funds. In addition, “value stocks” can continue to be undervalued by the market for long periods of time.
Zero Coupon, Deferred Interest andPay-In-Kind Bond Risk (Credit Fund): These bonds are issued at a discount from their face value because interest payments are typically postponed until maturity.Pay-in-kind securities are securities that have interest payable by the delivery of additional securities. The market prices of these securities generally are more volatile than the market prices of interest-bearing securities and are likely to respond to a greater degree to changes in interest rates than interest-bearing securities having similar maturities and credit quality.
In the normal course of business, the Funds enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be established; however, based on experience, the risk of loss from such claims is considered remote.
9. Other:
On July 31, 2019, the number of shareholders below held the following percentage of the outstanding shares of the Funds:
# of Shareholders | % of Outstanding Shares | |||||||||
Growth Equity Fund | ||||||||||
Institutional Class Shares | 3 | 73.73% | ||||||||
Investor Class Shares | 1 | 83.82% | ||||||||
Value Equity Fund | ||||||||||
Institutional Class Shares | 3 | 94.48% | ||||||||
Investor Class Shares | 1 | 14.31% |
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
# of Shareholders | % of Outstanding Shares | |||||||||
Mid Cap Equity Fund | ||||||||||
Institutional Class Shares | 2 | 88.15% | ||||||||
Investor Class Shares | 3 | 66.75% | ||||||||
Total Return Bond Fund | ||||||||||
Institutional Class Shares | 4 | 55.73% | ||||||||
Investor Class Shares | 1 | 18.09% | ||||||||
A Class Shares | 2 | 45.48% | ||||||||
Credit Fund | ||||||||||
Institutional Class Shares | 3 | 87.76% | ||||||||
Investor Class Shares | 1 | 82.63% | ||||||||
A Class Shares | 2 | 91.47% | ||||||||
Low Duration Bond Fund | ||||||||||
Institutional Class Shares | 3 | 72.33% | ||||||||
Investor Class Shares | 1 | 59.29% | ||||||||
Municipal Bond Fund | ||||||||||
Institutional Class Shares | 1 | 64.95% | ||||||||
Investor Class Shares | 3 | 88.88% |
These shareholders are comprised of omnibus accounts, which are held on behalf of various individual shareholders.
10. Regulatory Matters:
On August 17, 2018, the SEC adopted amendments to RegulationS-X. These changes are effective for periods after November 5, 2018. The updates to Registered Investment Companies were mainly focused on simplifying the presentation of distributable earnings by eliminating the need to present the components of distributable earnings on a book basis in the Statements of Assets and Liabilities. The update also impacted the presentation of undistributed net investment income and distribution to shareholders on the Statements of Changes in Net Assets. The amounts presented in the current Statements of Changes in Net Assets represent the aggregated total distributions of net investment income and realized capital gains, except for distributions classified as return of capital which are still presented separately. The disaggregated amounts from the prior fiscal year are broken out below if there were both distributions from net investment income and realized capital gains. Other-wise, the amount on the current Statement of Changes for the prior fiscal year end represents distributions of net investment income:
Net Investment Income | Net Realized Gains | Total | ||||||||||
Growth Equity Fund | ||||||||||||
Institutional Class Shares | $ | (576,433 | ) | $ | (58,411,154 | ) | $ | (58,987,587 | ) | |||
Investor Class Shares | (94,857 | ) | (9,548,393 | ) | (9,643,250 | ) | ||||||
Value Equity Fund | ||||||||||||
Institutional Class Shares | (1,158,090 | ) | (5,430,499 | ) | (6,588,589 | ) | ||||||
Investor Class Shares | (375,793 | ) | (2,005,120 | ) | (2,380,913 | ) | ||||||
Mid Cap Equity Fund | ||||||||||||
Institutional Class Shares | — | (2,273,805 | ) | (2,273,805 | ) | |||||||
Investor Class Shares | — | (120,280 | ) | (120,280 | ) | |||||||
Total Return Bond Fund | ||||||||||||
Institutional Class Shares | (76,909,989 | ) | (3,295,504 | ) | (80,205,493 | ) | ||||||
Investor Class Shares | (11,600,640 | ) | (546,849 | ) | (12,147,489 | ) | ||||||
A Class Shares | (470 | ) | — | (470 | ) | |||||||
Credit Fund | ||||||||||||
Institutional Class Shares | (8,641,359 | ) | (2,203,420 | ) | (10,844,779 | ) | ||||||
Investor Class Shares | (614,795 | ) | (187,156 | ) | (801,951 | ) | ||||||
A Class Shares | (643 | ) | — | (643 | ) | |||||||
Municipal Bond Fund | ||||||||||||
Institutional Class Shares | (4,671,321 | ) | (852,206 | ) | (5,523,527 | ) | ||||||
Investor Class Shares | (92,080 | ) | (14,332 | ) | (106,412 | ) |
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
11. New Accounting Pronouncements:
In August 2018, the FASB issued Accounting Standards Update2018-13, Fair Value Measurement (Topic 820). The new guidance includes additions and modifications to disclosures requirements for fair value measurements. For public entities, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. At this time, management is currently evaluating the impact of this new guidance on the financial statements and disclosures.
12. Subsequent Events:
The Funds have evaluated the need for additional disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no additional disclosures and/or adjustments were required to the financial statements as of July 31, 2019.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders and the Board ofTrustees of Frost Family of Funds
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Frost Family of Funds (the “Trust”) (comprising the Frost Credit Fund, Frost Growth Equity Fund, Frost Low Duration Bond Fund, Frost Mid Cap Equity Fund, Frost Municipal Bond Fund, Frost Total Return Bond Fund, and Frost Value Equity Fund (collectively referred to as the “Funds”)), including the schedules of investments, as of July 31, 2019, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds comprising the Frost Family of Funds at July 31, 2019, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of July 31, 2019,by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Frost investment companies since 2008.
San Antonio, Texas
September 27, 2019
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FROST FAMILY OF FUNDS |
TRUSTEES AND OFFICERS OF THE FROST FUND FAMILY (Unaudited) |
Set forth below are the names, years of birth, positions with the Trust, length of term of office, and the principal occupations for the last five years of each of the persons currently serving as Trustees and Officers of the Trust. Unless otherwise noted, the business address of each Trustee is SEI Investments Company, 1 Freedom Valley Drive, Oaks, Pennsylvania 19456. Trustees who are deemed not to be “interested persons” of the Trust are referred to as “Independent Trustees.”
Name and Year of Birth | Position with the Trust and Length of Time Served1 | Principal Occupations in the Past 5 Years | ||
INTERESTED | ||||
TRUSTEES2,3 | ||||
ROBERT NESHER (Born: 1946) | Chairman of the Board of Trustees (since 2019) | SEI employee 1974 to present; currently performs various services on behalf of SEI Investments for which Mr. Nesher is compensated. | ||
TOM STRINGFELLOW (Born: 1953) | Trustee (since 2019) | President, Managing Director, Chief Investment Officer and Senior Fund Manager, Frost Investment Advisors, LLC since 2007. Chief Investment Officer, Frost Bank since 2001. | ||
INDEPENDENT | ||||
TRUSTEES3 | ||||
JOSEPH T. GRAUSE, JR (Born: 1952) | Trustee and Lead Independent Trustee (since 2019) | Self-Employed Consultant since 2012. Director of Endowments and Foundations, Morningstar Investment Management, Morningstar, Inc., 2010 to 2011. Director of International Consulting and Chief Executive Officer of Morningstar Associates Europe Limited, Morningstar, Inc., 2007 to 2010. Country Manager – Morningstar UK Limited, Morningstar, Inc., 2005 to 2007. | ||
BRUCE SPECA (Born: 1956) | Trustee (since 2019) | Global Head of Asset Allocation, Manulife Asset Management (subsidiary of Manulife Financial), 2010 to 2011. Executive Vice President – Investment Management Services, John Hancock Financial Services (subsidiary of Manulife Financial), 2003 to 2010. | ||
GEORGE J. SULLIVAN, JR.4 (Born: 1942) | Trustee (since 2019) | Retired since 2012. Self-Employed Consultant, Newfound Consultants Inc., 1997 to 2011. | ||
ROBERT MULHALL4 (Born: 1958) | Trustee (since 2019) | Partner, Ernst & Young LLP, from 1998 to 2018. |
1 | Each Trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns, or is removed in accordance with the Trust’s Declaration of Trust. |
2 | Denotes Trustees who may be deemed to be “interested” persons of the Fund as that term is defined in the 1940 Act by virtue of their affiliation with the Distributor and/or its affiliates |
3 | Trustees oversee 7 funds in the Frost Family of Funds. |
4 | George J. Sullivan resigned as Independent Trustee and Robert Mulhall was elected as Independent Trustee in August 2019. |
84
F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
Messrs. Nesher and Stringfellow are Trustees who may be deemed to be “interested” persons of the Trust as that term is defined in the 1940 Act by virtue of their affiliation with the Trust’s Distributor. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling1-877-71-FROST. The following chart lists Trustees and Officers as of July 31, 2019:
Other Directorships Held in the Past 5 Years5 |
Current Directorships: Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, The KP Funds, SEI Daily Income Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Tax Exempt Trust, Adviser Managed Trust, New Covenant Funds, SEI Insurance Products Trust and SEI Catholic Values Trust. Director of SEI Structured Credit Fund, LP, SEI Global Master Fund plc, SEI Global Assets Fund plc, SEI Global Investments Fund plc, SEI Investments-Global Funds Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe) Ltd., SEI Investments-Unit Trust Management (UK) Limited, SEI Multi-Strategy Funds PLC and SEI Global Nominee Ltd. |
Former Directorships: Trustee of SEI Liquid Asset Trust to 2016. |
None. |
Current Directorships: Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds and The KP Funds. Director of The Korea Fund, Inc. |
Current Directorships: Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds and The KP Funds. Director of Stone Harbor Investments Funds, Stone Harbor Emerging Markets Income Fund(closed-end fund) and Stone Harbor Emerging Markets Total Income Fund(closed-end fund). |
Current Directorships: Trustee/Director of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, The KP Funds, SEI Structured Credit Fund, LP, SEI Daily Income Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Tax Exempt Trust, Adviser Managed Trust, New Covenant Funds, SEI Insurance Products Trust and SEI Catholic Values Trust. |
Former Directorships: Trustee of SEI Liquid Asset Trust to 2016. Trustee/Director of State Street Navigator Securities Lending Trust to 2017. Member of the independent review committee for SEI’s Canadian-registered mutual funds to 2017. |
Current Directorships: Trustee of The Advisors’ Inner Circle Fund II, Bishop Street Funds, The KP Funds. |
5 | Directorships of Companies required to report to the Securities and Exchange Commission under the Securities Exchange act of 1934 (i.e., “public companies”) or other investment companies under the 1940 Act. |
85
FROST FAMILY OF FUNDS |
TRUSTEES AND OFFICERS OF THE FROST FUND FAMILY (Unaudited) |
Name and Year of Birth | Position with the Trust and Length of Time Served | Principal Occupations in the Past 5 Years | ||
OFFICERS | ||||
MICHAEL BEATTIE (Born: 1965) | President (since 2019) | Director of Client Service, SEI Investments, since 2004. | ||
JAMES BERNSTEIN (Born: 1962) | Vice President and Assistant Secretary (since 2019) | Attorney, SEI Investments, since 2017.
Prior Positions: Self-employed consultant, 2017. Associate General Counsel & Vice President, Nationwide Funds Group and Nationwide Mutual Insurance Company, from 2002 to 2016. Assistant General Counsel & Vice President, Market Street Funds and Provident Mutual Insurance Company, from 1999 to 2002. | ||
JOHN BOURGEOIS (Born: 1973) | Assistant Treasurer (since 2019) | Fund Accounting Manager, SEI Investments, since 2000. | ||
STEPHEN CONNORS (Born: 1984) | Treasurer, Controller and Chief Financial Officer (since 2019) | Director, SEI Investments, Fund Accounting, since 2014. Audit Manager, Deloitte & Touche LLP, from 2011 to 2014. | ||
DIANNE M. DESCOTEAUX (Born: 1977) | Vice President and Secretary (since 2019) | Counsel at SEI Investments since 2010. Associate at Morgan, Lewis & Bockius LLP, from 2006 to 2010. | ||
RUSSELL EMERY (Born: 1962) | Chief Compliance Officer (since 2019) | Chief Compliance Officer of SEI Structured Credit Fund, LP since 2007. Chief Compliance Officer of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, The KP Funds, The Advisors’ Inner Circle Fund III, Gallery Trust, Schroder Series Trust, Schroder Global Series Trust, Frost Family of Funds, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Daily Income Trust, SEI Tax Exempt Trust, Adviser Managed Trust, New Covenant Funds, SEI Insurance Products Trust and SEI Catholic Values Trust. Chief Compliance Officer of O’Connor EQUUS(closed-end investment company) to 2016. Chief Compliance Officer of SEI Liquid Asset Trust to 2016. Chief Compliance Officer of Winton Series Trust to 2017. Chief Compliance Officer of Winton Diversified Opportunities Fund(closed-end investment company) to 2018. | ||
MATTHEW M. MAHER (Born: 1975) | Vice President and Assistant Secretary (since 2019) | Counsel at SEI Investments since 2018. Attorney, Blank Rome LLP, from 2015 to 2018. Assistant Counsel & Vice President, Bank of New York Mellon, from 2013 to 2014. Attorney, Dilworth Paxson LLP, from 2006 to 2013. |
86
F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
Other Directorships Held in the Past 5 Years |
None. |
None. |
None. |
None. |
None. |
None. |
None. |
87
FROST FAMILY OF FUNDS |
TRUSTEES AND OFFICERS OF THE FROST FUND FAMILY (Unaudited) |
Name and Year of Birth | Position with the Trust and Length of Time Served | Principal Occupations in the Past 5 Years | ||
OFFICERS (continued) | ||||
ROBERT MORROW (Born: 1968) | Vice President (since 2019) | Account Manager, SEI Investments, since 2007. | ||
BRIDGET E. SUDALL (Born: 1980) | Anti-Money Laundering Compliance Officer and Privacy Officer (since 2019) | Senior Associate and AML Officer, Morgan Stanley Alternative Investment Partners, from 2011 to 2015. Investor Services Team Lead, Morgan Stanley Alternative Investment Partners, from 2007 to 2011. |
88
F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
Other Directorships Held in the Past 5 Years |
None. |
None. |
89
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
DISCLOSURE OF FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses. As a shareholder of a fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.
Operating expenses such as these are deducted from a fund’s gross income and directly reduce its final investment return. These expenses are expressed as a percentage of a fund’s average net assets; this percentage is known as a fund’s expense ratio.
The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period (February 1, 2019 to July 31, 2019).
The table on the next page illustrates your Fund’s costs in two ways:
•Actual fund return. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.
You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”
•Hypothetical 5% return. This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expenses Paid During Period” column with those that appear in the same charts in the shareholder reports for other funds.
NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown do not apply to your specific investment.
90
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
DISCLOSURE OF FUND EXPENSES (Unaudited) (Continued) |
Beginning Account Value 2/1/2019 | Ending Account Value 7/31/2019 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Growth Equity Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,120.80 | 0.62 | % | $ | 3.26 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,119.20 | 0.87 | % | $ | 4.57 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,021.72 | 0.62 | % | $ | 3.11 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,020.48 | 0.87 | % | $ | 4.36 | ||||||||
Value Equity Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,069.90 | 0.79 | % | $ | 4.05 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,069.00 | 1.04 | % | $ | 5.34 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,020.88 | 0.79 | % | $ | 3.96 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,019.64 | 1.04 | % | $ | 5.21 | ||||||||
Mid Cap Equity Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,089.20 | 1.55 | % | $ | 8.03 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,089.60 | 1.80 | % | $ | 9.33 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,017.11 | 1.55 | % | $ | 7.75 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,015.87 | 1.80 | % | $ | 9.00 | ||||||||
Total Return Bond Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,032.60 | 0.48 | % | $ | 2.42 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,031.40 | 0.73 | % | $ | 3.68 | ||||||||
A Class Shares | $ | 1,000.00 | $ | 1,030.50 | 0.81 | % | $ | 4.08 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,022.41 | 0.48 | % | $ | 2.41 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,021.17 | 0.73 | % | $ | 3.66 | ||||||||
A Class Shares | $ | 1,000.00 | $ | 1,020.78 | 0.81 | % | $ | 4.06 |
Beginning Account Value 2/1/2019 | Ending Account Value 7/31/2019 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Credit Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,041.00 | 0.69 | % | $ | 3.49 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,040.90 | 0.94 | % | $ | 4.76 | ||||||||
A Class Shares | $ | 1,000.00 | $ | 1,040.20 | 1.01 | % | $ | 5.11 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,021.37 | 0.69 | % | $ | 3.46 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,020.13 | 0.94 | % | $ | 4.71 | ||||||||
A Class Shares | $ | 1,000.00 | $ | 1,019.79 | 1.01 | % | $ | 5.06 | ||||||||
Low Duration Bond Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,019.00 | 0.43 | % | $ | 2.15 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,017.80 | 0.68 | % | $ | 3.40 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,022.66 | 0.43 | % | $ | 2.16 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,021.42 | 0.68 | % | $ | 3.41 | ||||||||
Municipal Bond Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,036.60 | 0.41 | % | $ | 2.07 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,035.40 | 0.66 | % | $ | 3.33 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,022.76 | 0.41 | % | $ | 2.06 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,021.52 | 0.66 | % | $ | 3.31 |
* | Unless otherwise indicated, expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the account period, multiplied by 181/365 (to reflect theone-half year period). |
91
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
NOTICE TO SHAREHOLDERS (Unaudited) |
For shareholders who do not have a July 31, 2019 taxable year end, this notice is for informational purposes only. For shareholders with a July 31, 2019 taxable year end, please consult your tax adviser as to the pertinence of this notice. For the fiscal year ended July 31, 2019, the Funds are designating the following items with regard to distributions paid during the year:
Return of Capital | Long Term Capital Gains Distributions (Tax Basis) | Ordinary Income Distributions (Tax Basis) | Tax Exempt Income Distribution (Tax Basis) | Total Distributions (Tax Basis) | ||||||||||||||||
Growth Equity Fund | 0% | 98% | 2% | 0% | 100% | |||||||||||||||
Value Equity Fund | 0% | 87% | 13% | 0% | 100% | |||||||||||||||
Mid Cap Equity Fund | 0% | 93% | 7% | 0% | 100% | |||||||||||||||
Total Return Bond Fund | 0% | 0% | 100% | 0% | 100% | |||||||||||||||
Credit Fund | 0% | 7% | 93% | 0% | 100% | |||||||||||||||
Low Duration Bond Fund | 0% | 0% | 100% | 0% | 100% | |||||||||||||||
Municipal Bond Fund(6) | 0% | 0% | 6% | 94% | 100% | |||||||||||||||
Dividends Qualifying for Corporate Dividends Received Deduction(1) | Qualifying Dividend Income (15% Tax Rate for QDI)(2) | U.S. Government Interest(3) | Interest Related Dividends(4) | Qualified Short-Term Capital Gain(5) | ||||||||||||||||
Growth Equity Fund | 100% | 100% | 0% | 0% | 0% | |||||||||||||||
Value Equity Fund | 100% | 100% | 0% | 0% | 0% | |||||||||||||||
Mid Cap Equity Fund | 100% | 100% | 0% | 0% | 100% | |||||||||||||||
Total Return Bond Fund | 0% | 0% | 0% | 94% | 0% | |||||||||||||||
Credit Fund | 0% | 0% | 0% | 97% | 100% | |||||||||||||||
Low Duration Bond Fund | 0% | 0% | 0% | 97% | 0% | |||||||||||||||
Municipal Bond Fund | 0% | 0% | 0% | 0% | 100% |
(1) | Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). |
(2) | The percentage in this column represents the amount of "Qualifying Dividend Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). It is the intention of each of the aforementioned funds to designate the maximum amount permitted by law. |
(3) | “U.S. Government Interest” represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of ordinary income. Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. |
(4) | The percentage in this column represents the amount of “Qualifying Interest Income” and is reflected as a percentage of net investment income distributions that is exempt from U.S withholding tax when paid to foreign investors. |
(5) | The percentage in this column represents the amount of “Qualifying Short-Term Capital Gain” and is reflected as a percentage of short-term capital gain distributions that is exempt from U.S withholding tax when paid to foreign investors. |
(6) | For California income tax purposes, for the fiscal year ended July 31, 2019, Municipal Bond Fund, designated 3.19% of their distributions paid from net investment income as exempt-interest dividends under Section 17145 of the California Revenue and Taxation Code. |
Please consult your tax advisor for proper treatment of this information. This notification should be kept with you permanent tax papers.
92
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
BOARD CONSIDERATIONS IN APPROVING THE ADVISORY AGREEMENT (Unaudited) |
Pursuant to Section 15 of the Investment Company Act of 1940 (the “1940 Act”), the advisory agreement (the “Agreement”) between Frost Family of Funds (the “Trust”), on behalf of the Funds (as defined below), and Frost Investment Advisors, LLC (the “Adviser”), must be approved: (i) by a vote of a majority of the shareholders of the Funds; and (ii) by the vote of a majority of the members of the Board of Trustees (the “Board” or the “Trustees”) of the Trust who are not parties to the Agreement or “interested persons” of any party thereto, as defined in the 1940 Act (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval.
A Board meeting was held on February 25, 2019 to decide whether to approve the Agreement for an initialtwo-year term. At the meeting, the Board also considered and approved the reorganizations of the Frost Growth Equity Fund, the Frost Mid Cap Equity Fund, the Frost Value Equity Fund, the Frost Low Duration Bond Fund, the Frost Municipal Bond Fund, the Frost Total Return Bond Fund and the Frost Credit Fund, each a series of The Advisors’ Inner Circle Fund II advised by the Adviser (collectively, the “Predecessor Funds”), into, respectively, the Frost Growth Equity Fund, the Frost Mid Cap Equity Fund, the Frost Value Equity Fund, the Frost Low Duration Bond Fund, the Frost Municipal Bond Fund, the Frost Total Return Bond Fund and the Frost Credit Fund, each a series of the Trust (the “Funds”).
In preparation for the meeting, the Trustees requested that the Adviser furnish information necessary to evaluate the terms of the Agreement. The Trustees used this information, as well as other information that the Adviser and other service providers of the Funds presented or submitted to the Board at the meeting and information regarding the Predecessor Funds previously provided to the Independent Trustees in their capacity as independent trustees of The Advisors’ Inner Circle Fund II, to help them decide whether to approve the Agreement for an initialtwo-year term.
Specifically, the Board requested and received written materials from the Adviser and other service providers of the Funds regarding: (i) the nature, extent and quality of the services to be provided by the Adviser; (ii) the Adviser’s investment management personnel; (iii) the Adviser’s operations; (iv) the Adviser’s brokerage practices (including any soft dollar arrangements) and investment strategies; (v) the Funds’ proposed advisory fees to be paid to the Adviser and overall fees and operating expenses compared with peer groups of mutual funds; (vi) the Adviser’s compliance program, including a description of material compliance matters and material compliance violations; (vii) the Adviser’s policies on and compliance procedures for personal securities transactions; (viii) the Adviser’s investment experience; (ix) the Adviser’s rationale for introducing the Funds and reorganizing the Predecessor Funds into the Funds; (x) the Funds’ proposed objectives and strategies; and (xi) the performance of the Predecessor Funds.
Representatives from the Adviser, along with other Fund service providers, presented additional information and participated in question and answer sessions at the meeting to help the Trustees evaluate the Adviser’s services, fees and other aspects of the Agreement. The Independent Trustees received advice from independent counsel and met in executive session outside the presence of Fund management and the Adviser.
At the Board meeting, the Trustees, including all of the Independent Trustees, based on their evaluation of the information provided by the Adviser and other service providers of the Funds, approved the Agreement. In considering the approval of the Agreement, the Board considered various factors that they determined were relevant, including: (i) the nature, extent and quality of the services to be provided by the Adviser; (ii) the investment performance of the Adviser; and (iii) the fees to be paid to the Adviser, as discussed in further detail below.
Nature, Extent and Quality of Services to be Provided by the Adviser
In considering the nature, extent and quality of the services to be provided by the Adviser, the Board reviewed the portfolio management services to be provided by the Adviser to the Funds, including the quality and continuity of the Adviser’s portfolio management personnel, the resources of the Adviser, and the Adviser’s compliance history and compliance program. The Trustees reviewed the terms of the proposed Agreement. The Trustees also reviewed the Adviser’s proposed investment and risk management approaches for the Funds. The most recent investment adviser registration form (“Form ADV”) for the Adviser was available to the Board, as was the response of the Adviser to a detailed series of questions which included, among other things, information about the investment advisory services to be provided by the Adviser to the Funds.
The Trustees also considered other services to be provided to the Funds by the Adviser such as selecting broker-dealers for executing portfolio transactions, monitoring adherence to the Funds’ investment restrictions, and monitoring compliance with various Fund policies and procedures and with applicable securities laws and regulations. Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the nature, extent and quality of the services to be provided to the Funds by the Adviser would be satisfactory.
93
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
BOARD CONSIDERATIONS IN APPROVING THE ADVISORY AGREEMENT (Unaudited) (Continued) |
Investment Performance of the Adviser
Because the Adviser served as the investment adviser of the Predecessor Funds and each Fund’s portfolio management team was expected to be the same as the portfolio management team of the corresponding Predecessor Fund, the Board considered the investment performance of the Predecessor Funds in considering the approval of the Agreement. Representatives from the Adviser provided information regarding and led discussions of factors impacting the performance of the Predecessor Funds, outlining current market conditions and explaining their expectations and strategies for the future. Following evaluation, the Board concluded, within the context of its full deliberations, that the investment performance of the Adviser and its investment management personnel supported approval of the Agreement.
Costs of Advisory Services
In considering the advisory fees payable by the Funds to the Adviser, the Trustees reviewed, among other things, a report of the proposed advisory fees to be paid to the Adviser. The Trustees also reviewed reports prepared by the Funds’ administrator comparing the Funds’ net and gross expense ratios and advisory fees to those paid by peer groups of mutual funds as classified by Lipper, an independent provider of investment company data. The Trustees reviewed pro forma fee and expense information. The Board also considered that the advisory fee of each Fund would be the same as the advisory fee of the corresponding Predecessor Fund. The Board concluded, within the context of its full deliberations, that the advisory fees were reasonable in light of the nature and quality of the services expected to be rendered by the Adviser. The Board also considered the Adviser’s commitment to managing the Funds and its willingness to enter into expense limitation and fee waiver arrangements with the Funds.
Profitability and Economies of Scale
Because the Funds had not commenced operations, it was not possible to determine the profitability that the Adviser might achieve with respect to the Funds or the extent to which economies of scale would be realized by the Adviser as the assets of the Funds grow. Accordingly, the Trustees did not make any conclusions regarding the Adviser’s profitability, or the extent to which economies of scale would be realized by the Adviser as the assets of the Funds grow, but will do so during future considerations of the Agreement.
Approval of the Agreement
Based on the Board’s deliberations and its evaluation of the information described above and other factors and information it believed relevant in the exercise of its reasonable business judgment, the Board, including all of the Independent Trustees, with the assistance of Fund counsel and Independent Trustees’ counsel, unanimously concluded that the terms of the Agreement, including the fees to be paid thereunder, were fair and reasonable and agreed to approve the Agreement for an initial term of two years. In its deliberations, the Board did not identify any absence of information as material to its decision, or any particular factor (or conclusion with respect thereto) or single piece of information that wasall-important, controlling or determinative of its decision, but considered all of the factors together, and each Trustee may have attributed different weights to the various factors (and conclusions with respect thereto) and information.
94
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
SHAREHOLDER VOTING RESULTS (Unaudited) |
A Special Meeting of the Shareholders of the Frost Growth Equity Fund, a series of The Advisors Inner Circle Fund II (the “Trust”) was held on June 4, 2019 for the purpose of approving an Agreement and Plan of Reorganization between the Trust, on behalf of the Frost Growth Equity Fund (the “Target Growth Equity Fund”), and Frost Family of Funds (the “Acquiring Trust”), on behalf of the Frost Growth Equity Fund (the “Acquiring Growth Equity Fund”), a newly created series of the Acquiring Trust, the motion was approved with the following voting results:
No. of Shares | % of Outstanding Shares | % of Shares Voted | ||||||||||
Affirmative | 20,196,447 | 84.28% | 100% | |||||||||
Against | 0 | 0% | 0% | |||||||||
Abstain | 214 | 0% | 0% | |||||||||
|
|
|
|
|
| |||||||
Total | 20,196,661 | 84.28% | 100% | |||||||||
|
|
|
|
|
|
A Special Meeting of the Shareholders of the Frost Mid Cap EquityFund,a series of The Advisors Inner Circle Fund II (the “Trust”) was held on June 4, 2019 for the purpose of approving an Agreement and Plan of Reorganization between the Trust, on behalf of the Frost Mid Cap Equity Fund (the “Target Mid Cap Equity Fund”), and Frost Family of Funds (the “Acquiring Trust”), on behalf of the Frost Mid Cap Equity Fund (the “Acquiring Mid Cap Equity Fund”), a newly created series of the Acquiring Trust, the motion was approved with the following voting results:
No. of Shares | % of Outstanding Shares | % of Shares Voted | ||||||||||
Affirmative | 783,467 | 89.49% | 100% | |||||||||
Against | 0 | 0% | 0% | |||||||||
Abstain | 0 | 0% | 0% | |||||||||
|
|
|
|
|
| |||||||
Total | 783,467 | 89.49% | 100% | |||||||||
|
|
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A Special Meeting of the Shareholders of the Frost Value Equity Fund, a series of The Advisors Inner Circle Fund II (the “Trust”) was held on June 4, 2019 for the purpose of approving an Agreement and Plan of Reorganization between the Trust, on behalf of the Frost Value Equity Fund (the “Target Value Equity Fund”), and Frost Family of Funds (the “Acquiring Trust”), on behalf of the Frost Value Equity Fund (the “Acquiring Value Equity Fund”), a newly created series of the Acquiring Trust, the motion was approved with the following voting results:
No. of Shares | % of Outstanding Shares | % of Shares Voted | ||||||||||
Affirmative | 5,979,081 | 88.38% | 100% | |||||||||
Against | 0 | 0% | 0% | |||||||||
Abstain | 0 | 0% | 0% | |||||||||
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Total | 5,979,081 | 88.38% | 100% | |||||||||
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A Special Meeting of the Shareholders of the Frost Low Duration Bond Fund, a series of The Advisors Inner Circle Fund II (the “Trust”) was held on June 4, 2019 for the purpose of approving an Agreement and Plan of Reorganization between the Trust, on behalf of the Frost Low Duration Bond Fund (the “Target Low Duration Bond Fund”), and Frost Family of Funds (the “Acquiring Trust”), on behalf of the Frost Low Duration Bond Fund (the “Acquiring Low Duration Bond Fund”), a newly created series of the Acquiring Trust, the motion was approved with the following voting results:
No. of Shares | % of Outstanding Shares | % of Shares Voted | ||||||||||
Affirmative | 27,758,675 | 86.59% | 100% | |||||||||
Against | 518 | 0% | 0% | |||||||||
Abstain | 0 | 0% | 0% | |||||||||
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Total | 27,759,193 | 86.59% | 100% | |||||||||
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95
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 1 9 |
SHAREHOLDER VOTING RESULTS (Unaudited) (Continued) |
A Special Meeting of the Shareholders of the Frost Municipal Bond Fund, a series of The Advisors Inner Circle Fund II (the “Trust”) was held on June 4, 2019 for the purpose of approving an Agreement and Plan of Reorganization between the Trust, on behalf of the Frost Municipal Bond Fund (the “Target Municipal Bond Fund”), and Frost Family of Funds (the “Acquiring Trust”), on behalf of the Frost Municipal Bond Fund (the “Acquiring Municipal Bond Fund”), a newly created series of the Acquiring Trust, the motion was approved with the following voting results:
No. of Shares | % of Outstanding Shares | % of Shares Voted | ||||||||||
Affirmative | 15,036,299 | 96.35% | 100% | |||||||||
Against | 0 | 0% | 0% | |||||||||
Abstain | 0 | 0% | 0% | |||||||||
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Total | 15,036,299 | 96.35% | 100% | |||||||||
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A Special Meeting of the Shareholders of the Frost Total Return Bond Fund, a series of The Advisors Inner Circle Fund II (the “Trust”) was held on June 4, 2019 for the purpose of approving an Agreement and Plan of Reorganization between the Trust, on behalf of the Frost Total Return Bond Fund (the “Target Total Return Bond Fund”), and Frost Family of Funds (the “Acquiring Trust”), on behalf of the Frost Total Return Bond Fund (the “Acquiring Total Return Bond Fund”), a newly created series of the Acquiring Trust, the motion was approved with the following voting results:
No. of Shares | % of Outstanding Shares | % of Shares Voted | ||||||||||
Affirmative | 197,686,527 | 59.69% | 99.05% | |||||||||
Against | 1,285,082 | 0.39% | 0.64% | |||||||||
Abstain | 612,635 | 0.18% | 0.31% | |||||||||
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Total | 199,584,244 | 60.26% | 100% | |||||||||
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A Special Meeting of the Shareholders of the Frost Credit Fund, a series of The Advisors Inner Circle Fund II (the “Trust”) was held on June 4, 2019 for the purpose of approving an Agreement and Plan of Reorganization between the Trust, on behalf of the Frost Credit Fund (the “Target Credit Fund”), and Frost Family of Funds (the “Acquiring Trust”), on behalf of the Frost Credit Fund (the “Acquiring Credit Fund”), a newly created series of the Acquiring Trust, the motion was approved with the following voting results:
No. of Shares | % of Outstanding Shares | % of Shares Voted | ||||||||||
Affirmative | 21,303,616 | 96.35% | 100% | |||||||||
Against | 0 | 0% | 0% | |||||||||
Abstain | 539 | 0% | 0% | |||||||||
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Total | 21,304,155 | 96.35% | 100% | |||||||||
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96
Frost Family of Funds
Annual Report
Investment Adviser
Frost Investment Advisors, LLC
111 Houston Street, 10th Floor
San Antonio, Texas 78205
Independent Registered Public Accounting Firm
Ernst & Young LLP
111 West Houston St., Suite 1901
San Antonio, Texas 78205
Distributor
SEI Investments Distribution Co.
One Freedom Valley Drive
Oaks, Pennsylvania 19456
Administrator
SEI Investments Global Funds Services
One Freedom Valley Drive
Oaks, Pennsylvania 19456
Legal Counsel
Morgan, Lewis & Bockius, LLP
1701 Market Street
Philadelphia, Pennsylvania 19103-2921
Item 2. Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, controller or principal accounting officer, and any person who performs a similar function. There have been no amendments to or waivers granted to this code of ethics.
Item 3. Audit Committee Financial Expert.
(a) (1) The Registrant’s board of trustees has determined that the Registrant has at least one audit committee financial expert serving on the audit committee.
(a) (2) The audit committee financial expert is Robert Mulhall, and is considered to be “independent,” as that term is defined in FormN-CSR Item 3(a)(2).
Item 4. Principal Accountant Fees and Services.
Fees billed by Ernst & Young LLP (“E&Y”) relate tothe Frost Family of Funds (the “Trust”).
E&Y billed the Trust aggregate fees for services rendered to the Trust for the last two fiscal years as follows:
FYE July 31, 2019 | FYE July 31, 2018 | |||||||||||||||
All fees and services to the Trust that were pre-approved | All fees and services to service affiliates that were pre-approved | All other fees and services to service affiliates that did not require pre-approval | All fees and services to the Trust that were pre-approved | All fees and services to service affiliates that were pre-approved | All other fees and services to service affiliates that did not require pre-approval | |||||||||||
(a) | Audit Fees(1)(2) | $290,000 | None | None | None | None | None | |||||||||
(b) | Audit-Related Fees(2) | None | None | None | $12,500 | None | None | |||||||||
(c) | Tax Fees | None | None | None | None | None | None | |||||||||
(d) | All Other Fees | None | None | None | None | None | None |
Notes:
(1) | Audit fees include amounts related to the audit of the Trust’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. |
(2) | The series of the Trust reorganized, effective as of June 24, 2019, from series of The Advisors’ Inner Circle Fund II into series of the Frost Family of Funds. |
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(e)(1) The Trust’s Audit Committee has adopted and the Board of Trustees has ratified an Audit andNon-Audit ServicesPre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Funds may bepre-approved.
The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant’s Chief Financial Officer (“CFO”) and must include a detailed description of the services proposed to be rendered. The CFO will determine whether these services:
1. | require specificpre-approval; |
2. | are included within the list of services that have received the generalpre-approval of the Audit Committee pursuant to the Policy; or |
3. | have been previouslypre-approved in connection with the independent auditor’s annual engagement letter for the applicable year or otherwise. In any instance where services requirepre-approval, the Audit Committee will consider whether these services are consistent with SEC’s rules and whether the provision of these services would impair the auditor’s independence. |
Requests or applications to provide services that require specificpre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The Audit Committee has delegated specificpre-approval authority to either the Audit Committee Chair or financial expert, provided that the estimated fee for any said proposedpre-approved service does not exceed $100,000 and anypre-approval decisions are reported to the Audit Committee at the Audit Committee’s next regularly-scheduled meeting.
Services that have received the generalpre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received generalpre-approval.
All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment adviser, or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services.
In addition, the Audit Committee has determined to take additional measures on an annual basis to meet the audit Committee’s responsibility to oversee the work of the independent auditor and to assure the auditor’s independence from the Registrant, such as (a) reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and (b) discussing with the independent auditor the independent auditor’s methods and procedures for ensuring independence.
(e)(2) | Percentage of fees billed by E&Y applicable tonon-audit services pursuant to the “de minimis” exception of Rule2-01(c)(7)(i)(C) were as follows: |
FYE July 31, 2019 | FYE July 31, 2018 | |||||||
Audit-Related Fees | None | None | ||||||
Tax Fees | None | None | ||||||
All Other Fees | None | None |
(f) | Not applicable. |
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(g) The aggregatenon-audit fees and services billed by E&Y 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 the last two fiscal-years-ended July 31st were $12,000 and $0 for 2019 and 2018, respectively.
(h) During the past fiscal year, allnon-audit services provided by Registrant’s principal accountant to either Registrant’s investment adviser or to any entity controlling, controlled by, or under common control with Registrant’s investment adviser that provides ongoing services to Registrant werepre-approved by the Audit Committee of Registrant’s Board of Trustees. Included in the Audit Committee’spre-approval of thesenon-audit service were the review and consideration as to whether the provision of thesenon-audit services is compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable toopen-end management investment companies.
Item 6. Schedule of Investments
Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.
Not applicable toopen-end management investment companies.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies
Not applicable toopen-end management investment companies. Effective forclosed-end management investment companies for fiscal-years-ending on or after December 31, 2005.
Item 9. Purchases of Equity Securities byClosed-End Management Company and Affiliated Purchasers.
Not applicable toopen-end management investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees during the period covered by this report.
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 Act (17 CFR §270.30a-3(c)), as of a date within 90 days of the filing date of the report, are effective based on the evaluation of these controls and procedures required by Rule30a-3(b) under the Act (17 CFR §270.30a-3(b)) and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act, as amended (17 CFR §270.30a-15(b) or §240.15d-15(b)).
(b) There has been no change in the Registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the Act (17 CFR §270.3a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
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Items 12. Disclosure of Securities Lending Activities forClosed-End Management Investment Companies.
Not applicable toopen-end management investment companies.
Items 13. Exhibits.
(a)(1) A copy of the Registrant’s Code of Ethics, as required by Item 2 of this Form, accompanies this filing as an exhibit.
(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant, as required by Rule30a-2(a) under the Act (17 CFR §270.30a-2(a)), is filed herewith.
(b) Officer certifications, as required by Rule30a-2(b) under the Act (17 CFR §270.30a-2(b)), also accompany this filing as an exhibit.
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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) | Frost Family of Funds | |||||
By (Signature and Title) | /s/ Michael Beattie | |||||
Michael Beattie | ||||||
President | ||||||
Date: October 8, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Michael Beattie | |||||
Michael Beattie | ||||||
President | ||||||
Date: October 8, 2019 | ||||||
By (Signature and Title) | /s/ Stephen Connors | |||||
Stephen Connors | ||||||
Treasurer, Controller, and CFO |
Date: October 8, 2019
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